UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3990

Northwestern Mutual Series Fund, Inc.

(Exact name of registrant as specified in charter)

720 East Wisconsin Avenue,

Milwaukee Wisconsin 53202

(Address of principal executive offices) (Zip code)

Phil J. Rinzel, Controller and Chief Accounting Officer Northwestern Mutual Series Fund, Inc.

(Name and address of agent for service)

Registrant’s telephone number, including area code: 414-271-1444

Date of fiscal year end: December 31

Date of reporting period: June 30, 2024

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, 100 F Street, NE, Washington, DC 20549-1090. 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):

INDEX 500 STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Index 500 Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Index 500 Stock Portfolio	$10	0.19%

Fund Statistics

• Total Net Assets (000's)$6,191,682
• # of Portfolio Holdings (Derivatives not included as applicable)503
• Portfolio Turnover Rate1%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Microsoft Corp.	7.2%
NVIDIA Corp.	6.6%
Apple, Inc.	6.6%
Alphabet, Inc., Various	4.2%
Amazon.com, Inc.	3.8%
Meta Platforms, Inc. - Class A	2.4%
Berkshire Hathaway, Inc. - Class B	1.6%
Eli Lilly & Co.	1.6%
Broadcom, Inc.	1.5%
JPMorgan Chase & Co.	1.3%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	1.0%
Real Estate	2.1%
Materials	2.1%
Utilities	2.2%
Energy	3.6%
Consumer Staples	5.7%
Industrials	8.1%
Communication Services	9.3%
Consumer Discretionary	9.9%
Health Care	11.6%
Financials	12.3%
Information Technology	32.1%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

INDEX 500 STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

SMALL CAP VALUE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Small Cap Value Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Small Cap Value Portfolio	$43	0.87%

Fund Statistics

• Total Net Assets (000's)$547,793
• # of Portfolio Holdings (Derivatives not included as applicable)203
• Portfolio Turnover Rate17%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

PennyMac Financial Services, Inc.	1.7%
Pinnacle Financial Partners, Inc.	1.6%
Matador Resources Co.	1.5%
Meritage Homes Corp.	1.2%
Popular, Inc.	1.2%
Houlihan Lokey, Inc.	1.1%
Strategic Education, Inc.	1.1%
Select Medical Holdings Corp.	1.1%
TechnipFMC PLC	1.1%
Terreno Realty Corp.	1.1%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	3.7%
Communication Services	1.5%
Consumer Staples	2.0%
Utilities	4.1%
Materials	4.9%
Information Technology	6.3%
Health Care	8.4%
Energy	8.9%
Real Estate	10.0%
Consumer Discretionary	10.8%
Industrials	13.8%
Financials	25.6%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

SMALL CAP VALUE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

LARGE CAP BLEND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Large Cap Blend Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Large Cap Blend Portfolio	$37	0.74%

Fund Statistics

• Total Net Assets (000's)$164,518
• # of Portfolio Holdings (Derivatives not included as applicable)51
• Portfolio Turnover Rate30%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Microsoft Corp.	9.9%
Apple, Inc.	8.0%
NVIDIA Corp.	7.5%
Amazon.com, Inc.	4.5%
Alphabet, Inc. - Class A	3.4%
Meta Platforms, Inc. - Class A	3.3%
Exxon Mobil Corp.	2.6%
Wells Fargo & Co.	2.6%
Regeneron Pharmaceuticals, Inc.	2.4%
UnitedHealth Group, Inc.	2.4%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	- 2.4%
Real Estate	1.2%
Consumer Staples	1.2%
Materials	1.9%
Utilities	3.1%
Energy	4.8%
Communication Services	6.7%
Industrials	10.2%
Financials	11.1%
Consumer Discretionary	11.3%
Health Care	13.4%
Information Technology	37.5%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

LARGE CAP BLEND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

MULTI-SECTOR BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Multi-Sector Bond Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Multi-Sector Bond Portfolio	$37	0.75%

Fund Statistics

• Total Net Assets (000's)$1,257,981
• # of Portfolio Holdings (Derivatives not included as applicable)920
• Portfolio Turnover Rate18%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Uniform Mortgage Backed Security TBA, Various	10.2%
Citigroup Global Markets, Inc. Repurchase Agreement, Various	6.2%
US Treasury, Various	6.1%
BNP Paribas SA Repurchase Agreement, 5.39%,  7/1/24	5.7%
Canadian Imperial Bank of Commerce Repurchase Agreement, Various	4.1%
Federal Home Loan Mortgage Corp., Various	3.4%
Saudi International Bond, Various	1.5%
Petroleos Mexicanos, Various	1.2%
European Union, 3%,  12/4/34	1.1%
United Mexican States, Various	1.0%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	- 1.2%
Convertible Corporate Bonds	0.0%
Common Stocks	0.1%
Municipal Bonds	0.5%
Bank Loan Obligations	2.9%
Governments	22.2%
Structured Products	30.6%
Corporate Bonds	44.9%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

MULTI-SECTOR BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

DOMESTIC EQUITY PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Domestic Equity Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Domestic Equity Portfolio	$25	0.50%

Fund Statistics

• Total Net Assets (000's)$1,039,415
• # of Portfolio Holdings (Derivatives not included as applicable)33
• Portfolio Turnover Rate16%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Oracle Corp.	3.7%
The TJX Cos., Inc.	3.7%
Honeywell International, Inc.	3.5%
Motorola Solutions, Inc.	3.4%
DuPont de Nemours, Inc.	3.4%
Fidelity National Information Services, Inc.	3.3%
Duke Energy Corp.	3.2%
Verizon Communications, Inc.	3.2%
Truist Financial Corp.	3.2%
Dover Corp.	3.1%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	1.4%
Real Estate	3.0%
Utilities	3.2%
Materials	3.4%
Energy	5.9%
Communication Services	6.0%
Consumer Staples	7.9%
Consumer Discretionary	9.3%
Industrials	12.5%
Financials	15.2%
Information Technology	15.5%
Health Care	16.7%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

DOMESTIC EQUITY PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

INDEX 600 STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Index 600 Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Index 600 Stock Portfolio	$14	0.27%

Fund Statistics

• Total Net Assets (000's)$438,644
• # of Portfolio Holdings (Derivatives not included as applicable)604
• Portfolio Turnover Rate9%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Abercrombie & Fitch Co.	0.8%
Fabrinet	0.7%
Ensign Group, Inc.	0.6%
SPS Commerce, Inc.	0.6%
Allegheny Technologies, Inc.	0.6%
Comerica, Inc.	0.6%
Robert Half International, Inc.	0.6%
SPX Technologies, Inc.	0.6%
Mueller Industries, Inc.	0.5%
Glaukos Corp.	0.5%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	0.7%
Utilities	2.0%
Communication Services	2.8%
Consumer Staples	3.4%
Energy	5.2%
Materials	5.8%
Real Estate	7.2%
Health Care	10.3%
Information Technology	12.9%
Consumer Discretionary	14.2%
Industrials	17.3%
Financials	18.2%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

INDEX 600 STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

HIGH YIELD BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the High Yield Bond Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
High Yield Bond Portfolio	$23	0.46%

Fund Statistics

• Total Net Assets (000's)$677,148
• # of Portfolio Holdings (Derivatives not included as applicable)523
• Portfolio Turnover Rate14%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Ford Motor Credit Co. LLC, Various	2.3%
CCO Holdings LLC / CCO Holdings Capital Corp., Various	1.9%
HUB International, Ltd., Various	1.7%
TransDigm, Inc., Various	1.6%
Tenet Healthcare Corp., Various	1.1%
CSC Holdings LLC, Various	1.1%
EQM Midstream Partners LP, Various	1.1%
Medline Borrower LP, Various	1.1%
Garda World Security Corp., Various	1.1%
Clarios Global LP / Clarios US Finance Co., Various	1.0%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	4.8%
Diversified	0.2%
Utilities	2.4%
Basic Materials	3.3%
Technology	10.5%
Energy	10.6%
Financial	10.9%
Communications	11.8%
Consumer, Non-Cyclical	12.7%
Industrial	13.0%
Consumer, Cyclical	19.8%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

HIGH YIELD BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

MID CAP GROWTH STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Mid Cap Growth Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Mid Cap Growth Stock Portfolio	$27	0.54%

Fund Statistics

• Total Net Assets (000's)$1,014,798
• # of Portfolio Holdings (Derivatives not included as applicable)93
• Portfolio Turnover Rate38%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Datadog, Inc. - Class  A	2.8%
CyberArk Software, Ltd.	2.3%
Targa Resources Corp.	2.3%
DraftKings, Inc. - Class A	2.3%
Monolithic Power Systems, Inc.	2.3%
PTC, Inc.	2.0%
WEX, Inc.	2.0%
Dexcom, Inc.	2.0%
NVR, Inc.	1.9%
Fair Isaac Corp.	1.8%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	-%
Materials	1.0%
Real Estate	1.1%
Communication Services	2.5%
Utilities	2.8%
Consumer Staples	3.1%
Energy	3.8%
Financials	11.3%
Consumer Discretionary	14.7%
Industrials	16.0%
Health Care	18.3%
Information Technology	25.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

MID CAP GROWTH STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

SELECT BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Select Bond Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Select Bond Portfolio	$15	0.31%

Fund Statistics

• Total Net Assets (000's)$2,806,791
• # of Portfolio Holdings (Derivatives not included as applicable)1,029
• Portfolio Turnover Rate128%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

US Treasury, Various	21.8%
Federal National Mortgage Association, Various	18.0%
Federal Home Loan Mortgage Corp., Various	4.5%
Uniform Mortgage Backed Security TBA, Various	1.8%
Government National Mortgage Association, Various	1.5%
Government National Mortgage Association TBA, 6.5%,  7/15/54	1.3%
Wells Fargo & Co., Various	1.0%
John Deere Capital Corp., Various	0.9%
Morgan Stanley, Various	0.9%
Bank of America Corp., Various	0.8%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	- 1.8%
Municipal Bonds	0.3%
Governments	23.3%
Corporate Bonds	25.8%
Structured Products	52.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

SELECT BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

INTERNATIONAL EQUITY PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the International Equity Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
International Equity Portfolio	$34	0.68%

Fund Statistics

• Total Net Assets (000's)$1,901,407
• # of Portfolio Holdings (Derivatives not included as applicable)81
• Portfolio Turnover Rate12%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Novartis AG	3.3%
Sanofi	3.1%
BNP Paribas SA	3.1%
Holcim, Ltd.	3.0%
Banco Santander SA	3.0%
Johnson Controls International PLC	3.0%
GSK PLC	2.8%
TotalEnergies SE	2.7%
UBS Group AG	2.6%
Taiwan Semiconductor Manufacturing Co., Ltd.	2.4%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.0%
Real Estate	1.4%
Communication Services	4.4%
Energy	6.6%
Information Technology	7.5%
Consumer Staples	8.1%
Industrials	9.5%
Materials	11.3%
Consumer Discretionary	11.9%
Health Care	14.1%
Financials	23.2%

Country Weightings (% of net assets)

Value	Value
Other	29.2%
Switzerland	5.9%
Germany	6.8%
China	7.4%
France	7.4%
Japan	7.7%
United Kingdom	11.2%
United States	24.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

INTERNATIONAL EQUITY PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

MID CAP VALUE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Mid Cap Value Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Mid Cap Value Portfolio	$36	0.72%

Fund Statistics

• Total Net Assets (000's)$623,462
• # of Portfolio Holdings (Derivatives not included as applicable)101
• Portfolio Turnover Rate29%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Zimmer Biomet Holdings, Inc.	3.0%
The Bank of New York Mellon Corp.	2.2%
Conagra Brands, Inc.	2.1%
Enterprise Products Partners LP	2.0%
Henry Schein, Inc.	1.9%
Northern Trust Corp.	1.9%
Koninklijke Ahold Delhaize NV	1.9%
Willis Towers Watson PLC	1.9%
Edison International	1.8%
Quest Diagnostics, Inc.	1.8%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.0%
Communication Services	1.5%
Consumer Discretionary	3.7%
Materials	4.2%
Real Estate	5.8%
Energy	6.0%
Information Technology	7.1%
Consumer Staples	11.3%
Utilities	12.0%
Industrials	14.1%
Health Care	14.8%
Financials	17.5%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

MID CAP VALUE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

GROWTH STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Growth Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Growth Stock Portfolio	$21	0.42%

Fund Statistics

• Total Net Assets (000's)$1,295,455
• # of Portfolio Holdings (Derivatives not included as applicable)75
• Portfolio Turnover Rate4%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

NVIDIA Corp.	13.5%
Microsoft Corp.	10.0%
Amazon.com, Inc.	9.0%
Alphabet, Inc., Various	8.6%
Apple, Inc.	7.7%
Meta Platforms, Inc. - Class  A	4.8%
Eli Lilly & Co.	4.0%
Visa, Inc. - Class A	2.8%
Mastercard, Inc. - Class A	2.4%
ServiceNow, Inc.	2.2%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	0.5%
Energy	0.3%
Utilities	0.7%
Materials	0.8%
Consumer Staples	1.5%
Industrials	1.8%
Financials	8.8%
Health Care	11.3%
Consumer Discretionary	15.1%
Communication Services	16.5%
Information Technology	42.7%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

GROWTH STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

INFLATION PROTECTION PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Inflation Protection Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Inflation Protection Portfolio	$22	0.45%

Fund Statistics

• Total Net Assets (000's)$411,975
• # of Portfolio Holdings (Derivatives not included as applicable)122
• Portfolio Turnover Rate22%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

US Treasury Inflation Index Bond, Various	54.0%
Federal National Mortgage Association, Various	8.3%
Federal Home Loan Mortgage Corp., Various	4.9%
Canadian Government Bond, Various	3.7%
Barton Capital Corp.	2.8%
Government National Mortgage Association, Various	2.6%
LMA SA / LMA Americas LLC, Various	2.2%
Chevron Corp.	1.8%
Deutsche Bundesrepublik Inflation Linked Bond, 0.1%,  4/15/26	1.7%
Tennessee Valley Authority, Various	1.6%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	8.7%
Municipal Bonds	0.4%
Corporate Bonds	6.1%
Structured Products	15.7%
Governments	69.1%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

INFLATION PROTECTION PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

FOCUSED APPRECIATION PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Focused Appreciation Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Focused Appreciation Portfolio	$31	0.61%

Fund Statistics

• Total Net Assets (000's)$1,379,557
• # of Portfolio Holdings (Derivatives not included as applicable)37
• Portfolio Turnover Rate6%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

NVIDIA Corp.	7.9%
Meta Platforms, Inc. - Class A	7.3%
Alphabet, Inc., Various	6.9%
Amazon.com, Inc.	6.0%
Tesla, Inc.	5.9%
Microsoft Corp.	5.2%
Netflix, Inc.	5.2%
The Boeing Co.	4.9%
Visa, Inc. - Class A	4.8%
Oracle Corp.	4.8%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.8%
Consumer Staples	2.3%
Industrials	6.8%
Financials	8.7%
Health Care	13.4%
Consumer Discretionary	15.3%
Communication Services	22.3%
Information Technology	28.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

FOCUSED APPRECIATION PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

LARGE CAP CORE STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Large Cap Core Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Large Cap Core Stock Portfolio	$22	0.43%

Fund Statistics

• Total Net Assets (000's)$735,095
• # of Portfolio Holdings (Derivatives not included as applicable)127
• Portfolio Turnover Rate32%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Microsoft Corp.	6.5%
Apple, Inc.	6.4%
Amazon.com, Inc.	5.5%
Alphabet, Inc. - Class A	5.2%
NVIDIA Corp.	4.9%
Eli Lilly & Co.	2.1%
Exxon Mobil Corp.	2.1%
Adobe, Inc.	1.9%
The TJX Cos., Inc.	1.9%
Berkshire Hathaway, Inc. - Class B	1.8%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	0.5%
Real Estate	1.5%
Materials	2.1%
Utilities	2.5%
Consumer Staples	3.6%
Energy	4.8%
Industrials	8.0%
Communication Services	9.9%
Consumer Discretionary	11.4%
Financials	13.0%
Health Care	13.3%
Information Technology	29.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

LARGE CAP CORE STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

INTERNATIONAL GROWTH PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the International Growth Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
International Growth Portfolio	$31	0.61%

Fund Statistics

• Total Net Assets (000's)$1,058,591
• # of Portfolio Holdings (Derivatives not included as applicable)69
• Portfolio Turnover Rate11%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

ASML Holding NV	7.8%
Novo Nordisk A/S - Class B	6.5%
SAP SE	4.4%
Linde PLC	3.9%
Safran SA	3.7%
Atlas Copco AB - Class A	3.7%
LVMH Moet Hennessy Louis Vuitton SE	3.5%
Taiwan Semiconductor Manufacturing Co., Ltd.	3.4%
CRH PLC	3.0%
Keyence Corp.	2.9%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.9%
Communication Services	0.3%
Energy	0.7%
Consumer Staples	1.9%
Health Care	7.4%
Materials	9.2%
Consumer Discretionary	9.7%
Financials	14.5%
Information Technology	24.1%
Industrials	29.3%

Country Weightings (% of net assets)

Value	Value
Other	13.7%
Germany	5.5%
Denmark	6.5%
Sweden	7.3%
Japan	9.0%
United Kingdom	9.2%
Netherlands	9.3%
France	12.0%
United States	27.5%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

INTERNATIONAL GROWTH PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

SHORT-TERM BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Short-Term Bond Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Short-Term Bond Portfolio	$19	0.39%

Fund Statistics

• Total Net Assets (000's)$383,135
• # of Portfolio Holdings (Derivatives not included as applicable)799
• Portfolio Turnover Rate57%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

US Treasury, Various	22.6%
Federal National Mortgage Association, Various	3.1%
Federal Home Loan Mortgage Corp., Various	1.2%
US Treasury Inflation Index Bond, 2.375%,  10/15/28	1.0%
AbbVie, Inc., Various	0.9%
Crown Castle, Inc., Various	0.9%
Government National Mortgage Association, Various	0.7%
JPMorgan Chase & Co., Various	0.6%
The Goldman Sachs Group, Inc., Various	0.6%
VF Corp., Various	0.6%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.3%
Governments	24.4%
Structured Products	29.4%
Corporate Bonds	43.9%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

SHORT-TERM BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

EQUITY INCOME PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Equity Income Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Equity Income Portfolio	$28	0.57%

Fund Statistics

• Total Net Assets (000's)$726,329
• # of Portfolio Holdings (Derivatives not included as applicable)114
• Portfolio Turnover Rate11%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Elevance Health, Inc.	2.7%
QUALCOMM, Inc.	2.4%
News Corp., Various	2.3%
Wells Fargo & Co.	2.3%
TotalEnergies SE, ADR	2.3%
The Southern Co.	2.2%
Chubb, Ltd.	2.0%
American International Group, Inc.	2.0%
MetLife, Inc.	1.8%
General Electric Co.	1.8%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	1.2%
Materials	3.0%
Consumer Discretionary	3.0%
Real Estate	4.2%
Communication Services	4.5%
Utilities	6.0%
Consumer Staples	8.6%
Energy	8.9%
Information Technology	11.1%
Industrials	12.5%
Health Care	16.5%
Financials	20.5%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

EQUITY INCOME PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

INDEX 400 STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Index 400 Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Index 400 Stock Portfolio	$12	0.25%

Fund Statistics

• Total Net Assets (000's)$1,334,984
• # of Portfolio Holdings (Derivatives not included as applicable)401
• Portfolio Turnover Rate9%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Pure Storage, Inc.	0.7%
Carlisle Cos., Inc.	0.7%
Williams-Sonoma, Inc.	0.7%
EMCOR Group, Inc.	0.6%
Lennox International, Inc.	0.6%
Illumina, Inc.	0.6%
Reliance, Inc.	0.6%
BioMarin Pharmaceutical, Inc.	0.6%
Burlington Stores, Inc.	0.6%
Manhattan Associates, Inc.	0.6%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	1.0%
Communication Services	1.5%
Utilities	2.5%
Consumer Staples	4.6%
Energy	5.9%
Materials	6.5%
Real Estate	7.0%
Health Care	9.2%
Information Technology	9.4%
Consumer Discretionary	14.6%
Financials	15.7%
Industrials	22.1%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

INDEX 400 STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

RESEARCH INTERNATIONAL CORE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Research International Core Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Research International Core Portfolio	$36	0.73%

Fund Statistics

• Total Net Assets (000's)$862,998
• # of Portfolio Holdings (Derivatives not included as applicable)109
• Portfolio Turnover Rate6%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Novo Nordisk A/S - Class B	3.9%
Schneider Electric SE	3.6%
Linde PLC	3.2%
Hitachi, Ltd.	2.8%
Roche Holding AG	2.5%
LVMH Moet Hennessy Louis Vuitton SE	2.3%
Nestle SA	2.2%
NatWest Group PLC	1.9%
TotalEnergies SE	1.7%
Euronext NV	1.6%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	1.9%
Real Estate	1.1%
Communication Services	2.5%
Utilities	2.5%
Energy	5.1%
Consumer Staples	6.8%
Materials	9.2%
Consumer Discretionary	9.4%
Information Technology	10.4%
Health Care	12.7%
Industrials	18.5%
Financials	19.9%

Country Weightings (% of net assets)

Value	Value
Other	26.6%
Netherlands	5.3%
Switzerland	5.5%
Germany	5.6%
France	8.1%
United Kingdom	9.8%
Japan	19.1%
United States	20.0%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

RESEARCH INTERNATIONAL CORE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

LONG-TERM U.S. GOVERNMENT BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Long-Term U.S. Government Bond Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Long-Term U.S. Government Bond Portfolio	$129	2.60%

Fund Statistics

• Total Net Assets (000's)$115,452
• # of Portfolio Holdings (Derivatives not included as applicable)99
• Portfolio Turnover Rate10%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

US Treasury, Various	114.3%
Citigroup Global Markets, Inc. Repurchase Agreement, Various	17.8%
Uniform Mortgage Backed Security TBA, Various	10.0%
BNP Paribas SA Repurchase Agreement, 5.4%,  7/1/24	10.0%
Deutsche Bank AG Repurchase Agreement, 5.41%,  7/1/24	8.0%
US Treasury Inflation Index Bond, Various	7.9%
Resolution Funding Corp. Stripped, Various	3.5%
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3%,  8/15/32	1.8%
Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4%,  9/15/44	1.7%
Federal National Mortgage Association, Various	1.6%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	- 48.3%
Corporate Bonds	0.3%
Structured Products	22.5%
Governments	125.5%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

LONG-TERM U.S. GOVERNMENT BOND PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

LARGE COMPANY VALUE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Large Company Value Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Large Company Value Portfolio	$37	0.74%

Fund Statistics

• Total Net Assets (000's)$148,378
• # of Portfolio Holdings (Derivatives not included as applicable)74
• Portfolio Turnover Rate21%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Johnson & Johnson	4.5%
Medtronic PLC	4.2%
Zimmer Biomet Holdings, Inc.	3.6%
JPMorgan Chase & Co.	3.2%
Exxon Mobil Corp.	2.6%
Duke Energy Corp.	2.5%
Norfolk Southern Corp.	2.3%
United Parcel Service, Inc. - Class B	2.3%
The Bank of New York Mellon Corp.	2.2%
Analog Devices, Inc.	2.0%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.0%
Consumer Discretionary	1.2%
Real Estate	1.5%
Communication Services	3.2%
Materials	3.5%
Utilities	6.5%
Energy	8.1%
Information Technology	9.2%
Industrials	11.1%
Consumer Staples	13.1%
Financials	19.2%
Health Care	21.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

LARGE COMPANY VALUE PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

SMALL CAP GROWTH STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Small Cap Growth Stock Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Small Cap Growth Stock Portfolio	$28	0.56%

Fund Statistics

• Total Net Assets (000's)$708,949
• # of Portfolio Holdings (Derivatives not included as applicable)152
• Portfolio Turnover Rate31%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

FTAI Aviation, Ltd.	2.2%
Fabrinet	1.7%
Ensign Group, Inc.	1.6%
Verra Mobility Corp.	1.5%
Applied Industrial Technologies, Inc.	1.4%
SPX Technologies, Inc.	1.3%
Cabot Corp.	1.3%
Fluor Corp.	1.3%
Haemonetics Corp.	1.2%
Chart Industries, Inc.	1.2%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	0.9%
Communication Services	0.6%
Investment Companies	1.0%
Real Estate	2.1%
Consumer Staples	3.5%
Energy	3.8%
Materials	4.5%
Financials	6.2%
Consumer Discretionary	12.2%
Industrials	19.8%
Information Technology	21.1%
Health Care	24.3%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

SMALL CAP GROWTH STOCK PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

EMERGING MARKETS EQUITY PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Emerging Markets Equity Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Emerging Markets Equity Portfolio	$45	0.90%

Fund Statistics

• Total Net Assets (000's)$1,057,373
• # of Portfolio Holdings (Derivatives not included as applicable)68
• Portfolio Turnover Rate18%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Taiwan Semiconductor Manufacturing Co., Ltd.	13.3%
Samsung Electronics Co., Ltd., Various	6.9%
Tencent Holdings, Ltd.	6.9%
Alibaba Group Holding, Ltd.	3.4%
Power Grid Corp. of India, Ltd.	2.9%
HDFC Bank, Ltd.	2.7%
MediaTek, Inc.	2.2%
Kaspi.KZ Joint Stock Co., ADR	2.1%
Southern Copper Corp.	2.1%
SBI Life Insurance Co., Ltd.	1.9%

Sector Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	0.1%
Health Care	1.5%
Real Estate	2.4%
Utilities	2.9%
Energy	3.4%
Materials	4.8%
Consumer Staples	5.1%
Industrials	8.4%
Communication Services	9.1%
Consumer Discretionary	11.0%
Financials	20.4%
Information Technology	30.9%

Country Weightings (% of net assets)

Value	Value
Other	20.3%
Mexico	6.3%
South Korea	11.4%
Taiwan	19.0%
India	20.0%
China	23.0%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

EMERGING MARKETS EQUITY PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

BALANCED PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Balanced Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Balanced Portfolio	$4	0.08%

Fund Statistics

• Total Net Assets (000's)$1,938,320
• # of Portfolio Holdings (Derivatives not included as applicable)24
• Portfolio Turnover Rate22%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Northwestern Mutual Series Fund, Inc., Select Bond Portfolio	28.3%
iShares Core U.S. Aggregate Bond ETF	11.0%
Northwestern Mutual Series Fund, Inc., Multi-Sector Bond Portfolio	7.6%
iShares Core S&P 500 ETF	7.1%
SPDR Portfolio Long Term Treasury ETF	4.9%
Northwestern Mutual Series Fund, Inc., International Growth Portfolio	3.9%
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio	3.8%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio	3.7%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio	2.8%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio	2.8%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	2.9%
Commodities	0.9%
Foreign Equity	14.0%
Domestic Equity	29.2%
Fixed Income	53.0%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

BALANCED PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

ASSET ALLOCATION PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Asset Allocation Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Asset Allocation Portfolio	$6	0.12%

Fund Statistics

• Total Net Assets (000's)$274,433
• # of Portfolio Holdings (Derivatives not included as applicable)24
• Portfolio Turnover Rate18%

What did the Fund invest in? (Derivatives not included as applicable)

Top Ten Holdings (% of net assets)

Northwestern Mutual Series Fund, Inc., Select Bond Portfolio	16.5%
iShares Core S&P 500 ETF	12.3%
iShares Core U.S. Aggregate Bond ETF	9.2%
Northwestern Mutual Series Fund, Inc., International Growth Portfolio	5.6%
Northwestern Mutual Series Fund, Inc., International Equity Portfolio	5.4%
Northwestern Mutual Series Fund, Inc., Multi-Sector Bond Portfolio	5.1%
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio	4.7%
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio	4.7%
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio	4.6%
iShares Core MSCI EAFE ETF	4.5%

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	3.2%
Commodities	1.0%
Foreign Equity	19.8%
Fixed Income	33.8%
Domestic Equity	42.2%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

ASSET ALLOCATION PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

GOVERNMENT MONEY MARKET PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

This semi-annual shareholder report contains important information about the Government Money Market Portfolio Fund for the period of 1/1/2024 to 6/30/2024.  You can find additional information about the fund at www.nmseriesfund.com . You can also request this information by contacting us at 1-888-455-2232 or by email at vavldocrequest@northwesternmutual.com. 

What were the Fund's costs for the past six months?

(based on a hypothetical $10,000 investment) 

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Government Money Market Portfolio	$16	0.33%

Fund Statistics

• Total Net Assets (000's)$521,330
• # of Portfolio Holdings (Derivatives not included as applicable)101

What did the Fund invest in? (Derivatives not included as applicable)

Asset Type Weightings (% of net assets)

Value	Value
Short-Term Investments & Other Net Assets	- 0.1%
Repurchase Agreements	43.7%
US Government & Agencies	56.4%

Changes in or Disagreements with Accountants

There were no changes in or disagreements with accountants.

Additional Information

If you wish to view additional information about the Fund; including but not limited to prospectus, financial statements, holdings, or proxy voting information, please visit www.nmseriesfund.com 

GOVERNMENT MONEY MARKET PORTFOLIO

June 30, 2024

SEMI-ANNUAL SHAREHOLDER REPORT

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

(b)   Not applicable.

Item 2.                        Code of Ethics.

Not applicable to semi-annual reports.

Item 3.                        Audit Committee Financial Expert.

Not applicable to semi-annual reports.

Item 4.                        Principal Accountant Fees and Services.

Not applicable to semi-annual reports.

Item 5.                        Audit Committee of Listed Registrants.

                        Not applicable to semi-annual reports.

Item 6.                        Investments.

                                Full Schedule of Investments is included in Item 7.

Item 7.            Financial Statements and Financial Highlights for Open-End Management Investment Companies.

(a)

Semi-Annual

Financial

Statements

and

Other

Information

June

30,

2024

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

Northwestern

Mutual

Series

Fund,

Inc.

Table

of

Contents

Schedules

of

Investments:

Growth

Stock

Portfolio

.............................................................................

3

Focused

Appreciation

Portfolio

......................................................................

5

Large

Cap

Core

Stock

Portfolio

......................................................................

6

Large

Cap

Blend

Portfolio

...........................................................................

9

Index

500

Stock

Portfolio

...........................................................................

11

Large

Company

Value

Portfolio

......................................................................

17

Domestic

Equity

Portfolio

...........................................................................

19

Equity

Income

Portfolio

............................................................................

20

Mid

Cap

Growth

Stock

Portfolio

.....................................................................

22

Index

400

Stock

Portfolio

...........................................................................

24

Mid

Cap

Value

Portfolio

............................................................................

29

Small

Cap

Growth

Stock

Portfolio

....................................................................

32

Index

600

Stock

Portfolio

...........................................................................

35

Small

Cap

Value

Portfolio

...........................................................................

42

International

Growth

Portfolio

......................................................................

45

Research

International

Core

Portfolio

................................................................

47

International

Equity

Portfolio

.......................................................................

50

Emerging

Markets

Equity

Portfolio

...................................................................

54

Government

Money

Market

Portfolio

................................................................

56

Short-Term

Bond

Portfolio

..........................................................................

59

Select

Bond

Portfolio

...............................................................................

76

Long-Term

U.S.

Government

Bond

Portfolio

...........................................................

95

Inflation

Protection

Portfolio

........................................................................

99

High

Yield

Bond

Portfolio

...........................................................................

105

Multi-Sector

Bond

Portfolio

.........................................................................

113

Balanced

Portfolio

.................................................................................

140

Asset

Allocation

Portfolio

...........................................................................

142

Statements

of

Assets

and

Liabilities

.......................................................................

144

Statements

of

Operations

...............................................................................

150

Statements

of

Changes

in

Net

Assets

.....................................................................

156

Statement

of

Cash

Flows

................................................................................

165

Financial

Highlights

.....................................................................................

166

Notes

to

Financial

Statements

...........................................................................

173

Abbreviations

..........................................................................................

197

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

..............................

198

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

3

Growth

Stock

Portfolio

Common

Stocks

(

99

.5

%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

16

.5

%

)

Alphabet,

Inc.

-

Class

A 

90,053‌

16,403‌

Alphabet,

Inc.

-

Class

C 

518,516‌

95,106‌

Meta

Platforms,

Inc.

-

Class

 A 

124,060‌

62,554‌

Netflix,

Inc. *

36,044‌

24,325‌

Sea,

Ltd.,

ADR *

49,763‌

3,554‌

T-Mobile

US,

Inc. 

69,858‌

12,308‌

Total

214,250‌

Consumer

Discretionary

(

15

.1

%

)

Amazon.com,

Inc. *

603,006‌

116,531‌

Booking

Holdings,

Inc. 

2,911‌

11,532‌

Carvana

Co. *

99,822‌

12,849‌

Chipotle

Mexican

Grill,

Inc. *

229,750‌

14,394‌

DoorDash,

Inc.

-

Class

 A *

35,903‌

3,905‌

Lululemon

Athletica,

Inc. *

7,588‌

2,266‌

NIKE,

Inc.

-

Class

B 

25,672‌

1,935‌

Ross

Stores,

Inc. 

45,407‌

6,599‌

Tesla,

Inc. *

97,115‌

19,217‌

The

TJX

Cos.,

Inc. 

53,931‌

5,938‌

Total

195,166‌

Consumer

Staples

(

1

.5

%

)

Colgate-Palmolive

Co. 

55,000‌

5,337‌

Dollar

General

Corp. 

51,045‌

6,750‌

Mondelez

International,

Inc. 

41,200‌

2,696‌

The

Procter

&

Gamble

Co. 

24,900‌

4,107‌

Total

18,890‌

Energy

(

0

.3

%

)

Schlumberger,

Ltd. 

76,496‌

3,609‌

Total

3,609‌

Financials

(

8

.8

%

)

Adyen

NV *

196,321‌

2,330‌

The

Charles

Schwab

Corp. 

66,421‌

4,895‌

Chubb,

Ltd. 

53,750‌

13,710‌

Fiserv,

Inc. *

18,694‌

2,786‌

The

Goldman

Sachs

Group,

Inc. 

11,858‌

5,364‌

Marsh

&

McLennan

Cos.,

Inc. 

28,919‌

6,094‌

Mastercard,

Inc.

-

Class

A 

69,539‌

30,678‌

Morgan

Stanley 

56,519‌

5,493‌

MSCI,

Inc. 

1,832‌

883‌

S&P

Global,

Inc. 

12,062‌

5,380‌

Visa,

Inc.

-

Class

A 

140,041‌

36,756‌

Total

114,369‌

Common

Stocks

(99.5%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

(

11

.3

%

)

AstraZeneca

PLC,

ADR 

37,214‌

2,902‌

Danaher

Corp. 

42,559‌

10,633‌

Elevance

Health,

Inc. 

9,542‌

5,170‌

Eli

Lilly

&

Co. 

57,673‌

52,216‌

Humana,

Inc. 

14,819‌

5,537‌

Intuitive

Surgical,

Inc. *

47,361‌

21,069‌

Stryker

Corp. 

21,878‌

7,444‌

Thermo

Fisher

Scientific,

Inc. 

18,526‌

10,245‌

UnitedHealth

Group,

Inc. 

51,898‌

26,430‌

Zoetis,

Inc. 

29,727‌

5,154‌

Total

146,800‌

Industrials

(

1

.8

%

)

Cintas

Corp. 

4,257‌

2,981‌

GE

Vernova,

Inc. *

12,260‌

2,103‌

General

Electric

Co. 

57,042‌

9,068‌

Old

Dominion

Freight

Line,

Inc. 

23,008‌

4,063‌

TransDigm

Group,

Inc. 

3,231‌

4,128‌

Veralto

Corp. 

10,635‌

1,015‌

Total

23,358‌

Information

Technology

(

42

.7

%

)

Advanced

Micro

Devices,

Inc. *

52,890‌

8,579‌

Apple,

Inc. 

474,049‌

99,844‌

ASML

Holding

NV 

16,931‌

17,316‌

Atlassian

Corp.

-

Class A *

16,506‌

2,920‌

BILL

Holdings,

Inc. *

29,951‌

1,576‌

Broadcom,

Inc. 

3,500‌

5,619‌

Confluent,

Inc.

-

Class A *

48,492‌

1,432‌

CrowdStrike

Holdings,

Inc.

-

Class A *

10,871‌

4,166‌

Datadog,

Inc.

-

Class A *

17,318‌

2,246‌

Fortinet,

Inc. *

10,910‌

657‌

Intuit,

Inc. 

20,005‌

13,147‌

Lam

Research

Corp. 

3,313‌

3,528‌

Microsoft

Corp. 

290,699‌

129,928‌

MongoDB,

Inc. *

15,951‌

3,987‌

Monolithic

Power

Systems,

Inc. 

10,320‌

8,480‌

NVIDIA

Corp. 

1,412,570‌

174,509‌

Roper

Technologies,

Inc. 

14,886‌

8,391‌

ServiceNow,

Inc. *

35,646‌

28,042‌

Shopify,

Inc.

-

Class A *

106,987‌

7,066‌

Snowflake,

Inc. *

11,228‌

1,517‌

Synopsys,

Inc. *

26,176‌

15,576‌

Common

Stocks

(99.5%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Taiwan

Semiconductor

Manufacturing

Co.,

Ltd.,

ADR 

35,906‌

6,241‌

TE

Connectivity,

Ltd. 

38,836‌

5,842‌

Texas

Instruments,

Inc. 

10,173‌

1,979‌

Total

552,588‌

Materials

(

0

.8

%

)

Linde

PLC 

12,788‌

5,611‌

The

Sherwin-Williams

Co. 

16,271‌

4,856‌

Total

10,467‌

Utilities

(

0

.7

%

)

Constellation

Energy

Corp. 

47,502‌

9,513‌

Total

9,513‌

Total

Common

Stocks

(Cost: $634,862)

1,289,010

Total

Investments

(99.5%)

(Cost:

$634,862)

@

1,289,010

Other

Assets,

Less

Liabilities (0.5%)

6,445

Net

Assets

(100.0%)

1,295,455

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

4

Growth

Stock

Portfolio

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$634,862

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$654,148

which

is

comprised

of

$684,922

aggregate

gross

unrealized

appreciation

and

$30,774

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

1,289,010‌

$

—‌

$

—‌

Total

Assets:

$

1,289,010‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

5

Focused

Appreciation

Portfolio

Common

Stocks

(

97

.2

%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

22

.3

%

)

Alphabet,

Inc.

-

Class

A 

368,300

67,086

Alphabet,

Inc.

-

Class

C 

156,720

28,746

Meta

Platforms,

Inc.

-

Class

A 

200,549

101,121

Netflix,

Inc. *

106,353

71,775

The

Walt

Disney

Co. 

389,870

38,710

Total

307,438

Consumer

Discretionary

(

15

.3

%

)

Alibaba

Group

Holding,

Ltd.,

ADR 

127,057

9,148

Amazon.com,

Inc. *

428,686

82,844

Starbucks

Corp. 

258,727

20,142

Tesla,

Inc. *

412,089

81,544

Yum

China

Holdings,

Inc. 

124,215

3,831

Yum!

Brands,

Inc. 

106,163

14,062

Total

211,571

Consumer

Staples

(

2

.3

%

)

Monster

Beverage

Corp. *

639,491

31,942

Total

31,942

Common

Stocks

(97.2%)

Shares/

Par

+

Value

$

(000’s)

Financials

(

8

.7

%

)

Block,

Inc.

-

Class

A *

195,017

12,577

FactSet

Research

Systems,

Inc. 

40,419

16,502

PayPal

Holdings,

Inc. *

176,862

10,263

SEI

Investments

Co. 

230,244

14,894

Visa,

Inc.

-

Class

A 

251,018

65,885

Total

120,121

Health

Care

(

13

.4

%

)

GRAIL,

Inc. *

19,157

294

Illumina,

Inc. *

113,983

11,898

Intuitive

Surgical,

Inc. *

46,834

20,834

Novartis

AG,

ADR 

153,412

16,332

Novo

Nordisk

A/S,

ADR 

230,615

32,918

Regeneron

Pharmaceuticals,

Inc. *

30,266

31,811

Roche

Holding

AG,

ADR 

348,985

12,099

Thermo

Fisher

Scientific,

Inc. 

35,714

19,750

Vertex

Pharmaceuticals,

Inc. *

81,379

38,144

Total

184,080

Common

Stocks

(97.2%)

Shares/

Par

+

Value

$

(000’s)

Industrials

(

6

.8

%

)

The

Boeing

Co. *

372,834

67,860

Deere

&

Co. 

18,917

7,068

Expeditors

International

of

Washington,

Inc. 

153,397

19,142

Total

94,070

Information

Technology

(

28

.4

%

)

Autodesk,

Inc. *

154,706

38,282

Microsoft

Corp. 

161,200

72,048

NVIDIA

Corp. 

887,060

109,587

Oracle

Corp. 

465,131

65,677

QUALCOMM,

Inc. 

148,501

29,579

Salesforce,

Inc. 

155,318

39,932

Shopify,

Inc.

-

Class

A *

375,664

24,813

Workday,

Inc.

-     

Class

A *

53,902

12,050

Total

391,968

Total

Common

Stocks

(Cost: $708,199)

1,341,190

Total

Investments

(97.2%)

(Cost:

$708,199)

@

1,341,190

Other

Assets,

Less

Liabilities (2.8%)

38,367

Net

Assets

(100.0%)

1,379,557

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$708,199

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$632,991

which

is

comprised

of

$683,974

aggregate

gross

unrealized

appreciation

and

$50,983

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

1,341,190

$

—

$

—

Total

Assets:

$

1,341,190

$

—

$

—

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

6

Large

Cap

Core

Stock

Portfolio

Common

Stocks

(

99.5%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(9.9%)

Alphabet,

Inc.

-

Class

 A 

210,401‌

38,325‌

Meta

Platforms,

Inc.

-

Class

 A 

21,991‌

11,088‌

Netflix,

Inc. *

10,574‌

7,136‌

Omnicom

Group,

Inc. 

51,750‌

4,642‌

Spotify

Technology

SA *

7,759‌

2,435‌

T-Mobile

US,

Inc. 

50,893‌

8,966‌

Total

72,592‌

Consumer

Discretionary

(11.4%)

Amazon.com,

Inc. *

208,170‌

40,229‌

AutoZone,

Inc. *

975‌

2,890‌

Chipotle

Mexican

Grill,

Inc. *

141,550‌

8,868‌

Domino's

Pizza,

Inc. 

4,960‌

2,561‌

DoorDash,

Inc.

-

Class

 A *

40,623‌

4,419‌

Lennar

Corp.

-

Class

A 

11,957‌

1,792‌

Marriott

International,

Inc.

-

Class

A 

20,182‌

4,879‌

Pool

Corp. 

14,015‌

4,307‌

The

TJX

Cos.,

Inc. 

128,517‌

14,150‌

Total

84,095‌

Consumer

Staples

(3.6%)

Church

&

Dwight

Co.,

Inc. 

17,575‌

1,822‌

Constellation

Brands,

Inc.

-

Class

A 

11,254‌

2,895‌

Haleon

PLC 

251,938‌

2,081‌

Keurig

Dr.

Pepper,

Inc. 

49,285‌

1,646‌

Mondelez

International,

Inc. 

10,383‌

680‌

Philip

Morris

International,

Inc. 

39,971‌

4,050‌

The

Procter

&

Gamble

Co. 

50,817‌

8,381‌

Unilever

PLC,

ADR 

65,347‌

3,594‌

US

Foods

Holding

Corp. *

19,864‌

1,052‌

Total

26,201‌

Energy

(4.8%)

EQT

Corp. 

34,900‌

1,291‌

Exxon

Mobil

Corp. 

130,862‌

15,065‌

Marathon

Petroleum

Corp. 

28,719‌

4,982‌

Schlumberger,

Ltd. 

39,434‌

1,860‌

Shell

PLC 

120,087‌

8,668‌

Targa

Resources

Corp. 

24,775‌

3,191‌

Total

35,057‌

Common

Stocks

(99.5%)

Shares/

Par

+

Value

$

(000’s)

Financials

(13.0%)

American

Express

Co. 

31,056‌

7,191‌

American

International

Group,

Inc. 

59,705‌

4,432‌

Arch

Capital

Group,

Ltd. *

37,965‌

3,830‌

Ares

Management

Corp.

-

Class

A 

61,174‌

8,153‌

Berkshire

Hathaway,

Inc.

-

Class

B *

31,693‌

12,893‌

Block,

Inc.

-

Class

A *

63,401‌

4,089‌

Corpay,

Inc. *

11,498‌

3,063‌

Everest

Re

Group,

Ltd. 

13,203‌

5,031‌

Global

Payments,

Inc. 

23,600‌

2,282‌

JPMorgan

Chase

&

Co. 

55,451‌

11,216‌

KKR

&

Co.,

Inc. 

57,608‌

6,063‌

Marsh

&

McLennan

Cos.,

Inc. 

11,464‌

2,416‌

PayPal

Holdings,

Inc. *

55,559‌

3,224‌

The

Progressive

Corp. 

20,178‌

4,191‌

S&P

Global,

Inc. 

9,675‌

4,315‌

Visa,

Inc.

-

Class

A 

17,235‌

4,524‌

Wells

Fargo

&

Co. 

143,951‌

8,549‌

Total

95,462‌

Health

Care

(13.3%)

AbbVie,

Inc. 

37,975‌

6,513‌

Agilent

Technologies,

Inc. 

14,117‌

1,830‌

Alnylam

Pharmaceuticals,

Inc. *

3,862‌

938‌

Amgen,

Inc. 

1,407‌

440‌

AstraZeneca

PLC,

ADR 

26,592‌

2,074‌

Biogen,

Inc. *

3,839‌

890‌

Boston

Scientific

Corp. *

76,157‌

5,865‌

Cencora,

Inc. 

18,500‌

4,168‌

Centene

Corp. *

27,396‌

1,816‌

Danaher

Corp. 

18,634‌

4,656‌

Dexcom,

Inc. *

31,452‌

3,566‌

Edwards

Lifesciences

Corp. *

40,902‌

3,778‌

Elevance

Health,

Inc. 

5,907‌

3,201‌

Eli

Lilly

&

Co. 

17,000‌

15,391‌

Gilead

Sciences,

Inc. 

7,124‌

489‌

GSK

PLC,

ADR 

78,601‌

3,026‌

HCA

Healthcare,

Inc. 

8,447‌

2,714‌

Humana,

Inc. 

4,349‌

1,625‌

Intuitive

Surgical,

Inc. *

10,712‌

4,765‌

Labcorp

Holdings,

Inc. 

7,020‌

1,429‌

Merck

&

Co.,

Inc. 

65,320‌

8,087‌

Moderna,

Inc. *

2,685‌

319‌

Molina

Healthcare,

Inc. *

6,265‌

1,863‌

Novartis

AG,

ADR 

9,049‌

963‌

Common

Stocks

(99.5%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

Regeneron

Pharmaceuticals,

Inc. *

1,931‌

2,029‌

Stryker

Corp. 

12,114‌

4,122‌

Thermo

Fisher

Scientific,

Inc. 

2,296‌

1,270‌

UnitedHealth

Group,

Inc. 

14,453‌

7,360‌

Vertex

Pharmaceuticals,

Inc. *

5,046‌

2,365‌

Total

97,552‌

Industrials

(8.0%)

AerCap

Holdings

NV 

18,380‌

1,713‌

The

Boeing

Co. *

9,234‌

1,681‌

Builders

FirstSource,

Inc. *

20,014‌

2,770‌

C.H.

Robinson

Worldwide,

Inc. 

55,110‌

4,856‌

Clean

Harbors,

Inc. *

11,258‌

2,546‌

Dayforce,

Inc. *

50,176‌

2,489‌

Delta

Air

Lines,

Inc. 

133,807‌

6,348‌

Emerson

Electric

Co. 

24,081‌

2,653‌

Equifax,

Inc. 

6,662‌

1,615‌

Fortive

Corp. 

50,451‌

3,738‌

General

Dynamics

Corp. 

24,300‌

7,050‌

Ingersoll-Rand,

Inc. 

17,329‌

1,574‌

J.B.

Hunt

Transport

Services,

Inc. 

30,135‌

4,822‌

Johnson

Controls

International

PLC 

40,899‌

2,718‌

RTX

Corp. 

19,520‌

1,960‌

Trane

Technologies

PLC 

2,626‌

864‌

Uber

Technologies,

Inc. *

95,630‌

6,950‌

Waste

Connections,

Inc. 

14,123‌

2,477‌

Total

58,824‌

Information

Technology

(29.4%)

Adobe,

Inc. *

25,607‌

14,226‌

Advanced

Micro

Devices,

Inc. *

74,145‌

12,027‌

Apple,

Inc. 

224,077‌

47,195‌

Atlassian

Corp.

-

Class A *

25,506‌

4,512‌

First

Solar,

Inc. *

5,133‌

1,157‌

Flex,

Ltd. *

160,812‌

4,742‌

HubSpot,

Inc. *

7,715‌

4,550‌

KLA

Corp. 

8,811‌

7,265‌

Micron

Technology,

Inc. 

49,006‌

6,446‌

Microsoft

Corp. 

106,980‌

47,815‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

7

Large

Cap

Core

Stock

Portfolio

Common

Stocks

(99.5%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

MongoDB,

Inc. *

13,887‌

3,471‌

NVIDIA

Corp. 

291,640‌

36,029‌

NXP

Semiconductors

NV 

12,321‌

3,315‌

QUALCOMM,

Inc. 

22,913‌

4,564‌

ServiceNow,

Inc. *

6,197‌

4,875‌

Synopsys,

Inc. *

9,442‌

5,619‌

Texas

Instruments,

Inc. 

43,862‌

8,532‌

Total

216,340‌

Materials

(2.1%)

Celanese

Corp. 

23,302‌

3,143‌

Crown

Holdings,

Inc. 

13,913‌

1,035‌

FMC

Corp. 

30,248‌

1,741‌

Linde

PLC 

13,396‌

5,878‌

Nucor

Corp. 

7,073‌

1,118‌

PPG

Industries,

Inc. 

19,206‌

2,418‌

Total

15,333‌

Real

Estate

(1.5%)

Camden

Property

Trust 

22,318‌

2,435‌

CoStar

Group,

Inc. *

14,049‌

1,041‌

Equinix,

Inc. 

4,492‌

3,399‌

Welltower,

Inc. 

42,331‌

4,413‌

Total

11,288‌

Utilities

(2.5%)

Atmos

Energy

Corp. 

25,484‌

2,973‌

Exelon

Corp. 

10,169‌

352‌

NextEra

Energy,

Inc. 

30,606‌

2,167‌

PG&E

Corp. 

287,380‌

5,018‌

Sempra 

74,064‌

5,633‌

Vistra

Corp. 

25,622‌

2,203‌

Total

18,346‌

Total

Common

Stocks

(Cost: $554,296)

731,090

Total

Investments

(99.5%)

(Cost:

$554,296)

@

731,090

Other

Assets,

Less

Liabilities (0.5%)

4,005

Net

Assets

(100.0%)

735,095

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$554,296

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$176,794

which

is

comprised

of

$189,833

aggregate

gross

unrealized

appreciation

and

$13,039

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

8

Large

Cap

Core

Stock

Portfolio

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

731,090‌

$

—‌

$

—‌

Total

Assets:

$

731,090‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

9

Large

Cap

Blend

Portfolio

Common

Stocks

(

102

.4

%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

6

.7

%

)

Alphabet,

Inc.

-

Class

A 

30,484‌

5,553‌

Meta

Platforms,

Inc.

-

Class

A 

10,761‌

5,426‌

Total

10,979‌

Consumer

Discretionary

(

11

.3

%

)

Amazon.com,

Inc. *

37,948‌

7,334‌

AutoZone,

Inc. *

605‌

1,793‌

Lowe's

Companies,

Inc. 

17,885‌

3,943‌

Marriott

International,

Inc.

-

Class

A 

5,277‌

1,276‌

McDonald's

Corp. 

10,744‌

2,738‌

The

TJX

Cos.,

Inc. 

13,888‌

1,529‌

Total

18,613‌

Consumer

Staples

(

1

.2

%

)

Mondelez

International,

Inc. 

30,917‌

2,023‌

Total

2,023‌

Energy

(

4

.8

%

)

Baker

Hughes

Co. 

100,452‌

3,533‌

Exxon

Mobil

Corp. 

37,441‌

4,310‌

Total

7,843‌

Financials

(

11

.1

%

)

American

Express

Co. 

14,922‌

3,455‌

Ameriprise

Financial,

Inc. 

5,175‌

2,211‌

Block,

Inc.

-

Class

A *

11,975‌

772‌

Corpay,

Inc. *

3,335‌

888‌

Morgan

Stanley 

27,427‌

2,666‌

The

Travelers

Cos.,

Inc. 

9,055‌

1,841‌

Common

Stocks

(102.4%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

U.S.

Bancorp 

55,768‌

2,214‌

Wells

Fargo

&

Co. 

71,696‌

4,258‌

Total

18,305‌

Health

Care

(

13

.4

%

)

AbbVie,

Inc. 

21,155‌

3,628‌

Biogen,

Inc. *

3,718‌

862‌

Danaher

Corp. 

6,760‌

1,689‌

Eli

Lilly

&

Co. 

1,918‌

1,737‌

Medtronic

PLC 

20,188‌

1,589‌

Regeneron

Pharmaceuticals,

Inc. *

3,787‌

3,980‌

Stryker

Corp. 

7,484‌

2,546‌

UnitedHealth

Group,

Inc. 

7,746‌

3,945‌

Vertex

Pharmaceuticals,

Inc. *

4,286‌

2,009‌

Total

21,985‌

Industrials

(

10

.2

%

)

Carrier

Global

Corp. 

27,041‌

1,706‌

CSX

Corp. 

104,334‌

3,490‌

Deere

&

Co. 

6,964‌

2,602‌

Eaton

Corp.

PLC 

8,939‌

2,803‌

Howmet

Aerospace,

Inc. 

16,354‌

1,269‌

Northrop

Grumman

Corp. 

6,480‌

2,825‌

Trane

Technologies

PLC 

6,456‌

2,124‌

Total

16,819‌

Information

Technology

(

37

.5

%

)

Analog

Devices,

Inc. 

11,132‌

2,541‌

Apple,

Inc. 

62,492‌

13,162‌

ASML

Holding

NV 

410‌

419‌

Common

Stocks

(102.4%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Intuit,

Inc. 

3,880‌

2,550‌

Marvell

Technology,

Inc. 

16,258‌

1,136‌

Mastercard,

Inc.

-

Class

A 

8,332‌

3,676‌

Micron

Technology,

Inc. 

13,571‌

1,785‌

Microsoft

Corp. 

36,303‌

16,226‌

NVIDIA

Corp. 

99,860‌

12,337‌

NXP

Semiconductors

NV 

13,879‌

3,735‌

Oracle

Corp. 

20,220‌

2,855‌

Seagate

Technology

Holdings

PLC 

11,467‌

1,184‌

Total

61,606‌

Materials

(

1

.9

%

)

Vulcan

Materials

Co. 

12,760‌

3,173‌

Total

3,173‌

Real

Estate

(

1

.2

%

)

Prologis,

Inc. 

17,728‌

1,991‌

Total

1,991‌

Utilities

(

3

.1

%

)

NextEra

Energy,

Inc. 

35,299‌

2,499‌

PG&E

Corp. 

146,658‌

2,561‌

Total

5,060‌

Total

Common

Stocks

(Cost: $140,502)

168,397

Total

Investments

(102.4%)

(Cost:

$140,502)

@

168,397

Other

Assets,

Less

Liabilities (-2.4%)

(3,879)

Net

Assets

(100.0%)

164,518

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$140,502

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$27,895

which

is

comprised

of

$29,810

aggregate

gross

unrealized

appreciation

and

$1,915

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

10

Large

Cap

Blend

Portfolio

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

168,397‌

$

—‌

$

—‌

Total

Assets:

$

168,397‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

11

Index

500

Stock

Portfolio

Common

Stocks

(

99.0%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(9.3%)

Alphabet,

Inc.

-

Class

A 

785,670‌

143,110‌

Alphabet,

Inc.

-

Class

C 

653,627‌

119,888‌

AT&T,

Inc. 

957,079‌

18,290‌

Charter

Communications,

Inc.

-

Class

A *

13,100‌

3,916‌

Comcast

Corp.

-  

Class

A 

523,537‌

20,502‌

Electronic

Arts,

Inc. 

32,753‌

4,563‌

Fox

Corp.

-

Class

A 

32,300‌

1,110‌

Fox

Corp.

-

Class

B 

17,886‌

573‌

The

Interpublic

Group

of

Companies,

Inc. 

51,916‌

1,510‌

Live

Nation

Entertainment,

Inc. *

18,698‌

1,753‌

Match

Group,

Inc. *

36,844‌

1,119‌

Meta

Platforms,

Inc.

-

Class

A 

293,114‌

147,794‌

Netflix,

Inc. *

57,635‌

38,897‌

News

Corp.

-

Class

A 

51,547‌

1,421‌

News

Corp.

-

Class

B 

14,592‌

414‌

Omnicom

Group,

Inc. 

26,642‌

2,390‌

Paramount

Global

-

Class

B 

65,127‌

677‌

Take-Two

Interactive

Software,

Inc. *

21,225‌

3,300‌

T-Mobile

US,

Inc. 

68,975‌

12,152‌

Verizon

Communications,

Inc. 

562,772‌

23,209‌

The

Walt

Disney

Co. 

243,839‌

24,211‌

Warner

Bros.

Discovery,

Inc. *

299,918‌

2,231‌

Total

573,030‌

Consumer

Discretionary

(9.9%)

Airbnb,

Inc. *

58,141‌

8,816‌

Amazon.com,

Inc. *

1,223,575‌

236,456‌

Aptiv

PLC *

36,968‌

2,603‌

AutoZone,

Inc. *

2,312‌

6,853‌

Bath

&

Body

Works,

Inc. 

29,740‌

1,161‌

Best

Buy

Co.,

Inc. 

25,864‌

2,180‌

Booking

Holdings,

Inc. 

4,538‌

17,977‌

BorgWarner,

Inc. 

30,601‌

987‌

Caesars

Entertainment,

Inc. *

28,727‌

1,142‌

CarMax,

Inc. *

20,807‌

1,526‌

Carnival

Corp. *

134,683‌

2,521‌

Chipotle

Mexican

Grill,

Inc. *

183,500‌

11,496‌

D.R.

Horton,

Inc. 

39,642‌

5,587‌

Darden

Restaurants,

Inc. 

16,118‌

2,439‌

Deckers

Outdoor

Corp. *

3,465‌

3,354‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Discretionary

continued

Domino's

Pizza,

Inc. 

4,708‌

2,431‌

eBay,

Inc. 

67,679‌

3,636‌

Etsy,

Inc. *

16,232‌

957‌

Expedia

Group,

Inc. *

16,980‌

2,139‌

Ford

Motor

Co. 

521,583‌

6,541‌

Garmin,

Ltd. 

20,577‌

3,352‌

General

Motors

Co. 

154,519‌

7,179‌

Genuine

Parts

Co. 

18,757‌

2,595‌

Hasbro,

Inc. 

17,580‌

1,029‌

Hilton

Worldwide

Holdings,

Inc. 

33,745‌

7,363‌

The

Home

Depot,

Inc. 

132,554‌

45,630‌

Las

Vegas

Sands

Corp. 

45,538‌

2,015‌

Lennar

Corp.

-

Class

A 

33,362‌

5,000‌

LKQ

Corp. 

35,613‌

1,481‌

Lowe's

Companies,

Inc. 

76,983‌

16,972‌

Lululemon

Athletica,

Inc. *

15,282‌

4,565‌

Marriott

International,

Inc.

-

Class

A 

32,091‌

7,759‌

McDonald's

Corp. 

96,394‌

24,565‌

MGM

Resorts

International *

33,565‌

1,492‌

Mohawk

Industries,

Inc. *

6,980‌

793‌

NIKE,

Inc.

-

Class

B 

162,934‌

12,280‌

Norwegian

Cruise

Line

Holdings,

Ltd. *

57,774‌

1,086‌

NVR,

Inc. *

419‌

3,180‌

O'Reilly

Automotive,

Inc. *

7,904‌

8,347‌

Pool

Corp. 

5,243‌

1,611‌

PulteGroup,

Inc. 

28,092‌

3,093‌

Ralph

Lauren

Corp. 

5,388‌

943‌

Ross

Stores,

Inc. 

45,024‌

6,543‌

Royal

Caribbean

Cruises,

Ltd. *

29,997‌

4,783‌

Starbucks

Corp. 

151,553‌

11,798‌

Tapestry,

Inc. 

30,250‌

1,294‌

Tesla,

Inc. *

370,887‌

73,391‌

The

TJX

Cos.,

Inc. 

152,554‌

16,796‌

Tractor

Supply

Co. 

14,380‌

3,883‌

Ulta

Beauty,

Inc. *

6,397‌

2,468‌

Wynn

Resorts,

Ltd. 

13,206‌

1,182‌

Yum!

Brands,

Inc. 

37,614‌

4,982‌

Total

610,252‌

Consumer

Staples

(5.7%)

Altria

Group,

Inc. 

229,739‌

10,465‌

Archer-Daniels-Midland

Co. 

66,133‌

3,998‌

Brown-Forman

Corp.

-

Class

B 

23,781‌

1,027‌

Bunge

Global

SA 

18,939‌

2,022‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Staples

continued

Campbell

Soup

Co. 

26,557‌

1,200‌

Church

&

Dwight

Co.,

Inc. 

33,144‌

3,436‌

The

Clorox

Co. 

16,492‌

2,251‌

The

Coca-Cola

Co. 

518,585‌

33,008‌

Colgate-Palmolive

Co. 

110,214‌

10,695‌

Conagra

Brands,

Inc. 

65,083‌

1,850‌

Constellation

Brands,

Inc.

-

Class

A 

21,713‌

5,586‌

Costco

Wholesale

Corp. 

59,396‌

50,486‌

Dollar

General

Corp. 

29,610‌

3,915‌

Dollar

Tree,

Inc. *

27,938‌

2,983‌

The

Estee

Lauder

Cos.,

Inc.

-

Class

A 

31,093‌

3,308‌

General

Mills,

Inc. 

76,653‌

4,849‌

The

Hershey

Co. 

19,704‌

3,622‌

Hormel

Foods

Corp. 

37,920‌

1,156‌

The

J.M.

Smucker

Co. 

13,924‌

1,518‌

Kellanova 

35,160‌

2,028‌

Kenvue,

Inc. 

256,064‌

4,655‌

Keurig

Dr.

Pepper,

Inc. 

137,187‌

4,582‌

Kimberly-Clark

Corp. 

45,034‌

6,224‌

The

Kraft

Heinz

Co. 

106,718‌

3,439‌

The

Kroger

Co. 

88,977‌

4,443‌

Lamb

Weston

Holdings,

Inc. 

19,529‌

1,642‌

McCormick

&

Co.,

Inc. 

34,058‌

2,416‌

Molson

Coors

Beverage

Co.

-  Class

B 

25,100‌

1,276‌

Mondelez

International,

Inc. 

180,236‌

11,795‌

Monster

Beverage

Corp. *

94,943‌

4,742‌

PepsiCo,

Inc. 

183,977‌

30,343‌

Philip

Morris

International,

Inc. 

207,808‌

21,057‌

The

Procter

&

Gamble

Co. 

314,969‌

51,945‌

Sysco

Corp. 

66,333‌

4,736‌

Target

Corp. 

61,797‌

9,148‌

Tyson

Foods,

Inc.

-

Class

A 

38,500‌

2,200‌

Walgreens

Boots

Alliance,

Inc. 

97,233‌

1,176‌

Walmart,

Inc. 

571,355‌

38,687‌

Total

353,909‌

Energy

(3.6%)

APA

Corp. 

42,216‌

1,243‌

Baker

Hughes

Co. 

133,975‌

4,712‌

Chevron

Corp. 

229,249‌

35,859‌

ConocoPhillips 

156,430‌

17,892‌

Coterra

Energy,

Inc. 

101,428‌

2,705‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

12

Index

500

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

Devon

Energy

Corp. 

84,532‌

4,007‌

Diamondback

Energy,

Inc. 

23,958‌

4,796‌

EOG

Resources,

Inc. 

76,870‌

9,676‌

EQT

Corp. 

59,065‌

2,184‌

Exxon

Mobil

Corp. 

600,010‌

69,073‌

Halliburton

Co. 

119,744‌

4,045‌

Hess

Corp. 

37,155‌

5,481‌

Kinder

Morgan,

Inc. 

261,025‌

5,187‌

Marathon

Oil

Corp. 

75,442‌

2,163‌

Marathon

Petroleum

Corp. 

47,126‌

8,175‌

Occidental

Petroleum

Corp. 

88,103‌

5,553‌

ONEOK,

Inc. 

78,527‌

6,404‌

Phillips

66 

56,705‌

8,005‌

Schlumberger,

Ltd. 

191,067‌

9,015‌

Targa

Resources

Corp. 

29,712‌

3,826‌

Valero

Energy

Corp. 

43,737‌

6,856‌

The

Williams

Cos.,

Inc. 

162,837‌

6,921‌

Total

223,778‌

Financials

(12.3%)

Aflac,

Inc. 

69,162‌

6,177‌

The

Allstate

Corp. 

35,083‌

5,601‌

American

Express

Co. 

76,547‌

17,724‌

American

International

Group,

Inc. 

88,769‌

6,590‌

Ameriprise

Financial,

Inc. 

13,285‌

5,675‌

Aon

PLC 

29,082‌

8,538‌

Arch

Capital

Group,

Ltd. *

49,662‌

5,010‌

Arthur

J.

Gallagher

&

Co. 

28,962‌

7,510‌

Assurant,

Inc. 

7,147‌

1,188‌

Bank

of

America

Corp. 

910,024‌

36,192‌

The

Bank

of

New

York

Mellon

Corp. 

100,023‌

5,990‌

Berkshire

Hathaway,

Inc.

-

Class

B *

242,143‌

98,504‌

BlackRock,

Inc. 

18,719‌

14,738‌

The

Blackstone

Group,

Inc. 

95,587‌

11,834‌

Brown

&

Brown,

Inc. 

31,816‌

2,845‌

Capital

One

Financial

Corp. 

51,205‌

7,089‌

Cboe

Global

Markets,

Inc. 

14,037‌

2,387‌

The

Charles

Schwab

Corp. 

199,208‌

14,680‌

Chubb,

Ltd. 

54,248‌

13,838‌

Cincinnati

Financial

Corp. 

21,192‌

2,503‌

Citigroup,

Inc. 

254,744‌

16,166‌

Citizens

Financial

Group,

Inc. 

60,861‌

2,193‌

CME

Group,

Inc. 

48,187‌

9,474‌

Corpay,

Inc. *

9,399‌

2,504‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Discover

Financial

Services 

33,472‌

4,378‌

Everest

Re

Group,

Ltd. 

5,448‌

2,076‌

FactSet

Research

Systems,

Inc. 

5,081‌

2,074‌

Fidelity

National

Information

Services,

Inc. 

74,401‌

5,607‌

Fifth

Third

Bancorp 

90,579‌

3,305‌

Fiserv,

Inc. *

78,260‌

11,664‌

Franklin

Resources,

Inc. 

37,588‌

840‌

Global

Payments,

Inc. 

34,648‌

3,350‌

Globe

Life,

Inc. 

11,610‌

955‌

The

Goldman

Sachs

Group,

Inc. 

43,131‌

19,509‌

The

Hartford

Financial

Services

Group,

Inc. 

39,956‌

4,017‌

Huntington

Bancshares,

Inc. 

195,187‌

2,573‌

Intercontinental

Exchange,

Inc. 

76,199‌

10,431‌

Invesco,

Ltd. 

62,069‌

929‌

Jack

Henry

&

Associates,

Inc. 

9,805‌

1,628‌

JPMorgan

Chase

&

Co. 

384,097‌

77,687‌

KeyCorp 

126,465‌

1,797‌

KKR

&

Co.,

Inc. 

89,020‌

9,368‌

Loews

Corp. 

24,815‌

1,855‌

M&T

Bank

Corp. 

22,240‌

3,366‌

MarketAxess

Holdings,

Inc. 

5,237‌

1,050‌

Marsh

&

McLennan

Cos.,

Inc. 

65,858‌

13,878‌

Mastercard,

Inc.

-

Class

A 

109,812‌

48,445‌

MetLife,

Inc. 

79,897‌

5,608‌

Moody's

Corp. 

21,066‌

8,867‌

Morgan

Stanley 

167,695‌

16,298‌

MSCI,

Inc. 

10,676‌

5,143‌

Nasdaq,

Inc. 

50,550‌

3,046‌

Northern

Trust

Corp. 

27,272‌

2,290‌

PayPal

Holdings,

Inc. *

139,913‌

8,119‌

The

PNC

Financial

Services

Group,

Inc. 

53,279‌

8,284‌

Principal

Financial

Group,

Inc. 

28,842‌

2,263‌

The

Progressive

Corp. 

78,347‌

16,273‌

Prudential

Financial,

Inc. 

48,322‌

5,663‌

Raymond

James

Financial,

Inc. 

25,103‌

3,103‌

Regions

Financial

Corp. 

124,586‌

2,497‌

S&P

Global,

Inc. 

43,008‌

19,182‌

State

Street

Corp. 

40,756‌

3,016‌

Synchrony

Financial 

54,728‌

2,583‌

T.

Rowe

Price

Group,

Inc. 

30,292‌

3,493‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

The

Travelers

Cos.,

Inc. 

30,505‌

6,203‌

Truist

Financial

Corp. 

178,531‌

6,936‌

U.S.

Bancorp 

208,417‌

8,274‌

Visa,

Inc.

-

Class

A 

210,549‌

55,263‌

W.R.

Berkley

Corp. 

27,356‌

2,150‌

Wells

Fargo

&

Co. 

466,308‌

27,694‌

Willis

Towers

Watson

PLC 

13,726‌

3,598‌

Total

761,578‌

Health

Care

(11.6%)

Abbott

Laboratories 

232,384‌

24,147‌

AbbVie,

Inc. 

236,330‌

40,535‌

Agilent

Technologies,

Inc. 

39,190‌

5,080‌

Align

Technology,

Inc. *

9,496‌

2,293‌

Amgen,

Inc. 

71,614‌

22,376‌

Baxter

International,

Inc. 

67,441‌

2,256‌

Becton

Dickinson

and

Co. 

38,652‌

9,033‌

Biogen,

Inc. *

19,377‌

4,492‌

Bio-Rad

Laboratories,

Inc.

-

Class

A *

2,800‌

765‌

Bio-Techne

Corp. 

21,192‌

1,518‌

Boston

Scientific

Corp. *

196,747‌

15,151‌

Bristol-Myers

Squibb

Co. 

272,367‌

11,311‌

Cardinal

Health,

Inc. 

32,831‌

3,228‌

Catalent,

Inc. *

24,453‌

1,375‌

Cencora,

Inc. 

22,246‌

5,012‌

Centene

Corp. *

71,525‌

4,742‌

Charles

River

Laboratories

International,

Inc. *

6,814‌

1,408‌

Cigna

Group 

37,996‌

12,560‌

The

Cooper

Cos.,

Inc. 

26,407‌

2,305‌

CVS

Health

Corp. 

168,453‌

9,949‌

Danaher

Corp. 

88,031‌

21,995‌

DaVita,

Inc. *

7,172‌

994‌

Dexcom,

Inc. *

51,937‌

5,889‌

Edwards

Lifesciences

Corp. *

81,165‌

7,497‌

Elevance

Health,

Inc. 

31,087‌

16,845‌

Eli

Lilly

&

Co. 

106,740‌

96,640‌

GE

HealthCare

Technologies,

Inc. 

54,703‌

4,262‌

Gilead

Sciences,

Inc. 

166,786‌

11,443‌

HCA

Healthcare,

Inc. 

25,924‌

8,329‌

Henry

Schein,

Inc. *

16,993‌

1,089‌

Hologic,

Inc. *

31,684‌

2,352‌

Humana,

Inc. 

16,328‌

6,101‌

IDEXX

Laboratories,

Inc. *

11,117‌

5,416‌

Incyte

Corp. *

25,678‌

1,557‌

Insulet

Corp. *

9,534‌

1,924‌

Intuitive

Surgical,

Inc. *

47,161‌

20,980‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

13

Index

500

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

IQVIA

Holdings,

Inc. *

24,634‌

5,209‌

Johnson

&

Johnson 

322,232‌

47,097‌

Labcorp

Holdings,

Inc. 

11,508‌

2,342‌

McKesson

Corp. 

17,386‌

10,154‌

Medtronic

PLC 

177,984‌

14,009‌

Merck

&

Co.,

Inc. 

339,197‌

41,993‌

Mettler-Toledo

International,

Inc. *

2,894‌

4,045‌

Moderna,

Inc. *

44,403‌

5,273‌

Molina

Healthcare,

Inc. *

7,681‌

2,284‌

Pfizer,

Inc. 

755,813‌

21,148‌

Quest

Diagnostics,

Inc. 

14,875‌

2,036‌

Regeneron

Pharmaceuticals,

Inc. *

14,141‌

14,863‌

ResMed,

Inc. 

19,689‌

3,769‌

Revvity,

Inc. 

16,728‌

1,754‌

Solventum

Corp. *

18,650‌

986‌

STERIS

PLC 

13,332‌

2,927‌

Stryker

Corp. 

45,263‌

15,401‌

Teleflex,

Inc. 

6,424‌

1,351‌

Thermo

Fisher

Scientific,

Inc. 

51,056‌

28,234‌

UnitedHealth

Group,

Inc. 

123,105‌

62,692‌

Universal

Health

Services,

Inc.

-

Class

 B 

7,911‌

1,463‌

Vertex

Pharmaceuticals,

Inc. *

34,495‌

16,168‌

Viatris,

Inc. 

161,583‌

1,718‌

Waters

Corp. *

7,862‌

2,281‌

West

Pharmaceutical

Services,

Inc. 

9,888‌

3,257‌

Zimmer

Biomet

Holdings,

Inc. 

28,140‌

3,054‌

Zoetis,

Inc. 

61,456‌

10,654‌

Total

719,011‌

Industrials

(8.1%)

3M

Co. 

73,983‌

7,560‌

A.O.

Smith

Corp. 

16,649‌

1,362‌

Allegion

PLC 

11,542‌

1,364‌

American

Airlines

Group,

Inc. *

88,090‌

998‌

AMETEK,

Inc. 

30,894‌

5,150‌

Automatic

Data

Processing,

Inc. 

54,987‌

13,125‌

Axon

Enterprise,

Inc. *

9,316‌

2,741‌

The

Boeing

Co. *

76,740‌

13,967‌

Broadridge

Financial

Solutions,

Inc. 

15,636‌

3,080‌

Builders

FirstSource,

Inc. *

16,319‌

2,259‌

C.H.

Robinson

Worldwide,

Inc. 

15,929‌

1,404‌

Carrier

Global

Corp. 

111,823‌

7,054‌

Caterpillar,

Inc. 

65,413‌

21,789‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Cintas

Corp. 

11,534‌

8,077‌

Copart,

Inc. *

116,744‌

6,323‌

CSX

Corp. 

264,445‌

8,846‌

Cummins,

Inc. 

18,242‌

5,052‌

Dayforce,

Inc. *

20,884‌

1,036‌

Deere

&

Co. 

34,855‌

13,023‌

Delta

Air

Lines,

Inc. 

86,435‌

4,101‌

Dover

Corp. 

18,382‌

3,317‌

Eaton

Corp.

PLC 

53,449‌

16,759‌

Emerson

Electric

Co. 

76,526‌

8,430‌

Equifax,

Inc. 

16,390‌

3,974‌

Expeditors

International

of

Washington,

Inc. 

18,893‌

2,358‌

Fastenal

Co. 

77,240‌

4,854‌

FedEx

Corp. 

30,281‌

9,079‌

Fortive

Corp. 

46,798‌

3,468‌

GE

Vernova,

Inc. *

36,366‌

6,237‌

Generac

Holdings,

Inc. *

8,160‌

1,079‌

General

Dynamics

Corp. 

30,391‌

8,818‌

General

Electric

Co. 

145,681‌

23,159‌

Honeywell

International,

Inc. 

87,099‌

18,599‌

Howmet

Aerospace,

Inc. 

51,011‌

3,960‌

Hubbell,

Inc. 

7,153‌

2,614‌

Huntington

Ingalls

Industries,

Inc. 

5,379‌

1,325‌

IDEX

Corp. 

10,200‌

2,052‌

Illinois

Tool

Works,

Inc. 

36,397‌

8,625‌

Ingersoll-Rand,

Inc. 

54,504‌

4,951‌

J.B.

Hunt

Transport

Services,

Inc. 

11,133‌

1,781‌

Jacobs

Solutions,

Inc. 

16,960‌

2,370‌

Johnson

Controls

International

PLC 

90,963‌

6,046‌

L3Harris

Technologies,

Inc. 

25,583‌

5,745‌

Leidos

Holdings,

Inc. 

18,085‌

2,638‌

Lockheed

Martin

Corp. 

28,788‌

13,447‌

Masco

Corp. 

29,664‌

1,978‌

Nordson

Corp. 

7,294‌

1,692‌

Norfolk

Southern

Corp. 

30,236‌

6,491‌

Northrop

Grumman

Corp. 

18,878‌

8,230‌

Old

Dominion

Freight

Line,

Inc. 

23,902‌

4,221‌

Otis

Worldwide

Corp. 

54,728‌

5,268‌

PACCAR,

Inc. 

70,018‌

7,208‌

Parker

Hannifin

Corp. 

17,189‌

8,694‌

Paychex,

Inc. 

43,100‌

5,110‌

Paycom

Software,

Inc. 

6,632‌

949‌

Pentair

PLC 

22,165‌

1,699‌

Quanta

Services,

Inc. 

19,515‌

4,959‌

Republic

Services,

Inc. 

27,376‌

5,320‌

Rockwell

Automation,

Inc. 

15,304‌

4,213‌

Rollins,

Inc. 

35,876‌

1,750‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

RTX

Corp. 

177,605‌

17,830‌

Snap-on,

Inc. 

7,006‌

1,831‌

Southwest

Airlines

Co. 

80,951‌

2,316‌

Stanley

Black

&

Decker,

Inc. 

20,474‌

1,636‌

Textron,

Inc. 

25,507‌

2,190‌

Trane

Technologies

PLC 

30,275‌

9,958‌

TransDigm

Group,

Inc. 

7,443‌

9,509‌

Uber

Technologies,

Inc. *

275,459‌

20,020‌

Union

Pacific

Corp. 

81,623‌

18,468‌

United

Airlines

Holdings,

Inc. *

43,680‌

2,125‌

United

Parcel

Service,

Inc.

-

Class

B 

96,813‌

13,249‌

United

Rentals,

Inc. 

8,907‌

5,760‌

Veralto

Corp. 

29,264‌

2,794‌

Verisk

Analytics,

Inc. 

19,408‌

5,231‌

W.W.

Grainger,

Inc. 

5,913‌

5,335‌

Waste

Management,

Inc. 

49,062‌

10,467‌

Westinghouse

Air

Brake

Technologies

Corp. 

23,523‌

3,718‌

Xylem,

Inc. 

32,508‌

4,409‌

Total

498,624‌

Information

Technology

(32.1%)

Accenture

PLC

-

Class A 

83,927‌

25,464‌

Adobe,

Inc. *

59,922‌

33,289‌

Advanced

Micro

Devices,

Inc. *

216,285‌

35,084‌

Akamai

Technologies,

Inc. *

20,294‌

1,828‌

Amphenol

Corp.

-

Class

A 

160,590‌

10,819‌

Analog

Devices,

Inc. 

66,372‌

15,150‌

ANSYS,

Inc. *

11,634‌

3,740‌

Apple,

Inc. 

1,927,933‌

406,061‌

Applied

Materials,

Inc. 

111,378‌

26,284‌

Arista

Networks,

Inc. *

33,731‌

11,822‌

Autodesk,

Inc. *

28,634‌

7,085‌

Broadcom,

Inc. 

58,265‌

93,546‌

Cadence

Design

Systems,

Inc. *

36,417‌

11,207‌

CDW

Corp. 

18,046‌

4,039‌

Cisco

Systems,

Inc. 

543,926‌

25,842‌

Cognizant

Technology

Solutions

Corp. 

67,214‌

4,571‌

Corning,

Inc. 

103,095‌

4,005‌

CrowdStrike

Holdings,

Inc.

-

Class A *

30,853‌

11,823‌

Enphase

Energy,

Inc. *

17,993‌

1,794‌

EPAM

Systems,

Inc. *

7,827‌

1,472‌

F5,

Inc. *

7,901‌

1,361‌

Fair

Isaac

Corp. *

3,350‌

4,987‌

First

Solar,

Inc. *

13,619‌

3,071‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

14

Index

500

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Fortinet,

Inc. *

85,316‌

5,142‌

Gartner,

Inc. *

10,424‌

4,681‌

Gen

Digital,

Inc. 

74,232‌

1,854‌

GoDaddy,

Inc.

-

Class A *

18,851‌

2,634‌

Hewlett

Packard

Enterprise

Co. 

173,893‌

3,681‌

HP,

Inc. 

116,723‌

4,088‌

Intel

Corp. 

565,948‌

17,527‌

International

Business

Machines

Corp. 

122,481‌

21,183‌

Intuit,

Inc. 

37,471‌

24,626‌

Jabil,

Inc. 

16,130‌

1,755‌

Juniper

Networks,

Inc. 

43,428‌

1,583‌

Keysight

Technologies,

Inc. *

23,577‌

3,224‌

KLA

Corp. 

18,102‌

14,925‌

Lam

Research

Corp. 

17,549‌

18,687‌

Microchip

Technology,

Inc. 

72,335‌

6,619‌

Micron

Technology,

Inc. 

147,766‌

19,436‌

Microsoft

Corp. 

994,100‌

444,313‌

Monolithic

Power

Systems,

Inc. 

6,483‌

5,327‌

Motorola

Solutions,

Inc. 

22,216‌

8,577‌

NetApp,

Inc. 

27,738‌

3,573‌

NVIDIA

Corp. 

3,290,123‌

406,462‌

NXP

Semiconductors

NV 

34,450‌

9,270‌

ON

Semiconductor

Corp. *

57,681‌

3,954‌

Oracle

Corp. 

213,419‌

30,135‌

Palo

Alto

Networks,

Inc. *

43,216‌

14,651‌

PTC,

Inc. *

16,108‌

2,926‌

Qorvo,

Inc. *

12,809‌

1,486‌

QUALCOMM,

Inc. 

149,385‌

29,755‌

Roper

Technologies,

Inc. 

14,299‌

8,060‌

Salesforce,

Inc. 

129,574‌

33,313‌

Seagate

Technology

Holdings

PLC 

25,994‌

2,684‌

ServiceNow,

Inc. *

27,441‌

21,587‌

Skyworks

Solutions,

Inc. 

21,602‌

2,302‌

Super

Micro

Computer,

Inc. *

6,568‌

5,382‌

Synopsys,

Inc. *

20,416‌

12,149‌

TE

Connectivity,

Ltd. 

41,266‌

6,208‌

Teledyne

Technologies,

Inc. *

6,386‌

2,478‌

Teradyne,

Inc. 

20,635‌

3,060‌

Texas

Instruments,

Inc. 

121,715‌

23,677‌

Trimble,

Inc. *

33,383‌

1,867‌

Tyler

Technologies,

Inc. *

5,685‌

2,858‌

VeriSign,

Inc. *

11,702‌

2,081‌

Western

Digital

Corp. *

43,237‌

3,276‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Zebra

Technologies

Corp.

-

Class

A *

6,915‌

2,136‌

Total

1,989,536‌

Materials

(2.1%)

Air

Products

and

Chemicals,

Inc. 

29,757‌

7,679‌

Albemarle

Corp. 

15,981‌

1,526‌

Amcor

PLC 

195,917‌

1,916‌

Avery

Dennison

Corp. 

10,813‌

2,364‌

Ball

Corp. 

41,514‌

2,492‌

Celanese

Corp. 

13,601‌

1,835‌

CF

Industries

Holdings,

Inc. 

24,448‌

1,812‌

Corteva,

Inc. 

94,475‌

5,096‌

Dow,

Inc. 

93,966‌

4,985‌

DuPont

de

Nemours,

Inc. 

55,923‌

4,501‌

Eastman

Chemical

Co. 

15,452‌

1,514‌

Ecolab,

Inc. 

33,833‌

8,052‌

FMC

Corp. 

17,080‌

983‌

Freeport-McMoRan,

Inc. 

191,948‌

9,329‌

International

Flavors

&

Fragrances,

Inc. 

34,307‌

3,266‌

International

Paper

Co. 

46,117‌

1,990‌

Linde

PLC 

64,298‌

28,215‌

LyondellBasell

Industries

NV

-

Class A 

34,064‌

3,259‌

Martin

Marietta

Materials,

Inc. 

8,343‌

4,520‌

The

Mosaic

Co. 

43,185‌

1,248‌

Newmont

Corp. 

153,951‌

6,446‌

Nucor

Corp. 

32,069‌

5,069‌

Packaging

Corp.

of

America 

11,994‌

2,190‌

PPG

Industries,

Inc. 

31,554‌

3,972‌

The

Sherwin-Williams

Co. 

31,200‌

9,311‌

Steel

Dynamics,

Inc. 

19,756‌

2,558‌

Vulcan

Materials

Co. 

17,780‌

4,422‌

WestRock

Co. 

34,564‌

1,737‌

Total

132,287‌

Real

Estate

(2.1%)

Alexandria

Real

Estate

Equities,

Inc. 

21,200‌

2,480‌

American

Tower

Corp. 

62,400‌

12,129‌

AvalonBay

Communities,

Inc. 

18,927‌

3,916‌

Boston

Properties,

Inc. 

19,540‌

1,203‌

Camden

Property

Trust 

14,560‌

1,589‌

CBRE

Group,

Inc.

-

Class

A *

40,140‌

3,577‌

CoStar

Group,

Inc. *

54,411‌

4,034‌

Crown

Castle

International

Corp. 

58,052‌

5,672‌

Digital

Realty

Trust,

Inc. 

42,346‌

6,439‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Real

Estate

continued

Equinix,

Inc. 

12,567‌

9,508‌

Equity

Residential 

46,410‌

3,218‌

Essex

Property

Trust,

Inc. 

8,700‌

2,368‌

Extra

Space

Storage,

Inc. 

28,518‌

4,432‌

Federal

Realty

Investment

Trust 

9,945‌

1,004‌

Healthpeak

Properties,

Inc. 

95,935‌

1,880‌

Host

Hotels

&

Resorts,

Inc. 

93,873‌

1,688‌

Invitation

Homes,

Inc. 

77,466‌

2,780‌

Iron

Mountain,

Inc. 

39,752‌

3,563‌

Kimco

Realty

Corp. 

84,389‌

1,642‌

Mid-America

Apartment

Communities,

Inc. 

15,777‌

2,250‌

Prologis,

Inc. 

123,680‌

13,890‌

Public

Storage 

21,356‌

6,143‌

Realty

Income

Corp. 

111,322‌

5,880‌

Regency

Centers

Corp. 

21,039‌

1,309‌

SBA

Communications

Corp. 

14,563‌

2,859‌

Simon

Property

Group,

Inc. 

43,626‌

6,622‌

UDR,

Inc. 

41,020‌

1,688‌

Ventas,

Inc. 

53,862‌

2,761‌

VICI

Properties,

Inc. 

138,359‌

3,963‌

Welltower,

Inc. 

79,974‌

8,337‌

Weyerhaeuser

Co. 

98,953‌

2,809‌

Total

131,633‌

Utilities

(2.2%)

The

AES

Corp. 

88,598‌

1,557‌

Alliant

Energy

Corp. 

34,454‌

1,754‌

Ameren

Corp. 

35,531‌

2,527‌

American

Electric

Power

Co.,

Inc. 

70,100‌

6,151‌

American

Water

Works

Co.,

Inc. 

26,063‌

3,366‌

Atmos

Energy

Corp. 

19,735‌

2,302‌

CenterPoint

Energy,

Inc. 

84,494‌

2,618‌

CMS

Energy

Corp. 

39,228‌

2,335‌

Consolidated

Edison,

Inc. 

46,123‌

4,124‌

Constellation

Energy

Corp. 

42,164‌

8,444‌

Dominion

Energy,

Inc. 

112,011‌

5,488‌

DTE

Energy

Co. 

26,492‌

2,941‌

Duke

Energy

Corp. 

103,204‌

10,344‌

Edison

International 

50,940‌

3,658‌

Entergy

Corp. 

27,973‌

2,993‌

Evergy,

Inc. 

31,291‌

1,657‌

Eversource

Energy 

46,760‌

2,652‌

Exelon

Corp. 

134,363‌

4,650‌

FirstEnergy

Corp. 

68,794‌

2,633‌

NextEra

Energy,

Inc. 

274,636‌

19,447‌

NiSource,

Inc. 

55,036‌

1,586‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

15

Index

500

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

NRG

Energy,

Inc. 

27,884‌

2,171‌

PG&E

Corp. 

285,173‌

4,979‌

Pinnacle

West

Capital

Corp. 

15,533‌

1,186‌

PPL

Corp. 

98,647‌

2,728‌

Public

Service

Enterprise

Group,

Inc. 

66,703‌

4,916‌

Sempra 

84,142‌

6,400‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

The

Southern

Co. 

145,987‌

11,324‌

Vistra

Corp. 

43,686‌

3,756‌

WEC

Energy

Group,

Inc. 

42,513‌

3,335‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

Xcel

Energy,

Inc. 

74,342‌

3,971‌

Total

137,993‌

Total

Common

Stocks

(Cost: $1,820,000)

6,131,631

Total

Investments

(99.0%)

(Cost:

$1,820,000)

@

6,131,631

Other

Assets,

Less

Liabilities (1.0%)

60,051

Net

Assets

(100.0%)

6,191,682

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

Future

Long

USD

11‌

215

9/24

$

59,356‌

$

(193‌)

$

(278‌)

$

(193‌)

$

(278‌)

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

$

–‌

$

–‌

$

–‌

$

–‌

$

(278‌)

$

(278‌)

$

–‌

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$1,820,000

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$4,311,438

which

is

comprised

of

$4,409,299

aggregate

gross

unrealized

appreciation

and

$97,861

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

16

Index

500

Stock

Portfolio

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

6,131,631‌

$

—‌

$

—‌

Total

Assets:

$

6,131,631‌

$

—‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Futures

(193‌)

—‌

—‌

Total

Liabilities:

$

(193‌)

$

—‌

$

—‌

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

17

Large

Company

Value

Portfolio

Common

Stocks

(

98.0%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(3.2%)

BCE,

Inc. 

22,366‌

725‌

Verizon

Communications,

Inc. 

66,129‌

2,727‌

The

Walt

Disney

Co. 

13,530‌

1,343‌

Total

4,795‌

Consumer

Discretionary

(1.2%)

Aptiv

PLC *

12,117‌

853‌

General

Motors

Co. 

21,405‌

995‌

Total

1,848‌

Consumer

Staples

(13.1%)

Colgate-Palmolive

Co. 

15,289‌

1,484‌

Conagra

Brands,

Inc. 

56,575‌

1,608‌

Dollar

Tree,

Inc. *

15,284‌

1,632‌

General

Mills,

Inc. 

23,293‌

1,473‌

Heineken

Holding

NV 

19,998‌

1,574‌

Kenvue,

Inc. 

146,482‌

2,663‌

Kimberly-Clark

Corp. 

20,387‌

2,817‌

Koninklijke

Ahold

Delhaize

NV 

25,166‌

743‌

Mondelez

International,

Inc. 

22,305‌

1,460‌

Pernod

Ricard

SA 

10,806‌

1,471‌

Unilever

PLC,

ADR 

46,291‌

2,545‌

Total

19,470‌

Energy

(8.1%)

Baker

Hughes

Co. 

48,929‌

1,721‌

Chevron

Corp. 

4,792‌

750‌

Coterra

Energy,

Inc. 

42,074‌

1,122‌

Enterprise

Products

Partners

LP 

67,868‌

1,967‌

Exxon

Mobil

Corp. 

33,230‌

3,825‌

Shell

PLC 

48,447‌

1,741‌

TotalEnergies

SE,

ADR 

13,444‌

896‌

Total

12,022‌

Financials

(19.2%)

The

Allstate

Corp. 

15,182‌

2,424‌

The

Bank

of

New

York

Mellon

Corp. 

54,661‌

3,274‌

Berkshire

Hathaway,

Inc.

-

Class

B *

7,001‌

2,848‌

BlackRock,

Inc. 

3,003‌

2,364‌

The

Charles

Schwab

Corp. 

37,740‌

2,781‌

Chubb,

Ltd. 

2,993‌

763‌

JPMorgan

Chase

&

Co. 

23,456‌

4,744‌

MetLife,

Inc. 

11,870‌

833‌

Northern

Trust

Corp. 

14,869‌

1,249‌

Truist

Financial

Corp. 

69,452‌

2,698‌

U.S.

Bancorp 

63,970‌

2,540‌

Common

Stocks

(98.0%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Willis

Towers

Watson

PLC 

7,328‌

1,921‌

Total

28,439‌

Health

Care

(21.4%)

Becton

Dickinson

and

Co. 

7,921‌

1,851‌

CVS

Health

Corp. 

24,172‌

1,427‌

Henry

Schein,

Inc. *

33,762‌

2,164‌

Johnson

&

Johnson 

45,646‌

6,672‌

Medtronic

PLC 

79,977‌

6,295‌

Merck

&

Co.,

Inc. 

5,633‌

697‌

Quest

Diagnostics,

Inc. 

13,440‌

1,840‌

Roche

Holding

AG 

6,394‌

1,774‌

UnitedHealth

Group,

Inc. 

3,705‌

1,887‌

Universal

Health

Services,

Inc.

-

Class

 B 

10,045‌

1,858‌

Zimmer

Biomet

Holdings,

Inc. 

49,053‌

5,324‌

Total

31,789‌

Industrials

(11.1%)

Dover

Corp. 

4,669‌

842‌

Emerson

Electric

Co. 

11,619‌

1,280‌

Johnson

Controls

International

PLC 

15,870‌

1,055‌

MSC

Industrial

Direct

Co.,

Inc. 

16,930‌

1,343‌

Norfolk

Southern

Corp. 

15,844‌

3,401‌

Oshkosh

Corp. 

9,238‌

1,000‌

RTX

Corp. 

23,586‌

2,368‌

Siemens

AG 

4,208‌

783‌

Southwest

Airlines

Co. 

32,515‌

930‌

United

Parcel

Service,

Inc.

-

Class

B 

24,836‌

3,399‌

Total

16,401‌

Information

Technology

(9.2%)

Amdocs,

Ltd. 

19,933‌

1,573‌

Analog

Devices,

Inc. 

13,054‌

2,980‌

Automatic

Data

Processing,

Inc. 

3,062‌

731‌

Cisco

Systems,

Inc. 

52,431‌

2,491‌

Cognizant

Technology

Solutions

Corp. 

11,942‌

812‌

F5,

Inc. *

16,030‌

2,761‌

ON

Semiconductor

Corp. *

11,034‌

756‌

TE

Connectivity,

Ltd. 

9,934‌

1,494‌

Total

13,598‌

Common

Stocks

(98.0%)

Shares/

Par

+

Value

$

(000’s)

Materials

(3.5%)

Akzo

Nobel

NV 

13,381‌

814‌

CRH

PLC 

20,519‌

1,538‌

Packaging

Corp.

of

America 

10,457‌

1,909‌

Sonoco

Products

Co. 

17,057‌

865‌

Total

5,126‌

Real

Estate

(1.5%)

American

Tower

Corp. 

6,513‌

1,266‌

Realty

Income

Corp. 

17,597‌

930‌

Total

2,196‌

Utilities

(6.5%)

Duke

Energy

Corp. 

37,487‌

3,757‌

Edison

International 

24,761‌

1,778‌

Eversource

Energy 

28,703‌

1,628‌

Xcel

Energy,

Inc. 

46,640‌

2,491‌

Total

9,654‌

Total

Common

Stocks

(Cost: $142,864)

145,338

Total

Investments

(98.0%)

(Cost:

$142,864)

@

145,338

Other

Assets,

Less

Liabilities (2.0%)

3,040

Net

Assets

(100.0%)

148,378

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

18

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)

Sell      

Bank

of

America

NA

CAD

853‌

625‌

9/27/24

$

1‌

$

—‌

$

1‌

Buy      

Morgan

Stanley

Capital

Services

LLC

CHF

60‌

67‌

9/27/24

—‌

—‌π

—‌π

Sell      

Bank

of

America

NA

CHF

1,416‌

1,593‌

9/27/24

10‌

—‌

10‌

Sell      

Bank

of

America

NA

EUR

5,089‌

5,473‌

9/27/24

11‌

—‌

11‌

Sell      

Bank

of

America

NA

GBP

2,884‌

3,648‌

9/27/24

7‌

—‌

7‌

$

29‌

$

—‌π

$

29‌

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

$

29‌

—‌

$

29‌

—‌

π

—‌

—‌

—‌

π

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$142,864

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$2,503

which

is

comprised

of

$11,980

aggregate

gross

unrealized

appreciation

and

$9,477

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

π

Amount

is

less

than

one

thousand.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  See

Note

3

for

additional

information

on

portfolio

valuation.

Valuation

Inputs

Description

Level

1

-

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

- Significant

Unobservable

Inputs

(Amounts

in

thousands)

Assets:

Common

Stocks

Consumer

Staples

$

15,682‌

$

3,788‌

$

—‌

Energy

10,281‌

1,741‌

—‌

Health

Care

30,015‌

1,774‌

—‌

Industrials

15,618‌

783‌

—‌

Materials

4,312‌

814‌

—‌

All

Others

60,530‌

—‌

—‌

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

29‌

—‌

Total

Assets:

$

136,438‌

$

8,929‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

—‌π

—‌

Total

Liabilities:

$

—‌

$

—‌π

$

—‌

Ω

Other

financial

instruments

are

derivative

instruments

such

as

futures

and

forward

foreign

currency

contracts,

which

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrum

ent,

and

securities

sold

short,

reverse

repurchase

agreements,

written

options

and

swaps

contracts,

which

are

valued

at

market

value.

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

19

Domestic

Equity

Portfolio

Common

Stocks

(

98

.6

%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

6

.0

%

)

Verizon

Communications,

Inc. 

797,600‌

32,893‌

The

Walt

Disney

Co. 

299,436‌

29,731‌

Total

62,624‌

Consumer

Discretionary

(

9

.3

%

)

Genuine

Parts

Co. 

199,734‌

27,627‌

Lowe's

Companies,

Inc. 

139,600‌

30,776‌

The

TJX

Cos.,

Inc. 

348,300‌

38,348‌

Total

96,751‌

Consumer

Staples

(

7

.9

%

)

Conagra

Brands,

Inc. 

989,433‌

28,120‌

Dollar

Tree,

Inc. *

240,500‌

25,678‌

The

Hershey

Co. 

156,668‌

28,800‌

Total

82,598‌

Energy

(

5

.9

%

)

Chevron

Corp. 

197,000‌

30,815‌

Exxon

Mobil

Corp. 

267,300‌

30,771‌

Total

61,586‌

Common

Stocks

(98.6%)

Shares/

Par

+

Value

$

(000’s)

Financials

(

15

.2

%

)

The

Allstate

Corp. 

184,605‌

29,474‌

Fidelity

National

Information

Services,

Inc. 

451,627‌

34,035‌

The

Travelers

Cos.,

Inc. 

151,449‌

30,796‌

Truist

Financial

Corp. 

841,400‌

32,688‌

U.S.

Bancorp 

780,700‌

30,994‌

Total

157,987‌

Health

Care

(

16

.7

%

)

Baxter

International,

Inc. 

793,200‌

26,532‌

Cigna

Group 

91,703‌

30,314‌

CVS

Health

Corp. 

444,100‌

26,229‌

Hologic,

Inc. *

423,488‌

31,444‌

Johnson

&

Johnson 

198,000‌

28,940‌

Merck

&

Co.,

Inc. 

247,700‌

30,665‌

Total

174,124‌

Industrials

(

12

.5

%

)

Dover

Corp. 

179,042‌

32,308‌

Honeywell

International,

Inc. 

171,060‌

36,528‌

Jacobs

Solutions,

Inc. 

223,730‌

31,257‌

Northrop

Grumman

Corp. 

68,300‌

29,776‌

Total

129,869‌

Common

Stocks

(98.6%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

(

15

.5

%

)

Cisco

Systems,

Inc. 

602,900‌

28,644‌

Cognizant

Technology

Solutions

Corp. 

434,718‌

29,561‌

Motorola

Solutions,

Inc. 

92,700‌

35,787‌

Oracle

Corp. 

272,800‌

38,519‌

Teledyne

Technologies,

Inc. *

72,818‌

28,252‌

Total

160,763‌

Materials

(

3

.4

%

)

DuPont

de

Nemours,

Inc. 

436,184‌

35,108‌

Total

35,108‌

Real

Estate

(

3

.0

%

)

Equity

Residential 

446,995‌

30,995‌

Total

30,995‌

Utilities

(

3

.2

%

)

Duke

Energy

Corp. 

328,300‌

32,906‌

Total

32,906‌

Total

Common

Stocks

(Cost: $912,287)

1,025,311

Total

Investments

(98.6%)

(Cost:

$912,287)

@

1,025,311

Other

Assets,

Less

Liabilities (1.4%)

14,104

Net

Assets

(100.0%)

1,039,415

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$912,287

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$113,024

which

is

comprised

of

$167,944

aggregate

gross

unrealized

appreciation

and

$54,920

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

1,025,311‌

$

—‌

$

—‌

Total

Assets:

$

1,025,311‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

20

Equity

Income

Portfolio

Common

Stocks

(

98

.6

%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

4

.5

%

)

AT&T,

Inc. 

43,363‌

829‌

Comcast

Corp.

-  

Class

A 

109,444‌

4,286‌

News

Corp.

-

Class

A 

566,077‌

15,607‌

News

Corp.

-

Class

B 

47,702‌

1,354‌

Verizon

Communications,

Inc. 

60,725‌

2,504‌

The

Walt

Disney

Co. 

80,899‌

8,032‌

Total

32,612‌

Consumer

Discretionary

(

3

.0

%

)

Dr.

Ing.

h.c.

F.

Porsche

AG

-

Preference

Shares 

45,624‌

3,392‌

Kohl's

Corp. 

115,247‌

2,650‌

Las

Vegas

Sands

Corp. 

156,415‌

6,921‌

Mattel,

Inc. *

198,959‌

3,235‌

The

TJX

Cos.,

Inc. 

22,281‌

2,453‌

Volkswagen

AG,

ADR 

315,377‌

3,547‌

Total

22,198‌

Consumer

Staples

(

8

.6

%

)

Colgate-Palmolive

Co. 

59,500‌

5,774‌

Conagra

Brands,

Inc. 

231,009‌

6,565‌

Dollar

General

Corp. 

20,200‌

2,671‌

Kenvue,

Inc. 

473,594‌

8,610‌

Kimberly-Clark

Corp. 

86,611‌

11,970‌

Mondelez

International,

Inc. 

9,500‌

622‌

Philip

Morris

International,

Inc. 

115,026‌

11,655‌

Tyson

Foods,

Inc.

-

Class

A 

110,438‌

6,310‌

Walmart,

Inc. 

123,436‌

8,358‌

Total

62,535‌

Energy

(

8

.9

%

)

Baker

Hughes

Co. 

98,500‌

3,464‌

Chevron

Corp. 

9,199‌

1,439‌

ConocoPhillips 

22,300‌

2,551‌

Enbridge,

Inc. 

100,935‌

3,592‌

EOG

Resources,

Inc. 

35,323‌

4,446‌

EQT

Corp. 

128,900‌

4,767‌

Exxon

Mobil

Corp. 

104,735‌

12,057‌

Hess

Corp. 

14,000‌

2,065‌

Marathon

Oil

Corp. 

65,700‌

1,884‌

Suncor

Energy,

Inc. 

142,500‌

5,429‌

TC

Energy

Corp. 

75,993‌

2,880‌

TotalEnergies

SE,

ADR 

246,489‌

16,436‌

The

Williams

Cos.,

Inc. 

86,700‌

3,685‌

Total

64,695‌

Common

Stocks

(98.6%)

Shares/

Par

+

Value

$

(000’s)

Financials

(

20

.5

%

)

American

International

Group,

Inc. 

191,211‌

14,195‌

Apollo

Global

Management,

Inc. 

16,764‌

1,979‌

Bank

of

America

Corp. 

83,599‌

3,325‌

The

Bank

of

New

York

Mellon

Corp. 

20,000‌

1,198‌

The

Charles

Schwab

Corp. 

163,327‌

12,036‌

Chubb,

Ltd. 

56,007‌

14,286‌

Citigroup,

Inc. 

141,011‌

8,949‌

Equitable

Holdings,

Inc. 

251,290‌

10,268‌

Fifth

Third

Bancorp 

177,573‌

6,480‌

The

Goldman

Sachs

Group,

Inc. 

4,880‌

2,207‌

The

Hartford

Financial

Services

Group,

Inc. 

93,964‌

9,447‌

Huntington

Bancshares,

Inc. 

592,371‌

7,807‌

JPMorgan

Chase

&

Co. 

51,159‌

10,347‌

Loews

Corp. 

97,620‌

7,296‌

MetLife,

Inc. 

190,472‌

13,369‌

Morgan

Stanley 

24,558‌

2,387‌

U.S.

Bancorp 

163,088‌

6,475‌

Wells

Fargo

&

Co. 

284,454‌

16,894‌

Total

148,945‌

Health

Care

(

16

.5

%

)

AbbVie,

Inc. 

20,384‌

3,496‌

AstraZeneca

PLC,

ADR 

81,661‌

6,369‌

Becton

Dickinson

and

Co. 

53,226‌

12,439‌

Biogen,

Inc. *

10,003‌

2,319‌

Bristol-Myers

Squibb

Co. 

75,300‌

3,127‌

Cardinal

Health,

Inc. 

10,075‌

991‌

Centene

Corp. *

23,849‌

1,581‌

Cigna

Group 

24,381‌

8,060‌

CVS

Health

Corp. 

112,711‌

6,657‌

Elevance

Health,

Inc. 

35,608‌

19,294‌

GE

HealthCare

Technologies,

Inc. 

27,232‌

2,122‌

Humana,

Inc. 

3,900‌

1,457‌

Johnson

&

Johnson 

53,768‌

7,859‌

Medtronic

PLC 

82,760‌

6,514‌

Merck

&

Co.,

Inc. 

12,405‌

1,536‌

Pfizer,

Inc. 

132,492‌

3,707‌

Sanofi

SA,

ADR 

105,209‌

5,105‌

UnitedHealth

Group,

Inc. 

21,600‌

11,000‌

Viatris,

Inc. 

464,900‌

4,942‌

Zimmer

Biomet

Holdings,

Inc. 

101,553‌

11,021‌

Total

119,596‌

Common

Stocks

(98.6%)

Shares/

Par

+

Value

$

(000’s)

Industrials

(

12

.5

%

)

3M

Co. 

19,516‌

1,994‌

The

Boeing

Co. *

47,437‌

8,634‌

CSX

Corp. 

34,900‌

1,168‌

Cummins,

Inc. 

13,967‌

3,868‌

GE

Vernova,

Inc. *

25,999‌

4,459‌

General

Electric

Co. 

82,596‌

13,130‌

Honeywell

International,

Inc. 

17,300‌

3,694‌

L3Harris

Technologies,

Inc. 

57,672‌

12,952‌

Norfolk

Southern

Corp. 

18,200‌

3,907‌

Siemens

AG,

ADR 

97,485‌

9,091‌

Southwest

Airlines

Co. 

212,200‌

6,071‌

Stanley

Black

&

Decker,

Inc. 

112,095‌

8,955‌

Stericycle,

Inc. *

39,613‌

2,303‌

Union

Pacific

Corp. 

13,200‌

2,987‌

United

Parcel

Service,

Inc.

-

Class

B 

54,076‌

7,400‌

Total

90,613‌

Information

Technology

(

11

.1

%

)

Accenture

PLC

-

Class A 

16,700‌

5,067‌

Advanced

Micro

Devices,

Inc. *

3,700‌

600‌

Applied

Materials,

Inc. 

45,871‌

10,825‌

Cisco

Systems,

Inc. 

43,219‌

2,053‌

Fiserv,

Inc. *

49,747‌

7,414‌

Intel

Corp. 

101,200‌

3,134‌

Microsoft

Corp. 

27,050‌

12,090‌

QUALCOMM,

Inc. 

86,883‌

17,305‌

Salesforce,

Inc. 

3,900‌

1,003‌

Samsung

Electronics

Co.,

Ltd. 

130,289‌

7,657‌

TE

Connectivity,

Ltd. 

45,673‌

6,871‌

Texas

Instruments,

Inc. 

36,216‌

7,045‌

Total

81,064‌

Materials

(

3

.0

%

)

CF

Industries

Holdings,

Inc. 

153,121‌

11,350‌

International

Paper

Co. 

235,579‌

10,165‌

Total

21,515‌

Real

Estate

(

4

.2

%

)

Equity

Residential 

157,972‌

10,954‌

Rayonier,

Inc. 

183,920‌

5,350‌

Rexford

Industrial

Realty,

Inc. 

81,944‌

3,654‌

Vornado

Realty

Trust 

11,300‌

297‌

Weyerhaeuser

Co. 

354,320‌

10,059‌

Total

30,314‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

21

Equity

Income

Portfolio

Common

Stocks

(98.6%)

Shares/

Par

+

Value

$

(000’s)

Utilities

(

5

.8

%

)

Ameren

Corp. 

85,718‌

6,095‌

Dominion

Energy,

Inc. 

156,025‌

7,645‌

NextEra

Energy,

Inc. 

75,509‌

5,347‌

NiSource,

Inc. 

42,785‌

1,233‌

PG&E

Corp. 

59,424‌

1,038‌

Sempra 

69,590‌

5,293‌

The

Southern

Co. 

203,755‌

15,805‌

Total

42,456‌

Total

Common

Stocks

(Cost: $552,166)

716,543

Convertible

Preferred

Stocks

(

0

.2

%

)

Utilities

(

0

.2

%

)

NextEra

Energy,

Inc.,

6.926%

8/28/25

28,779‌

1,194‌

Total

1,194‌

Total

Convertible

Preferred

Stocks

(Cost: $1,403)

1,194

Total

Investments

(98.8%)

(Cost:

$553,569)

@

717,737

Other

Assets,

Less

Liabilities (1.2%)

8,592

Net

Assets

(100.0%)

726,329

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$553,569

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$164,168

which

is

comprised

of

$188,940

aggregate

gross

unrealized

appreciation

and

$24,772

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  See

Note

3

for

additional

information

on

portfolio

valuation.

Valuation

Inputs

Description

Level

1

-

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

- Significant

Unobservable

Inputs

(Amounts

in

thousands)

Assets:

Common

Stocks

Consumer

Discretionary

$

18,806‌

$

3,392‌

$

—‌

Information

Technology

73,407‌

7,657‌

—‌

All

Others

613,281‌

—‌

—‌

Convertible

Preferred

Stocks

1,194‌

—‌

—‌

Total

Assets:

$

706,688‌

$

11,049‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

22

Mid

Cap

Growth

Stock

Portfolio

Common

Stocks

(

100.0%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(2.5%)

Pinterest,

Inc.

-

Class A *

414,778‌

18,280‌

The

Trade

Desk,

Inc. *

71,099‌

6,944‌

Total

25,224‌

Consumer

Discretionary

(14.7%)

CarMax,

Inc. *

114,101‌

8,368‌

Choice

Hotels

International,

Inc. 

83,334‌

9,917‌

Deckers

Outdoor

Corp. *

15,234‌

14,746‌

Domino's

Pizza,

Inc. 

18,376‌

9,488‌

DoorDash,

Inc.

-

Class

 A *

88,800‌

9,660‌

DraftKings,

Inc.

-

Class A *

600,832‌

22,934‌

Floor

&

Decor

Holdings,

Inc. *

80,891‌

8,041‌

Gentex

Corp. 

261,776‌

8,824‌

Hyatt

Hotels

Corp.

-

Class

A 

86,123‌

13,084‌

NVR,

Inc. *

2,510‌

19,047‌

O'Reilly

Automotive,

Inc. *

9,378‌

9,904‌

Valvoline,

Inc. *

361,797‌

15,629‌

Total

149,642‌

Consumer

Staples

(3.1%)

Celsius

Holdings,

Inc. *

145,488‌

8,306‌

e.l.f.

Beauty,

Inc. *

74,917‌

15,786‌

Post

Holdings,

Inc. *

67,776‌

7,060‌

Total

31,152‌

Energy

(3.8%)

Antero

Resources

Corp. *

239,528‌

7,816‌

EQT

Corp. 

201,657‌

7,457‌

Targa

Resources

Corp. 

184,360‌

23,742‌

Total

39,015‌

Financials

(11.3%)

Credit

Acceptance

Corp. *

32,718‌

16,839‌

Hamilton

Lane,

Inc.

-

Class

A 

96,946‌

11,980‌

M&T

Bank

Corp. 

37,485‌

5,674‌

Markel

Corp. *

10,386‌

16,365‌

Morningstar,

Inc. 

46,288‌

13,694‌

Rocket

Companies,

Inc. *

361,819‌

4,957‌

Tradeweb

Markets,

Inc.

-

Class

A 

156,233‌

16,561‌

W.R.

Berkley

Corp. 

49,654‌

3,902‌

WEX,

Inc. *

115,582‌

20,474‌

Common

Stocks

(100.0%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

White

Mountains

Insurance

Group,

Ltd. 

2,191‌

3,982‌

Total

114,428‌

Health

Care

(18.3%)

Acadia

Healthcare

Co.,

Inc. *

149,055‌

10,067‌

Agilon

Health,

Inc. *

845,001‌

5,526‌

Apellis

Pharmaceuticals,

Inc. *

311,351‌

11,943‌

Bio-Techne

Corp. 

108,414‌

7,768‌

Dexcom,

Inc. *

177,084‌

20,078‌

Exact

Sciences

Corp. *

319,844‌

13,513‌

ICON

PLC *

32,616‌

10,224‌

Inspire

Medical

Systems,

Inc. *

86,758‌

11,611‌

Mettler-Toledo

International,

Inc. *

8,238‌

11,513‌

Molina

Healthcare,

Inc. *

31,291‌

9,303‌

Neurocrine

Biosciences,

Inc. *

55,986‌

7,708‌

PTC

Therapeutics,

Inc. *

305,447‌

9,341‌

Repligen

Corp. *

31,850‌

4,015‌

Sarepta

Therapeutics,

Inc. *

25,894‌

4,091‌

Ultragenyx

Pharmaceutical,

Inc. *

246,032‌

10,112‌

United

Therapeutics

Corp. *

28,336‌

9,027‌

Veeva

Systems,

Inc.

-

Class

A *

100,672‌

18,424‌

Waters

Corp. *

38,101‌

11,054‌

Total

185,318‌

Industrials

(16.0%)

Acuity

Brands,

Inc. 

20,051‌

4,841‌

AMERCO 

126,210‌

7,575‌

Axon

Enterprise,

Inc. *

34,379‌

10,116‌

Copart,

Inc. *

131,519‌

7,123‌

Dayforce,

Inc. *

197,877‌

9,815‌

Expeditors

International

of

Washington,

Inc. 

129,246‌

16,129‌

Fortive

Corp. 

111,119‌

8,234‌

Graco,

Inc. 

170,801‌

13,541‌

IDEX

Corp. 

49,373‌

9,934‌

Ingersoll-Rand,

Inc. 

113,343‌

10,296‌

Lennox

International,

Inc. 

28,245‌

15,110‌

Lincoln

Electric

Holdings,

Inc. 

27,041‌

5,101‌

Common

Stocks

(100.0%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Rollins,

Inc. 

144,637‌

7,057‌

Saia,

Inc. *

17,006‌

8,066‌

Vertiv

Holdings

Co. 

90,209‌

7,809‌

Watsco,

Inc. 

22,503‌

10,424‌

Westinghouse

Air

Brake

Technologies

Corp. 

73,519‌

11,620‌

Total

162,791‌

Information

Technology

(25.4%)

Atlassian

Corp.

-

Class A *

5,302‌

938‌

CDW

Corp. 

22,430‌

5,021‌

CyberArk

Software,

Ltd. *

87,019‌

23,793‌

Datadog,

Inc.

-

Class  A *

218,820‌

28,379‌

Dynatrace,

Inc. *

214,148‌

9,581‌

Enphase

Energy,

Inc. *

41,000‌

4,088‌

Entegris,

Inc. 

92,428‌

12,515‌

Fair

Isaac

Corp. *

12,389‌

18,443‌

Flex,

Ltd. *

166,951‌

4,923‌

HubSpot,

Inc. *

26,031‌

15,353‌

Informatica,

Inc.

-

Class A *

576,382‌

17,799‌

Lattice

Semiconductor

Corp. *

123,337‌

7,152‌

MKS

Instruments,

Inc. 

129,294‌

16,883‌

MongoDB,

Inc. *

67,651‌

16,910‌

Monolithic

Power

Systems,

Inc. 

27,847‌

22,881‌

Onto

Innovation,

Inc. *

52,471‌

11,521‌

PTC,

Inc. *

112,739‌

20,481‌

Rambus,

Inc. *

149,239‌

8,769‌

Tyler

Technologies,

Inc. *

13,079‌

6,576‌

Unity

Software,

Inc. *

252,716‌

4,109‌

VeriSign,

Inc. *

11,386‌

2,024‌

Total

258,139‌

Materials

(1.0%)

Ball

Corp. 

59,424‌

3,566‌

Element

Solutions,

Inc. 

149,404‌

4,052‌

FMC

Corp. 

47,140‌

2,713‌

Total

10,331‌

Real

Estate

(1.1%)

Lamar

Advertising

Co.

-

Class

A 

91,533‌

10,941‌

Total

10,941‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

23

Mid

Cap

Growth

Stock

Portfolio

Common

Stocks

(100.0%)

Shares/

Par

+

Value

$

(000’s)

Utilities

(2.8%)

Atmos

Energy

Corp. 

56,521‌

6,593‌

NiSource,

Inc. 

199,144‌

5,737‌

Vistra

Corp. 

180,863‌

15,551‌

Total

27,881‌

Total

Common

Stocks

(Cost: $871,488)

1,014,862

Total

Investments

(100.0%)

(Cost:

$871,488)

@

1,014,862

Other

Assets,

Less

Liabilities (0.0%)

(64)

Net

Assets

(100.0%)

1,014,798

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$871,488

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$143,374

which

is

comprised

of

$198,860

aggregate

gross

unrealized

appreciation

and

$55,486

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

1,014,862‌

$

—‌

$

—‌

Total

Assets:

$

1,014,862‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

24

Index

400

Stock

Portfolio

Common

Stocks

(

99.0%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(1.5%)

Frontier

Communications

Parent,

Inc. *

111,128‌

2,909‌

Iridium

Communications,

Inc. 

60,324‌

1,606‌

The

New

York

Times

Co.

-

Class

A 

81,245‌

4,160‌

Nexstar

Media

Group,

Inc. 

15,494‌

2,572‌

TEGNA,

Inc. 

84,264‌

1,175‌

TKO

Group

Holdings,

Inc. 

29,264‌

3,160‌

Warner

Music

Group

Corp. 

70,346‌

2,156‌

Ziff

Davis,

Inc. *

22,918‌

1,262‌

ZoomInfo

Technologies,

Inc. *

141,182‌

1,803‌

Total

20,803‌

Consumer

Discretionary

(14.6%)

Adient

PLC *

44,623‌

1,103‌

Aramark 

130,648‌

4,445‌

Autoliv

,

Inc. 

35,978‌

3,849‌

AutoNation,

Inc. *

12,201‌

1,945‌

Boyd

Gaming

Corp. 

33,467‌

1,844‌

Brunswick

Corp. 

33,569‌

2,443‌

Burlington

Stores,

Inc. *

31,727‌

7,614‌

Capri

Holdings,

Ltd. *

57,911‌

1,916‌

Carter's,

Inc. 

18,134‌

1,124‌

Choice

Hotels

International,

Inc. 

11,871‌

1,413‌

Churchill

Downs,

Inc. 

33,230‌

4,639‌

Columbia

Sportswear

Co. 

16,749‌

1,324‌

Crocs,

Inc. *

30,157‌

4,401‌

Dick's

Sporting

Goods,

Inc. 

28,926‌

6,215‌

Duolingo

,

Inc. *

18,376‌

3,834‌

Five

Below,

Inc. *

27,418‌

2,988‌

Floor

&

Decor

Holdings,

Inc. *

53,163‌

5,285‌

GameStop

Corp.

-

Class

A *

133,855‌

3,305‌

The

Gap,

Inc. 

107,622‌

2,571‌

Gentex

Corp. 

114,854‌

3,872‌

The

Goodyear

Tire

&

Rubber

Co. *

141,427‌

1,605‌

Graham

Holdings

Co.

-

Class

B 

1,726‌

1,207‌

Grand

Canyon

Education,

Inc. *

14,566‌

2,038‌

H&R

Block,

Inc. 

69,318‌

3,759‌

Harley-Davidson,

Inc. 

60,807‌

2,039‌

Helen

of

Troy,

Ltd. *

11,829‌

1,097‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Discretionary

continued

Hilton

Grand

Vacations,

Inc. *

34,006‌

1,375‌

Hyatt

Hotels

Corp.

-

Class

A 

22,446‌

3,410‌

KB

Home 

36,529‌

2,564‌

Lear

Corp. 

28,211‌

3,222‌

Lithia

Motors,

Inc.

-

Class

A 

13,614‌

3,437‌

Macy's,

Inc. 

136,688‌

2,624‌

Marriott

Vacations

Worldwide

Corp. 

16,246‌

1,419‌

Mattel,

Inc. *

170,961‌

2,780‌

Murphy

USA,

Inc. 

9,366‌

4,397‌

Nordstrom,

Inc. 

48,995‌

1,040‌

Ollie's

Bargain

Outlet

Holdings,

Inc. *

30,449‌

2,989‌

Penske

Automotive

Group,

Inc. 

9,632‌

1,435‌

Planet

Fitness,

Inc.

-

Class

A *

43,484‌

3,200‌

Polaris,

Inc. 

26,394‌

2,067‌

PVH

Corp. 

28,125‌

2,978‌

RH *

7,645‌

1,869‌

Scientific

Games

Corp.

-

Class

A *

44,780‌

4,696‌

Service

Corp.

International 

72,341‌

5,146‌

Skechers

USA,

Inc.

-

Class

A *

65,776‌

4,546‌

Taylor

Morrison

Home

Corp. *

52,542‌

2,913‌

Tempur

Sealy

International,

Inc. 

86,257‌

4,083‌

Texas

Roadhouse,

Inc. 

33,181‌

5,697‌

Thor

Industries,

Inc. 

26,492‌

2,476‌

Toll

Brothers,

Inc. 

51,749‌

5,960‌

TopBuild

Corp. *

15,714‌

6,054‌

Travel

+

Leisure

Co. 

35,399‌

1,592‌

Under

Armour

,

Inc.

-

Class

A *

94,345‌

629‌

Under

Armour

,

Inc.

-

Class

C *

93,525‌

611‌

Vail

Resorts,

Inc. 

18,862‌

3,398‌

Valvoline,

Inc. *

64,018‌

2,765‌

Visteon

Corp. *

13,711‌

1,463‌

The

Wendy's

Co. 

82,526‌

1,400‌

Whirlpool

Corp. 

27,144‌

2,774‌

Williams-Sonoma,

Inc. 

31,919‌

9,013‌

Wingstop

,

Inc. 

14,590‌

6,167‌

Wyndham

Hotels

&

Resorts,

Inc. 

40,028‌

2,962‌

YETI

Holdings,

Inc. *

42,349‌

1,616‌

Total

194,642‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Staples

(4.6%)

BellRing

Brands,

Inc. *

64,797‌

3,702‌

BJ's

Wholesale

Club

Holdings,

Inc. *

66,055‌

5,802‌

The

Boston

Beer

Co.,

Inc.

-

Class

A *

4,543‌

1,386‌

Casey's

General

Stores,

Inc. 

18,390‌

7,017‌

Celsius

Holdings,

Inc. *

74,107‌

4,231‌

Coca-Cola

Consolidated,

Inc. 

2,328‌

2,526‌

Coty,

Inc.

-

Class

A *

181,071‌

1,814‌

Darling

Ingredients,

Inc. *

79,378‌

2,917‌

e.l.f

.

Beauty,

Inc. *

27,575‌

5,811‌

Flowers

Foods,

Inc. 

95,439‌

2,119‌

Ingredion,

Inc. 

32,612‌

3,741‌

Lancaster

Colony

Corp. 

10,120‌

1,912‌

Performance

Food

Group

Co. *

77,306‌

5,111‌

Pilgrim's

Pride

Corp. *

20,009‌

770‌

Post

Holdings,

Inc. *

24,981‌

2,602‌

Sprouts

Farmers

Market,

Inc. *

49,914‌

4,176‌

US

Foods

Holding

Corp. *

112,370‌

5,953‌

Total

61,590‌

Energy

(5.9%)

Antero

Midstream

Corp. 

169,724‌

2,502‌

Antero

Resources

Corp. *

145,140‌

4,736‌

ChampionX

Corp. 

94,591‌

3,141‌

Chesapeake

Energy

Corp. 

55,337‌

4,548‌

Civitas

Resources,

Inc. 

45,746‌

3,156‌

CNX

Resources

Corp. *

76,141‌

1,850‌

DT

Midstream,

Inc. 

48,242‌

3,427‌

Equitrans

Midstream

Corp. 

215,436‌

2,796‌

HF

Sinclair

Corp. 

74,463‌

3,972‌

Matador

Resources

Co. 

57,652‌

3,436‌

Murphy

Oil

Corp. 

72,000‌

2,969‌

NOV,

Inc. 

196,509‌

3,736‌

Oasis

Petroleum,

Inc. 

30,891‌

5,180‌

Ovintiv

,

Inc. 

123,660‌

5,796‌

PBF

Energy,

Inc.

-

Class

A 

52,424‌

2,413‌

Permian

Resources

Corp. 

255,151‌

4,121‌

Range

Resources

Corp. 

120,535‌

4,041‌

Southwestern

Energy

Co. *

547,817‌

3,687‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

25

Index

400

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

Texas

Pacific

Land

Corp. 

9,251‌

6,793‌

Valaris

,

Ltd. *

30,938‌

2,305‌

Weatherford

International

PLC *

36,341‌

4,450‌

Total

79,055‌

Financials

(15.7%)

Affiliated

Managers

Group,

Inc. 

15,831‌

2,473‌

Ally

Financial,

Inc. 

135,913‌

5,392‌

American

Financial

Group,

Inc. 

32,497‌

3,998‌

Annaly

Capital

Management,

Inc. 

248,619‌

4,739‌

Associated

Banc-Corp. 

73,641‌

1,557‌

Bank

OZK 

52,408‌

2,149‌

Brighthouse

Financial,

Inc. *

30,853‌

1,337‌

Cadence

Bank 

90,756‌

2,567‌

The

Carlyle

Group,

Inc. 

107,266‌

4,307‌

CNO

Financial

Group,

Inc. 

53,785‌

1,491‌

Columbia

Banking

System,

Inc. 

104,022‌

2,069‌

Commerce

Bancshares,

Inc. 

58,561‌

3,267‌

Cullen/Frost

Bankers,

Inc. 

31,921‌

3,244‌

East

West

Bancorp,

Inc. 

69,126‌

5,062‌

Equitable

Holdings,

Inc. 

151,883‌

6,206‌

Erie

Indemnity

Co.

-

Class

A 

12,391‌

4,490‌

Essent

Group,

Ltd. 

52,998‌

2,978‌

Euronet

Worldwide,

Inc. *

21,650‌

2,241‌

Evercore

,

Inc.

-

Class

A 

17,604‌

3,669‌

F.N.B.

Corp. 

178,721‌

2,445‌

Federated

Hermes,

Inc. 

39,876‌

1,311‌

Fidelity

National

Financial,

Inc. 

128,955‌

6,373‌

First

American

Financial

Corp. 

51,528‌

2,780‌

First

Financial

Bankshares

,

Inc. 

63,867‌

1,886‌

First

Horizon

Corp. 

271,680‌

4,284‌

FirstCash

Holdings,

Inc. 

18,524‌

1,943‌

Glacier

Bancorp,

Inc. 

56,330‌

2,102‌

Hancock

Whitney

Corp. 

43,038‌

2,058‌

The

Hanover

Insurance

Group,

Inc. 

17,854‌

2,240‌

Home

BancShares

,

Inc. 

92,557‌

2,218‌

Houlihan

Lokey

,

Inc. 

26,015‌

3,508‌

Interactive

Brokers

Group,

Inc.

-

Class

A 

53,212‌

6,524‌

International

Bancshares

Corp. 

26,565‌

1,520‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Janus

Henderson

Group

PLC 

63,774‌

2,150‌

Jefferies

Financial

Group,

Inc. 

84,270‌

4,193‌

Kemper

Corp. 

30,060‌

1,783‌

Kinsale

Capital

Group,

Inc. 

10,985‌

4,232‌

MGIC

Investment

Corp. 

132,442‌

2,854‌

Morningstar,

Inc. 

12,954‌

3,832‌

New

York

Community

Bancorp,

Inc. 

387,339‌

1,247‌

Old

National

Bancorp 

156,898‌

2,697‌

Old

Republic

International

Corp. 

125,587‌

3,881‌

Pinnacle

Financial

Partners,

Inc. 

38,001‌

3,042‌

Primerica,

Inc. 

17,095‌

4,044‌

Prosperity

Bancshares,

Inc. 

47,660‌

2,914‌

Reinsurance

Group

of

America,

Inc. 

32,685‌

6,709‌

RenaissanceRe

Holdings,

Ltd. 

26,271‌

5,872‌

RLI

Corp. 

19,985‌

2,812‌

Ryan

Specialty

Group

Holdings,

Inc. 

50,975‌

2,952‌

SEI

Investments

Co. 

49,617‌

3,210‌

Selective

Insurance

Group,

Inc. 

30,202‌

2,834‌

SLM

Corp. 

109,151‌

2,269‌

SouthState

Corp. 

37,849‌

2,892‌

Starwood

Property

Trust,

Inc. 

149,117‌

2,824‌

Stifel

Financial

Corp. 

50,899‌

4,283‌

Synovus

Financial

Corp. 

72,750‌

2,924‌

Texas

Capital

Bancshares,

Inc. *

23,176‌

1,417‌

UMB

Financial

Corp. 

21,776‌

1,817‌

United

Bankshares

,

Inc. 

67,002‌

2,174‌

Unum

Group 

88,439‌

4,520‌

Valley

National

Bancorp 

212,489‌

1,483‌

Voya

Financial,

Inc. 

50,030‌

3,560‌

Webster

Financial

Corp. 

85,199‌

3,714‌

WEX,

Inc. *

20,816‌

3,687‌

Wintrust

Financial

Corp. 

30,679‌

3,024‌

Zions

Bancorp

NA 

73,353‌

3,181‌

Total

209,455‌

Health

Care

(9.2%)

Acadia

Healthcare

Co.,

Inc. *

46,084‌

3,112‌

Amedisys

,

Inc. *

16,206‌

1,488‌

Arrowhead

Pharmaceuticals,

Inc. *

61,700‌

1,604‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

Azenta

,

Inc. *

26,785‌

1,409‌

BioMarin

Pharmaceutical,

Inc. *

94,330‌

7,766‌

Bruker

Corp. 

48,371‌

3,087‌

Chemed

Corp. 

7,520‌

4,080‌

Cytokinetics,

Inc. *

56,960‌

3,086‌

DENTSPLY

SIRONA,

Inc. 

103,128‌

2,569‌

Doximity

,

Inc.

-

Class A *

60,695‌

1,698‌

Encompass

Health

Corp. 

50,008‌

4,290‌

Enovis

Corp. *

24,784‌

1,120‌

Envista

Holdings

Corp. *

85,353‌

1,419‌

Exelixis

,

Inc. *

144,713‌

3,252‌

Globus

Medical,

Inc.

-

Class

A *

55,951‌

3,832‌

Haemonetics

Corp. *

25,227‌

2,087‌

Halozyme

Therapeutics,

Inc. *

63,229‌

3,311‌

HealthEquity

,

Inc. *

43,167‌

3,721‌

Illumina,

Inc. *

79,138‌

8,260‌

Jazz

Pharmaceuticals

PLC *

31,317‌

3,342‌

Lantheus

Holdings,

Inc. *

34,392‌

2,761‌

LivaNova

PLC *

27,069‌

1,484‌

Masimo

Corp. *

22,152‌

2,790‌

Medpace

Holdings,

Inc. *

11,698‌

4,818‌

Neogen

Corp. *

97,923‌

1,531‌

Neurocrine

Biosciences,

Inc. *

49,995‌

6,883‌

Option

Care

Health,

Inc. *

86,335‌

2,391‌

Penumbra,

Inc. *

19,257‌

3,466‌

Perrigo

Co.

PLC 

67,709‌

1,739‌

Progyny

,

Inc. *

41,158‌

1,177‌

QuidelOrtho

Corp. *

24,617‌

818‌

R1

RCM,

Inc. *

98,313‌

1,235‌

Repligen

Corp. *

25,814‌

3,254‌

Roivant

Sciences,

Ltd. *

168,143‌

1,777‌

Sarepta

Therapeutics,

Inc. *

46,958‌

7,419‌

Sotera

Health

Co. *

62,223‌

739‌

Tenet

Healthcare

Corp. *

48,527‌

6,456‌

United

Therapeutics

Corp. *

22,036‌

7,020‌

Total

122,291‌

Industrials

(22.1%)

AAON,

Inc. 

33,874‌

2,955‌

Acuity

Brands,

Inc. 

15,151‌

3,658‌

Advanced

Drainage

Systems,

Inc. 

33,849‌

5,429‌

AECOM 

67,625‌

5,960‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

26

Index

400

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

AGCO

Corp. 

30,771‌

3,012‌

Applied

Industrial

Technologies,

Inc. 

19,178‌

3,721‌

ASGN,

Inc. *

22,804‌

2,011‌

Avis

Budget

Group,

Inc. 

9,032‌

944‌

The

Brink's

Co. 

22,090‌

2,262‌

BWX

Technologies,

Inc. 

45,411‌

4,314‌

CACI

International,

Inc.

-

Class

A *

11,077‌

4,765‌

Carlisle

Cos.,

Inc. 

23,585‌

9,557‌

Chart

Industries,

Inc. *

20,885‌

3,015‌

Clean

Harbors,

Inc. *

24,921‌

5,636‌

Comfort

Systems

USA,

Inc. 

17,690‌

5,380‌

Concentrix

Corp. 

23,279‌

1,473‌

Core

&

Main,

Inc.

-

Class

A *

84,956‌

4,158‌

Crane

Co. 

24,420‌

3,540‌

Curtiss-Wright

Corp. 

19,027‌

5,156‌

Donaldson

Co.,

Inc. 

59,803‌

4,279‌

EMCOR

Group,

Inc. 

23,347‌

8,523‌

EnerSys

20,079‌

2,079‌

ESAB

Corp. 

28,215‌

2,664‌

ExlService

Holdings,

Inc. *

80,710‌

2,531‌

Exponent,

Inc. 

25,174‌

2,395‌

Flowserve

Corp. 

65,402‌

3,146‌

Fluor

Corp. *

85,047‌

3,704‌

Fortune

Brands

Home

&

Security,

Inc. 

62,137‌

4,035‌

FTI

Consulting,

Inc. *

17,427‌

3,756‌

GATX

Corp. 

17,685‌

2,341‌

Genpact

,

Ltd. 

82,271‌

2,648‌

Graco

,

Inc. 

84,030‌

6,662‌

GXO

Logistics,

Inc. *

59,336‌

2,996‌

Hexcel

Corp. 

41,290‌

2,579‌

Insperity

,

Inc. 

17,695‌

1,614‌

ITT,

Inc. 

40,886‌

5,282‌

KBR,

Inc. 

66,707‌

4,279‌

Kirby

Corp. *

28,963‌

3,468‌

Knight-Swift

Transportation

Holdings,

Inc. 

80,290‌

4,008‌

Landstar

System,

Inc. 

17,768‌

3,278‌

Lennox

International,

Inc. 

15,928‌

8,521‌

Lincoln

Electric

Holdings,

Inc. 

28,271‌

5,333‌

ManpowerGroup

,

Inc. 

23,704‌

1,655‌

MasTec

,

Inc. *

30,185‌

3,229‌

MAXIMUS,

Inc. 

30,209‌

2,589‌

MDU

Resources

Group,

Inc. 

101,284‌

2,542‌

The

Middleby

Corp. *

26,713‌

3,275‌

MSA

Safety,

Inc. 

18,392‌

3,452‌

MSC

Industrial

Direct

Co.,

Inc. 

22,655‌

1,797‌

NEXTracker

,

Inc.

-

Class

A *

61,051‌

2,862‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

nVent

Electric

PLC 

82,475‌

6,318‌

Oshkosh

Corp. 

32,491‌

3,515‌

Owens

Corning 

43,051‌

7,479‌

Paylocity

Holding

Corp. *

21,588‌

2,846‌

RB

Global,

Inc. 

91,272‌

6,970‌

RBC

Bearings,

Inc. *

14,426‌

3,892‌

Regal

Rexnord

Corp. 

33,046‌

4,468‌

Ryder

System,

Inc. 

21,773‌

2,697‌

Saia,

Inc. *

13,209‌

6,265‌

Science

Applications

International

Corp. 

25,471‌

2,994‌

Sensata

Technologies

Holding

PLC 

74,884‌

2,800‌

Simpson

Manufacturing

Co.,

Inc. 

20,944‌

3,530‌

Stericycle,

Inc. *

46,096‌

2,680‌

Terex

Corp. 

33,433‌

1,833‌

Tetra

Tech,

Inc. 

26,578‌

5,435‌

The

Timken

Co. 

32,182‌

2,579‌

The

Toro

Co. 

51,869‌

4,850‌

Trex

Co.,

Inc. *

54,000‌

4,002‌

UFP

Industries,

Inc. 

30,681‌

3,436‌

Valmont

Industries,

Inc. 

10,031‌

2,753‌

Watsco

,

Inc. 

15,903‌

7,367‌

Watts

Water

Technologies,

Inc.

-

Class

A 

13,618‌

2,497‌

WESCO

International,

Inc. 

21,716‌

3,442‌

Woodward,

Inc. 

30,265‌

5,278‌

XPO

Logistics,

Inc. *

57,791‌

6,134‌

Total

294,528‌

Information

Technology

(9.4%)

Allegro

Microsystems,

Inc. *

35,488‌

1,002‌

Altair

Engineering,

Inc.

-

Class

A *

28,292‌

2,775‌

Amkor

Technology,

Inc. 

51,365‌

2,056‌

AppFolio

,

Inc.

-

Class A *

10,427‌

2,550‌

Arrow

Electronics,

Inc. *

26,446‌

3,194‌

Aspen

Technology,

Inc. *

13,843‌

2,750‌

Avnet,

Inc. 

44,906‌

2,312‌

Belden,

Inc. 

20,209‌

1,896‌

Blackbaud

,

Inc. *

20,082‌

1,530‌

Ciena

Corp. *

71,836‌

3,461‌

Cirrus

Logic,

Inc. *

26,795‌

3,421‌

Cognex

Corp. 

85,281‌

3,988‌

Coherent

Corp. *

65,895‌

4,775‌

CommVault

Systems,

Inc. *

21,565‌

2,622‌

Crane

Holdings

Co. 

24,121‌

1,481‌

Dolby

Laboratories,

Inc.

-

Class

A 

29,690‌

2,352‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Dropbox,

Inc.

-

Class A *

120,055‌

2,698‌

Dynatrace

,

Inc. *

119,507‌

5,347‌

IPG

Photonics

Corp. *

14,263‌

1,204‌

Kyndryl

Holdings,

Inc. *

114,312‌

3,007‌

Lattice

Semiconductor

Corp. *

68,332‌

3,962‌

Littelfuse

,

Inc. 

12,313‌

3,147‌

Lumentum

Holdings,

Inc. *

33,580‌

1,710‌

MACOM

Technology

Solutions

Holdings,

Inc. *

27,224‌

3,035‌

Manhattan

Associates,

Inc. *

30,589‌

7,546‌

MKS

Instruments,

Inc. 

31,379‌

4,097‌

Novanta

,

Inc. *

17,832‌

2,908‌

Onto

Innovation,

Inc. *

24,480‌

5,375‌

Power

Integrations,

Inc. 

28,200‌

1,979‌

Pure

Storage,

Inc. *

151,814‌

9,748‌

Qualys

,

Inc. *

18,353‌

2,617‌

Rambus,

Inc. *

53,546‌

3,146‌

Silicon

Laboratories,

Inc. *

15,858‌

1,754‌

Synaptics

,

Inc. *

19,622‌

1,731‌

TD

SYNNEX

Corp. 

38,610‌

4,456‌

Teradata

Corp. *

48,040‌

1,660‌

Universal

Display

Corp. 

21,682‌

4,559‌

Vishay

Intertechnology

,

Inc. 

62,174‌

1,386‌

Vontier

Corp. 

76,703‌

2,930‌

The

Western

Union

Co. 

168,084‌

2,054‌

Wolfspeed

,

Inc. *

62,525‌

1,423‌

Total

125,644‌

Materials

(6.5%)

Alcoa

Corp. 

89,201‌

3,548‌

AptarGroup,

Inc. 

32,922‌

4,636‌

Arcadium

Lithium

PLC *

512,798‌

1,723‌

Ashland

Global

Holdings,

Inc. 

24,903‌

2,353‌

Avient

Corp. 

45,333‌

1,979‌

Axalta

Coating

Systems,

Ltd. *

109,616‌

3,746‌

Berry

Global

Group,

Inc. 

56,837‌

3,345‌

Cabot

Corp. 

27,452‌

2,523‌

The

Chemours

Co. 

73,966‌

1,669‌

Cleveland-Cliffs,

Inc. *

236,209‌

3,635‌

Commercial

Metals

Co. 

57,481‌

3,161‌

Crown

Holdings,

Inc. 

59,274‌

4,409‌

Eagle

Materials,

Inc. 

17,114‌

3,722‌

Graphic

Packaging

Holding

Co. 

152,673‌

4,002‌

Greif,

Inc.

-

Class

A 

12,776‌

734‌

Knife

River

Corp. *

28,123‌

1,973‌

Louisiana-Pacific

Corp. 

31,689‌

2,609‌

MP

Materials

Corp. *

66,519‌

847‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

27

Index

400

Stock

Portfolio

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Materials

continued

NewMarket

Corp. 

3,432‌

1,769‌

Olin

Corp. 

59,326‌

2,797‌

Reliance,

Inc. 

28,529‌

8,148‌

Royal

Gold,

Inc. 

32,655‌

4,087‌

RPM

International,

Inc. 

63,968‌

6,888‌

The

Scotts

Miracle-

Gro

Co. 

20,879‌

1,358‌

Silgan

Holdings,

Inc. 

40,319‌

1,707‌

Sonoco

Products

Co. 

48,820‌

2,476‌

United

States

Steel

Corp. 

111,147‌

4,201‌

Westlake

Corp. 

15,968‌

2,312‌

Total

86,357‌

Real

Estate

(7.0%)

Agree

Realty

Corp. 

49,877‌

3,089‌

American

Homes

4

Rent

-

Class

A 

159,870‌

5,941‌

Brixmor

Property

Group,

Inc. 

149,674‌

3,456‌

Corporate

Office

Properties

Trust 

55,824‌

1,397‌

Cousins

Properties,

Inc. 

75,533‌

1,749‌

CubeSmart

LP 

111,764‌

5,048‌

EastGroup

Properties,

Inc. 

23,879‌

4,062‌

EPR

Properties 

37,577‌

1,577‌

Equity

LifeStyle

Properties,

Inc. 

92,648‌

6,034‌

First

Industrial

Realty

Trust,

Inc. 

65,746‌

3,124‌

Gaming

and

Leisure

Properties,

Inc. 

134,934‌

6,100‌

Healthcare

Realty

Trust,

Inc. 

188,055‌

3,099‌

Independence

Realty

Trust,

Inc. 

111,613‌

2,092‌

Jones

Lang

LaSalle,

Inc. *

23,628‌

4,850‌

Kilroy

Realty

Corp. 

53,056‌

1,654‌

Kite

Realty

Group

Trust 

109,100‌

2,442‌

Lamar

Advertising

Co.

-

Class

A 

43,627‌

5,215‌

National

Retail

Properties,

Inc. 

91,080‌

3,880‌

National

Storage

Affiliates

Trust 

34,623‌

1,427‌

Omega

Healthcare

Investors,

Inc. 

122,753‌

4,204‌

Park

Hotels

&

Resorts,

Inc. 

104,615‌

1,567‌

PotlatchDeltic

Corp. 

39,496‌

1,556‌

Rayonier,

Inc. 

68,042‌

1,979‌

Rexford

Industrial

Realty,

Inc. 

107,999‌

4,816‌

Sabra

Health

Care

REIT,

Inc. 

114,989‌

1,771‌

STAG

Industrial,

Inc. 

90,454‌

3,262‌

Vornado

Realty

Trust 

79,486‌

2,090‌

Common

Stocks

(99.0%)

Shares/

Par

+

Value

$

(000’s)

Real

Estate

continued

WP

Carey,

Inc. 

108,708‌

5,984‌

Total

93,465‌

Utilities

(2.5%)

ALLETE,

Inc. 

28,660‌

1,787‌

Black

Hills

Corp. 

34,417‌

1,871‌

Essential

Utilities,

Inc. 

125,013‌

4,667‌

IDACORP,

Inc. 

25,183‌

2,346‌

National

Fuel

Gas

Co. 

45,666‌

2,474‌

New

Jersey

Resources

Corp. 

49,094‌

2,098‌

Northwestern

Energy

Group,

Inc. 

30,442‌

1,524‌

OGE

Energy

Corp. 

99,628‌

3,557‌

ONE

Gas,

Inc. 

27,953‌

1,785‌

Ormat

Technologies,

Inc. 

26,718‌

1,916‌

PNM

Resources,

Inc. 

44,812‌

1,656‌

Portland

General

Electric

Co. 

51,195‌

2,214‌

Southwest

Gas

Holdings,

Inc. 

29,907‌

2,105‌

Spire,

Inc. 

28,687‌

1,742‌

UGI

Corp. 

104,135‌

2,385‌

Total

34,127‌

Total

Common

Stocks

(Cost: $969,349)

1,321,957

Short-Term

Investments

(

0.1%

)

Governments

(0.1%)

US

Treasury

0.000%,

10/3/24 β

695,000‌

686‌

Total

686‌

Total

Short-Term

Investments

(Cost:

$685)

686‌

Total

Investments

(99.1%)

(Cost:

$970,034)

@

1,322,643

Other

Assets,

Less

Liabilities (0.9%)

12,341

Net

Assets

(100.0%)

1,334,984

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

28

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

4‌

44

9/24

$

13,016‌

$

24‌

$

16‌

$

24‌

$

16‌

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

$

–‌

$

16‌

$

16‌

$

–‌

$

–‌

$

–‌

$

–‌

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

β

Part

or

all

of

the

security

has

been

pledged

as

collateral.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$970,034

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$352,633

which

is

comprised

of

$420,630

aggregate

gross

unrealized

appreciation

and

$67,997

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

1,321,957‌

$

—‌

$

—‌

Short-Term

Investments

—‌

686‌

—‌

Other

Financial

Instruments

Ω

Futures

24‌

—‌

—‌

Total

Assets:

$

1,321,981‌

$

686‌

$

—‌

Ω

Other

financial

instruments

are

derivative

instruments

such

as

futures

and

forward

foreign

currency

contracts,

which

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrumen

t,

and

securities

sold

short,

reverse

repurchase

agreements,

written

options

and

swaps

contracts,

which

are

valued

at

market

value.

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

29

Mid

Cap

Value

Portfolio

Common

Stocks

(

98.0%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(1.5%)

BCE,

Inc. 

142,305‌

4,609‌

Fox

Corp.

-

Class

B 

93,719‌

3,001‌

Omnicom

Group,

Inc. 

17,659‌

1,584‌

Total

9,194‌

Consumer

Discretionary

(3.7%)

Aptiv

PLC *

43,753‌

3,081‌

BorgWarner,

Inc. 

106,264‌

3,426‌

Darden

Restaurants,

Inc. 

22,934‌

3,471‌

The

Interpublic

Group

of

Companies,

Inc. 

251,057‌

7,303‌

Mohawk

Industries,

Inc. *

34,592‌

3,929‌

Sodexo

SA 

23,988‌

2,162‌

Total

23,372‌

Consumer

Staples

(11.3%)

Conagra

Brands,

Inc. 

458,853‌

13,041‌

Dollar

Tree,

Inc. *

73,102‌

7,805‌

General

Mills,

Inc. 

120,368‌

7,614‌

Heineken

NV 

51,012‌

4,924‌

Henkel

AG

&

Co.

KGaA

-

Preference

Shares 

53,495‌

4,767‌

Kenvue,

Inc. 

373,419‌

6,789‌

Kimberly-Clark

Corp. 

73,813‌

10,201‌

Koninklijke

Ahold

Delhaize

NV 

393,611‌

11,618‌

Pernod

Ricard

SA 

26,964‌

3,669‌

Total

70,428‌

Energy

(6.0%)

Baker

Hughes

Co. 

232,972‌

8,194‌

Coterra

Energy,

Inc. 

167,362‌

4,463‌

Enterprise

Products

Partners

LP 

430,122‌

12,465‌

EQT

Corp. 

133,323‌

4,930‌

Occidental

Petroleum

Corp. 

111,838‌

7,049‌

Total

37,101‌

Financials

(17.5%)

Aflac,

Inc. 

33,324‌

2,976‌

AllianceBernstein

Holding

LP 

70,598‌

2,386‌

The

Allstate

Corp. 

66,193‌

10,568‌

The

Bank

of

New

York

Mellon

Corp. 

233,332‌

13,974‌

Commerce

Bancshares,

Inc. 

108,162‌

6,033‌

Equity

Residential 

95,298‌

6,608‌

First

Hawaiian,

Inc. 

161,891‌

3,361‌

The

Hanover

Insurance

Group,

Inc. 

41,306‌

5,181‌

Northern

Trust

Corp. 

140,130‌

11,768‌

Common

Stocks

(98.0%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

The

PNC

Financial

Services

Group,

Inc. 

24,094‌

3,746‌

Reinsurance

Group

of

America,

Inc. 

27,868‌

5,721‌

T.

Rowe

Price

Group,

Inc. 

67,173‌

7,746‌

Truist

Financial

Corp. 

245,867‌

9,552‌

U.S.

Bancorp 

100,017‌

3,971‌

Westamerica

Bancorporation 

74,918‌

3,636‌

Willis

Towers

Watson

PLC 

44,146‌

11,572‌

Total

108,799‌

Health

Care

(14.8%)

Becton

Dickinson

and

Co. 

24,824‌

5,802‌

Cardinal

Health,

Inc. 

80,461‌

7,911‌

Cencora,

Inc. 

7,553‌

1,702‌

Centene

Corp. *

69,296‌

4,594‌

DENTSPLY

SIRONA,

Inc. 

118,747‌

2,958‌

Envista

Holdings

Corp. *

190,868‌

3,174‌

GE

HealthCare

Technologies,

Inc. 

42,676‌

3,325‌

Henry

Schein,

Inc. *

183,719‌

11,776‌

Hologic,

Inc. *

75,964‌

5,640‌

Labcorp

Holdings,

Inc. 

31,372‌

6,385‌

Quest

Diagnostics,

Inc. 

83,600‌

11,443‌

Universal

Health

Services,

Inc.

-

Class

 B 

46,372‌

8,576‌

Zimmer

Biomet

Holdings,

Inc. 

173,304‌

18,809‌

Total

92,095‌

Industrials

(14.1%)

Atkore,

Inc. 

14,164‌

1,911‌

Beacon

Roofing

Supply,

Inc. *

72,755‌

6,584‌

Bunzl

PLC 

189,768‌

7,199‌

Cie

de

Saint-Gobain 

33,567‌

2,599‌

Cummins,

Inc. 

12,915‌

3,577‌

Dover

Corp. 

9,326‌

1,683‌

Emerson

Electric

Co. 

86,732‌

9,554‌

Heartland

Express,

Inc. 

28,328‌

349‌

Huntington

Ingalls

Industries,

Inc. 

22,132‌

5,452‌

Johnson

Controls

International

PLC 

59,255‌

3,939‌

MSC

Industrial

Direct

Co.,

Inc. 

87,696‌

6,955‌

Norfolk

Southern

Corp. 

51,763‌

11,113‌

Oshkosh

Corp. 

62,380‌

6,750‌

Common

Stocks

(98.0%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Republic

Services,

Inc. 

15,573‌

3,026‌

Southwest

Airlines

Co. 

267,059‌

7,641‌

The

Timken

Co. 

38,951‌

3,121‌

VINCI

SA 

63,911‌

6,723‌

Total

88,176‌

Information

Technology

(7.1%)

Amdocs,

Ltd. 

91,312‌

7,206‌

Cognizant

Technology

Solutions

Corp. 

71,469‌

4,860‌

Electronic

Arts,

Inc. 

17,119‌

2,385‌

F5,

Inc. *

43,805‌

7,545‌

HP,

Inc. 

212,445‌

7,440‌

Juniper

Networks,

Inc. 

128,121‌

4,671‌

ON

Semiconductor

Corp. *

42,875‌

2,939‌

TE

Connectivity,

Ltd. 

36,897‌

5,551‌

Teradyne,

Inc. 

11,262‌

1,670‌

Total

44,267‌

Materials

(4.2%)

Akzo

Nobel

NV 

87,421‌

5,315‌

Amcor

PLC 

191,184‌

1,870‌

CRH

PLC 

42,994‌

3,224‌

Graphic

Packaging

Holding

Co. 

171,841‌

4,504‌

Packaging

Corp.

of

America 

35,147‌

6,416‌

Sonoco

Products

Co. 

99,617‌

5,053‌

Total

26,382‌

Real

Estate

(5.8%)

Essex

Property

Trust,

Inc. 

8,565‌

2,331‌

Healthpeak

Properties,

Inc. 

406,078‌

7,959‌

Public

Storage 

22,369‌

6,435‌

Realty

Income

Corp. 

178,158‌

9,410‌

Regency

Centers

Corp. 

98,155‌

6,105‌

VICI

Properties,

Inc. 

137,201‌

3,930‌

Total

36,170‌

Utilities

(12.0%)

CMS

Energy

Corp. 

82,408‌

4,906‌

Duke

Energy

Corp. 

92,389‌

9,260‌

Edison

International 

159,619‌

11,462‌

Evergy,

Inc. 

136,086‌

7,208‌

Eversource

Energy 

119,924‌

6,801‌

Northwestern

Energy

Group,

Inc. 

206,207‌

10,327‌

ONE

Gas,

Inc. 

77,783‌

4,966‌

Pinnacle

West

Capital

Corp. 

44,785‌

3,421‌

Spire,

Inc. 

96,579‌

5,865‌

WEC

Energy

Group,

Inc. 

95,549‌

7,497‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

30

Mid

Cap

Value

Portfolio

Common

Stocks

(98.0%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

Xcel

Energy,

Inc. 

58,095‌

3,103‌

Total

74,816‌

Total

Common

Stocks

(Cost: $621,235)

610,800

Total

Investments

(98.0%)

(Cost:

$621,235)

@

610,800

Other

Assets,

Less

Liabilities (2.0%)

12,662

Net

Assets

(100.0%)

623,462

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

CAD

5,426‌

3,975‌

9/27/24

$

6‌

$

—‌

$

6‌

Buy      

Bank

of

America

NA

EUR

1,027‌

1,105‌

9/27/24

—‌

(1‌)

(1‌)

Sell      

Bank

of

America

NA

EUR

34,479‌

37,079‌

9/27/24

77‌

—‌

77‌

Sell      

Bank

of

America

NA

GBP

4,878‌

6,170‌

9/27/24

11‌

—‌

11‌

$

94‌

$

(1‌)

$

93‌

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

$

94‌

—‌

$

94‌

$

(1‌)

—‌

—‌

$

(1‌)

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$621,235

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$10,342

which

is

comprised

of

$35,951

aggregate

gross

unrealized

appreciation

and

$46,293

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

31

Mid

Cap

Value

Portfolio

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  See

Note

3

for

additional

information

on

portfolio

valuation.

Valuation

Inputs

Description

Level

1

-

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

- Significant

Unobservable

Inputs

(Amounts

in

thousands)

Assets:

Common

Stocks

Consumer

Discretionary

$

21,210‌

$

2,162‌

$

—‌

Consumer

Staples

45,450‌

24,978‌

—‌

Industrials

71,655‌

16,521‌

—‌

Materials

21,067‌

5,315‌

—‌

All

Others

402,442‌

—‌

—‌

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

94‌

—‌

Total

Assets:

$

561,824‌

$

49,070‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

(1‌)

—‌

Total

Liabilities:

$

—‌

$

(1‌)

$

—‌

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

32

Small

Cap

Growth

Stock

Portfolio

Common

Stocks

(

98.1%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(0.6%)

Eventbrite,

Inc.

-

Class A *

417,673‌

2,021‌

ZoomInfo

Technologies,

Inc. *

194,973‌

2,490‌

Total

4,511‌

Consumer

Discretionary

(12.2%)

Abercrombie

&

Fitch

Co. *

39,024‌

6,940‌

Boot

Barn

Holdings,

Inc. *

55,568‌

7,164‌

Cavco

Industries,

Inc. *

12,900‌

4,466‌

Century

Communities,

Inc. 

59,029‌

4,820‌

Chewy,

Inc.

-

Class

A *

135,692‌

3,696‌

Duolingo,

Inc. *

18,983‌

3,961‌

Etsy,

Inc. *

60,158‌

3,548‌

European

Wax

Center,

Inc.

-

Class

A *

334,244‌

3,319‌

The

Goodyear

Tire

&

Rubber

Co. *

329,449‌

3,739‌

Modine

Manufacturing

Co. *

54,148‌

5,425‌

Patrick

Industries,

Inc. 

20,197‌

2,192‌

PVH

Corp. 

46,172‌

4,888‌

SharkNinja,

Inc. 

65,781‌

4,944‌

Smith

Douglas

Homes

Corp. *

78,495‌

1,835‌

VF

Corp. 

258,578‌

3,491‌

Visteon

Corp. *

64,868‌

6,922‌

Wayfair,

Inc.

-

Class

A *

40,975‌

2,161‌

Wingstop,

Inc. 

5,415‌

2,289‌

Wyndham

Hotels

&

Resorts,

Inc. 

83,831‌

6,204‌

YETI

Holdings,

Inc. *

115,730‌

4,415‌

Total

86,419‌

Consumer

Staples

(3.5%)

BellRing

Brands,

Inc. *

100,744‌

5,757‌

e.l.f.

Beauty,

Inc. *

28,428‌

5,990‌

Freshpet,

Inc. *

60,315‌

7,804‌

Inter

Parfums,

Inc. 

43,074‌

4,998‌

Total

24,549‌

Energy

(3.8%)

Cactus,

Inc.

-

Class

A 

79,857‌

4,212‌

Gulfport

Energy

Corp. *

27,767‌

4,193‌

Helmerich

&

Payne,

Inc. 

98,303‌

3,553‌

Matador

Resources

Co. 

83,178‌

4,957‌

Valaris,

Ltd. *

70,783‌

5,273‌

Weatherford

International

PLC *

40,714‌

4,985‌

Total

27,173‌

Common

Stocks

(98.1%)

Shares/

Par

+

Value

$

(000’s)

Financials

(6.2%)

Evercore,

Inc.

-

Class

A 

21,168‌

4,412‌

Remitly

Global,

Inc. *

216,802‌

2,628‌

Selective

Insurance

Group,

Inc. 

22,691‌

2,129‌

StepStone

Group,

Inc.

-

Class

A 

168,835‌

7,748‌

Stifel

Financial

Corp. 

96,104‌

8,087‌

Synovus

Financial

Corp. 

102,427‌

4,117‌

Triumph

Financial,

Inc. *

59,986‌

4,904‌

WEX,

Inc. *

28,045‌

4,968‌

White

Mountains

Insurance

Group,

Ltd. 

2,802‌

5,092‌

Total

44,085‌

Health

Care

(24.3%)

Acadia

Healthcare

Co.,

Inc. *

70,903‌

4,789‌

Akero

Therapeutics,

Inc. *

96,068‌

2,254‌

Alkermes

PLC *

223,691‌

5,391‌

Amicus

Therapeutics,

Inc. *

304,907‌

3,025‌

Apellis

Pharmaceuticals,

Inc. *

55,533‌

2,130‌

Apogee

Therapeutics,

Inc. *

60,213‌

2,369‌

AtriCure,

Inc. *

110,647‌

2,519‌

Avidity

Biosciences,

Inc. *

88,334‌

3,608‌

Axsome

Therapeutics,

Inc. *

53,018‌

4,268‌

Blueprint

Medicines

Corp. *

57,732‌

6,222‌

BridgeBio

Pharma,

Inc. *

62,255‌

1,577‌

Celldex

Therapeutics,

Inc. *

129,793‌

4,804‌

Crinetics

Pharmaceuticals,

Inc. *

136,085‌

6,095‌

Cytek

Biosciences,

Inc. *

472,978‌

2,639‌

Cytokinetics,

Inc. *

73,377‌

3,976‌

Denali

Therapeutics,

Inc. *

101,689‌

2,361‌

Disc

Medicine

Inc. *

38,138‌

1,719‌

Encompass

Health

Corp. 

90,458‌

7,760‌

Ensign

Group,

Inc. 

90,749‌

11,225‌

Exact

Sciences

Corp. *

58,632‌

2,477‌

Geron

Corp. *

1,107,076‌

4,694‌

Common

Stocks

(98.1%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

Haemonetics

Corp. *

103,804‌

8,588‌

HealthEquity,

Inc. *

91,577‌

7,894‌

Insmed,

Inc. *

57,739‌

3,869‌

Inspire

Medical

Systems,

Inc. *

18,156‌

2,430‌

Intellia

Therapeutics,

Inc. *

32,577‌

729‌

Intra-Cellular

Therapies,

Inc. *

50,616‌

3,467‌

Ionis

Pharmaceuticals,

Inc. *

73,127‌

3,485‌

iRhythm

Technologies,

Inc. *

47,852‌

5,151‌

Kymera

Therapeutics,

Inc. *

63,533‌

1,896‌

Kyverna

Therapeutics,

Inc. *

62,283‌

467‌

MoonLake

19,830‌

872‌

Morphic

Holding,

Inc. *

62,343‌

2,124‌

Nurix

Therapeutics,

Inc. *

88,345‌

1,844‌

Nuvalent,

Inc.

-

Class A *

14,522‌

1,102‌

Option

Care

Health,

Inc. *

188,450‌

5,220‌

Prothena

Corp.

PLC *

53,522‌

1,105‌

RadNet,

Inc. *

135,014‌

7,955‌

Revolution

Medicines,

Inc. *

132,643‌

5,148‌

Rocket

Pharmaceuticals,

Inc. *

120,877‌

2,602‌

Savara

Inc. *

154,400‌

622‌

Structure

Therapeutics,

Inc.,

ADR *

52,352‌

2,056‌

TransMedics

Group,

Inc. *

31,937‌

4,810‌

Twist

Bioscience

Corp. *

32,596‌

1,606‌

Ultragenyx

Pharmaceutical,

Inc. *

35,126‌

1,444‌

Vaxcyte,

Inc. *

103,362‌

7,805‌

Veracyte,

Inc. *

92,778‌

2,011‌

Total

172,204‌

Industrials

(19.8%)

Applied

Industrial

Technologies,

Inc. 

51,078‌

9,909‌

The

AZEK

Co.,

Inc. *

157,667‌

6,643‌

Bloom

Energy

Corp. *

80,043‌

980‌

Boise

Cascade

Co. 

30,018‌

3,579‌

CACI

International,

Inc.

-

Class

A *

14,438‌

6,210‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

33

Small

Cap

Growth

Stock

Portfolio

Common

Stocks

(98.1%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Casella

Waste

Systems,

Inc.

-

Class A *

53,288‌

5,287‌

Chart

Industries,

Inc. *

57,236‌

8,261‌

Clean

Harbors,

Inc. *

24,081‌

5,446‌

Comfort

Systems

USA,

Inc. 

14,815‌

4,506‌

Dayforce,

Inc. *

31,088‌

1,542‌

Fluor

Corp. *

208,853‌

9,096‌

FTAI

Aviation,

Ltd. 

153,834‌

15,880‌

Hillman

Solutions

Corp. *

710,048‌

6,284‌

Insperity,

Inc. 

14,247‌

1,300‌

John

Bean

Technologies

Corp. 

66,366‌

6,303‌

KBR,

Inc. 

85,180‌

5,463‌

Knight-Swift

Transportation

Holdings,

Inc. 

71,823‌

3,585‌

NEXTracker,

Inc.

-

Class

A *

128,137‌

6,007‌

Rush

Enterprises,

Inc.

-

Class

A 

130,476‌

5,463‌

SPX

Technologies,

Inc. *

66,673‌

9,477‌

Verra

Mobility

Corp. *

389,935‌

10,606‌

WillScot

Mobile

Mini

Holdings

Corp. *

129,173‌

4,862‌

Zurn

Water

Solutions

Corp. 

128,715‌

3,784‌

Total

140,473‌

Information

Technology

(21.1%)

Agilysys,

Inc. *

51,389‌

5,352‌

Alarm.com

Holdings,

Inc. *

65,437‌

4,158‌

Altair

Engineering,

Inc.

-

Class

A *

68,895‌

6,757‌

AppFolio,

Inc.

-

Class A *

24,625‌

6,022‌

Axcelis

Technologies,

Inc. *

13,513‌

1,921‌

Blackbaud,

Inc. *

59,141‌

4,505‌

CCC

Intelligent

Solutions

Holdings,

Inc. *

371,747‌

4,130‌

Cirrus

Logic,

Inc. *

44,021‌

5,620‌

Clearwater

Analytics

Holdings,

Inc. *

164,601‌

3,048‌

Credo

Technology

Group

Holding,

Ltd. *

137,063‌

4,378‌

DoubleVerify

Holdings,

Inc. *

77,719‌

1,513‌

Fabrinet *

49,799‌

12,190‌

FormFactor,

Inc. *

87,690‌

5,308‌

Grid

Dynamics

Holdings,

Inc. *

221,079‌

2,323‌

Guidewire

Software,

Inc. *

39,849‌

5,495‌

Common

Stocks

(98.1%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Insight

Enterprises,

Inc. *

31,724‌

6,293‌

Intapp,

Inc. *

135,028‌

4,951‌

Jamf

Holding

Corp. *

237,731‌

3,923‌

Littelfuse,

Inc. 

9,798‌

2,504‌

MKS

Instruments,

Inc. 

49,244‌

6,430‌

Novanta,

Inc. *

28,060‌

4,577‌

Onto

Innovation,

Inc. *

22,329‌

4,903‌

Power

Integrations,

Inc. 

75,211‌

5,279‌

PowerSchool

Holdings,

Inc.

-

Class

A *

129,777‌

2,906‌

Rambus,

Inc. *

88,510‌

5,201‌

SMART

Global

Holdings,

Inc. *

98,500‌

2,253‌

Sprout

Social,

Inc.

-

Class

A *

93,460‌

3,335‌

SPS

Commerce,

Inc. *

34,663‌

6,522‌

Squarespace,

Inc.

-

Class

A *

187,958‌

8,201‌

Varonis

Systems,

Inc. *

98,404‌

4,720‌

Verint

Systems,

Inc. *

147,709‌

4,756‌

Total

149,474‌

Materials

(4.5%)

Allegheny

Technologies,

Inc. *

78,975‌

4,379‌

Axalta

Coating

Systems,

Ltd. *

170,838‌

5,837‌

Cabot

Corp. 

99,214‌

9,117‌

Commercial

Metals

Co. 

52,968‌

2,913‌

FMC

Corp. 

76,317‌

4,392‌

Louisiana-Pacific

Corp. 

64,644‌

5,322‌

Total

31,960‌

Real

Estate

(2.1%)

CareTrust

REIT,

Inc. 

200,406‌

5,030‌

Phillips

Edison

&

Co.,

Inc. 

169,694‌

5,551‌

Ryman

Hospitality

Properties,

Inc. 

42,440‌

4,238‌

Total

14,819‌

Total

Common

Stocks

(Cost: $579,423)

695,667

Investment

Companies

(

1.0%

)

Shares/

Par

+

Value

$

(000's)

Investment

Companies

(1.0%)

iShares

Russell

2000

Growth

ETF 

27,127‌

7,122‌

Total

7,122‌

Total

Investment

Companies

(Cost: $7,123)

7,122

Total

Investments

(99.1%)

(Cost:

$586,546)

@

702,789

Other

Assets,

Less

Liabilities (0.9%)

6,160

Net

Assets

(100.0%)

708,949

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

34

Small

Cap

Growth

Stock

Portfolio

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$586,546

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$116,243

which

is

comprised

of

$151,026

aggregate

gross

unrealized

appreciation

and

$34,783

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

695,667‌

$

—‌

$

—‌

Investment

Companies

7,122‌

—‌

—‌

Total

Assets:

$

702,789‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

35

Index

600

Stock

Portfolio

Common

Stocks

(

99.3%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(2.8%)

AMC

Networks,

Inc.

-

Class

A *

11,440‌

110‌

Cable

One,

Inc. 

1,663‌

589‌

CarGurus,

Inc. *

28,671‌

751‌

Cars.com,

Inc. *

22,458‌

442‌

Cinemark

Holdings,

Inc. *

38,976‌

843‌

Cogent

Communications

Holdings,

Inc. 

15,418‌

870‌

Consolidated

Communications

Holdings,

Inc. *

28,248‌

124‌

EchoStar

Corp.

-

Class A *

44,034‌

784‌

Gogo,

Inc. *

22,223‌

214‌

IAC/InterActiveCorp *

25,520‌

1,196‌

John

Wiley

&

Sons,

Inc.

-

Class

A 

15,363‌

625‌

Lumen

Technologies,

Inc. *

370,652‌

408‌

Madison

Square

Garden

Sports

Corp. *

6,099‌

1,147‌

QuinStreet,

Inc. *

19,631‌

326‌

Scholastic

Corp. 

9,298‌

330‌

Shenandoah

Telecommunications

Co. 

18,333‌

299‌

Shutterstock,

Inc. 

8,751‌

339‌

TechTarget,

Inc. *

9,685‌

302‌

Telephone

and

Data

Systems,

Inc. 

36,011‌

746‌

Thryv

Holdings,

Inc. *

11,684‌

208‌

TripAdvisor,

Inc. *

39,735‌

708‌

Yelp,

Inc. *

24,642‌

911‌

Total

12,272‌

Consumer

Discretionary

(14.2%)

Abercrombie

&

Fitch

Co. *

18,666‌

3,320‌

Academy

Sports

&

Outdoors,

Inc. 

26,958‌

1,436‌

Adtalem

Global

Education,

Inc. *

13,737‌

937‌

Advance

Auto

Parts,

Inc. 

21,776‌

1,379‌

American

Axle

&

Manufacturing

Holdings,

Inc. *

42,909‌

300‌

American

Eagle

Outfitters,

Inc. 

67,565‌

1,349‌

Asbury

Automotive

Group,

Inc. *

7,369‌

1,679‌

BJ's

Restaurants,

Inc. *

8,544‌

296‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Discretionary

continued

Bloomin'

Brands,

Inc. 

31,595‌

608‌

Boot

Barn

Holdings,

Inc. *

11,105‌

1,432‌

Brinker

International,

Inc. *

16,253‌

1,177‌

The

Buckle,

Inc. 

10,765‌

398‌

Caleres,

Inc. 

12,082‌

406‌

Callaway

Golf

Co. *

51,639‌

790‌

Cavco

Industries,

Inc. *

2,836‌

982‌

Century

Communities,

Inc. 

10,336‌

844‌

The

Cheesecake

Factory,

Inc. 

17,127‌

673‌

Chuy's

Holdings,

Inc. *

6,224‌

161‌

Cracker

Barrel

Old

Country

Store,

Inc. 

8,098‌

341‌

Dana

Holding

Corp. 

47,147‌

571‌

Dave

&

Buster's

Entertainment,

Inc. *

11,782‌

469‌

Designer

Brands,

Inc.

-

Class A 

16,109‌

110‌

Dine

Brands

Global,

Inc. 

5,770‌

209‌

Dorman

Products,

Inc. *

10,198‌

933‌

Ethan

Allen

Interiors,

Inc. 

8,290‌

231‌

Foot

Locker,

Inc. 

30,032‌

748‌

Fox

Factory

Holding

Corp. *

15,204‌

733‌

Frontdoor,

Inc. *

28,417‌

960‌

Gentherm,

Inc. *

11,562‌

570‌

G-III

Apparel

Group,

Ltd. *

14,621‌

396‌

Golden

Entertainment,

Inc. 

8,132‌

253‌

Green

Brick

Partners,

Inc. *

9,192‌

526‌

Group

1

Automotive,

Inc. 

4,827‌

1,435‌

Guess?,

Inc. 

10,270‌

209‌

Hanesbrands,

Inc. *

128,436‌

633‌

Haverty

Furniture

Cos.,

Inc. 

5,001‌

126‌

Hibbett,

Inc. 

4,438‌

387‌

Installed

Building

Products,

Inc. 

8,575‌

1,764‌

Jack

in

the

Box,

Inc. 

7,084‌

361‌

Kohl's

Corp. 

40,519‌

932‌

Kontoor

Brands,

Inc. 

18,152‌

1,201‌

La-Z-Boy,

Inc. 

15,581‌

581‌

LCI

Industries 

9,299‌

961‌

Leggett

&

Platt,

Inc. 

48,966‌

561‌

Leslie's,

Inc. *

67,424‌

282‌

LGI

Homes,

Inc. *

7,491‌

670‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Discretionary

continued

M/I

Homes,

Inc. *

10,138‌

1,238‌

MarineMax,

Inc. *

7,633‌

247‌

Meritage

Homes

Corp. 

13,267‌

2,147‌

Mister

Car

Wash,

Inc. *

34,108‌

243‌

Monarch

Casino

&

Resort,

Inc. 

4,800‌

327‌

Monro,

Inc. 

10,880‌

260‌

Movado

Group,

Inc. 

5,843‌

145‌

National

Vision

Holdings,

Inc. *

28,702‌

376‌

Newell

Brands,

Inc. 

139,549‌

895‌

The

ODP

Corp. *

11,674‌

458‌

Oxford

Industries,

Inc. 

5,373‌

538‌

Papa

John's

International,

Inc. 

12,047‌

566‌

Patrick

Industries,

Inc. 

7,694‌

835‌

Penn

National

Gaming,

Inc. *

54,595‌

1,057‌

Perdoceo

Education

Corp. 

23,965‌

513‌

PHINIA,

Inc. 

16,690‌

657‌

Rent-A-Center,

Inc. 

16,369‌

503‌

Sabre

Corp. *

139,521‌

373‌

Sally

Beauty

Holdings,

Inc. *

37,825‌

406‌

Shake

Shack,

Inc.

-

Class

A *

13,755‌

1,238‌

Shoe

Carnival,

Inc. 

6,505‌

240‌

Signet

Jewelers,

Ltd. 

16,313‌

1,461‌

Six

Flags

Entertainment

Corp. *

26,477‌

877‌

Sonic

Automotive,

Inc.

-

Class

A 

5,414‌

295‌

Sonos,

Inc. *

44,899‌

663‌

Standard

Motor

Products,

Inc. 

7,077‌

196‌

Steven

Madden,

Ltd. 

25,204‌

1,066‌

Strategic

Education,

Inc. 

8,010‌

886‌

Stride,

Inc. *

14,592‌

1,029‌

Sturm,

Ruger

&

Co.,

Inc. 

6,359‌

265‌

TRI

Pointe

Homes,

Inc. *

34,656‌

1,291‌

Urban

Outfitters,

Inc. *

20,718‌

850‌

VF

Corp. 

120,724‌

1,630‌

Victoria's

Secret

&

Co. *

28,601‌

505‌

Vista

Outdoor,

Inc. *

21,263‌

801‌

Winnebago

Industries,

Inc. 

10,695‌

580‌

Wolverine

World

Wide,

Inc. 

29,181‌

395‌

Worthington

Enterprises,

Inc. 

11,178‌

529‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

36

Index

600

Stock

Portfolio

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Discretionary

continued

XPEL,

Inc. *

7,766‌

276‌

Total

62,177‌

Consumer

Staples

(3.4%)

The

Andersons,

Inc. 

11,608‌

576‌

B&G

Foods,

Inc. 

28,803‌

233‌

Calavo

Growers,

Inc. 

6,691‌

152‌

Cal-Maine

Foods,

Inc. 

14,868‌

908‌

Central

Garden

&

Pet

Co. *

3,547‌

136‌

Central

Garden

&

Pet

Co.

-

Class

A *

19,709‌

651‌

The

Chefs'

Warehouse,

Inc. *

12,933‌

506‌

Edgewell

Personal

Care

Co. 

18,108‌

728‌

Energizer

Holdings,

Inc. 

24,396‌

721‌

Fresh

Del

Monte

Produce,

Inc. 

12,219‌

267‌

Grocery

Outlet

Holding

Corp. *

36,482‌

807‌

The

Hain

Celestial

Group,

Inc. *

33,659‌

232‌

Inter

Parfums,

Inc. 

6,552‌

760‌

J

&

J

Snack

Foods

Corp. 

5,666‌

920‌

John

B.

Sanfilippo

&

Son,

Inc. 

3,292‌

320‌

MGP

Ingredients,

Inc. 

5,712‌

425‌

National

Beverage

Corp. 

8,545‌

438‌

Nu

Skin

Enterprises,

Inc. 

18,498‌

195‌

PriceSmart,

Inc. 

9,195‌

746‌

The

Simply

Good

Foods

Co. *

33,240‌

1,201‌

SpartanNash

Co. 

12,577‌

236‌

Tootsie

Roll

Industries,

Inc. 

6,438‌

197‌

TreeHouse

Foods,

Inc. *

17,487‌

641‌

United

Natural

Foods,

Inc. *

21,707‌

284‌

Universal

Corp. 

8,976‌

432‌

USANA

Health

Sciences,

Inc. *

3,999‌

181‌

Vector

Group,

Ltd. 

48,890‌

517‌

WD-40

Co. 

4,952‌

1,088‌

WK

Kellogg

Co. 

24,159‌

398‌

Total

14,896‌

Energy

(5.2%)

Archrock,

Inc. 

50,238‌

1,016‌

Bristow

Group,

Inc. *

8,815‌

296‌

Cactus,

Inc.

-

Class

A 

24,000‌

1,266‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

California

Resources

Corp. 

23,439‌

1,247‌

Comstock

Resources,

Inc. 

34,592‌

359‌

CONSOL

Energy,

Inc. *

9,661‌

986‌

Core

Laboratories,

Inc. 

17,091‌

347‌

CVR

Energy,

Inc. 

10,649‌

285‌

Dorian

LPG,

Ltd. 

12,456‌

523‌

Dril-Quip,

Inc. *

12,866‌

239‌

Green

Plains,

Inc. *

23,608‌

374‌

Helix

Energy

Solutions

Group,

Inc. *

52,345‌

625‌

Helmerich

&

Payne,

Inc. 

36,059‌

1,303‌

Liberty

Energy,

Inc. 

55,394‌

1,157‌

Magnolia

Oil

&

Gas

Corp.

-

Class

A 

66,081‌

1,674‌

Nabors

Industries,

Ltd. *

3,332‌

237‌

Northern

Oil

and

Gas,

Inc. 

33,428‌

1,242‌

Oceaneering

International,

Inc. *

37,038‌

876‌

Par

Pacific

Holdings,

Inc. *

19,473‌

492‌

Patterson-UTI

Energy,

Inc. 

112,972‌

1,170‌

Peabody

Energy

Corp. 

38,599‌

854‌

ProPetro

Holding

Corp. *

30,102‌

261‌

REX

American

Resources

Corp. *

5,721‌

261‌

RPC,

Inc. 

30,526‌

191‌

SM

Energy

Co. 

42,018‌

1,816‌

Talos

Energy,

Inc. *

57,109‌

694‌

Tidewater,

Inc. *

17,731‌

1,688‌

US

Silica

Holdings,

Inc. *

28,921‌

447‌

Vital

Energy,

Inc. *

9,385‌

421‌

World

Kinect

Corp. 

21,891‌

565‌

Total

22,912‌

Financials

(18.2%)

Ambac

Financial

Group,

Inc. *

16,483‌

211‌

Ameris

Bancorp 

23,635‌

1,190‌

AMERISAFE,

Inc. 

6,949‌

305‌

Apollo

Commercial

Real

Estate

Finance,

Inc. 

47,759‌

468‌

Arbor

Realty

Trust,

Inc. 

68,855‌

988‌

ARMOUR

Residential

REIT,

Inc. 

17,804‌

345‌

Artisan

Partners

Asset

Management,

Inc.

-

Class A 

25,539‌

1,054‌

Assured

Guaranty,

Ltd. 

18,888‌

1,457‌

Atlantic

Union

Bankshares

Corp. 

32,784‌

1,077‌

Axos

Financial,

Inc. *

18,520‌

1,058‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

B.

Riley

Financial,

Inc. 

6,187‌

109‌

Banc

of

California,

Inc. 

50,698‌

648‌

BancFirst

Corp. 

5,302‌

465‌

The

Bancorp,

Inc. *

18,909‌

714‌

Bank

of

Hawaii

Corp. 

14,499‌

829‌

BankUnited,

Inc. 

27,303‌

799‌

Banner

Corp. 

12,576‌

624‌

Berkshire

Hills

Bancorp,

Inc. 

15,519‌

354‌

BGC

Group,

Inc.

-

Class A 

140,237‌

1,164‌

Blackstone

Mortgage

Trust,

Inc. 

63,395‌

1,104‌

Brightsphere

Investment

Group,

Inc. 

10,765‌

239‌

Brookline

Bancorp,

Inc. 

32,429‌

271‌

Capitol

Federal

Financial,

Inc. 

44,870‌

246‌

Cathay

General

Bancorp 

26,589‌

1,003‌

Central

Pacific

Financial

Corp. 

10,122‌

215‌

City

Holding

Co. 

5,390‌

573‌

Cohen

&

Steers,

Inc. 

9,617‌

698‌

Comerica,

Inc. 

48,426‌

2,472‌

Community

Financial

System,

Inc. 

19,273‌

910‌

Customers

Bancorp,

Inc. *

10,406‌

499‌

CVB

Financial

Corp. 

48,451‌

835‌

Dime

Community

Bancshares,

Inc. 

12,721‌

259‌

Donnelley

Financial

Solutions,

Inc. *

9,105‌

543‌

Eagle

Bancorp,

Inc. 

11,235‌

212‌

Ellington

Financial,

Inc. 

31,062‌

375‌

Employers

Holdings,

Inc. 

9,264‌

395‌

Encore

Capital

Group,

Inc. *

8,616‌

360‌

Enova

International,

Inc. *

9,908‌

617‌

EVERTEC,

Inc. 

23,533‌

782‌

EZCORP,

Inc.

-

Class A *

19,585‌

205‌

FB

Financial

Corp. 

12,869‌

502‌

First

Bancorp 

75,432‌

1,585‌

First

Commonwealth

Financial

Corp. 

37,226‌

514‌

First

Financial

Bancorp 

34,858‌

775‌

First

Hawaiian,

Inc. 

46,685‌

969‌

Franklin

BSP

Realty

Trust,

Inc. 

29,889‌

377‌

Fulton

Financial

Corp. 

66,384‌

1,127‌

Genworth

Financial,

Inc. *

159,918‌

966‌

Goosehead

Insurance,

Inc.

-

Class A *

9,208‌

529‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

37

Index

600

Stock

Portfolio

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Green

Dot

Corp.

-

Class A *

17,234‌

163‌

Hanmi

Financial

Corp. 

11,343‌

190‌

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc. 

41,543‌

1,230‌

HCI

Group,

Inc. 

2,679‌

247‌

Heritage

Financial

Corp. 

12,541‌

226‌

Hilltop

Holdings,

Inc. 

16,921‌

529‌

Hope

Bancorp,

Inc. 

44,024‌

473‌

Horace

Mann

Educators

Corp. 

14,967‌

488‌

Independent

Bank

Corp. 

15,509‌

787‌

Independent

Bank

Group,

Inc. 

13,148‌

598‌

Jackson

Financial,

Inc. 

24,794‌

1,841‌

KKR

Real

Estate

Finance

Trust,

Inc. 

21,846‌

198‌

Lakeland

Financial

Corp. 

9,314‌

573‌

Lincoln

National

Corp. 

62,110‌

1,932‌

Mercury

General

Corp. 

9,711‌

516‌

Meta

Financial

Group,

Inc. 

9,228‌

522‌

Moelis

&

Co.

-

Class A 

25,698‌

1,461‌

Mr.

Cooper

Group,

Inc. *

23,641‌

1,920‌

National

Bank

Holding

Corp. 

13,804‌

539‌

Navient

Corp. 

29,411‌

428‌

NBT

Bancorp,

Inc. 

17,217‌

665‌

NCR

Atleos

Corp. *

25,207‌

681‌

New

York

Mortgage

Trust,

Inc. 

33,904‌

198‌

NMI

Holdings,

Inc. *

29,333‌

998‌

Northwest

Bancshares,

Inc. 

46,433‌

536‌

OFG

Bancorp 

17,163‌

643‌

Pacific

Premier

Bancorp,

Inc. 

35,218‌

809‌

Palomar

Holdings,

Inc. *

9,105‌

739‌

Park

National

Corp. 

5,249‌

747‌

Payoneer

Global,

Inc. *

92,538‌

513‌

PennyMac

Mortgage

Investment

Trust 

31,724‌

436‌

Piper

Sandler

Cos. 

5,682‌

1,308‌

PJT

Partners,

Inc.

-

Class

A 

8,060‌

870‌

PRA

Group,

Inc. *

14,357‌

282‌

Preferred

Bank 

4,498‌

340‌

ProAssurance

Corp. *

18,587‌

227‌

PROG

Holdings,

Inc. 

15,770‌

547‌

Provident

Financial

Services,

Inc. 

47,666‌

684‌

Radian

Group,

Inc. 

54,998‌

1,710‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Ready

Capital

Corp. 

56,738‌

464‌

Redwood

Trust,

Inc. 

47,999‌

312‌

Renasant

Corp. 

20,567‌

628‌

S&T

Bancorp,

Inc. 

13,952‌

466‌

Safety

Insurance

Group,

Inc. 

5,424‌

407‌

Seacoast

Banking

Corp.

of

Florida 

30,738‌

727‌

ServisFirst

Bancshares,

Inc. 

17,920‌

1,132‌

Simmons

First

National

Corp.

-

Class

A 

45,826‌

806‌

SiriusPoint,

Ltd. *

34,064‌

416‌

Southside

Bancshares,

Inc. 

10,476‌

289‌

Stellar

Bancorp,

Inc. 

17,210‌

395‌

StepStone

Group,

Inc.

-

Class

A 

19,000‌

872‌

Stewart

Information

Services

Corp. 

10,077‌

626‌

StoneX

Group,

Inc. *

9,964‌

750‌

Tompkins

Financial

Corp. 

4,685‌

229‌

Triumph

Financial,

Inc. *

7,885‌

645‌

Trupanion,

Inc. *

13,454‌

396‌

TrustCo

Bank

Corp. 

7,106‌

204‌

Trustmark

Corp. 

22,351‌

671‌

Two

Harbors

Investment

Corp. 

37,801‌

499‌

United

Community

Banks,

Inc. 

43,512‌

1,108‌

United

Fire

Group,

Inc. 

7,691‌

165‌

Veritex

Holdings,

Inc. 

19,903‌

420‌

Virtu

Financial,

Inc.

-

Class A 

32,322‌

726‌

Virtus

Investment

Partners,

Inc. 

2,448‌

553‌

Walker

&

Dunlop,

Inc. 

12,316‌

1,209‌

Washington

Federal,

Inc. 

24,663‌

705‌

Westamerica

Bancorporation 

9,743‌

473‌

WisdomTree

Investments,

Inc. 

40,783‌

404‌

World

Acceptance

Corp. *

1,262‌

156‌

WSFS

Financial

Corp. 

21,945‌

1,031‌

Total

79,694‌

Health

Care

(10.3%)

AdaptHealth

LLC *

28,534‌

285‌

Addus

HomeCare

Corp. *

6,458‌

750‌

Alkermes

PLC *

61,817‌

1,490‌

AMN

Healthcare

Services,

Inc. *

13,881‌

711‌

Amphastar

Pharmaceuticals,

Inc. *

14,075‌

563‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

ANI

Pharmaceuticals,

Inc. *

5,701‌

363‌

Arcus

Biosciences,

Inc. *

20,289‌

309‌

Artivion,

Inc. *

14,679‌

377‌

Astrana

Health,

Inc. *

15,461‌

627‌

Avanos

Medical,

Inc. *

16,764‌

334‌

BioLife

Solutions,

Inc. *

13,420‌

288‌

Catalyst

Pharmaceuticals,

Inc. *

40,994‌

635‌

Certara,

Inc. *

39,364‌

545‌

Collegium

Pharmaceutical,

Inc. *

11,925‌

384‌

CONMED

Corp. 

11,251‌

780‌

Corcept

Therapeutics,

Inc. *

33,468‌

1,087‌

CorVel

Corp. *

3,310‌

842‌

Cross

Country

Healthcare,

Inc. *

11,885‌

164‌

Cytek

Biosciences,

Inc. *

35,004‌

195‌

Dynavax

Technologies

Corp. *

47,819‌

537‌

Embecta

Corp. 

21,037‌

263‌

Enhabit,

Inc. *

18,815‌

168‌

Ensign

Group,

Inc. 

20,625‌

2,551‌

Fortrea

Holdings,

Inc. *

32,659‌

762‌

Fulgent

Genetics,

Inc. *

7,694‌

151‌

Glaukos

Corp. *

18,390‌

2,176‌

Harmony

Biosciences

Holdings,

Inc. *

11,619‌

351‌

HealthStream,

Inc. 

8,930‌

249‌

ICU

Medical,

Inc. *

7,476‌

888‌

Inari

Medical,

Inc. *

18,901‌

910‌

Innoviva,

Inc. *

20,080‌

329‌

Integer

Holdings

Corp. *

12,237‌

1,417‌

Integra

LifeSciences

Holdings

Corp. *

25,041‌

730‌

Ironwood

Pharmaceuticals,

Inc. *

52,038‌

339‌

Krystal

Biotech,

Inc. *

9,076‌

1,667‌

LeMaitre

Vascular,

Inc. 

7,297‌

600‌

Ligand

Pharmaceuticals,

Inc. *

6,176‌

520‌

MEDNAX,

Inc. *

30,134‌

227‌

Merit

Medical

Systems,

Inc. *

21,224‌

1,824‌

Mesa

Laboratories,

Inc. 

1,917‌

166‌

Myriad

Genetics,

Inc. *

33,342‌

816‌

National

HealthCare

Corp. 

4,950‌

537‌

NeoGenomics,

Inc. *

46,652‌

647‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

38

Index

600

Stock

Portfolio

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

OmniAb,

Inc.

-

12.50

Earnout

Consideration *,Æ

2,585‌

–‌

OmniAb,

Inc.

-

15.00

Earnout

Consideration *,Æ

2,585‌

–‌

Omnicell,

Inc. *

16,766‌

454‌

Organon

&

Co. 

93,942‌

1,945‌

Owens

&

Minor,

Inc. *

26,775‌

361‌

Pacira

Biosciences,

Inc. *

17,005‌

487‌

Patterson

Cos.,

Inc. 

29,125‌

702‌

Phibro

Animal

Health

Corp.

-

Class

A 

7,544‌

127‌

Premier,

Inc.

-

Class

A 

38,277‌

715‌

Prestige

Consumer

Healthcare,

Inc. *

18,235‌

1,255‌

Privia

Health

Group,

Inc. *

37,926‌

659‌

RadNet,

Inc. *

24,287‌

1,431‌

REGENXBIO,

Inc. *

16,556‌

194‌

Schrodinger,

Inc. *

20,545‌

397‌

Select

Medical

Holdings

Corp. 

38,949‌

1,366‌

Simulations

Plus,

Inc. 

5,818‌

283‌

STAAR

Surgical

Co. *

17,944‌

854‌

Supernus

Pharmaceuticals,

Inc. *

20,085‌

537‌

Tandem

Diabetes

Care,

Inc. *

23,594‌

951‌

UFP

Technologies,

Inc. *

2,578‌

680‌

US

Physical

Therapy,

Inc. 

5,505‌

509‌

Varex

Imaging

Corp. *

15,249‌

225‌

Vericel

Corp. *

17,740‌

814‌

Vir

Biotechnology,

Inc. *

32,456‌

289‌

Xencor,

Inc. *

22,492‌

426‌

Total

45,215‌

Industrials

(17.3%)

3D

Systems

Corp. *

50,575‌

155‌

AAR

Corp. *

12,099‌

880‌

ABM

Industries,

Inc. 

23,117‌

1,169‌

Aerovironment,

Inc. *

10,212‌

1,860‌

Air

Lease

Corp. 

37,834‌

1,798‌

Alamo

Group,

Inc. 

3,787‌

655‌

Alaska

Air

Group,

Inc. *

46,369‌

1,873‌

Albany

International

Corp.

-

Class

A 

11,400‌

963‌

Allegiant

Travel

Co. 

5,398‌

271‌

American

Woodmark

Corp. *

5,790‌

455‌

Apogee

Enterprises,

Inc. 

8,086‌

508‌

ArcBest

Corp. 

8,560‌

917‌

Arcosa,

Inc. 

17,747‌

1,480‌

Armstrong

World

Industries,

Inc. 

15,985‌

1,810‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Astec

Industries,

Inc. 

8,298‌

246‌

AZZ,

Inc. 

10,833‌

837‌

Barnes

Group,

Inc. 

18,522‌

767‌

Boise

Cascade

Co. 

14,422‌

1,719‌

Brady

Corp.

-

Class

A 

16,362‌

1,080‌

CoreCivic,

Inc. *

40,646‌

528‌

CSG

Systems

International,

Inc. 

10,388‌

428‌

Deluxe

Corp. 

16,090‌

361‌

DNOW,

Inc. *

39,018‌

536‌

DXP

Enterprises,

Inc. *

4,772‌

219‌

Dycom

Industries,

Inc. *

10,627‌

1,793‌

Encore

Wire

Corp. 

5,768‌

1,672‌

Enerpac

Tool

Group

Corp. 

19,821‌

757‌

EnPro

Industries,

Inc. 

7,654‌

1,114‌

ESCO

Technologies,

Inc. 

9,409‌

988‌

Federal

Signal

Corp. 

22,319‌

1,867‌

Forward

Air

Corp. 

11,608‌

221‌

Franklin

Electric

Co.,

Inc. 

14,476‌

1,394‌

The

GEO

Group,

Inc. *

48,693‌

699‌

Gibraltar

Industries,

Inc. *

11,133‌

763‌

GMS,

Inc. *

14,551‌

1,173‌

Granite

Construction,

Inc. 

16,129‌

1,000‌

The

Greenbrier

Cos.,

Inc. 

11,372‌

564‌

Griffon

Corp. 

13,578‌

867‌

Harsco

Corp. *

30,104‌

260‌

Hayward

Holdings,

Inc. *

46,314‌

570‌

Healthcare

Services

Group,

Inc. *

26,905‌

285‌

Heartland

Express,

Inc. 

16,602‌

205‌

Heidrick

&

Struggles

International,

Inc. 

7,550‌

238‌

Hertz

Global

Holdings,

Inc. *

48,057‌

170‌

Hillenbrand,

Inc. 

25,643‌

1,026‌

HNI

Corp. 

17,279‌

778‌

Hub

Group,

Inc.

-

Class A 

22,559‌

971‌

Insteel

Industries,

Inc. 

7,053‌

218‌

Interface,

Inc. 

21,228‌

312‌

JetBlue

Airways

Corp. *

124,148‌

756‌

John

Bean

Technologies

Corp. 

11,629‌

1,104‌

KAR

Auction

Services,

Inc. *

39,572‌

657‌

Kelly

Services,

Inc.

-

Class

A 

11,957‌

256‌

Kennametal,

Inc. 

28,738‌

677‌

Korn

Ferry 

19,062‌

1,280‌

Lindsay

Corp. 

4,032‌

495‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Liquidity

Services,

Inc. *

8,381‌

167‌

Marten

Transport,

Ltd. 

21,085‌

389‌

Masterbrand,

Inc. *

46,400‌

681‌

Matson,

Inc. 

12,482‌

1,635‌

Matthews

International

Corp.

-

Class

A 

11,155‌

279‌

Mercury

Systems,

Inc. *

19,082‌

515‌

MillerKnoll,

Inc. 

26,170‌

693‌

Moog,

Inc.

-

Class

A 

10,508‌

1,758‌

Mueller

Industries,

Inc. 

41,497‌

2,363‌

MYR

Group,

Inc. *

6,125‌

831‌

National

Presto

Industries,

Inc. 

1,998‌

150‌

NV5

Global,

Inc. *

4,771‌

444‌

Pitney

Bowes,

Inc. 

57,432‌

292‌

Powell

Industries,

Inc. 

3,372‌

484‌

Proto

Labs,

Inc. *

9,248‌

286‌

Quanex

Building

Products

Corp. 

12,088‌

334‌

Resideo

Technologies,

Inc. *

53,344‌

1,043‌

Robert

Half

International,

Inc. 

37,763‌

2,416‌

Rush

Enterprises,

Inc.

-

Class

A 

22,616‌

947‌

RXO,

Inc. *

42,950‌

1,123‌

SkyWest,

Inc. *

14,711‌

1,207‌

SPX

Technologies,

Inc. *

16,888‌

2,401‌

Standex

International

Corp. 

4,330‌

698‌

Sun

Country

Airlines

Holdings,

Inc. *

13,811‌

174‌

SunPower

Corp. *

32,871‌

97‌

Sunrun,

Inc. *

80,971‌

960‌

Tennant

Co. 

6,941‌

683‌

Titan

International,

Inc. *

19,172‌

142‌

Trinity

Industries,

Inc. 

29,896‌

895‌

Triumph

Group,

Inc. *

28,086‌

433‌

UniFirst

Corp. 

5,505‌

944‌

Verra

Mobility

Corp. *

60,830‌

1,655‌

Vestis

Corp. 

48,018‌

587‌

Viad

Corp. *

7,678‌

261‌

Vicor

Corp. *

8,477‌

281‌

Wabash

National

Corp. 

16,449‌

359‌

Werner

Enterprises,

Inc. 

23,179‌

831‌

Total

76,083‌

Information

Technology

(12.9%)

A10

Networks,

Inc. 

25,567‌

354‌

ACI

Worldwide,

Inc. *

38,517‌

1,525‌

Adeia,

Inc. 

39,556‌

442‌

Advanced

Energy

Industries,

Inc. 

13,678‌

1,488‌

Agilysys,

Inc. *

7,376‌

768‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

39

Index

600

Stock

Portfolio

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Alarm.com

Holdings,

Inc. *

18,333‌

1,165‌

Alliance

Data

Systems

Corp. 

18,112‌

807‌

Alpha

&

Omega

Semiconductor,

Ltd. *

8,578‌

321‌

Arlo

Technologies,

Inc. *

35,644‌

465‌

Axcelis

Technologies,

Inc. *

11,883‌

1,690‌

Badger

Meter,

Inc. 

10,738‌

2,001‌

Benchmark

Electronics,

Inc. 

13,138‌

518‌

BlackLine,

Inc. *

18,743‌

908‌

Box,

Inc. *

52,729‌

1,394‌

Calix,

Inc. *

21,304‌

755‌

CEVA,

Inc. *

8,903‌

172‌

Cohu,

Inc. *

17,198‌

569‌

Corsair

Gaming,

Inc. *

15,767‌

174‌

CTS

Corp. 

11,171‌

566‌

Digi

International,

Inc. *

13,262‌

304‌

DigitalOcean

Holdings,

Inc. *

19,632‌

682‌

Diodes,

Inc. *

16,848‌

1,212‌

DoubleVerify

Holdings,

Inc. *

51,459‌

1,002‌

DXC

Technology

Co. *

65,355‌

1,248‌

Envestnet,

Inc. *

18,319‌

1,147‌

ePlus,

Inc. *

9,733‌

717‌

Extreme

Networks,

Inc. *

47,473‌

639‌

Fabrinet *

13,204‌

3,232‌

FormFactor,

Inc. *

28,189‌

1,706‌

Harmonic,

Inc. *

42,520‌

500‌

Ichor

Holdings,

Ltd. *

12,228‌

471‌

Insight

Enterprises,

Inc. *

10,110‌

2,005‌

InterDigital,

Inc. 

9,219‌

1,075‌

Itron,

Inc. *

16,756‌

1,658‌

Knowles

Corp. *

32,806‌

566‌

Kulicke

and

Soffa

Industries,

Inc. 

20,261‌

997‌

LiveRamp

Holdings,

Inc. *

24,177‌

748‌

Marathon

Digital

Holdings,

Inc. *

99,708‌

1,979‌

MaxLinear,

Inc. *

27,985‌

564‌

N-able,

Inc. *

26,002‌

396‌

NCR

Voyix

Corp. *

50,547‌

624‌

NetScout

Systems,

Inc. *

26,089‌

477‌

OSI

Systems,

Inc. *

5,730‌

788‌

PC

Connection,

Inc. 

4,109‌

264‌

PDF

Solutions,

Inc. *

11,223‌

408‌

Perficient,

Inc. *

12,844‌

961‌

Photronics,

Inc. *

23,132‌

571‌

Plexus

Corp. *

10,006‌

1,032‌

Progress

Software

Corp. 

15,781‌

856‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Rogers

Corp. *

6,134‌

740‌

Sanmina

Corp. *

20,257‌

1,342‌

ScanSource,

Inc. *

9,031‌

400‌

Semtech

Corp. *

23,585‌

705‌

SiTime

Corp. *

6,433‌

800‌

SMART

Global

Holdings,

Inc. *

19,089‌

437‌

SolarEdge

Technologies,

Inc. *

20,932‌

529‌

Sprinklr,

Inc.

-

Class

A *

44,568‌

429‌

SPS

Commerce,

Inc. *

13,527‌

2,545‌

TTM

Technologies,

Inc. *

37,177‌

722‌

Ultra

Clean

Holdings,

Inc. *

16,404‌

804‌

Veeco

Instruments,

Inc. *

20,688‌

966‌

ViaSat,

Inc. *

27,472‌

349‌

Viavi

Solutions,

Inc. *

81,561‌

560‌

Xerox

Holdings

Corp. 

41,744‌

485‌

Total

56,724‌

Materials

(5.8%)

AdvanSix,

Inc. 

9,795‌

224‌

Allegheny

Technologies,

Inc. *

45,460‌

2,521‌

Alpha

Metallurgical

Resources,

Inc. 

4,229‌

1,186‌

Arch

Resources,

Inc. 

6,617‌

1,007‌

Balchem

Corp. 

11,843‌

1,823‌

Carpenter

Technology

Corp. 

18,122‌

1,986‌

Century

Aluminum

Co. *

18,934‌

317‌

Clearwater

Paper

Corp. *

6,081‌

295‌

Compass

Minerals

International,

Inc. 

12,788‌

132‌

H.B.

Fuller

Co. 

19,902‌

1,532‌

Hawkins,

Inc. 

6,951‌

633‌

Haynes

International,

Inc. 

4,606‌

270‌

Ingevity

Corp. *

12,343‌

540‌

Innospec,

Inc. 

9,109‌

1,126‌

Kaiser

Aluminum

Corp. 

5,817‌

511‌

Koppers

Holdings,

Inc. 

7,888‌

292‌

Materion

Corp. 

7,574‌

819‌

Mercer

International,

Inc. 

16,426‌

140‌

Metallus,

Inc. *

14,350‌

291‌

Minerals

Technologies,

Inc. 

11,780‌

980‌

Myers

Industries,

Inc. 

13,824‌

185‌

O-I

Glass,

Inc. *

56,885‌

633‌

Olympic

Steel,

Inc. 

3,692‌

166‌

Quaker

Chemical

Corp. 

5,060‌

859‌

Schweitzer-Mauduit

International,

Inc. 

19,843‌

337‌

Sealed

Air

Corp. 

53,189‌

1,850‌

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Materials

continued

Sensient

Technologies

Corp. 

15,475‌

1,148‌

Stepan

Co. 

7,799‌

655‌

SunCoke

Energy,

Inc. 

30,548‌

299‌

Sylvamo

Corp. 

12,770‌

876‌

Warrior

Met

Coal,

Inc. 

19,105‌

1,199‌

Worthington

Steel,

Inc. 

11,221‌

374‌

Total

25,206‌

Real

Estate

(7.2%)

Acadia

Realty

Trust 

37,695‌

676‌

Alexander

&

Baldwin,

Inc. 

26,535‌

450‌

American

Assets

Trust,

Inc. 

17,800‌

398‌

Apple

Hospitality

REIT,

Inc. 

82,332‌

1,197‌

Armada

Hoffler

Properties,

Inc. 

24,512‌

272‌

Brandywine

Realty

Trust 

62,620‌

281‌

CareTrust

REIT,

Inc. 

51,896‌

1,303‌

Centerspace 

5,448‌

368‌

Community

Healthcare

Trust,

Inc. 

9,132‌

214‌

Cushman

&

Wakefield

PLC *

71,962‌

748‌

DiamondRock

Hospitality

Co. 

76,758‌

649‌

Douglas

Emmett,

Inc. 

61,146‌

814‌

Easterly

Government

Properties,

Inc. 

37,632‌

466‌

Elme

Communities

Real

Estate

Investment

Trust 

32,149‌

512‌

Essential

Properties

Realty

Trust,

Inc. 

64,037‌

1,775‌

eXp

World

Holdings,

Inc. 

28,243‌

319‌

Four

Corners

Property

Trust,

Inc. 

33,615‌

829‌

Getty

Realty

Corp. 

17,948‌

479‌

Global

Net

Lease,

Inc. 

71,384‌

525‌

Highwoods

Properties,

Inc. 

38,723‌

1,017‌

Hudson

Pacific

Properties,

Inc. 

46,233‌

222‌

Innovative

Industrial

Properties,

Inc. 

10,349‌

1,130‌

JBG

SMITH

Properties 

30,549‌

465‌

Kennedy-Wilson

Holdings,

Inc. 

42,710‌

415‌

LTC

Properties,

Inc. 

15,738‌

543‌

LXP

Industrial

Trust 

107,521‌

981‌

The

Macerich

Co. 

78,817‌

1,217‌

Marcus

&

Millichap,

Inc. 

8,928‌

281‌

Medical

Properties

Trust,

Inc. 

219,289‌

945‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

40

Index

600

Stock

Portfolio

Common

Stocks

(99.3%)

Shares/

Par

+

Value

$

(000’s)

Real

Estate

continued

NexPoint

Residential

Trust,

Inc. 

8,288‌

327‌

OUTFRONT

Media,

Inc. 

53,330‌

763‌

Pebblebrook

Hotel

Trust 

44,029‌

605‌

Phillips

Edison

&

Co.,

Inc. 

44,710‌

1,463‌

Retail

Opportunity

Investments

Corp. 

46,571‌

579‌

Safehold,

Inc. 

16,447‌

317‌

Saul

Centers,

Inc. 

4,825‌

177‌

Service

Properties

Trust 

60,359‌

310‌

SITE

Centers

Corp. 

65,833‌

955‌

SL

Green

Realty

Corp. 

23,673‌

1,341‌

The

St.

Joe

Co. 

13,015‌

712‌

Summit

Hotel

Properties,

Inc. 

39,285‌

235‌

Sunstone

Hotel

Investors,

Inc. 

74,416‌

778‌

Tanger

Factory

Outlet

Centers,

Inc. 

39,953‌

1,083‌

Uniti

Group,

Inc. 

89,879‌

262‌

Universal

Health

Realty

Income

Trust 

4,552‌

178‌

Urban

Edge

Properties 

43,413‌

802‌

Veris

Residential,

Inc. 

29,414‌

441‌

Whitestone

REIT 

17,604‌

234‌

Xenia

Hotels

&

Resorts,

Inc. 

37,256‌

534‌

Total

31,587‌

Utilities

(2.0%)

American

States

Water

Co. 

13,607‌

987‌

Avista

Corp. 

28,568‌

989‌

California

Water

Service

Group 

21,103‌

1,023‌

Chesapeake

Utilities

Corp. 

8,138‌

864‌

Clearway

Energy,

Inc.

-

Class A 

12,540‌

284‌

Clearway

Energy,

Inc.

-

Class C 

30,211‌

746‌

MGE

Energy,

Inc. 

13,216‌

988‌

Middlesex

Water

Co. 

6,517‌

341‌

Northwest

Natural

Holding

Co. 

13,922‌

503‌

Otter

Trail

Corp. 

15,275‌

1,338‌

SJW

Group 

10,721‌

581‌

Unitil

Corp. 

5,849‌

303‌

Total

8,947‌

Total

Common

Stocks

(Cost: $375,396)

435,713

Short-Term

Investments

(

0.1%

)

Shares/

Par

+

Value

$

(000's)

Governments

(0.1%)

US

Treasury

0.000%,

10/3/24 β

170,000‌

168‌

Total

168‌

Total

Short-Term

Investments

(Cost:

$168)

168‌

Total

Investments

(99.4%)

(Cost:

$375,564)

@

435,881

Other

Assets,

Less

Liabilities (0.6%)

2,763

Net

Assets

(100.0%)

438,644

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

41

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

1‌

18

9/24

$

1,859‌

$

23‌

$

5‌

E-Mini

S&P

MidCap

400

Futures

Long

USD

–‌π

4

9/24

1,183‌

2‌

–‌π

$

25‌

$

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

$

–‌

$

5‌

$

5‌

$

–‌

$

–‌

$

–‌

$

–‌

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

Æ

Security

valued

using

significant

unobservable

inputs.

β

Part

or

all

of

the

security

has

been

pledged

as

collateral.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$375,564

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$60,342

which

is

comprised

of

$112,923

aggregate

gross

unrealized

appreciation

and

$52,581

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

π

Amount

is

less

than

one

thousand.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

435,713‌

$

—‌

$

—‌

Short-Term

Investments

—‌

168‌

—‌

Other

Financial

Instruments

Ω

Futures

25‌

—‌

—‌

Total

Assets:

$

435,738‌

$

168‌

$

—‌

Ω

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.

Management

has

determined

that

the

amount

of

Level

3

securities

compared

to

total

net

assets

is

not

material;

therefore,

the

reconciliation

of

Level

3

securities

and

assumptions

is

not

shown

for

the

period

ended

June

30,

2024.

Schedule

of

Investments

June

30,

2024

(unaudited)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

42

Small

Cap

Value

Portfolio

Common

Stocks

(

96

.3

%

)

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

1

.5

%

)

Advantage

Solutions,

Inc. *

314,314‌

1,012‌

Frontier

Communications

Parent,

Inc. *

69,012‌

1,807‌

The

New

York

Times

Co.

-

Class

A 

103,200‌

5,285‌

Total

8,104‌

Consumer

Discretionary

(

10

.8

%

)

Abercrombie

&

Fitch

Co. *

8,681‌

1,544‌

Asbury

Automotive

Group,

Inc. *

15,500‌

3,532‌

Boot

Barn

Holdings,

Inc. *

7,500‌

967‌

Caleres,

Inc. 

52,700‌

1,771‌

Carvana

Co. *

22,187‌

2,856‌

CAVA

Group,

Inc. *

17,784‌

1,649‌

Dorman

Products,

Inc. *

34,214‌

3,130‌

Dutch

Bros,

Inc.

-

Class A *

37,344‌

1,546‌

FIGS,

Inc.

-

Class A *

353,770‌

1,886‌

Floor

&

Decor

Holdings,

Inc. *

12,953‌

1,288‌

LCI

Industries 

22,241‌

2,299‌

Marriott

Vacations

Worldwide

Corp. 

26,146‌

2,283‌

Meritage

Homes

Corp. 

42,087‌

6,812‌

Modine

Manufacturing

Co. *

12,000‌

1,202‌

Monro,

Inc. 

85,018‌

2,028‌

Papa

John's

International,

Inc. 

50,823‌

2,388‌

Peloton

Interactive,

Inc.

-

Class

A *

305,264‌

1,032‌

Pool

Corp. 

3,209‌

986‌

Savers

Value

Village,

Inc. *

65,716‌

804‌

Skyline

Champion

Corp. *

26,600‌

1,802‌

Smith

Douglas

Homes

Corp. *

37,885‌

886‌

Steven

Madden,

Ltd. 

93,492‌

3,955‌

Strategic

Education,

Inc. 

56,191‌

6,218‌

Taylor

Morrison

Home

Corp. *

20,100‌

1,114‌

Urban

Outfitters,

Inc. *

36,700‌

1,507‌

Victoria's

Secret

&

Co. *

47,500‌

839‌

Visteon

Corp. *

12,567‌

1,341‌

Common

Stocks

(96.3%)

Shares/

Par

+

Value

$

(000’s)

Consumer

Discretionary

continued

Wyndham

Hotels

&

Resorts,

Inc. 

17,800‌

1,317‌

Total

58,982‌

Consumer

Staples

(

2

.0

%

)

BellRing

Brands,

Inc. *

50,300‌

2,874‌

Nomad

Foods,

Ltd. 

194,315‌

3,203‌

Post

Holdings,

Inc. *

30,811‌

3,209‌

TreeHouse

Foods,

Inc. *

53,000‌

1,942‌

Total

11,228‌

Energy

(

8

.9

%

)

Cactus,

Inc.

-

Class

A 

79,054‌

4,169‌

ChampionX

Corp. 

146,227‌

4,856‌

Enerflex,

Ltd. 

424,100‌

2,290‌

Expro

Group

Holdings

NV *

137,600‌

3,154‌

Liberty

Energy,

Inc. 

131,992‌

2,757‌

Magnolia

Oil

&

Gas

Corp.

-

Class

A 

142,232‌

3,604‌

Matador

Resources

Co. 

141,146‌

8,412‌

Permian

Resources

Corp. 

278,333‌

4,495‌

Range

Resources

Corp. 

159,300‌

5,342‌

Southwestern

Energy

Co. *

593,000‌

3,991‌

TechnipFMC

PLC 

222,475‌

5,818‌

Total

48,888‌

Financials

(

25

.6

%

)

Banc

of

California,

Inc. 

149,847‌

1,915‌

BankUnited,

Inc. 

107,190‌

3,137‌

Bowhead

Specialty

Holdings,

Inc. *

9,905‌

251‌

Cathay

General

Bancorp 

77,300‌

2,916‌

Columbia

Banking

System,

Inc. 

255,649‌

5,085‌

CrossFirst

Bankshares,

Inc. *

161,907‌

2,270‌

Eastern

Bankshares,

Inc. 

336,797‌

4,708‌

FB

Financial

Corp. 

130,812‌

5,106‌

First

American

Financial

Corp. 

43,033‌

2,322‌

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc. 

156,703‌

4,638‌

The

Hanover

Insurance

Group,

Inc. 

14,100‌

1,769‌

HarborOne

Bancorp,

Inc. 

211,542‌

2,354‌

Common

Stocks

(96.3%)

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Home

BancShares,

Inc. 

208,316‌

4,991‌

Houlihan

Lokey,

Inc. 

46,172‌

6,227‌

James

River

Group

Holdings,

Ltd. 

101,026‌

781‌

Live

Oak

Bancshares,

Inc. 

129,320‌

4,534‌

National

Bank

Holding

Corp.

-

Class

A 

118,221‌

4,617‌

NerdWallet,

Inc.

-

Class A *

100,019‌

1,460‌

Oscar

Health,

Inc.

-

Class

A *

125,600‌

1,987‌

PennyMac

Financial

Services,

Inc. 

96,115‌

9,093‌

PennyMac

Mortgage

Investment

Trust 

194,958‌

2,681‌

Pinnacle

Financial

Partners,

Inc. 

105,884‌

8,475‌

Popular,

Inc. 

75,057‌

6,637‌

PRA

Group,

Inc. *

56,859‌

1,118‌

Preferred

Bank 

42,400‌

3,201‌

Primerica,

Inc. 

4,600‌

1,088‌

ProAssurance

Corp. *

163,968‌

2,004‌

Prosperity

Bancshares,

Inc. 

42,900‌

2,623‌

Ryan

Specialty

Group

Holdings,

Inc. 

81,915‌

4,744‌

Selective

Insurance

Group,

Inc. 

18,500‌

1,736‌

Southern

First

Bancshares,

Inc. *

37,238‌

1,089‌

SouthState

Corp. 

68,990‌

5,272‌

StepStone

Group,

Inc.

-

Class

A 

39,850‌

1,829‌

Synovus

Financial

Corp. 

43,400‌

1,744‌

Texas

Capital

Bancshares,

Inc. *

66,754‌

4,081‌

Towne

Bank 

149,812‌

4,085‌

Voya

Financial,

Inc. 

26,500‌

1,885‌

Walker

&

Dunlop,

Inc. 

42,424‌

4,166‌

Webster

Financial

Corp. 

73,160‌

3,189‌

Western

Alliance

Bancorp 

59,510‌

3,738‌

WSFS

Financial

Corp. 

96,828‌

4,551‌

Total

140,097‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

43

Small

Cap

Value

Portfolio

Common

Stocks

(96.3%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

(

8

.4

%

)

Apellis

Pharmaceuticals,

Inc. *

24,155‌

927‌

Arrowhead

Pharmaceuticals,

Inc. *

33,300‌

865‌

Atrion

Corp. 

1,290‌

584‌

Avanos

Medical,

Inc. *

80,928‌

1,612‌

Black

Diamond

Therapeutics,

Inc. *

201,600‌

939‌

Blueprint

Medicines

Corp. *

7,350‌

792‌

Cabaletta

Bio,

Inc. *

43,400‌

325‌

Crinetics

Pharmaceuticals,

Inc. *

27,100‌

1,214‌

CRISPR

Therapeutics

AG *

14,200‌

767‌

Cytokinetics,

Inc. *

65,825‌

3,566‌

DENTSPLY

SIRONA,

Inc. 

19,900‌

496‌

Doximity,

Inc.

-

Class A *

27,600‌

772‌

Elanco

Animal

Health,

Inc. *

182,139‌

2,628‌

Ensign

Group,

Inc. 

32,758‌

4,052‌

Immatics

NV *

139,489‌

1,621‌

Immunocore

Holdings

PLC *

39,600‌

1,342‌

Ionis

Pharmaceuticals,

Inc. *

53,800‌

2,564‌

Iovance

Biotherapeutics,

Inc. *

83,600‌

670‌

Lantheus

Holdings,

Inc. *

30,300‌

2,433‌

Neumora

Therapeutics,

Inc. *

94,964‌

933‌

The

Pennant

Group,

Inc. *

84,404‌

1,957‌

Phreesia,

Inc. *

63,190‌

1,340‌

Privia

Health

Group,

Inc. *

54,600‌

949‌

QuidelOrtho

Corp. *

44,416‌

1,475‌

Sana

Biotechnology,

Inc. *

96,900‌

529‌

Select

Medical

Holdings

Corp. 

167,704‌

5,880‌

Syndax

Pharmaceuticals,

Inc. *

39,715‌

815‌

Vaxcyte,

Inc. *

25,609‌

1,934‌

Verve

Therapeutics,

Inc. *

70,453‌

344‌

Waystar

Holding

Corp. *

32,503‌

699‌

Xenon

Pharmaceuticals,

Inc. *

25,800‌

1,006‌

Common

Stocks

(96.3%)

Shares/

Par

+

Value

$

(000’s)

Health

Care

continued

Zentalis

Pharmaceuticals,

Inc. *

42,509‌

174‌

Total

46,204‌

Industrials

(

13

.8

%

)

Allegiant

Travel

Co. 

34,590‌

1,738‌

Arcosa,

Inc. 

11,086‌

925‌

Beacon

Roofing

Supply,

Inc. *

63,282‌

5,727‌

Brady

Corp.

-

Class

A 

68,286‌

4,508‌

BrightView

Holdings,

Inc. *

83,560‌

1,111‌

Casella

Waste

Systems,

Inc.

-

Class A *

34,400‌

3,413‌

Crane

Co. 

17,400‌

2,523‌

EnPro

Industries,

Inc. 

9,400‌

1,368‌

ESAB

Corp. 

41,804‌

3,948‌

ESCO

Technologies,

Inc. 

19,432‌

2,041‌

FTI

Consulting,

Inc. *

12,839‌

2,767‌

Herc

Holdings,

Inc. 

17,900‌

2,386‌

John

Bean

Technologies

Corp. 

16,200‌

1,539‌

Landstar

System,

Inc. 

25,566‌

4,716‌

Leonardo

DRS,

Inc. *

74,366‌

1,897‌

Loar

Holdings,

Inc. *

8,335‌

445‌

Moog,

Inc.

-

Class

A 

24,000‌

4,015‌

MSA

Safety,

Inc. 

12,480‌

2,342‌

MSC

Industrial

Direct

Co.,

Inc. 

22,600‌

1,792‌

Parsons

Corp. *

46,641‌

3,816‌

Paycor

HCM,

Inc. *

135,408‌

1,720‌

RBC

Bearings,

Inc. *

12,712‌

3,429‌

SPX

Technologies,

Inc. *

18,532‌

2,634‌

UFP

Industries,

Inc. 

39,149‌

4,385‌

UL

Solutions,

Inc.

-

Class

A 

15,506‌

654‌

Valmont

Industries,

Inc. 

8,526‌

2,340‌

VSE

Corp. 

19,819‌

1,750‌

WillScot

Mobile

Mini

Holdings

Corp. *

68,343‌

2,572‌

Zurn

Water

Solutions

Corp. 

112,922‌

3,320‌

Total

75,821‌

Information

Technology

(

6

.3

%

)

Altair

Engineering,

Inc.

-

Class

A *

9,700‌

951‌

Amplitude,

Inc.

-

Class A *

68,000‌

605‌

Diodes,

Inc. *

24,000‌

1,726‌

DoubleVerify

Holdings,

Inc. *

71,100‌

1,384‌

Endava

PLC *

43,900‌

1,284‌

Entegris,

Inc. 

7,549‌

1,022‌

Intapp,

Inc. *

28,898‌

1,060‌

JFrog,

Ltd. *

24,300‌

913‌

Common

Stocks

(96.3%)

Shares/

Par

+

Value

$

(000’s)

Information

Technology

continued

Lattice

Semiconductor

Corp. *

30,800‌

1,786‌

Littelfuse,

Inc. 

13,127‌

3,355‌

MACOM

Technology

Solutions

Holdings,

Inc. *

34,000‌

3,790‌

Mirion

Technologies,

Inc. *

237,525‌

2,551‌

nCino,

Inc. *

56,616‌

1,781‌

Onto

Innovation,

Inc. *

18,393‌

4,038‌

PAR

Technology

Corp. *

34,770‌

1,637‌

Viavi

Solutions,

Inc. *

238,000‌

1,635‌

Vishay

Intertechnology,

Inc. 

76,000‌

1,695‌

Vontier

Corp. 

51,700‌

1,975‌

Workiva,

Inc. *

15,269‌

1,115‌

Total

34,303‌

Materials

(

4

.9

%

)

Carpenter

Technology

Corp. 

26,536‌

2,908‌

Clearwater

Paper

Corp. *

25,443‌

1,233‌

Constellium

SE *

253,378‌

4,776‌

Element

Solutions,

Inc. 

171,674‌

4,656‌

Hudbay

Minerals,

Inc. 

210,200‌

1,902‌

Orion

SA 

104,175‌

2,286‌

Pactiv

Evergreen,

Inc. 

87,200‌

987‌

Quaker

Chemical

Corp. 

11,512‌

1,954‌

Reliance,

Inc. 

16,726‌

4,777‌

West

Fraser

Timber

Co.,

Ltd. 

17,150‌

1,318‌

Total

26,797‌

Real

Estate

(

10

.0

%

)

Apple

Hospitality

REIT,

Inc. 

388,547‌

5,649‌

CubeSmart

LP 

86,700‌

3,916‌

EastGroup

Properties,

Inc. 

26,101‌

4,440‌

Essential

Properties

Realty

Trust,

Inc. 

167,415‌

4,639‌

FirstService

Corp. 

17,931‌

2,732‌

Highwoods

Properties,

Inc. 

91,891‌

2,414‌

Independence

Realty

Trust,

Inc. 

271,961‌

5,097‌

Kilroy

Realty

Corp. 

55,800‌

1,739‌

The

Macerich

Co. 

149,900‌

2,314‌

NETSTREIT

Corp. 

184,836‌

2,976‌

Opendoor

Technologies,

Inc. *

390,564‌

719‌

PotlatchDeltic

Corp. 

32,797‌

1,292‌

Safehold,

Inc. 

126,642‌

2,443‌

Saul

Centers,

Inc. 

68,496‌

2,519‌

The

St.

Joe

Co. 

61,865‌

3,384‌

Terreno

Realty

Corp. 

97,059‌

5,744‌

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

44

Small

Cap

Value

Portfolio

Common

Stocks

(96.3%)

Shares/

Par

+

Value

$

(000’s)

Real

Estate

continued

UMH

Properties,

Inc. 

188,700‌

3,017‌

Total

55,034‌

Utilities

(

4

.1

%

)

Artesian

Resources

Corp.

-

Class A 

24,751‌

870‌

California

Water

Service

Group 

61,536‌

2,984‌

Chesapeake

Utilities

Corp. 

28,438‌

3,020‌

IDACORP,

Inc. 

34,791‌

3,241‌

MGE

Energy,

Inc. 

32,106‌

2,399‌

OGE

Energy

Corp. 

79,100‌

2,824‌

ONE

Gas,

Inc. 

53,146‌

3,393‌

PNM

Resources,

Inc. 

97,100‌

3,589‌

Total

22,320‌

Total

Common

Stocks

(Cost: $434,043)

527,778

Warrants

(

0

.0

%

)

Communication

Services

(

0

.0

%

)

Advantage

Solutions,

Inc. *

19,088‌

1‌

Total

1‌

Total

Warrants

(Cost: $25)

1

Total

Investments

(96.3%)

(Cost:

$434,068)

@

527,779

Other

Assets,

Less

Liabilities (3.7%)

20,014

Net

Assets

(100.0%)

547,793

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$434,068

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$93,711

which

is

comprised

of

$139,647

aggregate

gross

unrealized

appreciation

and

$45,936

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

527,778‌

$

—‌

$

—‌

Warrants

1‌

—‌

—‌

Total

Assets:

$

527,779‌

$

—‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

International

Growth

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

45

Common

Stocks

(

97

.1

%

)

Country

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

0

.3

%

)

Rightmove

PLC 

United

Kingdom

396,196‌

2,677

Total

2,677

Consumer

Discretionary

(

9

.7

%

)

Autoliv,

Inc. 

Sweden

66,700‌

7,136

Compass

Group

PLC 

United

Kingdom

816,000‌

22,216

InterContinental

Hotels

Group

PLC,

ADR 

United

Kingdom

183,384‌

19,430

LVMH

Moet

Hennessy

Louis

Vuitton

SE 

France

48,729‌

37,422

Pinduoduo,

Inc. *

China

35,000‌

4,653

PRADA

SpA 

Italy

1,109,500‌

8,296

USS

Co.,

Ltd. 

Japan

410,800‌

3,457

Total

102,610

Consumer

Staples

(

1

.9

%

)

Nestle

SA 

United

States

174,159‌

17,778

PriceSmart,

Inc. 

United

States

26,900‌

2,184

Total

19,962

Energy

(

0

.7

%

)

Reliance

Industries,

Ltd. 

India

135,000‌

5,054

Reliance

Industries,

Ltd.,  

GDR 

India

37,400‌

2,790

Total

7,844

Financials

(

14

.5

%

)

3i

Group

PLC 

United

Kingdom

115,000‌

4,435

AIA

Group,

Ltd. 

Hong

Kong

314,088‌

2,130

Deutsche

Borse

AG 

Germany

58,900‌

12,040

HDFC

Bank,

Ltd. 

India

235,729‌

4,762

Jio

Financial

Services,

Ltd. *

India

125,000‌

535

London

Stock

Exchange

Group

PLC 

United

Kingdom

130,000‌

15,410

Marsh

&

McLennan

Cos.,

Inc. 

United

States

110,923‌

23,374

Mastercard,

Inc.

-

Class

A 

United

States

42,350‌

18,683

Moody's

Corp. 

United

States

46,500‌

19,573

S&P

Global,

Inc. 

United

States

40,100‌

17,885

UBS

Group

AG 

Switzerland

566,300‌

16,576

Visa,

Inc.

-

Class

A 

United

States

68,025‌

17,854

Total

153,257

Health

Care

(

7

.4

%

)

Hoya

Corp. 

Japan

82,100‌

9,606

Novo

Nordisk

A/S

-

Class

B 

Denmark

484,000‌

69,143

Total

78,749

Industrials

(

29

.3

%

)

Aalberts

NV 

Netherlands

47,200‌

1,913

Airbus

SE 

France

171,900‌

23,703

Assa

Abloy

AB

-

Class

B 

Sweden

497,100‌

14,088

Atlas

Copco

AB

-

Class

A 

Sweden

2,096,600‌

39,513

Azelis

Group

NV 

Belgium

183,307‌

3,270

BAE

Systems

PLC 

United

Kingdom

1,143,600‌

19,095

CAE,

Inc. *

Canada

252,900‌

4,697

Canadian

Pacific

Kansas

City,

Ltd. 

Canada

263,300‌

20,736

Common

Stocks

(97.1%)

Country

Shares/

Par

+

Value

$

(000’s)

Industrials

continued

Edenred 

France

255,866‌

10,796

Epiroc

AB 

Sweden

669,645‌

13,353

Experian

PLC 

United

States

498,100‌

23,099

GE

Vernova,

Inc. *

United

States

52,000‌

8,919

IMCD

NV 

Netherlands

51,700‌

7,157

Interpump

Group

SpA 

Italy

122,400‌

5,415

Komatsu,

Ltd. 

Japan

170,000‌

4,947

KONE

Oyj

-

Class

B 

Finland

107,600‌

5,317

Legrand

SA 

France

143,800‌

14,330

MISUMI

Group,

Inc. 

Japan

240,900‌

4,120

OSG

Corp. 

Japan

128,600‌

1,571

Otis

Worldwide

Corp. 

United

States

74,300‌

7,152

Recruit

Holdings

Co.,

Ltd. 

Japan

472,900‌

25,451

Safran

SA 

France

187,900‌

39,531

Schindler

Holding

AG 

Switzerland

26,608‌

6,659

SHO-BOND

Holdings

Co.,

Ltd. 

Japan

156,061‌

5,596

Total

310,428

Information

Technology

(

24

.1

%

)

Amadeus

IT

Group

SA 

Spain

111,100‌

7,393

ASML

Holding

NV 

Netherlands

79,900‌

82,433

Azbil

Corp. 

Japan

342,300‌

9,556

BE

Semiconductor

Industries

N.V. 

Netherlands

40,950‌

6,842

Keyence

Corp. 

Japan

68,600‌

30,265

Lagercrantz

Group

AB

-

Class B 

Sweden

161,200‌

2,627

Lectra 

France

70,400‌

2,077

Microsoft

Corp. 

United

States

28,000‌

12,514

NICE,

Ltd.,

ADR *

Israel

22,474‌

3,865

The

Sage

Group

PLC 

United

Kingdom

475,000‌

6,515

SAP

SE 

Germany

231,000‌

46,901

Spectris

PLC 

United

Kingdom

221,900‌

7,804

Taiwan

Semiconductor

Manufacturing

Co.,

Ltd. 

Taiwan

1,214,000‌

36,106

Total

254,898

Materials

(

9

.2

%

)

CRH

PLC 

United

States

433,500‌

32,140

Franco-Nevada

Corp. 

Canada

54,000‌

6,402

Linde

PLC 

United

States

92,755‌

40,702

The

Sherwin-Williams

Co. 

United

States

61,700‌

18,413

Total

97,657

Total

Common

Stocks

(Cost: $731,978)

1,028,082

Total

Investments

(97.1%)

(Cost:

$731,978)

@

1,028,082

Other

Assets,

Less

Liabilities (2.9%)

30,509

Net

Assets

(100.0%)

1,058,591

International

Growth

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

46

Investments

by

Country

of

Risk

as

a

Percentage

of

Net

Assets:

United

States

24.6%

France

12.0%

Netherlands

9.3%

United

Kingdom

9.2%

Japan

9.0%

Sweden

7.3%

Denmark

6.5%

Germany

5.5%

Other

13.7%

Total

97.1%

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$731,978

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$296,104

which

is

comprised

of

$312,238

aggregate

gross

unrealized

appreciation

and

$16,134

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  See

Note

3

for

additional

information

on

portfolio

valuation.

Valuation

Inputs

Description

Level

1

-

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

- Significant

Unobservable

Inputs

(Amounts

in

thousands)

Assets:

Common

Stocks

Consumer

Discretionary

$

31,219‌

$

71,391‌

$

—‌

Consumer

Staples

2,184‌

17,778‌

—‌

Energy

2,641‌

5,203‌

—‌

Financials

97,369‌

55,888‌

—‌

Industrials

41,504‌

268,924‌

—‌

Information

Technology

16,379‌

238,519‌

—‌

Materials

65,517‌

32,140‌

—‌

All

Others

—‌

81,426‌

—‌

Total

Assets:

$

256,813‌

$

771,269‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

Research

International

Core

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

47

Common

Stocks

(

98.1%

)

Country

Shares/

Par

+

Value

$

(000's)

Communication

Services

(2.5%)

Advanced

Info

Service

PCL

-

Foreign

Shares 

Thailand

731,100‌

4,184

Car

Group,

Ltd. 

Australia

126,566‌

2,963

Hellenic

Telecommunications

Organization

SA 

Greece

189,226‌

2,724

KDDI

Corp. 

Japan

176,400‌

4,675

SEEK,

Ltd. 

Australia

121,646‌

1,724

SoftBank

Group

Corp. 

Japan

85,800‌

5,594

Total

21,864

Consumer

Discretionary

(9.4%)

Aristocrat

Leisure,

Ltd. 

Australia

212,351‌

7,021

Bridgestone

Corp. 

Japan

127,300‌

5,017

Burberry

Group

PLC 

United

Kingdom

148,808‌

1,652

Cie

Financiere

Richemont

SA 

Switzerland

65,070‌

10,156

Compagnie

Generale

des

Etablissements

Michelin 

France

161,586‌

6,235

Denso

Corp. 

Japan

489,400‌

7,638

Flutter

Entertainment

PLC *

United

Kingdom

14,970‌

2,718

LVMH

Moet

Hennessy

Louis

Vuitton

SE 

France

25,308‌

19,435

NIKE,

Inc.

-

Class

B 

United

States

21,485‌

1,619

Sands

China,

Ltd. *

Macau

952,800‌

1,985

Techtronic

Industries

Co.,

Ltd. 

Hong

Kong

602,000‌

6,874

Whitbread

PLC 

United

Kingdom

103,562‌

3,877

Yamaha

Corp. 

Japan

79,900‌

1,876

Yum

China

Holdings,

Inc. 

China

65,730‌

2,027

ZOZO,

Inc. 

Japan

104,300‌

2,617

Total

80,747

Consumer

Staples

(6.8%)

British

American

Tobacco

PLC 

United

Kingdom

294,493‌

9,053

Diageo

PLC 

United

Kingdom

335,150‌

10,544

Heineken

NV 

Netherlands

67,797‌

6,544

Kao

Corp. 

Japan

153,800‌

6,249

Kirin

Holdings

Co.,

Ltd. 

Japan

341,700‌

4,408

Nestle

SA 

United

States

189,494‌

19,343

Seven

&

i

Holdings

Co.,

Ltd. 

Japan

246,100‌

2,997

Total

59,138

Energy

(5.1%)

Eni

SpA 

Italy

501,206‌

7,719

Galp

Energia

SGPS

SA 

Portugal

524,863‌

11,089

Reliance

Industries,

Ltd. 

India

135,267‌

5,064

TotalEnergies

SE 

France

221,239‌

14,745

Woodside

Energy

Group,

Ltd. 

Australia

266,552‌

5,026

Total

43,643

Financials

(19.9%)

AIA

Group,

Ltd. 

Hong

Kong

1,398,200‌

9,481

Aon

PLC 

United

States

33,374‌

9,798

Bank

of

Ireland

Group

PLC 

Ireland

699,502‌

7,287

Beazley

PLC 

United

Kingdom

958,682‌

8,588

BNP

Paribas

SA 

France

192,030‌

12,305

DBS

Group

Holdings,

Ltd. 

Singapore

250,470‌

6,600

Euronext

NV 

Netherlands

145,611‌

13,443

HDFC

Bank,

Ltd. 

India

382,730‌

7,731

Common

Stocks

(98.1%)

Country

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Hiscox,

Ltd. 

United

Kingdom

332,818‌

4,835

Hong

Kong

Exchanges

&

Clearing,

Ltd. 

Hong

Kong

166,300‌

5,299

Julius

Baer

Group,

Ltd. 

Switzerland

161,635‌

9,025

London

Stock

Exchange

Group

PLC 

United

Kingdom

90,330‌

10,708

Macquarie

Group,

Ltd. 

Australia

55,634‌

7,588

Mitsubishi

UFJ

Financial

Group,

Inc. 

Japan

911,800‌

9,837

NatWest

Group

PLC 

United

Kingdom

4,143,517‌

16,253

UBS

Group

AG 

Switzerland

325,760‌

9,536

Visa,

Inc.

-

Class

A 

United

States

34,093‌

8,948

Willis

Towers

Watson

PLC 

United

States

16,085‌

4,217

Zurich

Insurance

Group

AG 

Switzerland

18,585‌

9,887

Total

171,366

Health

Care

(12.7%)

Chugai

Pharmaceutical

Co.,

Ltd. 

Japan

150,200‌

5,362

ConvaTec

Group

PLC 

United

Kingdom

1,729,016‌

5,134

CSL,

Ltd. 

United

States

49,903‌

9,786

Kyowa

Kirin

Co.,

Ltd. 

Japan

48,900‌

836

Merck

KGaA 

Germany

56,859‌

9,422

Novo

Nordisk

A/S

-

Class

B 

Denmark

235,029‌

33,575

Olympus

Corp. 

Japan

330,000‌

5,309

Qiagen

NV *

United

States

185,203‌

7,647

Roche

Holding

AG 

United

States

76,601‌

21,258

Sanofi 

United

States

70,916‌

6,816

Santen

Pharmaceutical

Co.,

Ltd. 

Japan

193,900‌

1,979

Terumo

Corp. 

Japan

162,100‌

2,691

Total

109,815

Industrials

(18.5%)

Cellnex

Telecom

SA 

Spain

133,322‌

4,327

Daikin

Industries,

Ltd. 

Japan

58,200‌

8,040

GEA

Group

AG 

Germany

209,508‌

8,711

Hitachi,

Ltd. 

Japan

1,061,000‌

23,917

Legrand

SA 

France

96,501‌

9,617

Mitsubishi

Electric

Corp. 

Japan

569,400‌

9,102

Mitsui

&

Co.,

Ltd. 

Japan

348,200‌

7,943

MTU

Aero

Engines

AG 

Germany

31,983‌

8,177

Persol

Holdings

Co.,

Ltd. 

Japan

1,325,300‌

1,841

RB

Global,

Inc. 

Canada

70,351‌

5,366

Ryanair

Holdings

PLC 

Italy

43,733‌

5,092

Schneider

Electric

SE 

United

States

128,241‌

30,599

Secom

Co.,

Ltd. 

Japan

32,400‌

1,920

SMC

Corp. 

Japan

20,200‌

9,644

Thales

SA 

France

35,779‌

5,749

Toyota

Industries

Corp. 

Japan

83,400‌

7,060

Weir

Group

PLC 

United

Kingdom

190,769‌

4,759

Wolters

Kluwer

NV 

Netherlands

46,789‌

7,735

Total

159,599

Research

International

Core

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

48

Common

Stocks

(98.1%)

Country

Shares/

Par

+

Value

$

(000’s)

Information

Technology

(10.4%)

Amadeus

IT

Group

SA 

Spain

153,968‌

10,246

ASML

Holding

NV 

Netherlands

11,664‌

12,034

Cadence

Design

Systems,

Inc. *

United

States

30,539‌

9,398

Capgemini

SE 

France

10,933‌

2,165

Constellation

Software,

Inc. 

Canada

3,768‌

10,857

Fujitsu,

Ltd. 

Japan

337,000‌

5,295

Nomura

Research

Institute,

Ltd. 

Japan

218,100‌

6,157

NXP

Semiconductors

NV 

China

23,566‌

6,341

Renesas

Electronics

Corp. 

Japan

437,400‌

8,259

Samsung

Electronics

Co.,

Ltd. 

South

Korea

119,758‌

7,038

Taiwan

Semiconductor

Manufacturing

Co.,

Ltd. 

Taiwan

393,189‌

11,694

Total

89,484

Materials

(9.2%)

Akzo

Nobel

NV 

Netherlands

89,733‌

5,456

Croda

International

PLC 

United

Kingdom

100,539‌

4,995

Glencore

PLC 

Australia

1,833,312‌

10,453

Linde

PLC 

United

States

62,502‌

27,427

Nitto

Denko

Corp. 

Japan

55,900‌

4,432

Novozymes

A/S

-

Class

B 

Denmark

82,282‌

5,031

Shin-Etsu

Chemical

Co.,

Ltd. 

Japan

147,500‌

5,737

Sika

AG 

Switzerland

27,640‌

7,868

Symrise

AG 

Germany

65,030‌

7,961

Total

79,360

Common

Stocks

(98.1%)

Country

Shares/

Par

+

Value

$

(000’s)

Real

Estate

(1.1%)

LEG

Immobilien

SE 

Germany

118,358‌

9,665

Total

9,665

Utilities

(2.5%)

APA

Group 

Australia

415,302‌

2,207

China

Resources

Gas

Group,

Ltd. 

China

734,500‌

2,574

CLP

Holdings,

Ltd. 

Hong

Kong

360,500‌

2,915

E.ON

SE 

Germany

359,507‌

4,711

Iberdrola

SA 

Spain

737,415‌

9,566

Total

21,973

Total

Common

Stocks

(Cost: $665,192)

846,654

Warrants

(

–%

)

Information

Technology

(–%)

Constellation

Software,

Inc. *,Æ

Canada

5,207‌

–

Total

–

Total

Warrants

(Cost: $–)

–

Total

Investments

(98.1%)

(Cost:

$665,192)

@

846,654

Other

Assets,

Less

Liabilities (1.9%)

16,344

Net

Assets

(100.0%)

862,998

Investments

by

Country

of

Risk

as

a

Percentage

of

Net

Assets:

Japan

19.1%

United

States

18.1%

United

Kingdom

9.8%

France

8.1%

Germany

5.6%

Switzerland

5.5%

Netherlands

5.3%

Other

26.6%

Total

98.1%

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

Æ

Security

valued

using

significant

unobservable

inputs.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$665,192

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$181,462

which

is

comprised

of

$217,499

aggregate

gross

unrealized

appreciation

and

$36,037

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

Research

International

Core

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

49

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

4,184‌

$

17,680‌

$

—‌

Consumer

Discretionary

3,646‌

77,101‌

—‌

Financials

22,963‌

148,403‌

—‌

Industrials

10,458‌

149,141‌

—‌

Information

Technology

26,596‌

62,888‌

—‌

Materials

27,427‌

51,933‌

—‌

All

Others

—‌

244,234‌

—‌

Warrants

—‌

—‌

—‌

Total

Assets:

$

95,274‌

$

751,380‌

$

—‌

Management

has

determined

that

the

amount

of

Level

3

securities

compared

to

total

net

assets

is

not

material;

therefore,

the

reconciliation

of

Level

3

securities

and

assumptions

is

not

shown

for

the

period

ended

June

30,

2024.

Schedule

of

Investments

June

30,

2024

(unaudited)

International

Equity

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

50

Common

Stocks

(

94.8%

)

Country

Shares/

Par

+

Value

$

(000's)

Communication

Services

(4.4%)

Baidu,

Inc.,

ADR *

China

150,000‌

12,972

Deutsche

Telekom

AG 

Germany

1,319,500‌

33,193

Grupo

Televisa

SAB,

ADR 

Mexico

1,850,000‌

5,124

Liberty

Global,

Ltd.

-

Class

A *

Belgium

155,000‌

2,702

Liberty

Global,

Ltd.

-

Class

C *

Belgium

327,000‌

5,837

Millicom

International

Cellular

SA,

SDR *

Guatemala

360,000‌

8,757

NetEase,

Inc.,

ADR 

China

32,576‌

3,114

Tencent

Holdings,

Ltd. 

China

265,000‌

12,577

Total

84,276

Consumer

Discretionary

(11.9%)

adidas

AG 

Germany

32,000‌

7,637

Alibaba

Group

Holding,

Ltd.,

ADR 

China

495,000‌

35,640

Booking

Holdings,

Inc. 

United

States

7,000‌

27,731

Coupang,

Inc. *

South

Korea

285,472‌

5,981

Entain

PLC 

United

Kingdom

1,950,337‌

15,441

Flutter

Entertainment

PLC *

United

Kingdom

20,000‌

3,647

Honda

Motor

Co.,

Ltd. 

Japan

1,629,000‌

17,524

JD.com,

Inc.,

ADR 

China

760,000‌

19,639

Kering

SA 

France

38,500‌

13,996

Ollamani

SAB *

Mexico

462,500‌

1,047

Prosus

NV 

China

1,198,500‌

42,457

Stellantis

NV 

United

States

1,186,000‌

23,326

Yum

China

Holdings,

Inc. 

China

405,000‌

12,490

Total

226,556

Consumer

Staples

(8.1%)

Anheuser-Busch

InBev

SA/NV 

Belgium

545,000‌

31,482

Beiersdorf

AG 

Germany

95,000‌

13,880

Danone

SA 

France

290,000‌

17,699

Diageo

PLC 

United

Kingdom

400,000‌

12,584

Haleon

PLC 

United

States

6,500,000‌

26,461

Imperial

Brands

PLC 

United

Kingdom

1,573,000‌

40,275

Seven

&

i

Holdings

Co.,

Ltd. 

Japan

935,300‌

11,391

Total

153,772

Energy

(6.6%)

BP

PLC 

United

Kingdom

2,522,000‌

15,196

Equinor

ASA 

Norway

285,000‌

8,143

Suncor

Energy,

Inc. 

Canada

900,000‌

34,290

TC

Energy

Corp. 

Canada

475,000‌

18,003

TotalEnergies

SE 

France

760,000‌

50,653

Total

126,285

Financials

(21.1%)

Aegon,

Ltd. 

Netherlands

2,150,000‌

13,274

Aviva

PLC 

United

Kingdom

4,301,600‌

25,942

Axis

Bank,

Ltd. 

India

2,775,000‌

42,048

Banco

Santander

SA 

Spain

12,165,506‌

56,385

Barclays

PLC 

United

Kingdom

15,100,000‌

39,839

BNP

Paribas

SA 

France

920,000‌

58,954

Credicorp,

Ltd. 

Peru

132,500‌

21,376

HDFC

Bank,

Ltd. 

India

1,894,000‌

38,260

ICICI

Bank,

Ltd. 

India

400,000‌

5,745

Prudential

PLC 

Hong

Kong

2,700,000‌

24,494

Common

Stocks

(94.8%)

Country

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Standard

Chartered

PLC 

United

Kingdom

1,300,000‌

11,713

UBS

Group

AG 

Switzerland

1,690,000‌

49,469

XP,

Inc.

-

Class

A 

Brazil

730,000‌

12,841

Total

400,340

Health

Care

(14.1%)

Bayer

AG 

Germany

690,000‌

19,513

Fresenius

Medical

Care

AG 

Germany

580,000‌

22,181

GSK

PLC 

United

States

2,730,000‌

52,615

Novartis

AG 

Switzerland

585,000‌

62,672

Olympus

Corp. 

Japan

835,000‌

13,433

Roche

Holding

AG 

United

States

138,500‌

38,436

Sanofi 

United

States

620,000‌

59,595

Total

268,445

Industrials

(9.5%)

Ashtead

Group

PLC 

United

Kingdom

450,000‌

29,983

Daikin

Industries,

Ltd. 

Japan

58,000‌

8,012

Deutsche

Post

AG 

Germany

458,500‌

18,552

Johnson

Controls

International

PLC 

United

States

843,200‌

56,047

Mitsubishi

Electric

Corp. 

Japan

1,573,500‌

25,154

Nidec

Corp. 

Japan

160,000‌

7,232

Schneider

Electric

SE 

United

States

75,500‌

18,015

Smiths

Group

PLC 

United

Kingdom

790,000‌

17,041

Total

180,036

Information

Technology

(6.4%)

Brother

Industries,

Ltd. 

Japan

385,000‌

6,810

Infineon

Technologies

AG 

Germany

383,300‌

14,081

Kyocera

Corp. 

Japan

1,020,000‌

11,728

Murata

Manufacturing

Co.,

Ltd. 

Japan

855,000‌

17,747

Samsung

Electronics

Co.,

Ltd. 

South

Korea

40,000‌

2,351

Taiwan

Semiconductor

Manufacturing

Co.,

Ltd. 

Taiwan

1,550,000‌

46,099

TE

Connectivity,

Ltd. 

United

States

155,000‌

23,317

Total

122,133

Materials

(11.3%)

Akzo

Nobel

NV 

Netherlands

519,000‌

31,556

Glencore

PLC 

Australia

5,450,000‌

31,075

Holcim,

Ltd. *

United

States

640,000‌

56,764

International

Flavors

&

Fragrances,

Inc. 

United

States

235,000‌

22,374

Linde

PLC 

United

States

49,000‌

21,502

Mitsubishi

Chemical

Group

Corp. 

Japan

2,957,500‌

16,473

Nutrien,

Ltd. 

Canada

325,000‌

16,546

Teck

Resources,

Ltd.

-      

Class

B 

Canada

393,500‌

18,849

Total

215,139

International

Equity

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

51

Common

Stocks

(94.8%)

Country

Shares/

Par

+

Value

$

(000’s)

Real

Estate

(1.4%)

CK

Asset

Holdings,

Ltd. 

Hong

Kong

2,800,500‌

10,484

Daito

Trust

Construction

Co.,

Ltd. 

Japan

110,000‌

11,351

Hang

Lung

Group,

Ltd. 

Hong

Kong

3,500,000‌

3,808

Total

25,643

Total

Common

Stocks

(Cost: $1,796,856)

1,802,625

Preferred

Stocks

(

3.2%

)

Financials

(2.1%)

Itau

Unibanco

Holding

SA

Brazil

6,870,000‌

39,831

Total

39,831

Information

Technology

(1.1%)

Samsung

Electronics

Co.,

Ltd.

South

Korea

460,000‌

21,124

Total

21,124

Total

Preferred

Stocks

(Cost: $54,132)

60,955

Total

Investments

(98.0%)

(Cost:

$1,850,988)

@

1,863,580

Other

Assets,

Less

Liabilities (2.0%)

37,827

Net

Assets

(100.0%)

1,901,407

Investments

by

Country

of

Risk

as

a

Percentage

of

Net

Assets:

United

States

22.4%

United

Kingdom

11.2%

Japan

7.7%

China

7.4%

France

7.4%

Germany

6.8%

Switzerland

5.9%

Other

29.2%

Total

98.0%

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      

Bank

of

America

NA

CNH

26,484‌

3,627‌

7/3/24

$

—‌π

$

—‌π

$

—‌π

Buy      

Bank

of

America

NA

CNH

3,820‌

524‌

7/10/24

—‌

—‌π

—‌π

Buy      

UBS

AG

CNH

7,641‌

1,048‌

7/10/24

—‌

—‌π

—‌π

Buy      

Bank

of

America

NA

CNH

15,023‌

2,064‌

8/14/24

—‌π

—‌

—‌π

Sell      

Bank

of

America

NA

CNH

18,843‌

2,581‌

7/3/24

—‌π

—‌π

—‌π

Sell      

UBS

AG

CNH

7,641‌

1,046‌

7/3/24

—‌π

—‌

—‌π

Sell      

JP

Morgan

Chase

Bank

NA

CNH

11,461‌

1,571‌

7/10/24

54‌

—‌

54‌

Sell      

State

Street

Bank

And

Trust

Company

CNH

6,354‌

879‌

8/14/24

10‌

—‌

10‌

Sell      

UBS

AG

CNH

9,090‌

1,249‌

8/14/24

36‌

—‌

36‌

Sell      

Bank

of

America

NA

CNH

8,151‌

1,122‌

9/12/24

20‌

—‌

20‌

Sell      

HSBC

Bank

USA

CNH

24,454‌

3,366‌

9/12/24

60‌

—‌

60‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

9,090‌

1,252‌

9/12/24

36‌

—‌

36‌

Sell      

HSBC

Bank

USA

CNH

18,325‌

2,530‌

10/17/24

59‌

—‌

59‌

Sell      

UBS

AG

CNH

9,235‌

1,275‌

10/17/24

23‌

—‌

23‌

Sell      

HSBC

Bank

USA

CNH

38,650‌

5,345‌

11/7/24

106‌

—‌

106‌

Sell      

UBS

AG

CNH

21,772‌

3,011‌

11/7/24

59‌

—‌

59‌

Sell      

Citibank

NA

CNH

1,260‌

175‌

11/21/24

2‌

—‌

2‌

Sell      

HSBC

Bank

USA

CNH

33,102‌

4,582‌

11/21/24

53‌

—‌

53‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

12,730‌

1,762‌

11/21/24

21‌

—‌

21‌

Sell      

UBS

AG

CNH

6,365‌

881‌

11/21/24

9‌

—‌

9‌

Sell      

HSBC

Bank

USA

CNH

24,260‌

3,362‌

12/5/24

123‌

—‌

123‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

12,130‌

1,681‌

12/5/24

62‌

—‌

62‌

Sell      

UBS

AG

CNH

24,260‌

3,362‌

12/5/24

123‌

—‌

123‌

Sell      

HSBC

Bank

USA

CNH

29,698‌

4,126‌

1/9/25

123‌

—‌

123‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

29,698‌

4,126‌

1/9/25

121‌

—‌

121‌

Sell      

UBS

AG

CNH

14,849‌

2,063‌

1/9/25

62‌

—‌

62‌

Sell      

Barclays

Bank

PLC

CNH

608‌

85‌

2/13/25

2‌

—‌

2‌

International

Equity

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

52

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

1,520‌

212‌

2/13/25

$

5‌

$

—‌

$

5‌

Sell      

UBS

AG

CNH

24,743‌

3,447‌

2/13/25

71‌

—‌

71‌

Sell      

HSBC

Bank

USA

CNH

49,815‌

6,952‌

3/13/25

142‌

—‌

142‌

Sell      

State

Street

Bank

And

Trust

Company

CNH

49,815‌

7,058‌

3/13/25

39‌

—‌

39‌

Sell      

UBS

AG

CNH

30,771‌

4,294‌

3/13/25

87‌

—‌

87‌

Sell      

HSBC

Bank

USA

CNH

22,478‌

3,138‌

3/20/25

32‌

—‌

32‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

11,155‌

1,558‌

3/20/25

19‌

—‌

19‌

Sell      

UBS

AG

CNH

22,668‌

3,166‌

3/20/25

25‌

—‌

25‌

Sell      

State

Street

Bank

And

Trust

Company

CNH

9,600‌

1,364‌

4/10/25

—‌

(6‌)

(6‌)

Sell      

UBS

AG

CNH

9,600‌

1,342‌

4/10/25

16‌

—‌

16‌

Sell      

Barclays

Bank

PLC

CNH

40,948‌

5,728‌

4/17/25

39‌

—‌

39‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

20,474‌

2,864‌

4/17/25

19‌

—‌

19‌

Sell      

UBS

AG

CNH

40,948‌

5,728‌

4/17/25

39‌

—‌

39‌

Sell      

Bank

of

America

NA

CNH

13,445‌

1,885‌

5/22/25

24‌

—‌

24‌

Sell      

State

Street

Bank

And

Trust

Company

CNH

13,445‌

1,920‌

5/22/25

—‌

(14‌)

(14‌)

Sell      

UBS

AG

CNH

40,334‌

5,655‌

5/22/25

63‌

—‌

63‌

Sell      

HSBC

Bank

USA

CNH

29,303‌

4,115‌

6/12/25

33‌

—‌

33‌

Sell      

Citibank

NA

TWD

56,069‌

1,773‌

2/27/25

—‌

(10‌)

(10‌)

Sell      

HSBC

Bank

USA

TWD

20,880‌

660‌

2/27/25

—‌π

—‌

—‌π

Sell      

JP

Morgan

Chase

Bank

NA

TWD

25,498‌

806‌

2/27/25

—‌

(4‌)

(4‌)

Sell      

Citibank

NA

TWD

56,403‌

1,785‌

3/13/25

3‌

(6‌)

(3‌)

Sell      

HSBC

Bank

USA

TWD

23,335‌

739‌

3/13/25

—‌

(2‌)

(2‌)

Sell      

UBS

AG

TWD

22,502‌

712‌

3/13/25

—‌

(4‌)

(4‌)

Sell      

HSBC

Bank

USA

TWD

58,400‌

1,851‌

3/27/25

—‌

(10‌)

(10‌)

Sell      

JP

Morgan

Chase

Bank

NA

TWD

23,335‌

740‌

3/27/25

—‌

(4‌)

(4‌)

Sell      

UBS

AG

TWD

25,001‌

792‌

3/27/25

6‌

—‌

6‌

Sell      

Bank

of

America

NA

TWD

23,331‌

740‌

4/10/25

—‌

(4‌)

(4‌)

Sell      

Barclays

Bank

PLC

TWD

31,400‌

997‌

4/10/25

—‌

(3‌)

(3‌)

Sell      

JP

Morgan

Chase

Bank

NA

TWD

24,668‌

783‌

4/10/25

—‌

(1‌)

(1‌)

Sell      

UBS

AG

TWD

24,998‌

793‌

4/10/25

6‌

—‌

6‌

Sell      

Bank

of

America

NA

TWD

31,397‌

997‌

4/17/25

—‌

(4‌)

(4‌)

Sell      

HSBC

Bank

USA

TWD

70,517‌

2,239‌

4/17/25

4‌

(1‌)

3‌

$

1,836‌

$

(73‌)

$

1,763‌

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

$

1,836‌

—‌

$

1,836‌

$

(73‌)

—‌

—‌

$

(73‌)

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$1,850,988

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$14,355

which

is

comprised

of

$252,939

aggregate

gross

unrealized

appreciation

and

$238,584

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

π

Amount

is

less

than

one

thousand.

International

Equity

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

53

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

Financials

$

39,831‌

$

—‌

$

—‌

Information

Technology

—‌

21,124‌

—‌

Common

Stocks

Communication

Services

29,749‌

54,527‌

—‌

Consumer

Discretionary

106,175‌

120,381‌

—‌

Energy

52,293‌

73,992‌

—‌

Financials

34,217‌

366,123‌

—‌

Industrials

56,047‌

123,989‌

—‌

Information

Technology

23,317‌

98,816‌

—‌

Materials

79,271‌

135,868‌

—‌

All

Others

—‌

447,860‌

—‌

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

1,836‌

—‌

Total

Assets:

$

420,900‌

$

1,444,516‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

(73‌)

—‌

Total

Liabilities:

$

—‌

$

(73‌)

$

—‌

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

Emerging

Markets

Equity

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

54

Common

Stocks

(

94

.7

%

)

Country

Shares/

Par

+

Value

$

(000's)

Communication

Services

(

9

.1

%

)

Bharti

Airtel,

Ltd. 

India

670,962

11,586

Telkom

Indonesia

Persero

Tbk

PT 

Indonesia

60,236,600

11,430

Tencent

Holdings,

Ltd. 

China

1,542,000

73,185

Total

96,201

Consumer

Discretionary

(

11

.0

%

)

Alibaba

Group

Holding,

Ltd. 

China

4,041,500

36,333

Americana

Restaurants

International

PLC 

United

Arab

Emirates

6,608,512

5,636

ANTA

Sports

Products,

Ltd. 

China

1,312,000

12,498

China

Tourism

Group

Duty

Free

Corp.,

Ltd.

-

Class

A 

China

317,586

2,726

China

Tourism

Group

Duty

Free

Corp.,

Ltd.

-

Class H 

China

555,300

3,394

Indian

Hotels

Co.,

Ltd. 

India

749,470

5,590

Mahindra

&

Mahindra,

Ltd. 

India

358,646

12,285

Maruti

Suzuki

India,

Ltd. 

India

63,427

9,124

MercadoLibre,

Inc. *

Brazil

6,193

10,178

Midea

Group

Co.,

Ltd.

-

Class A 

China

1,984,366

17,621

Zhongsheng

Group

Holdings,

Ltd. 

China

618,000

903

Total

116,288

Consumer

Staples

(

5

.1

%

)

Budweiser

Brewing

Co.

APAC,

Ltd. 

China

4,221,800

4,970

Fomento

Economico

Mexicano

SAB

de

CV,

ADR 

Mexico

106,504

11,465

Hindustan

Unilever,

Ltd. 

India

466,929

13,822

Kweichow

Moutai

Co.,

Ltd.

-

Class

A 

China

58,073

11,712

Raia

Drogasil

SA 

Brazil

2,679,532

12,310

Total

54,279

Energy

(

3

.4

%

)

LUKOIL

PJSC *,Æ

Russia

225,143

–

NovaTek

PJSC *,Æ

Russia

795,201

–

PRIO

SA 

Brazil

1,070,099

8,377

Saudi

Arabian

Oil

Co. 

Saudi

Arabia

1,163,278

8,588

TotalEnergies

SE 

France

279,644

18,638

Total

35,603

Financials

(

20

.4

%

)

AIA

Group,

Ltd. 

Hong

Kong

1,990,000

13,494

Al

Rajhi

Bank 

Saudi

Arabia

629,847

13,711

Bank

Negara

Indonesia

Persero

Tbk

PT 

Indonesia

27,331,700

7,730

Cholamandalam

Investment

and

Finance

Co.,

Ltd. 

India

540,029

9,174

Credicorp,

Ltd. 

Peru

29,829

4,812

Grupo

Financiero

Banorte

SAB

de

CV 

Mexico

1,545,505

12,043

HDFC

Bank,

Ltd. 

India

1,415,809

28,600

ICICI

Bank,

Ltd. 

India

1,343,917

19,303

Itausa

SA

-

Preference

Shares 

Brazil

6,450,819

11,332

Common

Stocks

(94.7%)

Country

Shares/

Par

+

Value

$

(000’s)

Financials

continued

Kaspi.KZ

Joint

Stock

Co.,

ADR 

Kazakhstan

169,801

21,906

Nu

Holdings,

Ltd. *

Brazil

634,457

8,178

PICC

Property

&

Casualty

Co.,

Ltd. *

China

9,193,900

11,407

Ping

An

Insurance

Group

Co.

of

China,

Ltd.

-

Class

H 

China

1,789,000

8,135

Sanlam,

Ltd. 

South

Africa

2,578,278

11,461

Sberbank

of

Russia

PJSC *,Æ

Russia

1,471,064

–

SBI

Life

Insurance

Co.,

Ltd. 

India

1,118,660

19,984

Shinhan

Financial

Group

Co.,

Ltd. 

South

Korea

412,057

14,316

Total

215,586

Health

Care

(

1

.5

%

)

Shenzhen

Mindray

Bio-

Medical

Electronics

Co.,

Ltd. 

China

398,215

15,963

Total

15,963

Industrials

(

8

.4

%

)

Contemporary

Amperex

Technology

Co.,

Ltd. 

China

483,690

11,948

Grupo

Aeroportuario

del

Sureste

SAB

de

CV

-

Class B 

Mexico

351,650

10,587

Havells

India,

Ltd. 

India

451,249

9,844

HD

Korea

Shipbuilding

&

Offshore

Engineering

Co.,

Ltd. *

South

Korea

118,442

13,647

NARI

Technology

Co.,

Ltd.

-

Class

A 

China

3,814,898

13,096

Samsung

C&T

Corp. 

South

Korea

85,731

8,792

Samsung

E&A

Co.,

Ltd. *

South

Korea

645,805

11,281

Sungrow

Power

Supply

Co.,

Ltd.

-

Class

A 

China

1,118,740

9,525

Total

88,720

Information

Technology

(

25

.7

%

)

Accton

Technology

Corp. 

Taiwan

878,000

14,914

ASM

International

NV 

Netherlands

23,927

18,225

ASML

Holding

NV 

Netherlands

11,540

11,906

Delta

Electronics,

Inc. 

Taiwan

1,263,000

15,004

Globant

SA *

United

States

39,274

7,001

MediaTek,

Inc. 

Taiwan

539,000

23,042

Samsung

Electronics

Co.,

Ltd. 

South

Korea

304,844

17,914

Taiwan

Semiconductor

Manufacturing

Co.,

Ltd. 

Taiwan

4,717,290

140,299

Tata

Consultancy

Services,

Ltd. 

India

335,716

15,670

Yageo

Corp. 

Taiwan

340,000

7,619

Total

271,594

Materials

(

4

.8

%

)

Grupo

Mexico

SAB

de

CV 

Mexico

2,041,299

10,980

Southern

Copper

Corp. 

Mexico

202,073

21,772

Emerging

Markets

Equity

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

55

Common

Stocks

(94.7%)

Country

Shares/

Par

+

Value

$

(000’s)

Materials

continued

UltraTech

Cement,

Ltd. 

India

129,963

18,125

Total

50,877

Real

Estate

(

2

.4

%

)

Aldar

Properties

PJSC 

United

Arab

Emirates

4,628,813

7,889

China

Resources

Land,

Ltd. 

China

2,934,000

9,966

Godrej

Properties,

Ltd. *

India

199,541

7,627

Total

25,482

Utilities

(

2

.9

%

)

Power

Grid

Corp.

of

India,

Ltd. 

India

7,668,025

30,265

Total

30,265

Total

Common

Stocks

(Cost: $914,056)

1,000,858

Preferred

Stocks

(

5

.2

%

)

Country

Shares/

Par

+

Value

$

(000's)

Information

Technology

(

5

.2

%

)

Samsung

Electronics

Co.,

Ltd.

South

Korea

1,205,793

55,373

Total

55,373

Total

Preferred

Stocks

(Cost: $49,843)

55,373

Total

Investments

(99.9%)

(Cost:

$963,899)

@

1,056,231

Other

Assets,

Less

Liabilities (0.1%)

1,142

Net

Assets

(100.0%)

1,057,373

Investments

by

Country

of

Risk

as

a

Percentage

of

Net

Assets:

China

23.0%

India

20.0%

Taiwan

19.0%

South

Korea

11.4%

Mexico

6.3%

Other

20.2%

Total

99.9%

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

Æ

Security

valued

using

significant

unobservable

inputs.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$963,899

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$92,332

which

is

comprised

of

$226,159

aggregate

gross

unrealized

appreciation

and

$133,827

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

—

$

55,373

$

—

Common

Stocks

Consumer

Discretionary

10,178

106,110

—

Consumer

Staples

23,775

30,504

—

Energy

8,377

27,226

—

Financials

58,271

157,315

—

Industrials

10,587

78,133

—

Information

Technology

7,001

264,593

—

Materials

32,752

18,125

—

All

Others

—

167,911

—

Total

Assets:

$

150,941

$

905,290

$

—

Management

has

determined

that

the

amount

of

Level

3

securities

compared

to

total

net

assets

is

not

material;

therefore,

the

reconciliation

of

Level

3

securities

and

assumptions

is

not

shown

for

the

period

ended

June

30,

2024.

Schedule

of

Investments

June

30,

2024

(unaudited)

Government

Money

Market

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

56

Money

Market

Investments

(

100.1%

)

Shares/

Par

+

Value

$

(000's)

Repurchase

Agreements

(43.7%)

Tri-Party

Bank

of

Montreal,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$25,011,083,

collateralized

by

various

US

Treasury

obligations,

2.875%

to

4.250%,

due

from

8/15/2028

to

2/28/2029,

aggregate

par

and

fair

value

of

$25,684,073

and

$25,500,015,

respectively)

25,000,000‌

25,000

Tri-Party

Bank

of

Nova

Scotia,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$20,008,867,

collateralized

by

various

US

Treasury

obligations,

0.125%

to

4.625%,

due

from

3/31/2025

to

2/15/2053,

aggregate

par

and

fair

value

of

$21,418,026

and

$20,409,079,

respectively)

20,000,000‌

20,000

Tri-Party

BNP

Paribas,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$12,505,542,

collateralized

by

various

US

Treasury

obligations,

0.000%

to

5.342%,

due

from

7/31/2024

to

11/15/2052,

aggregate

par

and

fair

value

of

$26,166,526

and

$12,750,000,

respectively)

12,500,000‌

12,500

Tri-Party

BNP

Paribas,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$9,003,998,

collateralized

by

various

US

government

sponsored

agency

obligations,

3.000%

to

6.500%,

due

from

2/20/2049

to

9/20/2053,

aggregate

par

and

fair

value

of

$9,056,612

and

$9,180,000,

respectively)

9,000,000‌

9,000

Tri-Party

Citigroup

Global

Markets,

Inc.,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$5,002,225,

collateralized

by

US

Treasury

Note,

0.375%,

due

12/31/2025,

par

and

fair

value

of

$5,455,902

and

$5,100,003,

respectively)

5,000,000‌

5,000

Tri-Party

Citigroup

Global

Markets,

Inc.,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$5,002,221,

collateralized

by

various

US

government

sponsored

agency

obligations,

3.500%

to

3.500%,

due

from

12/20/2047

to

12/20/2047,

aggregate

par

and

fair

value

of

$5,590,949

and

$5,100,649,

respectively)

5,000,000‌

5,000

Tri-Party

Goldman

Sachs

Group

LP,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$30,013,325,

collateralized

by

various

US

government

sponsored

agency

obligations,

2.000%

to

6.500%,

due

from

4/15/2038

to

10/15/2057,

aggregate

par

and

fair

value

of

$32,098,826

and

$30,600,000,

respectively)

30,000,000‌

30,000

Money

Market

Investments

(100.1%)

Shares/

Par

+

Value

$

(000’s)

Repurchase

Agreements

continued

Tri-Party

Mitsubishi

UFJ,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$30,013,325,

collateralized

by

various

US

government

sponsored

agency

obligations,

2.000%

to

6.500%,

due

from

7/20/2028

to

2/20/2054,

aggregate

par

and

fair

value

of

$31,175,952

and

$30,600,000,

respectively)

30,000,000‌

30,000

Tri-Party

Mizuho

Securities,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$37,016,465,

collateralized

by

US

Treasury

Note,

0.375%,

due

12/31/2025,

par

and

fair

value

of

$40,373,735

and

$37,740,075,

respectively)

37,000,000‌

37,000

Tri-Party

Morgan

Stanley,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$10,004,433,

collateralized

by

various

US

Treasury

obligations,

0.000%

to

2.875%,

due

from

7/15/2024

to

2/15/2054,

aggregate

par

and

fair

value

of

$16,532,941

and

$10,200,004,

respectively)

10,000,000‌

10,000

Tri-Party

Morgan

Stanley,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$14,006,218,

collateralized

by

various

US

Treasury

obligations

and

various

US

government

sponsored

agency

obligations,

2.000%

to

7.500%,

due

from

8/15/2028

to

6/20/2054,

aggregate

par

and

fair

value

of

$15,593,535

and

$14,280,038,

respectively)

14,000,000‌

14,000

Tri-Party

Natixis

S.A.,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$15,006,650,

collateralized

by

various

US

Treasury

obligations,

0.125%

to

3.625%,

due

from

7/15/2025

to

2/15/2052,

aggregate

par

and

fair

value

of

$20,046,299

and

$15,300,122,

respectively)

15,000,000‌

15,000

Tri-Party

TD

Securities,

0.000%,

7/1/24

(Purchased

on

6/28/24,

to

be

repurchased

at

$15,006,663,

collateralized

by

US

government

sponsored

agency,

5.500%,

due

4/20/2053,

par

and

fair

value

of

$15,370,721

and

$15,300,000,

respectively)

15,000,000‌

15,000

Total

227,500

US

Government

&

Agencies

(56.4%)

Federal

Farm

Credit

Bank,

0.000%,

9/19/24

1,290,000‌

1,275

Federal

Farm

Credit

Bank,

5.000%,

4/4/25

658,000‌

658

Federal

Farm

Credit

Bank,

5.125%,

12/4/24

785,000‌

785

Federal

Farm

Credit

Bank,

5.390%,

(US

SOFR

plus

0.050%),

6/20/25

206,000‌

206

Federal

Farm

Credit

Bank,

5.410%,

(US

SOFR

plus

0.070%),

11/17/25

800,000‌

800

Government

Money

Market

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

57

Money

Market

Investments

(100.1%)

Shares/

Par

+

Value

$

(000’s)

US

Government

&

Agencies

continued

Federal

Farm

Credit

Bank,

5.420%,

(US

SOFR

plus

0.080%),

12/30/24

1,000,000‌

1,000

Federal

Farm

Credit

Bank,

5.425%,

(US

SOFR

plus

0.085%),

9/23/24

1,720,000‌

1,720

Federal

Farm

Credit

Bank,

5.430%,

(US

SOFR

plus

0.090%),

8/26/24

4,540,000‌

4,540

Federal

Farm

Credit

Bank,

5.440%,

(US

SOFR

plus

0.100%),

8/1/24

1,095,000‌

1,095

Federal

Farm

Credit

Bank,

5.440%,

(US

SOFR

plus

0.100%),

6/24/26

300,000‌

300

Federal

Farm

Credit

Bank,

5.440%,

(US

SOFR

plus

0.100%),

6/26/26

805,000‌

805

Federal

Farm

Credit

Bank,

5.480%,

(US

SOFR

plus

0.140%),

11/7/24

3,100,000‌

3,100

Federal

Farm

Credit

Bank,

5.480%,

(US

SOFR

plus

0.140%),

5/27/25

3,225,000‌

3,225

Federal

Farm

Credit

Bank,

5.510%,

(US

SOFR

plus

0.170%),

1/23/25

2,685,000‌

2,685

Federal

Home

Loan

Bank,

0.000%,

7/24/24

3,035,000‌

3,024

Federal

Home

Loan

Bank,

0.000%,

8/2/24

1,425,000‌

1,418

Federal

Home

Loan

Bank,

0.000%,

9/3/24

593,000‌

588

Federal

Home

Loan

Bank,

0.000%,

10/4/24

5,500,000‌

5,429

Federal

Home

Loan

Bank,

0.000%,

11/1/24

5,732,000‌

5,632

Federal

Home

Loan

Bank,

0.000%,

11/4/24

1,194,000‌

1,173

Federal

Home

Loan

Bank,

0.000%,

11/12/24

559,000‌

549

Federal

Home

Loan

Bank,

0.000%,

11/26/24

3,430,000‌

3,362

Federal

Home

Loan

Bank,

0.000%,

12/30/24

1,581,000‌

1,544

Federal

Home

Loan

Bank,

0.000%,

1/3/25

3,000,000‌

2,928

Federal

Home

Loan

Bank,

0.000%,

1/24/25

605,000‌

588

Federal

Home

Loan

Bank,

0.000%,

1/27/25

3,709,000‌

3,608

Federal

Home

Loan

Bank,

0.000%,

2/10/25

1,449,000‌

1,406

Federal

Home

Loan

Bank,

0.000%,

2/11/25

2,505,000‌

2,430

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

7/29/24

1,100,000‌

1,100

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

8/23/24

900,000‌

900

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

8/26/24

600,000‌

600

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

8/27/24

2,300,000‌

2,300

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

8/27/24

200,000‌

200

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

8/29/24

605,000‌

605

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

9/4/24

2,880,000‌

2,880

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

9/9/24

1,700,000‌

1,700

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

9/9/24

700,000‌

700

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

9/17/24

400,000‌

400

Federal

Home

Loan

Bank,

5.340%,

(US

SOFR),

9/23/24

900,000‌

900

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

10/16/24

700,000‌

700

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

10/22/24

1,800,000‌

1,800

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

10/24/24

600,000‌

600

Money

Market

Investments

(100.1%)

Shares/

Par

+

Value

$

(000’s)

US

Government

&

Agencies

continued

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

11/6/24

715,000‌

715

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

11/7/24

700,000‌

700

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

11/12/24

715,000‌

715

Federal

Home

Loan

Bank,

5.345%,

(US

SOFR

plus

0.005%),

11/18/24

900,000‌

900

Federal

Home

Loan

Bank,

5.350%,

(US

SOFR

plus

0.010%),

10/2/24

3,500,000‌

3,500

Federal

Home

Loan

Bank,

5.350%,

(US

SOFR

plus

0.010%),

11/18/24

1,200,000‌

1,200

Federal

Home

Loan

Bank,

5.350%,

(US

SOFR

plus

0.010%),

11/21/24

300,000‌

300

Federal

Home

Loan

Bank,

5.430%,

(US

SOFR

plus

0.100%),

6/26/26

2,230,000‌

2,230

Federal

Home

Loan

Bank,

5.445%,

(US

SOFR

plus

0.105%),

10/28/24

2,300,000‌

2,300

Federal

Home

Loan

Bank,

5.500%,

4/15/25

2,905,000‌

2,905

Federal

Home

Loan

Bank,

5.500%,

(US

SOFR

plus

0.160%),

7/21/25

4,330,000‌

4,330

Federal

Home

Loan

Bank,

5.540%,

(US

SOFR

plus

0.200%),

11/13/25

3,270,000‌

3,270

US

Treasury,

0.000%,

7/5/24

10,163,000‌

10,154

US

Treasury,

0.000%,

7/9/24

13,840,000‌

13,820

US

Treasury,

0.000%,

7/11/24

11,020,000‌

11,001

US

Treasury,

0.000%,

7/18/24

12,201,000‌

12,169

US

Treasury,

0.000%,

7/23/24

1,785,000‌

1,779

US

Treasury,

0.000%,

7/25/24

9,508,000‌

9,473

US

Treasury,

0.000%,

7/30/24

7,671,000‌

7,637

US

Treasury,

0.000%,

8/1/24

5,963,600‌

5,936

US

Treasury,

0.000%,

8/6/24

7,211,900‌

7,172

US

Treasury,

0.000%,

8/8/24

2,700,000‌

2,684

US

Treasury,

0.000%,

8/13/24

2,600,000‌

2,583

US

Treasury,

0.000%,

8/27/24

5,975,000‌

5,924

US

Treasury,

0.000%,

9/5/24

5,720,000‌

5,665

US

Treasury,

0.000%,

9/10/24

6,720,000‌

6,649

US

Treasury,

0.000%,

9/12/24

3,525,000‌

3,487

US

Treasury,

0.000%,

9/19/24

2,030,300‌

2,007

US

Treasury,

0.000%,

10/10/24

2,167,500‌

2,136

US

Treasury,

0.000%,

10/15/24

3,535,000‌

3,480

US

Treasury,

0.000%,

10/24/24

3,707,100‌

3,645

US

Treasury,

0.000%,

10/31/24

9,412,000‌

9,245

US

Treasury,

0.000%,

11/21/24

5,700,000‌

5,581

US

Treasury,

0.000%,

11/29/24

7,700,000‌

7,531

US

Treasury,

0.000%,

12/5/24

10,100,000‌

9,870

US

Treasury,

0.000%,

12/19/24

6,590,000‌

6,427

US

Treasury,

0.000%,

12/26/24

7,124,000‌

6,948

US

Treasury,

0.000%,

1/23/25

2,581,900‌

2,514

US

Treasury,

0.000%,

3/20/25

863,000‌

832

US

Treasury,

1.125%,

2/28/25

115,000‌

112

US

Treasury,

2.750%,

2/28/25

116,000‌

114

US

Treasury,

5.430%,

(US

Treasury

3

Month

Bill

Money

Market

Yield

plus

0.125%),

7/31/25

10,740,000‌

10,739

US

Treasury,

5.445%,

(US

Treasury

3

Month

Bill

Money

Market

Yield

plus

0.140%),

10/31/24

4,560,000‌

4,561

US

Treasury,

5.455%,

(US

Treasury

3

Month

Bill

Money

Market

Yield

plus

0.150%),

4/30/26

5,800,000‌

5,801

Government

Money

Market

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

58

Money

Market

Investments

(100.1%)

Shares/

Par

+

Value

$

(000’s)

US

Government

&

Agencies

continued

US

Treasury,

5.475%,

(US

Treasury

3

Month

Bill

Money

Market

Yield

plus

0.170%),

10/31/25

7,131,000‌

7,129

US

Treasury,

5.505%,

(US

Treasury

3

Month

Bill

Money

Market

Yield

plus

0.200%),

1/31/25

5,000,000‌

5,000

Total

294,128

Total

Money

Market

Investments

(Cost:

$521,628)

521,628

Total

Investments

(100.1%)

(Cost:

$521,628)

521,628

Other

Assets,

Less

Liabilities (-0.1%)

(298)

Net

Assets

(100.0%)

521,330

+

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

June

30,

2024.  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

$

—‌

$

521,628‌

$

—‌

Total

Assets:

$

—‌

$

521,628‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

59

Corporate

Bonds

(

43.9%

)

Shares/

Par

+

Value

$

(000's)

Basic

Materials

(1.3%)

ArcelorMittal

3.600%, 7/16/24

225,000‌

225

Celanese

US

Holdings

LLC

6.050%, 3/15/25

334,000‌

334

Celulosa

Arauco

y

Constitucion

SA

4.500%, 8/1/24

365,000‌

364

LYB

International

Finance

III

LLC

1.250%, 10/1/25

373,000‌

353

MEGlobal

Canada

ULC

5.000%, 5/18/25

§

960,000‌

950

Newmont

Corp.

/

Newcrest

Finance

Pty,

Ltd.

 144‌A

 144‌A

5.300%, 3/15/26

144A

240,000‌

240

Nucor

Corp.

3.950%, 5/23/25

275,000‌

271

Nutrien,

Ltd.

4.900%, 3/27/28

240,000‌

237

POSCO

4.375%, 8/4/25

§

1,000,000‌

987

The

Sherwin-Williams

Co.

4.050%, 8/8/24

155,000‌

155

4.250%, 8/8/25

230,000‌

227

Steel

Dynamics,

Inc.

2.800%, 12/15/24

200,000‌

197

Westlake

Corp.

0.875%, 8/15/24

435,000‌

432

Total

4,972

Communications

(2.5%)

AT&T,

Inc.

4.100%, 2/15/28

205,000‌

198

Charter

Communications

Operating

LLC

/

Charter

Communications

Operating

Capital

Corp.

4.908%, 7/23/25

482,000‌

477

6.150%, 11/10/26

255,000‌

257

Cox

Communications,

Inc.

 144‌A

 144‌A

3.150%, 8/15/24

144A

1,023,000‌

1,019

3.500%, 8/15/27

144A

215,000‌

203

Crown

Castle

Towers

LLC

 144‌A

 144‌A

4.241%, 7/15/48

144A

175,000‌

166

KT

Corp.

 144‌A

 144‌A

4.000%, 8/8/25

144A

1,020,000‌

1,005

NBN

Co.,

Ltd.

 144‌A

 144‌A

1.450%, 5/5/26

144A

1,000,000‌

934

NTT

Finance

Corp.

 144‌A

 144‌A

4.142%, 7/26/24

144A

200,000‌

200

4.239%, 7/25/25

144A

200,000‌

198

Rogers

Communications,

Inc.

2.950%, 3/15/25

930,000‌

912

3.200%, 3/15/27

690,000‌

655

5.000%, 2/15/29

570,000‌

563

T-Mobile

USA,

Inc.

2.250%, 2/15/26

470,000‌

446

3.500%, 4/15/25

595,000‌

585

Verizon

Communications,

Inc.

0.850%, 11/20/25

500,000‌

470

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Communications

continued

1.450%, 3/20/26

650,000‌

609

2.625%, 8/15/26

845,000‌

801

Total

9,698

Consumer,

Cyclical

(5.7%)

Advance

Auto

Parts,

Inc.

5.900%, 3/9/26

475,000‌

475

American

Airlines

Pass

Through

Trust,

Series

2017-2,

Class

B

3.700%, 4/15/27

151,445‌

147

Aptiv

PLC

/

Aptiv

Corp.

2.396%, 2/18/25

130,000‌

127

AutoZone,

Inc.

6.250%, 11/1/28

370,000‌

386

Brunswick

Corp.

0.850%, 8/18/24

685,000‌

680

Daimler

Finance

North

America

LLC

 144‌A

 144‌A

1.625%, 12/13/24

144A

580,000‌

570

5.000%, 1/15/27

144A

190,000‌

189

5.125%, 9/25/27

144A

345,000‌

343

5.150%, 1/16/26

144A

165,000‌

164

Dollar

General

Corp.

4.625%, 11/1/27

145,000‌

142

5.200%, 7/5/28

347,000‌

346

Ford

Motor

Credit

Co.

LLC

5.125%, 6/16/25

605,000‌

600

5.800%, 3/5/27

485,000‌

485

General

Motors

Financial

Co.,

Inc.

2.900%, 2/26/25

965,000‌

947

5.350%, 7/15/27

575,000‌

573

5.400%, 4/6/26

300,000‌

299

5.400%, 5/8/27

235,000‌

235

5.550%, 7/15/29

185,000‌

185

Genuine

Parts

Co.

1.750%, 2/1/25

220,000‌

215

Hasbro,

Inc.

3.000%, 11/19/24

1,030,000‌

1,020

Hyundai

Capital

America

 144‌A

 144‌A

1.000%, 9/17/24

144A

255,000‌

252

5.250%, 1/8/27

144A

200,000‌

199

5.500%, 3/30/26

144A

270,000‌

270

5.600%, 3/30/28

144A

350,000‌

352

6.250%, 11/3/25

144A

260,000‌

262

Hyundai

Capital

Services,

Inc.

 144‌A

 144‌A

2.125%, 4/24/25

144A

200,000‌

194

Lowe's

Companies,

Inc.

3.350%, 4/1/27

175,000‌

167

4.400%, 9/8/25

660,000‌

652

4.800%, 4/1/26

385,000‌

382

Marriott

International,

Inc.

3.750%, 3/15/25

110,000‌

109

5.450%, 9/15/26

195,000‌

196

5.750%, 5/1/25

120,000‌

120

Mattel,

Inc.

 144‌A

 144‌A

3.375%, 4/1/26

144A

445,000‌

427

5.875%, 12/15/27

144A

485,000‌

486

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

60

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

continued

Mercedes-Benz

Finance

North

America

LLC

 144‌A

 144‌A

4.800%, 3/30/26

144A

410,000‌

406

4.800%, 1/11/27

144A

1,170,000‌

1,163

O'Reilly

Automotive,

Inc.

5.750%, 11/20/26

380,000‌

384

Ross

Stores,

Inc.

0.875%, 4/15/26

625,000‌

578

3.375%, 9/15/24

135,000‌

134

4.600%, 4/15/25

1,355,000‌

1,347

Starbucks

Corp.

4.750%, 2/15/26

465,000‌

462

Tapestry,

Inc.

7.000%, 11/27/26

95,000‌

98

7.050%, 11/27/25

80,000‌

81

Toyota

Motor

Credit

Corp.

3.050%, 3/22/27

325,000‌

309

VF

Corp.

2.400%, 4/23/25

881,000‌

856

2.800%, 4/23/27

455,000‌

416

Volkswagen

Group

of

America

Finance

LLC

 144‌A

 144‌A

3.950%, 6/6/25

144A

390,000‌

384

5.700%, 9/12/26

144A

335,000‌

337

5.800%, 9/12/25

144A

395,000‌

396

6.000%, 11/16/26

144A

380,000‌

384

WarnerMedia

Holdings,

Inc.

3.755%, 3/15/27

1,545,000‌

1,467

6.412%, 3/15/26

275,000‌

275

Total

21,673

Consumer,

Non-cyclical

(8.1%)

AbbVie,

Inc.

2.600%, 11/21/24

1,935,000‌

1,914

2.950%, 11/21/26

1,120,000‌

1,068

4.800%, 3/15/27

395,000‌

393

AstraZeneca

Finance

LLC

1.200%, 5/28/26

805,000‌

747

BAT

International

Finance

PLC

1.668%, 3/25/26

475,000‌

445

4.448%, 3/16/28

1,010,000‌

978

Becton

Dickinson

and

Co.

3.734%, 12/15/24

170,000‌

168

4.693%, 2/13/28

805,000‌

793

Bristol-Myers

Squibb

Co.

4.900%, 2/22/27

290,000‌

289

4.950%, 2/20/26

220,000‌

219

Campbell

Soup

Co.

5.200%, 3/19/27

305,000‌

305

Cardinal

Health,

Inc.

3.500%, 11/15/24

525,000‌

520

Coca-Cola

European

Partners

PLC

 144‌A

 144‌A

1.500%, 1/15/27

144A

200,000‌

183

CSL

Finance

PLC

 144‌A

 144‌A

3.850%, 4/27/27

144A

200,000‌

193

CVS

Health

Corp.

1.300%, 8/21/27

945,000‌

837

2.875%, 6/1/26

265,000‌

252

3.000%, 8/15/26

220,000‌

210

5.000%, 2/20/26

560,000‌

556

Element

Fleet

Management

Corp.

 144‌A

 144‌A

5.643%, 3/13/27

144A

355,000‌

356

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Elevance

Health,

Inc.

5.350%, 10/15/25

180,000‌

180

ERAC

USA

Finance

LLC

 144‌A

 144‌A

4.600%, 5/1/28

144A

735,000‌

723

5.000%, 2/15/29

144A

280,000‌

279

HCA,

Inc.

3.125%, 3/15/27

580,000‌

548

5.375%, 2/1/25

350,000‌

349

5.875%, 2/15/26

390,000‌

391

Health

Care

Service

Corp.

 144‌A

 144‌A

1.500%, 6/1/25

144A

780,000‌

751

5.200%, 6/15/29

144A

290,000‌

289

HPHT

Finance

19,

Ltd.

2.875%, 11/5/24

§

1,200,000‌

1,188

Humana,

Inc.

1.350%, 2/3/27

75,000‌

68

3.850%, 10/1/24

545,000‌

543

4.500%, 4/1/25

565,000‌

561

5.750%, 3/1/28

140,000‌

142

Icon

Investments

Six

DAC

5.809%, 5/8/27

385,000‌

389

Imperial

Brands

Finance

PLC

 144‌A

 144‌A

3.125%, 7/26/24

144A

1,055,000‌

1,053

4.250%, 7/21/25

144A

940,000‌

926

IQVIA,

Inc.

6.250%, 2/1/29

255,000‌

262

JDE

Peet's

NV

 144‌A

 144‌A

0.800%, 9/24/24

144A

295,000‌

291

Mars,

Inc.

 144‌A

 144‌A

4.550%, 4/20/28

144A

770,000‌

759

Mondelez

International,

Inc.

2.625%, 3/17/27

415,000‌

389

4.250%, 9/15/25

144A

305,000‌

301

PeaceHealth

Obligated

Group

1.375%, 11/15/25

105,000‌

99

Pelabuhan

Indonesia

Persero

PT

4.875%, 10/1/24

§

950,000‌

947

Pernod

Ricard

SA

 144‌A

 144‌A

3.250%, 6/8/26

144A

685,000‌

659

Perrigo

Finance

Unlimited

Co.

3.900%, 12/15/24

372,000‌

367

Pfizer

Investment

Enterprises

Pte.,

Ltd.

4.450%, 5/19/26

985,000‌

972

Philip

Morris

International,

Inc.

4.875%, 2/13/26

490,000‌

486

5.000%, 11/17/25

295,000‌

293

5.125%, 11/15/24

585,000‌

584

Revvity,

Inc.

0.850%, 9/15/24

745,000‌

737

S&P

Global,

Inc.

2.450%, 3/1/27

1,120,000‌

1,047

Solventum

Corp.

 144‌A

 144‌A

5.450%, 2/25/27

144A

725,000‌

724

UnitedHealth

Group,

Inc.

3.700%, 5/15/27

605,000‌

585

Utah

Acquisition

Sub,

Inc.

3.950%, 6/15/26

935,000‌

907

Viatris,

Inc.

1.650%, 6/22/25

800,000‌

769

2.300%, 6/22/27

429,000‌

392

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

61

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Viterra

Finance

BV

 144‌A

 144‌A

4.900%, 4/21/27

144A

600,000‌

591

Total

30,967

Energy

(2.4%)

Aker

BP

ASA

 144‌A

 144‌A

2.000%, 7/15/26

144A

246,000‌

229

Canadian

Natural

Resources,

Ltd.

2.050%, 7/15/25

760,000‌

732

Columbia

Pipelines

Holding

Co.

LLC

 144‌A

 144‌A

6.055%, 8/15/26

144A

90,000‌

91

DCP

Midstream

Operating

LP

5.375%, 7/15/25

662,000‌

660

Diamondback

Energy,

Inc.

5.200%, 4/18/27

265,000‌

265

Enbridge,

Inc.

2.500%, 1/15/25

640,000‌

629

2.500%, 2/14/25

330,000‌

323

5.900%, 11/15/26

230,000‌

233

6.000%, 11/15/28

190,000‌

196

Energy

Transfer

LP

2.900%, 5/15/25

115,000‌

112

5.250%, 7/1/29

320,000‌

318

6.050%, 12/1/26

875,000‌

886

Equinor

ASA

2.875%, 4/6/25

880,000‌

863

Gray

Oak

Pipeline

LLC

 144‌A

 144‌A

2.600%, 10/15/25

144A

205,000‌

197

ONEOK,

Inc.

5.550%, 11/1/26

410,000‌

412

Ovintiv,

Inc.

5.650%, 5/15/25

465,000‌

464

Pioneer

Natural

Resources

Co.

5.100%, 3/29/26

505,000‌

504

Sabine

Pass

Liquefaction

LLC

5.625%, 3/1/25

280,000‌

279

TransCanada

PipeLines,

Ltd.

6.203%, 3/9/26

910,000‌

910

The

Williams

Cos.,

Inc.

5.400%, 3/2/26

985,000‌

984

Total

9,287

Financial

(16.5%)

AerCap

Ireland

Capital

DAC

/

AerCap

Global

Aviation

Trust

1.650%, 10/29/24

331,000‌

327

6.100%, 1/15/27

420,000‌

426

6.450%, 4/15/27

842,000‌

861

American

Express

Co.

2.250%, 3/4/25

975,000‌

954

5.098%,

(US

SOFR

plus

1.000%), 2/16/28

α

215,000‌

214

American

Tower

Corp.

1.600%, 4/15/26

931,000‌

869

2.400%, 3/15/25

360,000‌

351

3.550%, 7/15/27

379,000‌

360

Athene

Global

Funding

 144‌A

 144‌A

1.716%, 1/7/25

144A

930,000‌

910

5.684%, 2/23/26

144A

550,000‌

551

Avolon

Holdings

Funding,

Ltd.

 144‌A

 144‌A

2.125%, 2/21/26

144A

610,000‌

573

2.875%, 2/15/25

144A

435,000‌

426

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

5.750%, 3/1/29

144A

390,000‌

388

6.375%, 5/4/28

144A

185,000‌

188

Banco

del

Estado

de

Chile

 144‌A

 144‌A

2.704%, 1/9/25

144A

260,000‌

255

Banco

Santander

Mexico

SA

Institucion

de

Banca

Multiple

Grupo

Financiero

Santander

Mexico

5.375%, 4/17/25

§

800,000‌

797

Banco

Santander

SA

3.496%, 3/24/25

600,000‌

591

5.552%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.250%), 3/14/28

α

400,000‌

399

Bank

Mandiri

Persero

Tbk

PT

5.500%, 4/4/26

§

670,000‌

668

Bank

of

America

Corp.

1.734%,

(US

SOFR

plus

0.960%), 7/22/27

α

415,000‌

385

3.384%,

(US

SOFR

plus

1.330%), 4/2/26

α

580,000‌

570

5.080%,

(US

SOFR

plus

1.290%), 1/20/27

α

395,000‌

393

Bank

of

Montreal

3.700%, 6/7/25

775,000‌

762

4.250%, 9/14/24

390,000‌

389

5.300%, 6/5/26

455,000‌

455

The

Bank

of

New

York

Mellon

Corp.

4.414%,

(US

SOFR

plus

1.345%), 7/24/26

α

515,000‌

509

4.947%,

(US

SOFR

plus

1.026%), 4/26/27

α

560,000‌

557

5.148%,

(US

SOFR

plus

1.067%), 5/22/26

α

410,000‌

409

Banque

Federative

du

Credit

Mutuel

SA

 144‌A

 144‌A

0.998%, 2/4/25

144A

665,000‌

646

4.935%, 1/26/26

144A

400,000‌

397

Barclays

PLC

5.304%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.300%), 8/9/26

α

385,000‌

382

7.325%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

3.050%), 11/2/26

α

390,000‌

397

BPCE

SA

 144‌A

 144‌A

4.500%, 3/15/25

144A

790,000‌

779

Brighthouse

Financial

Global

Funding

 144‌A

 144‌A

1.550%, 5/24/26

144A

145,000‌

134

CaixaBank

SA

 144‌A

,α

 144‌A

6.684%,

(US

SOFR

plus

2.080%), 9/13/27

144A

α

615,000‌

627

Capital

One

Financial

Corp.

2.636%,

(US

SOFR

plus

1.290%), 3/3/26

α

585,000‌

572

4.985%,

(US

SOFR

plus

2.160%), 7/24/26

α

460,000‌

456

6.312%,

(US

SOFR

plus

2.640%), 6/8/29

α

255,000‌

261

7.149%,

(US

SOFR

plus

2.440%), 10/29/27

α

240,000‌

248

The

Charles

Schwab

Corp.

2.450%, 3/3/27

906,000‌

845

Citigroup,

Inc.

3.106%,

(US

SOFR

plus

2.842%), 4/8/26

α

650,000‌

637

4.400%, 6/10/25

250,000‌

247

5.174%,

(US

SOFR

plus

1.364%), 2/13/30

α

375,000‌

373

CNO

Global

Funding

 144‌A

 144‌A

1.650%, 1/6/25

144A

685,000‌

669

1.750%, 10/7/26

144A

830,000‌

760

Cooperatieve

Rabobank

UA

3.875%, 8/22/24

355,000‌

354

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

62

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

Corebridge

Financial,

Inc.

3.500%, 4/4/25

455,000‌

447

Corebridge

Global

Funding

 144‌A

 144‌A

5.200%, 1/12/29

144A

185,000‌

184

Creditcorp,

Ltd.

 144‌A

 144‌A

2.750%, 6/17/25

144A

200,000‌

194

Crown

Castle,

Inc.

1.050%, 7/15/26

615,000‌

563

2.900%, 3/15/27

580,000‌

544

4.450%, 2/15/26

570,000‌

560

5.000%, 1/11/28

185,000‌

183

5.600%, 6/1/29

295,000‌

298

Danske

Bank

A/S

 144‌A

 144‌A

5.427%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

0.950%), 3/1/28

144A

α

390,000‌

390

6.259%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.180%), 9/22/26

144A

α

265,000‌

267

Discover

Bank

2.450%, 9/12/24

580,000‌

576

Equitable

Financial

Life

Global

Funding

 144‌A

 144‌A

1.000%, 1/9/26

144A

210,000‌

196

1.100%, 11/12/24

144A

530,000‌

521

1.400%, 7/7/25

144A

75,000‌

72

1.700%, 11/12/26

144A

305,000‌

280

Fifth

Third

Bank

NA

 α

5.852%,

(US

SOFR

Index

plus

1.230%), 10/27/25

α

1,235,000‌

1,234

First

American

Financial

Corp.

4.600%, 11/15/24

195,000‌

194

The

Goldman

Sachs

Group,

Inc.

3.500%, 4/1/25

490,000‌

483

4.482%,

(US

SOFR

plus

1.725%), 8/23/28

α

390,000‌

381

5.700%, 11/1/24

230,000‌

230

5.798%,

(US

SOFR

plus

1.075%), 8/10/26

α

625,000‌

625

5.831%,

(US

SOFR

plus

0.486%), 10/21/24

315,000‌

315

5.834%,

(US

SOFR

plus

0.505%), 9/10/24

335,000‌

335

HSBC

Holdings

PLC

1.645%,

(US

SOFR

plus

1.538%), 4/18/26

α

910,000‌

881

5.597%,

(US

SOFR

plus

1.060%), 5/17/28

α

520,000‌

522

Huntington

National

Bank

 α

5.699%,

(US

SOFR

plus

1.215%), 11/18/25

α

270,000‌

270

Jackson

National

Life

Global

Funding

 144‌A

 144‌A

1.750%, 1/12/25

144A

620,000‌

606

5.550%, 7/2/27

144A

355,000‌

354

5.600%, 4/10/26

144A

615,000‌

614

JPMorgan

Chase

&

Co.

2.083%,

(US

SOFR

plus

1.850%), 4/22/26

α

890,000‌

864

4.080%,

(US

SOFR

plus

1.320%), 4/26/26

α

865,000‌

854

5.040%,

(US

SOFR

plus

1.190%), 1/23/28

α

375,000‌

373

6.230%,

(US

SOFR

plus

0.885%), 4/22/27

350,000‌

351

Kilroy

Realty

LP

4.375%, 10/1/25

180,000‌

176

LeasePlan

Corp.

NV

 144‌A

 144‌A

2.875%, 10/24/24

144A

1,005,000‌

996

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

Lloyds

Banking

Group

PLC

 α

5.462%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.375%), 1/5/28

α

460,000‌

459

LPL

Financial

Holdings,

Inc.

5.700%, 5/20/27

275,000‌

276

6.750%, 11/17/28

190,000‌

200

Marsh

&

McLennan

Cos.,

Inc.

3.750%, 3/14/26

105,000‌

103

MassMutual

Global

Funding

II

 144‌A

 144‌A

5.100%, 4/9/27

144A

1,020,000‌

1,020

Mitsubishi

UFJ

Financial

Group,

Inc.

 α

0.953%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

0.550%), 7/19/25

α

785,000‌

783

Morgan

Stanley

1.164%,

(US

SOFR

plus

0.560%), 10/21/25

α

445,000‌

439

2.630%,

(US

SOFR

plus

0.940%), 2/18/26

α

545,000‌

534

6.138%,

(US

SOFR

plus

1.770%), 10/16/26

α

525,000‌

528

Morgan

Stanley

Bank

NA

4.754%, 4/21/26

475,000‌

471

Nasdaq,

Inc.

5.650%, 6/28/25

95,000‌

95

NatWest

Markets

PLC

 144‌A

 144‌A

0.800%, 8/12/24

144A

390,000‌

388

Northern

Trust

Corp.

3.950%, 10/30/25

330,000‌

323

The

PNC

Financial

Services

Group,

Inc.

4.758%,

(US

SOFR

Index

plus

1.085%), 1/26/27

α

575,000‌

568

5.671%,

(US

SOFR

Index

plus

1.090%), 10/28/25

α

760,000‌

759

5.812%,

(US

SOFR

plus

1.322%), 6/12/26

α

215,000‌

215

QNB

Finance,

Ltd.

2.625%, 5/12/25

§

300,000‌

292

Realty

Income

Corp.

5.050%, 1/13/26

140,000‌

139

Royal

Bank

of

Canada

4.875%, 1/19/27

865,000‌

859

Santander

Holdings

USA,

Inc.

2.490%,

(US

SOFR

plus

1.249%), 1/6/28

α

410,000‌

378

6.124%,

(US

SOFR

plus

1.232%), 5/31/27

α

80,000‌

80

SBA

Tower

Trust

 144‌A

 144‌A

1.631%, 5/15/51

144A

280,000‌

254

1.884%, 1/15/26

144A

160,000‌

150

2.836%, 1/15/50

144A

770,000‌

756

3.869%, 10/15/49

144A

120,000‌

119

6.599%, 11/15/52

144A

619,000‌

632

Simon

Property

Group

LP

2.000%, 9/13/24

225,000‌

223

3.375%, 10/1/24

450,000‌

447

Societe

Generale

SA

 144‌A

,α

 144‌A

5.519%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.500%), 1/19/28

144A

α

970,000‌

958

Standard

Chartered

PLC

 144‌A

 144‌A

1.822%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

0.950%), 11/23/25

144A

α

255,000‌

251

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

63

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

5.688%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.050%), 5/14/28

144A

α

390,000‌

390

State

Bank

of

India

1.800%, 7/13/26

§

1,050,000‌

978

State

Street

Corp.

4.857%,

(US

SOFR

plus

0.604%), 1/26/26

α

245,000‌

244

5.104%,

(US

SOFR

plus

1.130%), 5/18/26

α

385,000‌

383

5.272%, 8/3/26

685,000‌

686

Synchrony

Financial

4.250%, 8/15/24

1,130,000‌

1,127

The

Toronto-Dominion

Bank

4.285%, 9/13/24

985,000‌

982

5.532%, 7/17/26

970,000‌

973

UBS

AG

 144‌A

 144‌A

0.700%, 8/9/24

144A

280,000‌

278

UBS

Group

AG

 144‌A

 144‌A

1.494%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

0.850%), 8/10/27

144A

α

215,000‌

197

4.488%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.550%), 5/12/26

144A

α

200,000‌

198

4.490%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.600%), 8/5/25

144A

α

565,000‌

564

6.327%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.600%), 12/22/27

144A

α

425,000‌

432

US

Bancorp

4.548%,

(US

SOFR

plus

1.660%), 7/22/28

α

590,000‌

577

5.727%,

(US

SOFR

plus

1.430%), 10/21/26

α

320,000‌

321

Wells

Fargo

&

Co.

2.188%,

(US

SOFR

plus

2.000%), 4/30/26

α

400,000‌

388

3.908%,

(US

SOFR

plus

1.320%), 4/25/26

α

610,000‌

601

4.540%,

(US

SOFR

plus

1.560%), 8/15/26

α

590,000‌

583

The

Western

Union

Co.

2.850%, 1/10/25

1,225,000‌

1,205

Total

63,060

Industrial

(2.5%)

Amcor

Flexibles

North

America,

Inc.

4.000%, 5/17/25

450,000‌

444

Amphenol

Corp.

2.050%, 3/1/25

405,000‌

395

4.750%, 3/30/26

205,000‌

203

5.050%, 4/5/27

205,000‌

205

BAE

Systems

PLC

 144‌A

 144‌A

5.000%, 3/26/27

144A

450,000‌

447

The

Boeing

Co.

 144‌A

 144‌A

6.259%, 5/1/27

144A

465,000‌

468

Canadian

Pacific

Railway

Co.

1.350%, 12/2/24

725,000‌

712

1.750%, 12/2/26

315,000‌

291

DAE

Funding

LLC

 144‌A

 144‌A

1.550%, 8/1/24

144A

265,000‌

264

GATX

Corp.

3.250%, 3/30/25

870,000‌

854

3.250%, 9/15/26

360,000‌

344

3.850%, 3/30/27

164,000‌

158

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Industrial

continued

5.400%, 3/15/27

390,000‌

390

Mohawk

Industries,

Inc.

5.850%, 9/18/28

310,000‌

316

Otis

Worldwide

Corp.

2.056%, 4/5/25

485,000‌

472

Owens

Corning

3.400%, 8/15/26

66,000‌

63

5.500%, 6/15/27

340,000‌

343

Penske

Truck

Leasing

Co.

LP

/

PTL

Finance

Corp.

 144‌A

 144‌A

2.700%, 11/1/24

144A

497,000‌

491

3.450%, 7/1/24

144A

200,000‌

200

5.350%, 1/12/27

144A

190,000‌

190

5.750%, 5/24/26

144A

980,000‌

982

Regal

Rexnord

Corp.

6.050%, 2/15/26

370,000‌

371

Republic

Services,

Inc.

0.875%, 11/15/25

120,000‌

113

2.500%, 8/15/24

495,000‌

493

Tyco

Electronics

Group

SA

4.500%, 2/13/26

530,000‌

525

Total

9,734

Technology

(2.2%)

Analog

Devices,

Inc.

5.590%,

(US

SOFR

Index

plus

0.250%), 10/1/24

170,000‌

170

Atlassian

Corp.

5.250%, 5/15/29

215,000‌

215

CDW

LLC

/

CDW

Finance

Corp.

5.500%, 12/1/24

180,000‌

180

Fiserv,

Inc.

2.750%, 7/1/24

800,000‌

800

5.150%, 3/15/27

480,000‌

480

Fortinet,

Inc.

1.000%, 3/15/26

380,000‌

353

Foundry

JV

Holdco

LLC

 144‌A

 144‌A

5.900%, 1/25/30

144A

200,000‌

203

Microchip

Technology,

Inc.

0.983%, 9/1/24

560,000‌

555

Micron

Technology,

Inc.

4.185%, 2/15/27

95,000‌

92

4.975%, 2/6/26

100,000‌

99

5.375%, 4/15/28

575,000‌

577

NXP

BV

/

NXP

Funding

LLC

/

NXP

USA,

Inc.

2.700%, 5/1/25

445,000‌

435

3.150%, 5/1/27

40,000‌

38

3.875%, 6/18/26

340,000‌

330

4.400%, 6/1/27

80,000‌

78

Oracle

Corp.

2.500%, 4/1/25

1,250,000‌

1,221

Qorvo,

Inc.

1.750%, 12/15/24

275,000‌

269

Roper

Technologies,

Inc.

1.000%, 9/15/25

115,000‌

109

2.350%, 9/15/24

165,000‌

164

Take-Two

Interactive

Software,

Inc.

3.550%, 4/14/25

295,000‌

290

5.000%, 3/28/26

585,000‌

581

Western

Digital

Corp.

4.750%, 2/15/26

990,000‌

969

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

64

Corporate

Bonds

(43.9%)

Shares/

Par

+

Value

$

(000’s)

Technology

continued

Workday,

Inc.

3.500%, 4/1/27

265,000‌

254

Total

8,462

Utilities

(2.7%)

The

AES

Corp.

 144‌A

 144‌A

3.300%, 7/15/25

144A

365,000‌

356

American

Electric

Power

Co.,

Inc.

5.200%, 1/15/29

675,000‌

671

APA

Infrastructure,

Ltd.

 144‌A

 144‌A

4.200%, 3/23/25

144A

1,335,000‌

1,320

Constellation

Energy

Generation

LLC

5.600%, 3/1/28

315,000‌

319

DTE

Energy

Co.

4.220%, 11/1/24

550,000‌

547

Enel

Finance

International

NV

 144‌A

 144‌A

1.375%, 7/12/26

144A

645,000‌

597

2.650%, 9/10/24

144A

1,000,000‌

993

6.800%, 10/14/25

144A

200,000‌

203

Engie

SA

 144‌A

 144‌A

5.250%, 4/10/29

144A

200,000‌

199

Exelon

Corp.

5.150%, 3/15/29

200,000‌

199

FirstEnergy

Corp.

4.150%, 7/15/27

400,000‌

384

Georgia

Power

Co.

5.004%, 2/23/27

175,000‌

174

NextEra

Energy

Capital

Holdings,

Inc.

1.875%, 1/15/27

685,000‌

631

4.450%, 6/20/25

540,000‌

534

5.749%, 9/1/25

280,000‌

281

6.051%, 3/1/25

255,000‌

256

NiSource,

Inc.

5.250%, 3/30/28

130,000‌

130

Pacific

Gas

&

Electric

Co.

3.500%, 6/15/25

555,000‌

543

Sempra

3.300%, 4/1/25

385,000‌

378

5.400%, 8/1/26

270,000‌

270

Southern

California

Gas

Co.

2.950%, 4/15/27

410,000‌

386

Terraform

Global

Operating

LP

 144‌A

 144‌A

6.125%, 3/1/26

144A

915,000‌

903

Vistra

Operations

Co.

LLC

 144‌A

 144‌A

5.125%, 5/13/25

144A

234,000‌

233

Total

10,507

Total

Corporate

Bonds

(Cost: $170,318)

168,360

144A

144A

144A

Governments

(

24.4%

)

Governments

(24.4%)

Korea

Electric

Power

Corp.

144A

144A

5.375%, 4/6/26

144A

1,000,000‌

1,001

Korea

Housing

Finance

Corp.

144A

144A

4.625%, 2/24/28

144A

960,000‌

949

Korea

Hydro

&

Nuclear

Power

Co.,

Ltd.

144A

144A

1.250%, 4/27/26

144A

795,000‌

739

4.250%, 7/27/27

144A

220,000‌

214

5.000%, 7/18/28

144A

250,000‌

249

Governments

(24.4%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

US

Treasury

4.250%, 1/31/26

 β

655,000‌

649

4.500%, 3/31/26

21,605,000‌

21,492

4.625%, 6/30/26

21,755,000‌

21,716

4.875%, 4/30/26

21,565,000‌

21,597

4.875%, 5/31/26

20,965,000‌

21,008

US

Treasury

Inflation

Index

Bond

2.375%, 10/15/28

3,802,488‌

3,852

Total

93,466

Total

Governments

(Cost: $93,435)

93,466

144A

144A

144A

Structured

Products

(

29.4%

)

Asset

Backed

Securities

(16.8%)

Ally

Auto

Receivables

Trust,

Series

2023-A,

Class

B

144A

144A

6.010%,

1/17/34 144A 

89,190‌

89

Ally

Auto

Receivables

Trust,

Series

2023-A,

Class

C

144A

144A

6.080%,

1/17/34 144A 

165,680‌

167

Ally

Bank

Auto

Credit,

Series

2024-A,

Class

B

144A

144A

5.827%,

5/17/32 144A 

250,000‌

250

Ally

Bank

Auto

Credit,

Series

2024-A,

Class

C

144A

144A

6.022%,

5/17/32 144A 

250,000‌

250

AmeriCredit

Automobile

Receivables

Trust,

Series

2020-1,

Class

D

1.800%,

12/18/25 

273,500‌

273

AmeriCredit

Automobile

Receivables

Trust,

Series

2020-3,

Class

C

1.060%,

8/18/26 

207,892‌

204

AmeriCredit

Automobile

Receivables

Trust,

Series

2021-1,

Class

C

0.890%,

10/19/26 

430,000‌

420

AmeriCredit

Automobile

Receivables

Trust,

Series

2021-1,

Class

D

1.210%,

12/18/26 

270,000‌

258

AmeriCredit

Automobile

Receivables

Trust,

Series

2021-2,

Class

D

1.290%,

6/18/27 

575,000‌

537

AmeriCredit

Automobile

Receivables

Trust,

Series

2023-1,

Class

C

5.800%,

12/18/28 

380,000‌

384

Apidos

CLO,

Ltd.,

Series

2018-18A,

Class

AR

144A

144A

6.475%,

(US

SOFR

3

Month

plus

1.150%),

10/22/30 144A 

761,406‌

762

ARI

Fleet

Lease

Trust,

Series

2024-B,

Class A2

144A

144A

5.540%,

4/15/33 144A 

455,000‌

455

Atrium

XIII,

Series

13A,

Class

AR

144A

144A

6.476%,

(US

SOFR

3

Month

plus

1.150%),

11/21/30 144A 

465,595‌

466

Auxilior

Term

Funding

LLC,

Series

2023-1A,

Class

A2

144A

144A

6.180%,

12/15/28 144A 

575,000‌

578

Auxilior

Term

Funding

LLC,

Series

2023-1A,

Class

A3

144A

144A

5.490%,

7/15/31 144A 

240,000‌

240

Avis

Budget

Rental

Car

Funding

AESOP

LLC,

Series

2020-1A,

Class

A

144A

144A

2.330%,

8/20/26 144A 

250,000‌

242

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

65

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Avis

Budget

Rental

Car

Funding

AESOP

LLC,

Series

2022-5A,

Class

C

144A

144A

9.270%,

4/20/27 144A 

165,000‌

164

Avis

Budget

Rental

Car

Funding

AESOP

LLC,

Series

2023-2A,

Class

C

144A

144A

6.180%,

10/20/27 144A 

120,000‌

119

AXIS

Equipment

Finance

Receivables

LLC,

Series

2021-1A,

Class

D

144A

144A

2.300%,

11/22/27 144A 

280,000‌

275

AXIS

Equipment

Finance

Receivables

LLC,

Series

2024-1A,

Class

A2

144A

144A

5.380%,

1/21/31 144A 

175,000‌

175

AXIS

Equipment

Finance

Receivables

LLC,

Series

2024-1A,

Class

C

144A

144A

5.550%,

1/21/31 144A 

125,000‌

125

Ballyrock

CLO,

Ltd.,

Series

2021-1A,

Class

A1

144A

144A

6.650%,

(US

SOFR

3

Month

plus

1.322%),

4/15/34 144A 

250,000‌

250

Bayview

Opportunity

Master

Fund

VII,

Series

2024-CAR1,

Class

A

144A

144A

6.435%,

(US

30

Day

Average

SOFR

plus

1.100%),

12/26/31 144A 

237,745‌

239

BRE

Grand

Islander

Timeshare

Issuer

LLC,

Series

2019-A,

Class

A

144A

144A

3.280%,

9/26/33 144A 

98,842‌

95

CarMax

Auto

Owner

Trust,

Series

2020-4,

Class

D

1.750%,

4/15/27 

300,000‌

294

CarMax

Auto

Owner

Trust,

Series

2023-2,

Class

C

5.570%,

11/15/28 

585,000‌

584

CarMax

Auto

Owner

Trust,

Series

2023-2,

Class

D

6.550%,

10/15/29 

390,000‌

394

CarMax

Auto

Owner

Trust,

Series

2023-3,

Class

B

5.470%,

2/15/29 

225,000‌

225

CarMax

Auto

Owner

Trust,

Series

2023-3,

Class

C

5.610%,

2/15/29 

655,000‌

656

CarMax

Auto

Owner

Trust,

Series

2023-3,

Class

D

6.440%,

12/16/30 

210,000‌

212

CarMax

Auto

Owner

Trust,

Series

2024-1,

Class

A4

4.940%,

8/15/29 

150,000‌

149

CarMax

Auto

Owner

Trust,

Series

2024-1,

Class

C

5.470%,

8/15/29 

290,000‌

289

CarMax

Auto

Owner

Trust,

Series

2024-2,

Class

D

6.420%,

10/15/30 

100,000‌

101

CarMax

Select

Receivables

Trust,

Series

2024-A,

Class

B

5.350%,

1/15/30 

135,000‌

135

CarMax

Select

Receivables

Trust,

Series

2024-A,

Class

C

5.620%,

1/15/30 

570,000‌

568

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Carvana

Auto

Receivables

Trust,

Series

2024-

N2,

Class

B

144A

144A

5.670%,

9/10/30 144A 

405,000‌

406

Cedar

Funding,

Ltd.,

Series

2018-7A,

Class A1

144A

144A

6.586%,

(US

SOFR

3

Month

plus

1.262%),

1/20/31 144A 

241,735‌

242

Cedar

Funding,

Ltd.,

Series

2021-14A,

Class A

144A

144A

6.690%,

(US

SOFR

3

Month

plus

1.362%),

7/15/33 144A 

695,000‌

696

Chase

Auto

Credit

Linked

Notes,

Series

2021-

3,

Class

B

144A

144A

0.760%,

2/26/29 144A 

343,644‌

336

CIFC

Funding,

Ltd.,

Series

2014-2RA,

Class A1

144A

144A

6.635%,

(US

SOFR

3

Month

plus

1.312%),

4/24/30 144A 

466,802‌

467

CIFC

Funding,

Ltd.,

Series

2021-4A,

Class

A

144A

144A

6.640%,

(US

SOFR

3

Month

plus

1.312%),

7/15/33 144A 

905,000‌

905

CNH

Equipment

Trust,

Series

2024-B,

Class A3

5.190%,

9/17/29 

245,000‌

246

CNH

Equipment

Trust,

Series

2024-B,

Class A4

5.230%,

11/17/31 

220,000‌

221

Crossroads

Asset

Trust,

Series

2024-A,

Class A2

144A

144A

5.900%,

8/20/30 144A 

210,000‌

210

Dell

Equipment

Finance

Trust,

Series

2023-3,

Class

D

144A

144A

6.750%,

10/22/29 144A 

100,000‌

102

Dell

Equipment

Finance

Trust,

Series

2024-1,

Class

D

144A

144A

6.120%,

9/23/30 144A 

100,000‌

100

DLLAA

LLC,

Series

2023-1A,

Class

A3

144A

144A

5.640%,

2/22/28 144A 

395,000‌

397

DLLST

LLC,

Series

2024-1A,

Class

A3

144A

144A

5.050%,

8/20/27 144A 

140,000‌

139

DLLST

LLC,

Series

2024-1A,

Class

A4

144A

144A

4.930%,

4/22/30 144A 

40,000‌

40

Driven

Brands

Funding

LLC,

Series

2018-1A,

Class

A2

144A

144A

4.739%,

4/20/48 144A 

192,700‌

190

Driven

Brands

Funding

LLC,

Series

2019-1A,

Class

A2

144A

144A

4.641%,

4/20/49 144A 

132,650‌

129

Dryden

Senior

Loan

Fund,

Series

2020-86A,

Class

A1R

144A

144A

6.679%,

(US

SOFR

3

Month

plus

1.362%),

7/17/34 144A 

610,000‌

610

Elara

HGV

Timeshare

Issuer

LLC,

Series

2019-A,

Class

A

144A

144A

2.610%,

1/25/34 144A 

97,230‌

93

Elara

HGV

Timeshare

Issuer

LLC,

Series

2023-A,

Class

A

144A

144A

6.160%,

2/25/38 144A 

150,152‌

152

Elara

HGV

Timeshare

Issuer

LLC,

Series

2023-A,

Class

C

144A

144A

7.300%,

2/25/38 144A 

206,167‌

209

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

66

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Enterprise

Fleet

Financing

LLC,

Series

2023-

2,

Class

A2

144A

144A

5.560%,

4/22/30 144A 

534,551‌

535

Exeter

Automobile

Receivables

Trust,

Series

2022-3A,

Class

C

5.300%,

9/15/27 

190,000‌

189

Exeter

Automobile

Receivables

Trust,

Series

2022-4A,

Class

D

5.980%,

12/15/28 

305,000‌

304

Exeter

Automobile

Receivables

Trust,

Series

2022-5A,

Class

C

6.510%,

12/15/27 

965,000‌

968

Exeter

Automobile

Receivables

Trust,

Series

2023-1A,

Class

D

6.690%,

6/15/29 

80,000‌

81

Finance

of

America

HECM

Buyout,

Series

2022-HB2,

Class

A1A

144A

144A

4.000%,

(AFC),

8/1/32 144A 

328,809‌

326

FirstKey

Homes

Trust,

Series

2020-SFR1,

Class

D

144A

144A

2.241%,

8/17/37 144A 

1,080,000‌

1,029

FirstKey

Homes

Trust,

Series

2020-SFR2,

Class

D

144A

144A

1.968%,

10/19/37 144A 

655,000‌

618

Ford

Credit

Auto

Lease

Trust,

Series

2023-B,

Class

B

6.200%,

2/15/27 

150,000‌

152

Ford

Credit

Auto

Lease

Trust,

Series

2023-B,

Class

C

6.430%,

4/15/27 

285,000‌

290

Ford

Credit

Auto

Owner

Trust,

Series

2020-1,

Class

B

144A

144A

2.290%,

8/15/31 144A 

445,000‌

435

Ford

Credit

Auto

Owner

Trust,

Series

2020-2,

Class

C

144A

144A

1.740%,

4/15/33 144A 

310,000‌

293

Ford

Credit

Auto

Owner

Trust,

Series

2022-A,

Class

C

4.180%,

10/15/25 

1,020,000‌

1,016

Ford

Credit

Auto

Owner

Trust,

Series

2023-A,

Class

B

5.070%,

1/15/29 

905,000‌

900

Ford

Credit

Floorplan

Master

Owner

Trust,

Series

2023-1,

Class

C

144A

144A

5.750%,

5/15/28 144A 

245,000‌

244

Ford

Credit

Floorplan

Master

Owner

Trust,

Series

2023-1,

Class

D

144A

144A

6.620%,

5/15/28 144A 

440,000‌

442

Ford

Credit

Floorplan

Master

Owner

Trust,

Series

2024-1,

Class

B

144A

144A

5.480%,

4/15/29 144A 

280,000‌

281

Fortress

Credit

BSL

XV,

Ltd.,

Series

2022-2A,

Class

AR

144A

144A

6.734%,

(US

SOFR

3

Month

plus

1.400%),

10/18/33 144A 

460,000‌

460

GM

Financial

Automobile

Leasing

Trust,

Series

2022-3,

Class

C

5.130%,

8/20/26 

585,000‌

581

GM

Financial

Automobile

Leasing

Trust,

Series

2023-1,

Class

C

5.760%,

1/20/27 

970,000‌

971

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

GM

Financial

Automobile

Leasing

Trust,

Series

2024-2,

Class

B

5.560%,

5/22/28 

590,000‌

593

GM

Financial

Consumer

Automobile

Receivables

Trust,

Series

2020-4,

Class

C

1.050%,

5/18/26 

225,000‌

223

GM

Financial

Consumer

Automobile

Receivables

Trust,

Series

2023-1,

Class

B

5.030%,

9/18/28 

155,000‌

154

Hardee's

Funding

LLC,

Series

2018-1A,

Class A23

144A

144A

5.710%,

6/20/48 144A 

268,613‌

256

Hardee's

Funding

LLC,

Series

2020-1A,

Class A2

144A

144A

3.981%,

12/20/50 144A 

1,003,600‌

912

Hilton

Grand

Vacations

Trust,

Series

2020-AA,

Class

A

144A

144A

2.740%,

2/25/39 144A 

152,041‌

145

Hilton

Grand

Vacations

Trust,

Series

2022-1D,

Class

A

144A

144A

3.610%,

6/20/34 144A 

112,476‌

108

Hilton

Grand

Vacations

Trust,

Series

2023-1A,

Class

B

144A

144A

6.110%,

1/25/38 144A 

616,015‌

619

Hilton

Grand

Vacations

Trust,

Series

2023-1A,

Class

C

144A

144A

6.940%,

1/25/38 144A 

115,039‌

117

Home

Partners

of

America

Trust,

Series

2022-

1,

Class

A

144A

144A

3.930%,

4/17/39 144A 

189,592‌

182

HPEFS

Equipment

Trust,

Series

2021-2A,

Class

D

144A

144A

1.290%,

3/20/29 144A 

340,000‌

337

HPEFS

Equipment

Trust,

Series

2023-1A,

Class

C

144A

144A

5.910%,

4/20/28 144A 

355,000‌

356

HPEFS

Equipment

Trust,

Series

2023-2A,

Class

C

144A

144A

6.480%,

1/21/31 144A 

125,000‌

126

HPEFS

Equipment

Trust,

Series

2023-2A,

Class

D

144A

144A

6.970%,

7/21/31 144A 

125,000‌

127

HPEFS

Equipment

Trust,

Series

2024-1A,

Class

C

144A

144A

5.330%,

6/20/31 144A 

680,000‌

675

HPEFS

Equipment

Trust,

Series

2024-2A,

Class

B

144A

144A

5.350%,

10/20/31 144A 

100,000‌

100

HPEFS

Equipment

Trust,

Series

2024-2A,

Class

D

144A

144A

5.820%,

4/20/32 144A 

205,000‌

205

Huntington

Bank

Auto

Credit-Linked

Notes,

Series

2024-1,

Class

B1

144A

144A

6.153%,

5/20/32 144A 

665,000‌

666

Jack

in

the

Box

Funding

LLC,

Series

2022-1A,

Class

A2I

144A

144A

3.445%,

2/26/52 144A 

396,325‌

369

JPMorgan

Chase

Bank

NA,

Series

2021-2,

Class

D

144A

144A

1.138%,

12/26/28 144A 

25,254‌

25

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

67

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Madison

Park

Funding,

Ltd.,

Series

2017-23A,

Class

AR

144A

144A

6.556%,

(US

SOFR

3

Month

plus

1.232%),

7/27/31 144A 

685,000‌

685

Madison

Park

Funding,

Ltd.,

Series

2017-23A,

Class

BR

144A

144A

7.136%,

(US

SOFR

3

Month

plus

1.812%),

7/27/31 144A 

710,000‌

712

Madison

Park

Funding,

Ltd.,

Series

2022-33A,

Class

AR

144A

144A

6.619%,

(US

SOFR

3

Month

plus

1.290%),

10/15/32 144A 

1,025,000‌

1,026

Magnetite

CLO,

Ltd.,

Series

2020-25A,

Class A

144A

144A

6.785%,

(US

SOFR

3

Month

plus

1.462%),

1/25/32 144A 

943,325‌

945

Marble

Point

CLO

XII,

Ltd.,

Series

2018-1A,

Class A

144A

144A

6.599%,

(US

SOFR

3

Month

plus

1.272%),

7/16/31 144A 

331,965‌

332

Marble

Point

CLO,

Ltd.,

Series

2018-2A,

Class A12R

144A

144A

6.525%,

(US

SOFR

3

Month

plus

1.200%),

1/20/32 144A 

1,182,313‌

1,183

MidOcean

Credit

CLO

XI,

Ltd.,

Series

2022-

11A,

Class

A1R

144A

144A

7.057%,

(US

SOFR

3

Month

plus

1.730%),

10/18/33 144A 

305,000‌

306

MidOcean

Credit

CLO

XI,

Ltd.,

Series

2022-

11A,

Class

BR

144A

144A

7.977%,

(US

SOFR

3

Month

plus

2.650%),

10/18/33 144A 

455,000‌

456

MMAF

Equipment

Finance

LLC,

Series

2021-

A,

Class

A5

144A

144A

1.190%,

11/13/43 144A 

100,000‌

93

MVW

Owner

Trust,

Series

2019-2A,

Class

A

144A

144A

2.440%,

10/20/38 144A 

43,416‌

41

MVW

Owner

Trust,

Series

2020-1A,

Class

A

144A

144A

1.740%,

10/20/37 144A 

215,062‌

203

MVW

Owner

Trust,

Series

2020-1A,

Class

B

144A

144A

2.730%,

10/20/37 144A 

119,982‌

114

MVW

Owner

Trust,

Series

2021-1WA,

Class

B

144A

144A

1.440%,

1/22/41 144A 

38,147‌

35

MVW

Owner

Trust,

Series

2021-1WA,

Class C

144A

144A

1.940%,

1/22/41 144A 

56,458‌

52

MVW

Owner

Trust,

Series

2023-1A,

Class

A

144A

144A

4.930%,

10/20/40 144A 

592,631‌

587

MVW

Owner

Trust,

Series

2023-2A,

Class

A

144A

144A

6.180%,

11/20/40 144A 

123,678‌

125

MVW

Owner

Trust,

Series

2023-2A,

Class

B

144A

144A

6.330%,

11/20/40 144A 

94,477‌

95

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-A,

Class

A2A

144A

144A

3.420%,

1/15/43 144A 

98,961‌

96

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-D,

Class

A2A

144A

144A

3.010%,

12/15/59 144A 

145,453‌

138

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-EA,

Class

A2A

144A

144A

2.640%,

5/15/68 144A 

188,254‌

179

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-GA,

Class

A

144A

144A

2.400%,

10/15/68 144A 

292,632‌

275

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-A,

Class

A2A

144A

144A

2.460%,

11/15/68 144A 

194,644‌

183

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-CA,

Class

A2A

144A

144A

2.150%,

11/15/68 144A 

730,538‌

679

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-DA,

Class

A

144A

144A

1.690%,

5/15/69 144A 

133,870‌

123

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-GA,

Class

A

144A

144A

1.170%,

9/16/69 144A 

85,392‌

77

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-HA,

Class

A

144A

144A

1.310%,

1/15/69 144A 

40,992‌

38

Navistar

Financial

Dealer

Note

Master

Trust,

Series

2023-1,

Class

A

144A

144A

6.180%,

8/25/28 144A 

360,000‌

362

Navistar

Financial

Dealer

Note

Master

Trust,

Series

2024-1,

Class

A

144A

144A

5.590%,

4/25/29 144A 

90,000‌

90

Navistar

Financial

Dealer

Note

Master

Trust,

Series

2024-1,

Class

B

144A

144A

5.790%,

4/25/29 144A 

50,000‌

50

Navistar

Financial

Dealer

Note

Master

Trust,

Series

2024-1,

Class

C

144A

144A

6.130%,

4/25/29 144A 

75,000‌

75

Nelnet

Student

Loan

Trust,

Series

2020-1A,

Class

A

144A

144A

6.200%,

(US

SOFR

1

Month

plus

0.855%),

3/26/68 144A 

76,029‌

76

Nelnet

Student

Loan

Trust,

Series

2021-CA,

Class

AFX

144A

144A

1.320%,

4/20/62 144A 

501,894‌

455

Nelnet

Student

Loan

Trust,

Series

2021-DA,

Class

AFX

144A

144A

1.630%,

4/20/62 144A 

175,871‌

161

Neuberger

Berman

CLO,

Ltd.,

Series

2017-

26A,

Class

BR

144A

144A

6.989%,

(US

SOFR

3

Month

plus

1.662%),

10/18/30 144A 

500,000‌

500

Neuberger

Berman

CLO,

Ltd.,

Series

2019-

32A,

Class

AR

144A

144A

6.578%,

(US

SOFR

3

Month

plus

1.252%),

1/20/32 144A 

249,676‌

250

Neuberger

Berman

CLO,

Ltd.,

Series

2021-

40A,

Class

A

144A

144A

6.649%,

(US

SOFR

3

Month

plus

1.322%),

4/16/33 144A 

270,000‌

270

Oaktree

CLO,

Ltd.,

Series

2022-2A,

Class A1R

144A

144A

6.879%,

(US

SOFR

3

Month

plus

1.550%),

7/15/33 144A 

700,000‌

700

OCP

CLO,

Ltd.,

Series

2017-13A,

Class A2R

144A

144A

7.140%,

(US

SOFR

3

Month

plus

1.812%),

7/15/30 144A 

760,000‌

760

Octane

Receivables

Trust,

Series

2021-2A,

Class

A

144A

144A

1.210%,

9/20/28 144A 

64,439‌

63

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

68

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Octane

Receivables

Trust,

Series

2022-1A,

Class

B

144A

144A

4.900%,

5/22/28 144A 

395,000‌

391

Octane

Receivables

Trust,

Series

2023-1A,

Class

A

144A

144A

5.870%,

5/21/29 144A 

67,092‌

67

Octane

Receivables

Trust,

Series

2023-1A,

Class

B

144A

144A

5.960%,

7/20/29 144A 

225,000‌

225

Octane

Receivables

Trust,

Series

2023-3A,

Class

B

144A

144A

6.480%,

7/20/29 144A 

135,000‌

137

Octane

Receivables

Trust,

Series

2023-3A,

Class

C

144A

144A

6.740%,

8/20/29 144A 

100,000‌

102

OZLM

Funding

II,

Ltd.,

Series

2012-2A,

Class

A1A2

144A

144A

6.530%,

(US

SOFR

3

Month

plus

1.200%),

7/30/31 144A 

651,361‌

652

OZLM

XXI,

Ltd.,

Series

2017-21A,

Class

A1R

144A

144A

6.475%,

(US

SOFR

3

Month

plus

1.150%),

1/20/31 144A 

1,024,930‌

1,026

Post

Road

Equipment

Finance,

Series

2024-

1A,

Class

A2

144A

144A

5.590%,

11/15/29 144A 

100,000‌

100

Progress

Residential

Trust,

Series

2020-SFR2,

Class

A

144A

144A

2.078%,

6/18/37 144A 

154,479‌

153

Romark

CLO

II,

Ltd.,

Series

2018-2A,

Class A2R

144A

144A

6.974%,

(US

SOFR

3

Month

plus

1.650%),

7/25/31 144A 

1,075,000‌

1,074

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2021-1A,

Class B

144A

144A

1.833%,

12/15/31 144A 

24,321‌

24

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-B,

Class

C

144A

144A

5.916%,

8/16/32 144A 

52,637‌

53

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-C,

Class

B

144A

144A

6.451%,

12/15/32 144A 

335,426‌

336

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2023-B,

Class

A2

144A

144A

5.644%,

12/15/33 144A 

203,742‌

204

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2023-B,

Class

D

144A

144A

6.663%,

12/15/33 144A 

280,000‌

281

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2024-A,

Class

B

144A

144A

5.622%,

6/15/32 144A 

250,000‌

250

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2024-A,

Class

C

144A

144A

5.818%,

6/15/32 144A 

250,000‌

250

Santander

Consumer

Auto

Receivables

Trust,

Series

2021-AA,

Class

D

144A

144A

1.570%,

1/15/27 144A 

450,000‌

428

Santander

Drive

Auto

Receivables

Trust,

Series

2020-3,

Class

D

1.640%,

11/16/26 

77,970‌

77

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Santander

Drive

Auto

Receivables

Trust,

Series

2021-4,

Class

D

1.670%,

10/15/27 

450,000‌

433

Santander

Drive

Auto

Receivables

Trust,

Series

2023-1,

Class

C

5.090%,

5/15/30 

260,000‌

258

Santander

Retail

Auto

Lease

Trust,

Series

2022-B,

Class

B

144A

144A

3.850%,

3/22/27 144A 

150,000‌

148

SBNA

Auto

Lease

Trust,

Series

2024-A,

Class A3

144A

144A

5.390%,

11/20/26 144A 

145,000‌

145

SBNA

Auto

Lease

Trust,

Series

2024-A,

Class A4

144A

144A

5.240%,

1/22/29 144A 

140,000‌

140

SBNA

Auto

Lease

Trust,

Series

2024-B,

Class A4

144A

144A

5.550%,

12/20/28 144A 

540,000‌

542

SCF

Equipment

Leasing

Trust,

Series

2023-

1A,

Class

A3

144A

144A

6.170%,

5/20/32 144A 

470,000‌

481

SCF

Equipment

Trust

LLC,

Series

2024-1A,

Class

A2

144A

144A

5.880%,

11/20/29 144A 

565,000‌

566

SEB

Funding

LLC,

Series

2024-1A,

Class

A2

144A

144A

7.386%,

4/30/54 144A 

600,000‌

609

SFS

Auto

Receivables

Securitization

Trust,

Series

2024-1A,

Class

A3

144A

144A

4.950%,

5/21/29 144A 

160,000‌

159

SFS

Auto

Receivables

Securitization

Trust,

Series

2024-1A,

Class

C

144A

144A

5.510%,

1/20/32 144A 

55,000‌

55

SFS

Auto

Receivables

Securitization

Trust,

Series

2024-2A,

Class

A4

144A

144A

5.260%,

8/20/30 144A 

145,000‌

146

Sierra

Receivables

Funding

Co.

LLC,

Series

2019-2A,

Class A

144A

144A

2.590%,

5/20/36 144A 

73,106‌

73

Sierra

Receivables

Funding

Co.

LLC,

Series

2019-3A,

Class

A

144A

144A

2.340%,

7/15/38 144A 

179,628‌

178

Sierra

Receivables

Funding

Co.

LLC,

Series

2020-2A,

Class

C

144A

144A

3.510%,

7/20/37 144A 

63,327‌

62

Sierra

Receivables

Funding

Co.

LLC,

Series

2021-2A,

Class

B

144A

144A

1.800%,

9/20/38 144A 

99,272‌

94

Sierra

Receivables

Funding

Co.

LLC,

Series

2021-2A,

Class

C

144A

144A

1.950%,

9/20/38 144A 

207,368‌

195

SMB

Private

Education

Loan

Trust,

Series

2016-C,

Class

A2B

144A

144A

6.543%,

(US

SOFR

1

Month

plus

1.215%),

9/15/34 144A 

41,833‌

42

SMB

Private

Education

Loan

Trust,

Series

2018-B,

Class

A2A

144A

144A

3.600%,

1/15/37 144A 

71,815‌

70

SMB

Private

Education

Loan

Trust,

Series

2018-B,

Class

A2B

144A

144A

6.163%,

(US

SOFR

1

Month

plus

0.835%),

1/15/37 144A 

171,843‌

171

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

69

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

SMB

Private

Education

Loan

Trust,

Series

2020-BA,

Class

A1A

144A

144A

1.290%,

7/15/53 144A 

89,451‌

82

SMB

Private

Education

Loan

Trust,

Series

2020-PTB,

Class

A2A

144A

144A

1.600%,

9/15/54 144A 

638,789‌

585

SMB

Private

Education

Loan

Trust,

Series

2021-B,

Class

A

144A

144A

1.310%,

7/17/51 144A 

434,986‌

395

Symphony

CLO

I,

Ltd.,

Series

2021-1A,

Class B

144A

144A

7.035%,

(US

SOFR

3

Month

plus

1.712%),

10/25/29 144A 

815,000‌

810

Symphony

CLO

XXIII,

Ltd.,

Series

2021-23A,

Class

AR

144A

144A

6.610%,

(US

SOFR

3

Month

plus

1.282%),

1/15/34 144A 

996,153‌

997

Symphony

CLO

XXVI,

Ltd.,

Series

2021-26A,

Class

AR

144A

144A

6.666%,

(US

SOFR

3

Month

plus

1.342%),

4/20/33 144A 

285,000‌

285

Tricon

Residential

Trust,

Series

2024-SFR2,

Class

A

144A

144A

4.750%,

6/17/40 144A 

280,000‌

273

Tricon

Residential

Trust,

Series

2024-SFR2,

Class

D

144A

144A

6.000%,

6/17/28 144A 

510,000‌

503

Trinitas

CLO

VI,

Ltd.,

Series

2017-6A,

Class ARRR

144A

144A

6.663%,

(US

SOFR

3

Month

plus

1.330%),

1/25/34 144A 

460,000‌

461

US

Bank

NA,

Series

2023-1,

Class

B

144A

144A

6.789%,

8/25/32 144A 

184,699‌

185

Verdant

Receivables

LLC,

Series

2023-1A,

Class

A2

144A

144A

6.240%,

1/13/31 144A 

512,971‌

516

Verdant

Receivables

LLC,

Series

2024-1A,

Class

A2

144A

144A

5.680%,

12/12/31 144A 

125,000‌

125

Voya

CLO,

Series

2018-3A,

Class

BR2

144A

144A

7.129%,

(US

SOFR

3

Month

plus

1.800%),

10/15/31 144A 

575,000‌

576

Wheels

Fleet

Lease

Funding,

Series

2023-2A,

Class

A

144A

144A

6.460%,

8/18/38 144A 

775,000‌

781

Wheels

Fleet

Lease

Funding,

Series

2024-1A,

Class

A1

144A

144A

5.490%,

2/18/39 144A 

640,000‌

640

World

Omni

Auto

Receivables

Trust,

Series

2022-A,

Class

C

2.550%,

9/15/28 

325,000‌

308

World

Omni

Select

Auto

Trust,

Series

2020-A,

Class

C

1.250%,

10/15/26 

197,061‌

196

World

Omni

Select

Auto

Trust,

Series

2021-A,

Class

D

1.440%,

11/15/27 

180,000‌

170

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

World

Omni

Select

Auto

Trust,

Series

2023-A,

Class

B

5.870%,

8/15/28 

445,000‌

447

Total

64,246

Mortgage

Securities

(12.6%)

Angel

Oak

Mortgage

Trust,

Series

2020-3,

Class

A3

144A

144A

2.872%,

(AFC),

4/25/65 144A 

41,688‌

39

Angel

Oak

Mortgage

Trust,

Series

2021-1,

Class

A1

144A

144A

0.909%,

(AFC),

1/25/66 144A 

245,878‌

208

Angel

Oak

Mortgage

Trust,

Series

2021-1,

Class

A2

144A

144A

1.115%,

(AFC),

1/25/66 144A 

71,932‌

61

Angel

Oak

Mortgage

Trust,

Series

2021-2,

Class

A1

144A

144A

0.985%,

(AFC),

4/25/66 144A 

244,344‌

203

Angel

Oak

Mortgage

Trust,

Series

2021-2,

Class

A2

144A

144A

1.190%,

(AFC),

4/25/66 144A 

77,070‌

64

BANK,

Series

2024-BNK47,

Class

A1

5.523%,

6/15/57 

100,000‌

100

Bayview

MSR

Opportunity

Master

Fund

Trust,

Series

2021-5,

Class

A5

144A

144A

2.500%,

(AFC),

11/25/51 144A 

305,698‌

263

BBCMS

Mortgage

Trust,

Series

2024-C27,

Class

A1

5.502%,

7/15/57 

133,000‌

133

BCP

Trust,

Series

2021-330N,

Class

A

144A

144A

6.242%,

(US

SOFR

1

Month

plus

0.914%),

6/15/38 144A 

290,000‌

272

BINOM

Securitization

Trust,

Series

2021-INV1,

Class

A3

144A

144A

2.625%,

(AFC),

6/25/56 144A 

160,967‌

139

BPR

Trust,

Series

2021-TY,

Class

B

144A

144A

6.593%,

(US

SOFR

1

Month

plus

1.265%),

9/25/38 144A 

450,000‌

443

BRAVO

Residential

Funding

Trust,

Series

2021-NQM3,

Class

A1

144A

144A

1.699%,

(AFC),

4/26/60 144A 

235,552‌

212

BSREP

Commercial

Mortgage

Trust,

Series

2021-DC,

Class

D

144A

144A

7.343%,

(US

SOFR

1

Month

plus

2.015%),

8/15/38 144A 

189,541‌

141

BX

Trust,

Series

2021-ARIA,

Class

C

144A

144A

7.089%,

(US

SOFR

1

Month

plus

1.761%),

10/15/36 144A 

330,000‌

324

BX

Trust,

Series

2021-VIEW,

Class

A

144A

144A

6.723%,

(US

SOFR

1

Month

plus

1.395%),

6/15/36 144A 

255,000‌

248

BX

Trust,

Series

2024-MDHS,

Class

A

144A

144A

6.970%,

(US

SOFR

1

Month

plus

1.641%),

5/15/41 144A 

500,000‌

499

BX

Trust,

Series

2024-MDHS,

Class

B

144A

144A

7.170%,

(US

SOFR

1

Month

plus

1.841%),

5/15/41 144A 

500,000‌

499

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

70

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

CIM

Trust,

Series

2020-INV1,

Class

A2

144A

144A

2.500%,

(AFC),

4/25/50 144A 

262,345‌

212

Citigroup

Commercial

Mortgage

Trust,

Series

2013-375P,

Class

B

144A

144A

3.635%,

(CSTR),

5/10/35 144A 

435,000‌

418

Citigroup

Commercial

Mortgage

Trust,

Series

2013-375P,

Class

C

144A

144A

3.635%,

(CSTR),

5/10/35 144A 

255,000‌

242

Citigroup

Mortgage

Loan

Trust,

Series

2020-

EXP2,

Class

A3

144A

144A

2.500%,

8/25/50 144A 

244,939‌

204

Citigroup

Mortgage

Loan

Trust,

Series

2020-

EXP2,

Class

A4

144A

144A

2.500%,

(AFC),

8/25/50 144A 

340,193‌

283

Cold

Storage

Trust,

Series

2020-ICE5,

Class A

144A

144A

6.341%,

(US

SOFR

1

Month

plus

1.015%),

11/15/37 144A 

216,258‌

215

Cold

Storage

Trust,

Series

2020-ICE5,

Class B

144A

144A

6.741%,

(US

SOFR

1

Month

plus

1.415%),

11/15/37 144A 

953,501‌

950

COLT

Mortgage

Loan

Trust,

Series

2020-3,

Class

A1

144A

144A

1.506%,

(AFC),

4/27/65 144A 

21,334‌

20

COLT

Mortgage

Loan

Trust,

Series

2021-1,

Class

A2

144A

144A

1.167%,

(AFC),

6/25/66 144A 

231,449‌

193

COMM

Mortgage

Trust,

Series

2014-CR15,

Class

B

4.032%,

(CSTR),

2/10/47 

232,044‌

224

COMM

Mortgage

Trust,

Series

2014-CR19,

Class

AM

4.080%,

8/10/47 

98,350‌

98

COMM

Mortgage

Trust,

Series

2014-CR19,

Class

D

144A

144A

4.777%,

(CSTR),

8/10/47 144A 

185,000‌

166

COMM

Mortgage

Trust,

Series

2014-UBS2,

Class

B

4.701%,

3/10/47 

75,707‌

73

COMM

Mortgage

Trust,

Series

2017-PANW,

Class

D

144A

144A

4.343%,

(CSTR,

AFC),

10/10/29 144A 

195,000‌

174

Credit

Suisse

Mortgage

Trust,

Series

2020-

NET,

Class

A

144A

144A

2.256%,

8/15/37 144A 

180,627‌

171

Credit

Suisse

Mortgage

Trust,

Series

2020-

NET,

Class

D

144A

144A

3.828%,

(CSTR),

8/15/37 144A 

445,000‌

414

CSAIL

Commercial

Mortgage

Trust,

Series

2015-C3,

Class

A4

3.718%,

8/15/48 

305,000‌

297

CSAIL

Commercial

Mortgage

Trust,

Series

2019-C16,

Class

A1

2.360%,

6/15/52 

1,241‌

1

CyrusOne

Data

Centers

Issuer

I

LLC,

Series

2024-1A,

Class

A2

144A

144A

4.760%,

3/22/49 144A 

115,000‌

108

CyrusOne

Data

Centers

Issuer

I

LLC,

Series

2024-2A,

Class

A2

144A

144A

4.500%,

5/20/49 144A 

960,000‌

889

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Deephaven

Residential

Mortgage

Trust,

Series

2021-1,

Class

A3

144A

144A

1.128%,

(AFC),

5/25/65 144A 

53,375‌

50

Deephaven

Residential

Mortgage

Trust,

Series

2021-2,

Class

A3

144A

144A

1.260%,

(AFC),

4/25/66 144A 

103,078‌

89

Ellington

Financial

Mortgage

Trust,

Series

2019-2,

Class

A3

144A

144A

3.046%,

(AFC),

11/25/59 144A 

37,221‌

35

Ellington

Financial

Mortgage

Trust,

Series

2021-2,

Class

A3

144A

144A

1.291%,

(AFC),

6/25/66 144A 

142,508‌

116

Ellington

Financial

Mortgage

Trust,

Series

2021-3,

Class

A3

144A

144A

1.550%,

(AFC),

9/25/66 144A 

152,417‌

123

Extended

Stay

America

Trust,

Series

2021-

ESH,

Class

C

144A

144A

7.143%,

(US

SOFR

1

Month

plus

1.815%),

7/15/38 144A 

435,741‌

435

Federal

Home

Loan

Mortgage

Corp.

1.500%,

2/1/36 

603,380‌

519

2.500%,

1/1/52 

536,631‌

444

2.500%,

4/1/52 

291,510‌

241

3.000%,

11/1/34 

28,643‌

27

3.500%,

3/1/46 

29,522‌

27

3.500%,

12/1/47 

265,889‌

240

4.000%,

12/1/49 

83,775‌

78

4.500%,

5/1/50 

49,629‌

47

5.000%,

12/1/41 

102,282‌

101

5.500%,

8/1/53 

529,526‌

523

6.000%,

9/1/34 

891‌

1

6.000%,

2/1/35 

17,090‌

17

6.000%,

9/1/35 

5,653‌

6

6.000%,

2/1/53 

282,892‌

288

6.000%,

6/1/54 

1,907,568‌

1,922

7.000%,

3/1/39 

31,116‌

32

7.500%,

6/1/38 

26,709‌

28

Federal

Home

Loan

Mortgage

Corp.,

Series

2017-SC02,

Class

M1

144A

144A

3.870%,

(CSTR),

5/25/47 144A 

14,641‌

14

Federal

Home

Loan

Mortgage

Corp.,

Series

3713,

Class

PA

2.000%,

2/15/40 

23,278‌

23

Federal

Home

Loan

Mortgage

Corp.,

Series

4092,

Class

CL

1.250%,

6/15/27 

51,190‌

50

Federal

Home

Loan

Mortgage

Corp.,

Series

K753,

Class

A1

4.600%,

6/25/30 

330,413‌

328

Federal

National

Mortgage

Association

2.000%,

10/1/50 

203,459‌

161

2.500%,

1/1/52 

747,039‌

616

3.000%,

9/1/28 

106,554‌

103

3.000%,

12/1/34 

67,575‌

63

3.000%,

3/1/35 

28,383‌

26

3.500%,

5/1/27 

91,357‌

89

3.500%,

4/1/46 

182,159‌

165

3.500%,

2/1/48 

317,301‌

286

3.500%,

1/1/52 

121,324‌

108

4.000%,

1/1/47 

49,085‌

46

4.000%,

2/1/49 

10,032‌

9

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

71

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

4.000%,

11/1/49 

29,304‌

27

4.000%,

12/1/49 

9,807‌

9

4.000%,

8/1/52 

185,290‌

170

4.000%,

9/1/52 

940,018‌

861

4.500%,

5/1/40 

38,054‌

37

4.500%,

9/1/40 

33,418‌

32

4.500%,

5/1/41 

67,013‌

65

4.500%,

8/1/48 

20,054‌

19

4.500%,

9/1/48 

18,456‌

18

4.500%,

10/1/48 

134,107‌

129

4.500%,

11/1/48 

26,614‌

25

4.500%,

12/1/48 

140,150‌

134

4.500%,

5/1/49 

79,772‌

76

4.500%,

1/1/50 

17,803‌

17

5.000%,

10/1/33 

53,484‌

53

5.000%,

6/1/40 

32,623‌

32

5.000%,

7/1/45 

48,125‌

48

5.000%,

9/1/48 

46,333‌

46

5.000%,

2/1/49 

21,473‌

21

5.000%,

8/1/49 

16,892‌

17

5.000%,

10/1/52 

352,458‌

341

5.000%,

9/1/53 

306,815‌

297

5.500%,

8/1/37 

32,300‌

32

5.500%,

2/1/38 

124,151‌

125

5.500%,

10/1/53 

334,472‌

331

5.500%,

3/1/54 

606,107‌

599

6.000%,

3/1/34 

27,372‌

28

6.000%,

8/1/34 

75,775‌

77

6.000%,

11/1/34 

2,765‌

3

6.000%,

12/1/34 

1,005‌

1

6.000%,

4/1/35 

1,792‌

2

6.000%,

5/1/38 

1,243‌

1

6.000%,

10/1/40 

62,556‌

64

6.000%,

2/1/49 

256,119‌

265

6.000%,

7/1/53 

303,487‌

306

6.000%,

8/1/53 

2,251,392‌

2,269

6.000%,

1/1/54 

685,846‌

688

6.000%,

6/1/54 

609,991‌

614

6.500%,

7/1/32 

8,408‌

9

6.500%,

12/1/32 

7,990‌

8

6.500%,

10/1/53 

1,122,877‌

1,147

6.500%,

1/1/54 

1,274,865‌

1,304

Federal

National

Mortgage

Association,

Series

2011-113,

Class

AG

2.500%,

11/25/26 

9,061‌

9

Federal

National

Mortgage

Association,

Series

2017-90,

Class

KA

3.000%,

11/25/47 

153,832‌

141

Federal

National

Mortgage

Association,

Series

2018-C03,

Class

1EB2

6.300%,

(US

30

Day

Average

SOFR

plus

0.965%),

10/25/30 

80,028‌

80

Flagstar

Mortgage

Trust,

Series

2020-1INV,

Class

A11

144A

144A

6.000%,

(US

SOFR

1

Month

plus

0.965%),

3/25/50 144A 

94,035‌

89

Fontainebleau

Miami

Beach

Trust,

Series

2019-FBLU,

Class

A

144A

144A

3.144%,

12/10/36 144A 

300,000‌

296

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Galton

Funding

Mortgage

Trust,

Series

2018-

1,

Class

A33

144A

144A

3.500%,

(AFC),

11/25/57 144A 

23,243‌

20

Galton

Funding

Mortgage

Trust,

Series

2019-

1,

Class

A21

144A

144A

4.500%,

(AFC),

2/25/59 144A 

24,434‌

23

Galton

Funding

Mortgage

Trust,

Series

2019-

1,

Class

A32

144A

144A

4.000%,

(AFC),

2/25/59 144A 

10,630‌

10

Galton

Funding

Mortgage

Trust,

Series

2019-

H1,

Class

M1

144A

144A

3.339%,

(AFC),

10/25/59 144A 

260,000‌

245

Galton

Funding

Mortgage

Trust,

Series

2020-

H1,

Class

M1

144A

144A

2.832%,

(AFC),

1/25/60 144A 

285,000‌

237

Government

National

Mortgage

Association

3.000%,

9/20/47 

438,815‌

387

3.500%,

12/20/42 

2,850‌

3

3.500%,

9/20/43 

38,858‌

36

3.500%,

8/20/44 

74,064‌

68

3.500%,

10/20/46 

491‌

–π

3.500%,

11/20/46 

29,682‌

27

3.500%,

1/20/47 

32,471‌

30

3.500%,

7/20/52 

1,010,907‌

908

4.000%,

3/20/48 

60,740‌

56

4.000%,

4/20/50 

221,701‌

206

4.000%,

10/20/50 

140,531‌

131

4.000%,

9/20/52 

185,560‌

171

4.500%,

7/20/41 

158,428‌

155

5.000%,

3/20/34 

158,222‌

158

5.000%,

1/20/48 

25,245‌

25

5.000%,

2/20/48 

124,248‌

124

5.500%,

6/20/37 

35,829‌

37

5.500%,

9/15/45 

106,344‌

108

5.500%,

3/20/48 

18,299‌

19

5.500%,

12/20/48 

10,137‌

10

5.500%,

2/20/49 

131,999‌

133

Government

National

Mortgage

Association

TBA

5.000%,

7/20/53 

310,000‌

302

5.500%,

7/15/54 

580,000‌

575

6.500%,

7/15/54 

455,000‌

461

GS

Mortgage

Backed

Securities

Trust,

Series

2014-EB1A,

Class

2A1

144A

144A

5.912%,

(CSTR),

7/25/44 144A 

2,377‌

2

GS

Mortgage

Securities

Trust,

Series

2021-

ROSS,

Class

B

144A

144A

7.193%,

(US

SOFR

1

Month

plus

1.715%),

5/15/26 144A 

390,000‌

311

HILT

Commercial

Mortgage

Trust,

Series

2024-ORL,

Class

B

144A

144A

7.270%,

(US

SOFR

1

Month

plus

1.941%),

5/15/37 144A 

485,000‌

484

Imperial

Fund

Mortgage

Trust,

Series

2021-

NQM2,

Class

A3

144A

144A

1.516%,

(AFC),

9/25/56 144A 

225,844‌

186

Imperial

Fund

Mortgage

Trust,

Series

2022-

NQM4,

Class

A1

144A

144A

4.767%,

(AFC),

6/25/67 144A ∑

693,134‌

680

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

72

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2019-BKWD,

Class C

144A

144A

7.543%,

(US

SOFR

1

Month

plus

2.215%),

9/15/29 144A 

250,000‌

207

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2020-609M,

Class B

144A

144A

7.463%,

(US

SOFR

1

Month

plus

2.135%),

10/15/33 144A 

540,000‌

497

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2020-609M,

Class C

144A

144A

7.863%,

(US

SOFR

1

Month

plus

2.535%),

10/15/33 144A 

440,000‌

383

JP

Morgan

Mortgage

Trust,

Series

2020-INV1,

Class

A11

144A

144A

6.000%,

(US

SOFR

1

Month

plus

0.945%),

(AFC),

8/25/50 144A 

39,268‌

37

JP

Morgan

Mortgage

Trust,

Series

2020-INV1,

Class

A15

144A

144A

3.500%,

(AFC),

8/25/50 144A 

63,925‌

56

KNDR

Trust,

Series

2021-KIND,

Class

C

144A

144A

7.194%,

(US

SOFR

1

Month

plus

1.865%),

8/15/38 144A 

575,276‌

560

LSTAR

Commercial

Mortgage

Trust,

Series

2017-5,

Class

AS

144A

144A

4.021%,

3/10/50 144A 

340,000‌

313

MED

Commercial

Mortgage

Trust,

Series

2024-MOB,

Class

A

144A

144A

6.920%,

(US

SOFR

1

Month

plus

1.592%),

5/15/41 144A 

440,000‌

437

MetLife

Securitization

Trust,

Series

2017-1A,

Class

A

144A

144A

3.000%,

(AFC),

4/25/55 144A 

62,306‌

58

MFRA

Trust,

Series

2021-INV1,

Class

A1

144A

144A

0.852%,

(AFC),

1/25/56 144A 

75,436‌

71

MFRA

Trust,

Series

2021-NQM2,

Class

A2

144A

144A

1.317%,

(AFC),

11/25/64 144A 

104,624‌

90

Morgan

Stanley

Capital

I

Trust,

Series

2014-

150E,

Class

A

144A

144A

3.912%,

9/9/32 144A 

610,000‌

531

Morgan

Stanley

Capital

I

Trust,

Series

2019-

NUGS,

Class

D

144A

144A

7.243%,

(US

SOFR

1

Month

plus

1.915%),

12/15/36 144A 

315,000‌

87

Morgan

Stanley

Residential

Mortgage

Loan

Trust,

Series

2021-2,

Class

A4

144A

144A

2.500%,

(AFC),

5/25/51 144A 

122,254‌

106

Morgan

Stanley

Residential

Mortgage

Loan

Trust,

Series

2023-NQM1,

Class

A2

144A

144A

8.530%,

(AFC),

9/25/68 144A ∑

137,525‌

140

New

Residential

Mortgage

Loan

Trust,

Series

2021-INV2,

Class

A7

144A

144A

2.500%,

(AFC),

9/25/51 144A 

749,534‌

650

OBX

Trust,

Series

2019-EXP2,

Class

2A2

144A

144A

6.639%,

(US

SOFR

1

Month

plus

1.315%),

7/25/59 144A 

47,364‌

46

OBX

Trust,

Series

2019-EXP3,

Class

2A1

144A

144A

6.360%,

(US

SOFR

1

Month

plus

1.015%),

(AFC),

10/25/59 144A 

50,040‌

50

OBX

Trust,

Series

2020-EXP1,

Class

1A8

144A

144A

3.500%,

2/25/60 144A 

136,425‌

120

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

OBX

Trust,

Series

2020-EXP1,

Class

2A1

144A

144A

6.210%,

(US

SOFR

1

Month

plus

0.865%),

2/25/60 144A 

109,403‌

105

OBX

Trust,

Series

2020-EXP1,

Class

2A2

144A

144A

6.410%,

(US

SOFR

1

Month

plus

1.065%),

2/25/60 144A 

65,105‌

62

OBX

Trust,

Series

2020-EXP2,

Class

A8

144A

144A

3.000%,

(AFC),

5/25/60 144A 

164,130‌

137

OBX

Trust,

Series

2020-EXP2,

Class

A9

144A

144A

3.000%,

(AFC),

5/25/60 144A 

41,032‌

34

OBX

Trust,

Series

2020-EXP3,

Class

1A8

144A

144A

3.000%,

(AFC),

1/25/60 144A 

145,778‌

126

OBX

Trust,

Series

2020-INV1,

Class

A5

144A

144A

3.500%,

(AFC),

12/25/49 144A 

37,842‌

33

OBX

Trust,

Series

2023-NQM10,

Class

A2

144A

144A

7.920%,

(AFC),

10/25/63 144A ∑

89,815‌

91

OBX

Trust,

Series

2023-NQM9,

Class

A2

144A

144A

8.513%,

(AFC),

10/25/63 144A ∑

87,504‌

89

Oceanview

Mortgage

Trust,

Series

2022-1,

Class

A5

144A

144A

2.500%,

(AFC),

12/25/51 144A 

390,691‌

337

ONE

Park

Mortgage

Trust,

Series

2021-PARK,

Class

B

144A

144A

6.393%,

(US

SOFR

1

Month

plus

1.065%),

3/15/36 144A 

755,000‌

723

ONE

Park

Mortgage

Trust,

Series

2021-PARK,

Class

C

144A

144A

6.543%,

(US

SOFR

1

Month

plus

1.215%),

3/15/36 144A 

405,000‌

384

SDR

Trust,

Series

2024-DSNY,

Class

B

144A

144A

7.070%,

(US

SOFR

1

Month

plus

1.741%),

5/15/39 144A 

400,000‌

398

Sequoia

Mortgage

Trust,

Series

2018-CH2,

Class

A21

144A

144A

4.000%,

(AFC),

6/25/48 144A 

18,593‌

17

Sequoia

Mortgage

Trust,

Series

2018-CH2,

Class

A3

144A

144A

4.000%,

(AFC),

6/25/48 144A 

42,888‌

39

Sequoia

Mortgage

Trust,

Series

2018-CH3,

Class

A19

144A

144A

4.500%,

(AFC),

8/25/48 144A 

2,535‌

2

SG

Residential

Mortgage

Trust,

Series

2020-2,

Class

A1

144A

144A

1.381%,

(AFC),

5/25/65 144A 

84,320‌

74

STACR

Trust,

Series

2021-DNA5,

Class

M2

144A

144A

6.985%,

(US

30

Day

Average

SOFR

plus

1.650%),

1/25/34 144A 

138,595‌

139

STACR

Trust,

Series

2021-DNA7,

Class

M1

144A

144A

6.185%,

(US

30

Day

Average

SOFR

plus

0.850%),

11/25/41 144A 

135,634‌

136

STACR

Trust,

Series

2021-DNA7,

Class

M2

144A

144A

7.135%,

(US

30

Day

Average

SOFR

plus

1.800%),

11/25/41 144A 

375,000‌

379

STACR

Trust,

Series

2022-DNA5,

Class

M1A

144A

144A

8.285%,

(US

30

Day

Average

SOFR

plus

2.950%),

6/25/42 144A 

445,792‌

458

STACR

Trust,

Series

2023-HQA3,

Class

A1

144A

144A

7.185%,

(US

30

Day

Average

SOFR

plus

1.850%),

11/25/43 144A 

165,343‌

168

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

73

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

STACR

Trust,

Series

2024-HQA1,

Class

A1

144A

144A

6.585%,

(US

30

Day

Average

SOFR

plus

1.250%),

3/25/44 144A 

704,742‌

707

Starwood

Mortgage

Residential

Trust,

Series

2019-INV1,

Class

A3

144A

144A

2.916%,

(AFC),

9/27/49 144A 

138,617‌

135

Starwood

Mortgage

Residential

Trust,

Series

2020-1,

Class

A2

144A

144A

2.408%,

(AFC),

2/25/50 144A 

149,981‌

140

Starwood

Mortgage

Residential

Trust,

Series

2021-2,

Class

A1

144A

144A

0.943%,

(AFC),

5/25/65 144A 

118,827‌

108

Starwood

Mortgage

Residential

Trust,

Series

2021-4,

Class

A1

144A

144A

1.162%,

(AFC),

8/25/56 144A 

532,904‌

457

Toorak

Mortgage

Corp.,

Series

2021-INV1,

Class

A2

144A

144A

1.409%,

(AFC),

7/25/56 144A 

100,526‌

86

Towd

Point

Mortgage

Trust,

Series

2015-1,

Class

A1

144A

144A

3.000%,

(AFC),

1/28/58 144A 

31,133‌

30

Towd

Point

Mortgage

Trust,

Series

2017-3,

Class

A1

144A

144A

2.750%,

(AFC),

7/25/57 144A 

25,680‌

25

Towd

Point

Mortgage

Trust,

Series

2022-4,

Class

A1

144A

144A

3.750%,

(AFC),

9/25/62 144A 

784,185‌

731

TX

Trust,

Series

2024-HOU,

Class

B

144A

144A

7.410%,

(US

SOFR

1

Month

plus

2.091%),

6/15/39 144A 

535,000‌

530

United

Wholsale

Mortgage

LLC,

Series

2021-

INV2,

Class

A4

144A

144A

2.500%,

(AFC),

9/25/51 144A 

141,690‌

122

Verus

Securitization

Trust,

Series

2019-INV2,

Class

A1

144A

144A

3.913%,

(AFC),

7/25/59 144A 

37,465‌

37

Verus

Securitization

Trust,

Series

2019-INV2,

Class

A2

144A

144A

4.117%,

(AFC),

7/25/59 144A 

50,479‌

50

Verus

Securitization

Trust,

Series

2020-2,

Class

A1

144A

144A

3.226%,

(AFC),

5/25/60 144A 

16,039‌

16

Verus

Securitization

Trust,

Series

2020-5,

Class

A3

144A

144A

1.733%,

(AFC),

5/25/65 144A ∑

57,414‌

54

Verus

Securitization

Trust,

Series

2021-1,

Class

A1

144A

144A

0.815%,

(AFC),

1/25/66 144A 

71,350‌

63

Verus

Securitization

Trust,

Series

2021-1,

Class

A3

144A

144A

1.155%,

(AFC),

1/25/66 144A 

58,248‌

51

Verus

Securitization

Trust,

Series

2021-2,

Class

A1

144A

144A

1.031%,

(AFC),

2/25/66 144A 

136,033‌

119

Verus

Securitization

Trust,

Series

2021-2,

Class

A2

144A

144A

1.052%,

(AFC),

1/25/66 144A 

99,021‌

87

Verus

Securitization

Trust,

Series

2021-5,

Class

A3

144A

144A

1.373%,

(AFC),

9/25/66 144A 

188,517‌

158

Structured

Products

(29.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Verus

Securitization

Trust,

Series

2021-R1,

Class

A2

144A

144A

1.057%,

(AFC),

10/25/63 144A 

39,260‌

36

Verus

Securitization

Trust,

Series

2021-R2,

Class

A1

144A

144A

0.918%,

(AFC),

2/25/64 144A 

143,809‌

128

Verus

Securitization

Trust,

Series

2022-1,

Class

A3

144A

144A

3.288%,

(AFC),

1/25/67 144A 

818,104‌

726

Verus

Securitization

Trust,

Series

2022-6,

Class

A1

144A

144A

4.910%,

(AFC),

6/25/67 144A ∑

203,327‌

201

Verus

Securitization

Trust,

Series

2023-6,

Class

A2

144A

144A

7.939%,

(AFC),

9/25/68 144A ∑

242,712‌

244

Verus

Securitization

Trust,

Series

2023-7,

Class

A2

144A

144A

8.272%,

(AFC),

10/25/68 144A ∑

291,045‌

295

Verus

Securitization

Trust,

Series

2023-8,

Class

A2

144A

144A

7.664%,

(AFC),

12/25/68 144A ∑

191,163‌

192

Verus

Securitization

Trust,

Series

2023-INV3,

Class

A2

144A

144A

7.330%,

(AFC),

11/25/68 144A 

521,454‌

529

Vista

Point

Securitization

Trust,

Series

2020-2,

Class

A3

144A

144A

2.496%,

(AFC),

4/25/65 144A 

37,108‌

34

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2015-NXS2,

Class

A2

3.020%,

7/15/58 

34,420‌

34

Total

48,461

Total

Structured

Products

(Cost: $115,913)

112,707

144A

144A

144A

Short-Term

Investments

(

1.5%

)

Commercial

Paper

(1.5%)

Crown

Castle,

Inc.

0.000%,

7/9/24

1,080,000‌

1,078

Ovintiv,

Inc.

0.000%,

7/22/24

1,315,000‌

1,310

Targa

Resources

Corp.

0.000%,

7/24/24

1,115,000‌

1,110

VF

Corp.

0.000%,

7/23/24

1,005,000‌

1,001

Walgreens

Boots

Alliance,

Inc.

0.000%,

7/10/24

1,080,000‌

1,078

Total

5,577

Total

Short-Term

Investments

(Cost:

$5,579)

5,577

Total

Investments

(99.2%)

(Cost:

$385,245)

@

380,110

Other

Assets,

Less

Liabilities (0.8%)

3,025

Net

Assets

(100.0%)

383,135

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

74

Exchange

Traded

or

Centrally

Cleared

Derivatives

Futures

Issuer

Long/

Short

Currency

Notional

Par

(000's)

Number

of

Contracts

Expiration

Date

Notional

Value

(000's)

Unrealized

Appreciation/

(Depreciation)

(000's)

Variation

Margin

(000's)

Five-Year

US

Treasury

Note

Future

Short

USD

1,700‌

17

9/24

$

1,812‌

$

(7‌)

$

2‌

Ten-Year

US

Treasury

Note

Future

Short

USD

6,000‌

60

9/24

6,599‌

(61‌)

16‌

Two-Year

US

Treasury

Note

Future

Long

USD

96,600‌

483

9/24

98,638‌

281‌

(11‌)

Ultra

Long

Term

US

Treasury

Bond

Future

Short

USD

1,000‌

10

9/24

1,253‌

(14‌)

16‌

Ultra

Ten-Year

US

Treasury

Note

Future

Short

USD

4,600‌

46

9/24

5,222‌

(51‌)

22‌

$

148‌

$

45‌

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

North

America

Investment

Grade

Index,

Series

42

1.000%

6/29

0.535%

3,842‌

USD

$

70‌

$

9‌

$

79‌

$

–‌π

$

70‌

$

9‌

$

79‌

$

–‌π

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

$

–‌π

$

56‌

$

56‌

$

–‌

$

(11‌)

$

(11‌)

$

–‌

+

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

June

30,

2024,

the

aggregate

value

of

these

securities

was

$6,807

(in

thousands),

representing

1.8%

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

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$125,068

representing

32.6%

of

the

net

assets.

α

Rate

shown

is

the

rate

as

of

the

period

end.

The

rate

may

be

based

on

a

fixed

rate,

a

capped

rate

or

a  floor

rate

and

may

convert

to

a

variable

or

floating

rate

in

the

future.

β

Part

or

all

of

the

security

has

been

pledged

as

collateral.

π

Amount

is

less

than

one

thousand.

∑

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$385,315

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$4,978

which

is

comprised

of

$1,236

aggregate

gross

unrealized

appreciation

and

$6,214

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

Short-Term

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

75

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

—‌

$

168,360‌

$

—‌

Governments

—‌

93,466‌

—‌

Structured

Products

—‌

112,707‌

—‌

Short-Term

Investments

—‌

5,577‌

—‌

Other

Financial

Instruments

Ω

Futures

281‌

—‌

—‌

Credit

Default

Swaps

—‌

79‌

—‌

Total

Assets:

$

281‌

$

380,189‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Futures

(133‌)

—‌

—‌

Total

Liabilities:

$

(133‌)

$

—‌

$

—‌

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

76

Corporate

Bonds

(

25.8%

)

Shares/

Par

+

Value

$

(000's)

Basic

Materials

(0.7%)

Anglo

American

Capital

PLC

 144A

 144A

5.750%, 4/5/34

144A

1,629,000

1,626

Celanese

US

Holdings

LLC

6.379%, 7/15/32

2,330,000

2,394

6.550%, 11/15/30

600,000

627

The

Dow

Chemical

Co.

5.150%, 2/15/34

2,031,000

1,987

5.600%, 2/15/54

1,518,000

1,459

Glencore

Funding

LLC

 144A

 144A

5.371%, 4/4/29

144A

4,069,000

4,050

5.634%, 4/4/34

144A

3,553,000

3,499

LYB

International

Finance

III,

LLC

3.625%, 4/1/51

2,051,000

1,410

5.500%, 3/1/34

2,794,000

2,764

Total

19,816

Communications

(1.7%)

AT&T,

Inc.

3.500%, 6/1/41

962,000

735

3.500%, 9/15/53

1,492,000

1,013

3.550%, 9/15/55

1,490,000

1,004

3.650%, 9/15/59

942,000

632

3.800%, 12/1/57

2,709,000

1,893

5.400%, 2/15/34

2,184,000

2,184

Charter

Communications

Operating

LLC

/

Charter

Communications

Operating

Capital

Corp.

3.500%, 6/1/41

518,000

348

3.500%, 3/1/42

2,527,000

1,681

3.900%, 6/1/52

734,000

460

5.250%, 4/1/53

1,267,000

994

5.500%, 4/1/63

526,000

408

6.100%, 6/1/29

4,807,000

4,823

6.150%, 11/10/26

2,088,000

2,108

6.550%, 6/1/34

2,670,000

2,671

Cisco

Systems,

Inc.

4.800%, 2/26/27

3,046,000

3,038

4.950%, 2/26/31

2,030,000

2,028

5.050%, 2/26/34

3,554,000

3,551

5.300%, 2/26/54

1,524,000

1,493

Comcast

Corp.

2.987%, 11/1/63

1,126,000

661

4.049%, 11/1/52

970,000

751

5.300%, 6/1/34

4,121,000

4,131

5.350%, 11/15/27

1,978,000

1,999

5.650%, 6/1/54

2,058,000

2,054

T-Mobile

USA,

Inc.

2.250%, 2/15/26

2,102,000

1,996

2.550%, 2/15/31

1,505,000

1,278

3.750%, 4/15/27

3,202,000

3,078

Verizon

Communications,

Inc.

5.500%, 2/23/54

1,827,000

1,788

Total

48,800

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

(1.4%)

Daimler

Finance

North

America

LLC

 144A

 144A

5.125%, 9/25/29

144A

353,000

350

Delta

Air

Lines,

Inc./

SkyMiles

IP,

Ltd.

 144A

 144A

4.750%, 10/20/28

144A

3,304,000

3,218

Ford

Motor

Credit

Co.

LLC

2.900%, 2/10/29

5,151,000

4,542

4.000%, 11/13/30

2,912,000

2,600

General

Motors

Financial

Co.,

Inc.

2.700%, 6/10/31

1,624,000

1,343

The

Home

Depot,

Inc.

3.625%, 4/15/52

979,000

724

4.750%, 6/25/29

1,531,000

1,522

4.850%, 6/25/31

2,041,000

2,025

5.300%, 6/25/54

713,000

696

Hyundai

Capital

America

 144A

 144A

1.300%, 1/8/26

144A

1,898,000

1,781

5.300%, 6/24/29

144A

2,048,000

2,037

5.400%, 6/24/31

144A

1,536,000

1,523

5.600%, 3/30/28

144A

3,132,000

3,153

5.700%, 6/26/30

144A

1,001,000

1,014

6.500%, 1/16/29

144A

913,000

953

Lowe's

Companies,

Inc.

4.250%, 4/1/52

2,437,000

1,915

5.625%, 4/15/53

488,000

473

5.750%, 7/1/53

1,520,000

1,497

5.850%, 4/1/63

501,000

488

McDonald's

Corp.

4.700%, 12/9/35

1,722,000

1,635

4.800%, 8/14/28

1,028,000

1,022

5.000%, 5/17/29

2,570,000

2,567

5.450%, 8/14/53

2,499,000

2,414

Total

39,492

Consumer,

Non-cyclical

(4.0%)

AbbVie,

Inc.

3.200%, 11/21/29

3,742,000

3,434

4.050%, 11/21/39

1,063,000

923

4.250%, 11/21/49

1,115,000

929

4.500%, 5/14/35

2,201,000

2,076

4.550%, 3/15/35

2,505,000

2,376

4.800%, 3/15/27

2,538,000

2,527

4.800%, 3/15/29

2,538,000

2,528

4.950%, 3/15/31

1,524,000

1,520

5.050%, 3/15/34

2,538,000

2,531

5.400%, 3/15/54

1,395,000

1,379

Adani

International

Container

Terminal

Private,

Ltd.

 144A

 144A

3.000%, 2/16/31

144A

792,920

663

Alcon

Finance

Corp.

 144A

 144A

2.600%, 5/27/30

144A

568,000

495

5.375%, 12/6/32

144A

2,685,000

2,690

Amgen,

Inc.

5.650%, 3/2/53

2,564,000

2,525

Anheuser-Busch

Cos.

LLC

/

Anheuser-Busch

InBev

Worldwide,

Inc.

4.700%, 2/1/36

6,375,000

6,078

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

77

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Anheuser-Busch

InBev

Worldwide,

Inc.

4.375%, 4/15/38

1,302,000

1,185

5.450%, 1/23/39

1,024,000

1,038

5.800%, 1/23/59

750,000

780

AstraZeneca

Finance

LLC

5.000%, 2/26/34

2,052,000

2,041

BAT

Capital

Corp.

4.390%, 8/15/37

793,000

669

4.540%, 8/15/47

2,881,000

2,218

Becton

Dickinson

and

Co.

5.081%, 6/7/29

2,047,000

2,045

Bristol-Myers

Squibb

Co.

5.650%, 2/22/64

1,525,000

1,490

Bunge,

Ltd.

Finance

Corp.

1.630%, 8/17/25

1,033,000

988

The

Coca-Cola

Co.

5.000%, 5/13/34

1,542,000

1,547

5.300%, 5/13/54

1,334,000

1,324

5.400%, 5/13/64

512,000

508

CommonSpirit

Health

3.347%, 10/1/29

941,000

864

Constellation

Brands,

Inc.

5.250%, 11/15/48

2,090,000

1,945

CVS

Health

Corp.

5.050%, 3/25/48

3,277,000

2,823

DH

Europe

Finance

II

SARL

2.200%, 11/15/24

2,462,000

2,432

Elevance

Health,

Inc.

5.150%, 6/15/29

2,213,000

2,219

5.375%, 6/15/34

1,545,000

1,552

Eli

Lilly

&

Co.

4.700%, 2/9/34

2,016,000

1,977

5.000%, 2/9/54

1,518,000

1,450

5.100%, 2/9/64

1,012,000

967

Gilead

Sciences,

Inc.

4.000%, 9/1/36

1,025,000

904

GSK

Consumer

Healthcare

Co.

3.625%, 3/24/32

1,394,000

1,249

HCA,

Inc.

4.125%, 6/15/29

5,377,000

5,092

5.250%, 6/15/49

678,000

604

5.900%, 6/1/53

2,364,000

2,302

JBS

USA

Holding

LUX

SA

/

JBS

USA

Food

Co.

/

JBS

Luxembourg

SARL

3.000%, 5/15/32

2,858,000

2,353

3.625%, 1/15/32

1,023,000

883

3.750%, 12/1/31

717,000

628

JBS

USA

Holding

LUX

SARL

/

JBS

USA

Food

Co.

/

JBS

LUX

Co.

SARL

 144A

 144A

7.250%, 11/15/53

144A

3,805,000

4,151

PepsiCo,

Inc.

3.900%, 7/18/32

2,518,000

2,350

Pfizer

Investment

Enterprises

Pte.,

Ltd.

4.750%, 5/19/33

933,000

909

5.300%, 5/19/53

4,684,000

4,518

5.340%, 5/19/63

2,004,000

1,892

Philip

Morris

International,

Inc.

4.875%, 2/15/28

3,891,000

3,857

4.875%, 2/13/29

2,199,000

2,175

5.000%, 11/17/25

2,126,000

2,115

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

5.250%, 9/7/28

2,160,000

2,177

5.375%, 2/15/33

715,000

710

5.500%, 9/7/30

1,409,000

1,428

5.625%, 9/7/33

853,000

860

UnitedHealth

Group,

Inc.

3.050%, 5/15/41

471,000

348

4.600%, 4/15/27

2,096,000

2,079

4.900%, 4/15/31

2,096,000

2,077

5.500%, 4/15/64

523,000

506

5.875%, 2/15/53

947,000

983

Total

111,886

Energy

(1.7%)

Aker

BP

ASA

 144A

 144A

5.600%, 6/13/28

144A

2,655,000

2,678

6.000%, 6/13/33

144A

3,318,000

3,352

BP

Capital

Markets

America,

Inc.

4.699%, 4/10/29

2,523,000

2,486

4.970%, 10/17/29

4,113,000

4,102

4.989%, 4/10/34

1,206,000

1,180

5.017%, 11/17/27

4,113,000

4,108

Diamondback

Energy,

Inc.

5.150%, 1/30/30

1,895,000

1,887

5.200%, 4/18/27

1,015,000

1,015

5.400%, 4/18/34

1,917,000

1,898

5.750%, 4/18/54

1,018,000

987

5.900%, 4/18/64

510,000

492

Enbridge,

Inc.

5.625%, 4/5/34

1,518,000

1,516

5.950%, 4/5/54

506,000

502

6.000%, 11/15/28

1,504,000

1,549

6.200%, 11/15/30

1,504,000

1,579

Energy

Transfer

LP

5.250%, 7/1/29

2,560,000

2,544

5.300%, 4/15/47

1,024,000

905

5.600%, 9/1/34

2,559,000

2,542

5.950%, 5/15/54

2,541,000

2,474

6.050%, 9/1/54

1,535,000

1,514

Galaxy

Pipeline

Assets

Bidco

,

Ltd.

 144A

 144A

2.160%, 3/31/34

144A

1,785,311

1,531

2.625%, 3/31/36

144A

1,280,000

1,040

ONEOK,

Inc.

6.625%, 9/1/53

2,592,000

2,766

Petroleos

Mexicanos

2.460%, 12/15/25

962,850

913

TotalEnergies

Capital

SA

5.150%, 4/5/34

1,012,000

1,012

5.488%, 4/5/54

1,014,000

1,000

5.638%, 4/5/64

506,000

501

Total

48,073

Financial

(9.7%)

Agree

LP

2.000%, 6/15/28

1,877,000

1,658

2.600%, 6/15/33

427,000

336

4.800%, 10/1/32

941,000

882

American

Homes

4

Rent

LP

3.625%, 4/15/32

1,727,000

1,510

4.300%, 4/15/52

774,000

600

5.500%, 7/15/34

2,048,000

2,012

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

78

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

American

Tower

Corp.

2.950%, 1/15/51

500,000

313

3.125%, 1/15/27

847,000

803

5.500%, 3/15/28

1,999,000

2,011

5.900%, 11/15/33

1,506,000

1,542

Aon

North

America,

Inc.

5.150%, 3/1/29

4,573,000

4,560

5.450%, 3/1/34

2,536,000

2,525

5.750%, 3/1/54

1,014,000

992

Apollo

Global

Management,

Inc.

5.800%, 5/21/54

1,541,000

1,517

Banco

Bilbao

Vizcaya

Argentaria

SA

6.033%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.950%), 3/13/35

α

2,000,000

1,995

7.883%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

3.300%), 11/15/34

α

2,200,000

2,397

Banco

Santander

SA

5.538%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.450%), 3/14/30

α

3,600,000

3,573

6.527%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.650%), 11/7/27

α

1,600,000

1,637

6.607%, 11/7/28

1,600,000

1,680

6.938%, 11/7/33

4,000,000

4,369

Bank

of

America

Corp.

1.734%,

(US

SOFR

plus

0.960%), 7/22/27

α

6,874,000

6,372

3.419%,

(US

SOFR

3

Month

plus

1.302%), 12/20/28

α

7,023,000

6,604

5.468%,

(US

SOFR

plus

1.650%), 1/23/35

α

3,092,000

3,089

5.819%,

(US

SOFR

plus

1.570%), 9/15/29

α

1,528,000

1,560

5.933%,

(US

SOFR

plus

1.340%), 9/15/27

α

5,478,000

5,537

Barclays

PLC

5.674%,

(US

SOFR

plus

1.490%), 3/12/28

α

3,178,000

3,183

5.690%,

(US

SOFR

plus

1.740%), 3/12/30

α

3,178,000

3,187

6.692%,

(US

SOFR

plus

2.620%), 9/13/34

α

2,393,000

2,537

BNP

Paribas

SA

 144A

 144A

5.176%,

(US

SOFR

plus

1.520%), 1/9/30

144A

α

3,179,000

3,146

5.894%,

(US

SOFR

plus

1.866%), 12/5/34

144A

α

3,192,000

3,270

BPCE

SA

 144A

 144A

5.281%, 5/30/29

144A

2,743,000

2,733

5.936%,

(US

SOFR

plus

1.850%), 5/30/35

144A

α

2,215,000

2,206

Brixmor

Operating

Partnership

LP

2.500%, 8/16/31

1,652,000

1,358

Capitol

One

Financial

Corp.

 α

7.624%,

(US

SOFR

plus

3.070%), 10/30/31 α

2,026,000

2,230

Citigroup,

Inc.

5.827%,

(US

SOFR

plus

2.056%), 2/13/35

α

1,114,000

1,102

6.174%,

(US

SOFR

plus

2.661%), 5/25/34

α

2,386,000

2,427

Citizens

Financial

Group,

Inc.

5.841%,

(US

SOFR

plus

2.010%), 1/23/30

α

2,531,000

2,523

6.645%,

(US

SOFR

plus

2.325%), 4/25/35

α

1,225,000

1,266

Crown

Castle,

Inc.

2.100%, 4/1/31

1,698,000

1,375

2.900%, 4/1/41

915,000

633

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

5.800%, 3/1/34

3,102,000

3,133

Deutsche

Bank

AG

3.742%,

(US

SOFR

plus

2.257%), 1/7/33

α

3,030,000

2,492

5.414%, 5/10/29

3,597,000

3,592

7.079%,

(US

SOFR

plus

3.650%), 2/10/34

α

1,169,000

1,190

Essex

Portfolio

LP

2.550%, 6/15/31

891,000

742

Goldman

Sachs

Bank

USA

5.283%,

(US

SOFR

plus

0.777%), 3/18/27

α

5,582,000

5,564

5.414%,

(US

SOFR

plus

0.750%), 5/21/27

α

5,141,000

5,132

HSBC

Holdings

PLC

5.597%,

(US

SOFR

plus

1.060%), 5/17/28

α

5,149,000

5,169

5.733%,

(US

SOFR

plus

1.520%), 5/17/32

α

4,096,000

4,106

HSBC

USA,

Inc.

5.294%, 3/4/27

5,372,000

5,386

Invitation

Homes

Operating

Partnership

LP

2.000%, 8/15/31

298,000

237

4.150%, 4/15/32

1,720,000

1,569

JPMorgan

Chase

&

Co.

5.571%,

(US

SOFR

plus

0.930%), 4/22/28

α

7,641,000

7,703

5.581%,

(US

SOFR

plus

1.160%), 4/22/30

α

6,316,000

6,416

5.766%,

(US

SOFR

plus

1.490%), 4/22/35

α

4,560,000

4,679

Lloyds

Banking

Group

PLC

5.462%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.375%), 1/5/28

α

6,170,000

6,157

5.679%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.750%), 1/5/35

α

1,589,000

1,583

M&T

Bank

Corp.

 α

6.082%,

(US

SOFR

plus

2.260%), 3/13/32

α

1,522,000

1,517

Mid-America

Apartments

LP

5.300%, 2/15/32

1,539,000

1,532

Morgan

Stanley

5.164%,

(US

SOFR

plus

1.590%), 4/20/29

α

2,704,000

2,695

5.449%,

(US

SOFR

plus

1.630%), 7/20/29

α

1,986,000

1,998

5.466%,

(US

SOFR

plus

1.730%), 1/18/35

α

1,819,000

1,814

5.656%,

(US

SOFR

plus

1.260%), 4/18/30

α

6,883,000

7,000

5.831%,

(US

SOFR

plus

1.580%), 4/19/35

α

7,162,000

7,342

6.342%,

(US

SOFR

plus

2.560%), 10/18/33 α

3,421,000

3,631

Morgan

Stanley

Bank

NA

4.952%,

(US

SOFR

plus

1.080%), 1/14/28

α

5,388,000

5,347

5.504%,

(US

SOFR

plus

0.865%), 5/26/28

α

4,282,000

4,311

Realty

Income

Corp.

2.100%, 3/15/28

969,000

868

2.200%, 6/15/28

926,000

829

2.850%, 12/15/32

1,251,000

1,031

3.400%, 1/15/30

1,035,000

943

4.900%, 7/15/33

1,488,000

1,422

5.125%, 2/15/34

2,166,000

2,102

5.625%, 10/13/32

758,000

768

Regency

Centers

LP

2.950%, 9/15/29

2,366,000

2,124

5.250%, 1/15/34

2,028,000

1,975

Santander

Holdings

USA,

Inc.

 α

6.342%,

(US

SOFR

plus

2.138%), 5/31/35

α

3,088,000

3,079

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

79

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

Societe

Generale

SA

 144A

 144A

5.634%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.750%), 1/19/30

144A

α

2,648,000

2,612

7.132%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.950%), 1/19/55

144A

α

1,162,000

1,112

Store

Capital

LLC

2.700%, 12/1/31

601,000

481

2.750%, 11/18/30

1,528,000

1,266

4.500%, 3/15/28

993,000

945

4.625%, 3/15/29

1,102,000

1,041

Sun

Communities

Operating

LP

4.200%, 4/15/32

2,246,000

2,014

Truist

Financial

Corp.

5.435%,

(US

SOFR

plus

1.620%), 1/24/30

α

3,564,000

3,555

5.711%,

(US

SOFR

plus

1.922%), 1/24/35

α

1,521,000

1,514

7.161%,

(US

SOFR

plus

2.446%), 10/30/29 α

4,855,000

5,155

UBS

AG

5.650%, 9/11/28

2,480,000

2,526

UBS

Group

AG

 144A

 144A

3.091%,

(US

SOFR

plus

1.730%), 5/14/32

144A

α

1,650,000

1,407

4.194%,

(US

SOFR

plus

3.730%), 4/1/31

144A

α

1,682,000

1,570

4.282%, 1/9/28

144A

2,436,000

2,336

5.617%,

(US

SOFR

ICE

Swap

Rate

1

Year

plus

1.340%), 9/13/30

144A

α

4,096,000

4,113

5.699%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.770%), 2/8/35

144A

α

1,136,000

1,135

Wells

Fargo

&

Co.

4.897%,

(US

SOFR

plus

2.100%), 7/25/33

α

5,613,000

5,399

5.198%,

(US

SOFR

plus

1.500%), 1/23/30

α

10,223,000

10,180

5.574%,

(US

SOFR

plus

1.740%), 7/25/29

α

999,000

1,008

5.707%,

(US

SOFR

plus

1.070%), 4/22/28

α

6,112,000

6,165

6.303%,

(US

SOFR

plus

1.790%), 10/23/29 α

1,540,000

1,598

6.491%,

(US

SOFR

plus

2.060%), 10/23/34 

α

4,086,000

4,356

Total

271,916

Industrial

(2.4%)

The

Boeing

Co.

3.750%, 2/1/50

637,000

417

5.805%, 5/1/50

2,648,000

2,386

6.259%, 5/1/27

144A

1,058,000

1,065

6.298%, 5/1/29

144A

1,589,000

1,611

6.388%, 5/1/31

144A

1,058,000

1,077

6.528%, 5/1/34

144A

1,589,000

1,627

6.858%, 5/1/54

144A

1,590,000

1,632

7.008%, 5/1/64

144A

1,060,000

1,085

Burlington

Northern

Santa

Fe

LLC

4.450%, 1/15/53

401,000

341

5.200%, 4/15/54

1,064,000

1,019

Caterpillar

Financial

Services

Corp.

4.500%, 1/8/27

2,510,000

2,485

4.850%, 2/27/29

3,046,000

3,047

5.000%, 5/14/27

3,053,000

3,055

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Industrial

continued

Crowley

Conro

LLC

4.181%, 8/15/43

1,190,015

1,069

Honeywell

International,

Inc.

5.250%, 3/1/54

1,047,000

1,016

5.350%, 3/1/64

1,047,000

1,016

John

Deere

Capital

Corp.

4.150%, 9/15/27

2,001,000

1,957

4.500%, 1/8/27

3,512,000

3,477

4.500%, 1/16/29

3,512,000

3,452

4.850%, 6/11/29

3,583,000

3,571

4.900%, 6/11/27

3,071,000

3,064

4.950%, 7/14/28

796,000

797

5.050%, 6/12/34

3,216,000

3,193

5.100%, 4/11/34

2,537,000

2,530

5.150%, 9/8/26

3,481,000

3,486

Lockheed

Martin

Corp.

4.800%, 8/15/34

2,092,000

2,043

5.200%, 2/15/64

1,462,000

1,382

Owens

Corning

5.700%, 6/15/34

1,544,000

1,558

5.950%, 6/15/54

927,000

934

Republic

Services,

Inc.

5.000%, 11/15/29

2,048,000

2,040

5.200%, 11/15/34

2,551,000

2,532

RTX

Corp.

6.100%, 3/15/34

2,052,000

2,160

6.400%, 3/15/54

2,068,000

2,255

Union

Pacific

Corp.

2.375%, 5/20/31

954,000

810

2.800%, 2/14/32

1,294,000

1,117

Total

66,306

Technology

(2.0%)

Adobe,

Inc.

4.800%, 4/4/29

2,545,000

2,548

4.950%, 4/4/34

3,037,000

3,023

Analog

Devices,

Inc.

5.050%, 4/1/34

2,036,000

2,028

5.300%, 4/1/54

1,833,000

1,789

Apple,

Inc.

2.375%, 2/8/41

730,000

504

2.650%, 5/11/50

795,000

507

2.650%, 2/8/51

614,000

388

3.950%, 8/8/52

1,920,000

1,560

Applied

Materials,

Inc.

4.800%, 6/15/29

1,023,000

1,022

Broadcom,

Inc.

 144A

 144A

2.450%, 2/15/31

144A

1,569,000

1,321

3.150%, 11/15/25

1,176,000

1,140

4.926%, 5/15/37

144A

1,434,000

1,349

Intel

Corp.

2.800%, 8/12/41

862,000

596

5.000%, 2/21/31

1,525,000

1,516

5.600%, 2/21/54

1,522,000

1,475

5.625%, 2/10/43

575,000

570

5.700%, 2/10/53

2,000,000

1,966

5.900%, 2/10/63

1,398,000

1,395

Intuit,

Inc.

5.125%, 9/15/28

1,988,000

2,006

5.200%, 9/15/33

1,987,000

1,995

5.250%, 9/15/26

2,488,000

2,498

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

80

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Technology

continued

5.500%, 9/15/53

1,992,000

2,001

KLA

Corp.

3.300%, 3/1/50

822,000

579

4.700%, 2/1/34

2,026,000

1,969

Marvell

Technology,

Inc.

5.750%, 2/15/29

1,493,000

1,524

5.950%, 9/15/33

1,493,000

1,542

Micron

Technology,

Inc.

5.375%, 4/15/28

5,023,000

5,044

5.875%, 2/9/33

590,000

603

Oracle

Corp.

4.000%, 7/15/46

1,741,000

1,328

QUALCOMM,

Inc.

6.000%, 5/20/53

2,260,000

2,438

Texas

Instruments,

Inc.

5.000%, 3/14/53

2,207,000

2,070

5.150%, 2/8/54

1,012,000

969

VMware

LLC

1.000%, 8/15/24

3,118,000

3,099

1.400%, 8/15/26

1,404,000

1,293

Total

55,655

Utilities

(2.2%)

American

Transmission

Systems,

Inc.

 144A

 144A

2.650%, 1/15/32

144A

624,000

519

Baltimore

Gas

&

Electric

Co.

2.250%, 6/15/31

1,338,000

1,115

CenterPoint

Energy

Houston

Electric

LLC

3.600%, 3/1/52

989,000

716

5.150%, 3/1/34

1,217,000

1,207

5.200%, 10/1/28

1,496,000

1,508

Consolidated

Edison

Co.

of

New

York,

Inc.

3.200%, 12/1/51

300,000

198

5.375%, 5/15/34

1,541,000

1,549

5.500%, 3/15/34

2,556,000

2,596

5.700%, 5/15/54

1,025,000

1,023

5.900%, 11/15/53

1,002,000

1,025

DTE

Electric

Co.

2.950%, 3/1/50

1,563,000

1,007

3.650%, 3/1/52

716,000

527

DTE

Energy

Co.

5.850%, 6/1/34

1,437,000

1,458

Duke

Energy

Carolinas

LLC

2.550%, 4/15/31

611,000

520

2.850%, 3/15/32

1,662,000

1,424

3.550%, 3/15/52

1,211,000

855

4.950%, 1/15/33

1,020,000

1,002

5.350%, 1/15/53

2,007,000

1,906

5.400%, 1/15/54

1,003,000

962

Duke

Energy

Corp.

3.500%, 6/15/51

829,000

560

Duke

Energy

Florida

LLC

2.400%, 12/15/31

1,334,000

1,108

Duke

Energy

Progress

LLC

2.500%, 8/15/50

1,350,000

777

Entergy

Arkansas

LLC

2.650%, 6/15/51

1,205,000

701

5.150%, 1/15/33

2,008,000

1,986

Eversource

Energy

5.850%, 4/15/31

2,037,000

2,062

5.950%, 7/15/34

1,223,000

1,234

Corporate

Bonds

(25.8%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

FirstEnergy

Pennsylvania

Electric

Co.

 144A

 144A

3.250%, 3/15/28

144A

1,304,000

1,220

4.300%, 1/15/29

144A

1,573,000

1,514

5.150%, 3/30/26

144A

1,004,000

997

5.200%, 4/1/28

144A

1,030,000

1,029

Florida

Power

&

Light

Co.

5.600%, 6/15/54

1,338,000

1,352

Israel

Electric

Corp.,

Ltd.

 144A

 144A

3.750%, 2/22/32

144A

§

960,000

789

Jersey

Central

Power

&

Light

Co.

 144A

 144A

2.750%, 3/1/32

144A

1,471,000

1,216

MidAmerican

Energy

Co.

2.700%, 8/1/52

1,160,000

696

Mississippi

Power

Co.

3.100%, 7/30/51

1,605,000

1,016

4.250%, 3/15/42

681,000

560

Northern

States

Power

Co.

5.400%, 3/15/54

810,000

780

NSTAR

Electric

Co.

5.400%, 6/1/34

1,545,000

1,546

Oncor

Electric

Delivery

Co.

LLC

 144A

 144A

5.550%, 6/15/54

144A

1,735,000

1,701

Pacific

Gas

&

Electric

Co.

3.500%, 8/1/50

508,000

331

3.950%, 12/1/47

3,030,000

2,170

4.200%, 6/1/41

777,000

609

4.750%, 2/15/44

450,000

368

4.950%, 7/1/50

4,278,000

3,535

5.800%, 5/15/34

1,421,000

1,412

PECO

Energy

Co.

2.850%, 9/15/51

1,615,000

998

Public

Service

Company

of

Oklahoma

3.150%, 8/15/51

905,000

582

Public

Service

Electric

&

Gas

Co.

1.900%, 8/15/31

2,300,000

1,861

2.050%, 8/1/50

371,000

201

2.700%, 5/1/50

626,000

393

Public

Service

Enterprise

Group,

Inc.

5.200%, 4/1/29

1,527,000

1,523

5.450%, 4/1/34

1,723,000

1,708

5.875%, 10/15/28

2,052,000

2,099

Southern

California

Edison

Co.

4.125%, 3/1/48

1,008,000

783

Virginia

Electric

&

Power

Co.

2.950%, 11/15/51

1,338,000

836

Total

63,370

Total

Corporate

Bonds

(Cost: $740,304)

725,314

Governments

(

23.3%

)

Governments

(23.3%)

Bermuda

Government

International

Bond

144A

144A

5.000%, 7/15/32

144A

1,186,000

1,143

Export

Finance

&

Insurance

Corp.

144A

144A

4.625%, 10/26/27

144A

3,490,000

3,482

Federal

Home

Loan

Bank

1.250%, 9/30/31

5,185,000

4,392

Federal

Home

Loan

Mortgage

Corp.

0.000%, 12/14/29

PO 

4,007,000

3,140

Federal

National

Mortgage

Association

0.000%, 11/15/30

PO 

11,778,000

8,793

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

81

Governments

(23.3%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

Panama

Government

International

Bond

4.500%, 4/16/50

590,000

396

Republic

of

Paraguay

144A

144A

5.400%, 3/30/50

144A

1,658,000

1,446

State

of

Israel

3.875%, 7/3/50

775,000

542

4.500%, 1/17/33

2,417,000

2,174

5.500%, 3/12/34

3,056,000

2,900

United

Mexican

States

2.659%, 5/24/31

2,843,000

2,333

3.250%, 4/16/30

1,976,000

1,738

3.500%, 2/12/34

6,020,000

4,891

4.600%, 1/23/46

1,998,000

1,539

4.600%, 2/10/48

1,459,000

1,111

4.750%, 4/27/32

1,152,000

1,063

US

Treasury

0.375%, 1/31/26

2,372,000

2,211

0.375%, 7/31/27

18,330,000

16,168

0.500%, 8/31/27

25,074,000

22,139

0.625%, 7/31/26

2,074,000

1,908

0.625%, 11/30/27

6,657,000

5,852

0.750%, 3/31/26

5,817,000

5,425

1.000%, 7/31/28

8,153,000

7,121

1.125%, 5/15/40

3,189,000

1,962

1.125%, 10/31/26

5,122,000

4,727

1.125%, 8/31/28

7,698,000

6,745

1.250%, 4/30/28

51,451,000

45,715

1.250%, 6/30/28

6,641,000

5,875

1.250%, 9/30/28

5,072,000

4,457

1.375%, 11/15/40

21,404,000

13,505

1.375%, 10/31/28

12,805,000

11,291

1.500%, 8/15/26

9,178,000

8,589

1.750%, 8/15/41

86,050,000

56,860

1.875%, 2/15/41

40,633,000

27,803

1.875%, 2/28/27

15,708,000

14,654

2.000%, 11/15/41

65,384,000

44,918

2.000%, 2/15/50

28,986,000

17,603

2.250%, 5/15/41

47,938,000

34,684

2.375%, 2/15/42

7,768,000

5,655

2.375%, 3/31/29

18,481,000

16,907

2.875%, 5/15/49

10,765,000

7,952

2.875%, 5/15/52

6,847,000

5,018

3.125%, 11/15/41

3,691,000

3,041

3.250%, 6/30/29

24,243,000

23,032

3.375%, 11/15/48

6,405,000

5,202

3.625%, 3/31/30

5,850,000

5,632

3.625%, 2/15/53

10,006,000

8,512

3.875%, 12/31/29

14,486,000

14,142

4.125%, 1/31/25

1,831,000

1,818

4.250%, 2/15/54

39,069,000

37,201

4.250%, 6/30/29

39,656,000

39,492

4.375%, 5/15/34

7,525,000

7,527

4.500%, 2/15/44

2,412,000

2,366

4.500%, 11/30/24

149,000

149

4.500%, 5/31/29

5,120,000

5,155

4.625%, 4/30/31

328,000

333

4.625%, 5/31/31

1,386,000

1,409

4.625%, 5/15/44

3,547,000

3,540

4.625%, 5/15/54

18,211,000

18,464

4.625%, 6/15/27

13,481,000

13,520

Governments

(23.3%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

4.625%, 4/30/29

13,810,000

13,969

4.875%, 5/31/26

11,942,000

11,966

Total

653,297

Total

Governments

(Cost: $671,806)

653,297

144A

144A

144A

Municipal

Bonds

(

0.3%

)

Municipal

Bonds

(0.3%)

County

of

Clark

Department

of

Aviation

6.820%, 7/1/45 RB  

1,780,000

2,003

North

Texas

Tollway

Authority,

Series

2009-B

6.718%, 1/1/49 RB  

1,950,000

2,219

The

Ohio

State

University

4.800%, 6/1/11 RB  

1,070,000

961

Port

Authority

of

New

York

&

New

Jersey

4.458%, 10/1/62 RB  

3,110,000

2,700

The

University

of

Texas

System

2.439%, 8/15/49 RB  

925,000

570

Total

Municipal

Bonds

(Cost: $10,436)

8,453

Structured

Products

(

52.4%

)

Asset

Backed

Securities

(8.2%)

Ally

Auto

Receivables

Trust,

Series

2022-3,

Class

A3

5.070%,

6/15/31 

1,172,000

1,167

American

Express

Credit

Account

Master

Trust,

Series

2024-2,

Class

A

5.240%,

4/15/31 

11,576,000

11,791

AmeriCredit

Automobile

Receivables

Trust,

Series

2022-2,

Class

A3

4.380%,

4/18/28 

2,024,180

2,010

AmeriCredit

Automobile

Receivables

Trust,

Series

2023-1,

Class

A3

5.620%,

11/18/27 

1,070,000

1,072

AmeriCredit

Automobile

Receivables

Trust,

Series

2023-2,

Class

A3

5.810%,

5/18/28 

2,140,000

2,149

BA

Credit

Card

Trust,

Series

2024-A1,

Class

A

4.930%,

5/15/29 

6,087,000

6,089

Capital

One

Prime

Auto

Receivables

Trust,

Series

2023-1,

Class

A3

4.870%,

2/15/28 

3,871,000

3,844

Chase

Auto

Owner

Trust,

Series

2022-AA,

Class

A4

144A

144A

3.990%,

3/27/28 144A 

1,504,000

1,470

College

Avenue

Student

Loans

LLC,

Series

2017-A,

Class

A1

144A

144A

7.110%,

(US

SOFR

1

Month

plus

1.765%),

11/26/46 144A 

557,453

562

College

Avenue

Student

Loans

LLC,

Series

2018-A,

Class

A2

144A

144A

4.130%,

12/26/47 144A 

517,321

494

College

Avenue

Student

Loans

LLC,

Series

2019-A,

Class

A2

144A

144A

3.280%,

12/28/48 144A 

1,031,285

961

Discover

Card

Execution

Note

Trust,

Series

2023-A1,

Class

A

4.310%,

3/15/28 

3,151,000

3,104

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

82

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Discover

Card

Execution

Note

Trust,

Series

2023-A2,

Class

A

4.930%,

6/15/28 

9,524,000

9,484

Ford

Credit

Auto

Lease

Trust,

Series

2024-A,

Class

A4

5.050%,

6/15/27 

1,103,000

1,098

Ford

Credit

Auto

Owner

Trust,

Series

2022-D,

Class

A4

5.300%,

3/15/28 

1,060,000

1,060

Ford

Credit

Auto

Owner

Trust,

Series

2023-A,

Class

A3

4.650%,

2/15/28 

4,627,000

4,584

Ford

Credit

Auto

Owner

Trust,

Series

2024-1,

Class

A

144A

144A

4.870%,

8/15/36 144A ∑

2,064,000

2,047

GM

Financial

Automobile

Leasing

Trust,

Series

2023-2,

Class

A4

5.090%,

5/20/27 

1,491,000

1,484

GM

Financial

Automobile

Leasing

Trust,

Series

2023-3,

Class

A4

5.440%,

8/20/27 

955,000

956

GM

Financial

Automobile

Leasing

Trust,

Series

2024-2,

Class

A3

5.390%,

7/20/27 

2,422,000

2,429

GM

Financial

Consumer

Automobile

Receivables

Trust,

Series

2022-4,

Class

A3

4.820%,

8/16/27 

1,841,000

1,830

GM

Financial

Consumer

Automobile

Receivables

Trust,

Series

2024-2,

Class

A3

5.100%,

3/16/29 

3,281,000

3,280

GM

Financial

Revolving

Receivables

Trust,

Series

2024-1,

Class

A

144A

144A

4.980%,

12/11/36 144A 

1,576,000

1,570

Honda

Auto

Receivables

Owner

Trust,

Series

2024-2,

Class

A3

5.270%,

11/20/28 

4,641,000

4,654

Honda

Auto

Receivables

Owner

Trust,

Series

2024-2,

Class

A4

5.210%,

7/18/30 

3,784,000

3,800

Hyundai

Auto

Lease

Securitization

Trust,

Series

2023-B,

Class

A4

144A

144A

5.170%,

4/15/27 144A 

2,377,000

2,366

Hyundai

Auto

Lease

Securitization

Trust,

Series

2023-C,

Class

A4

144A

144A

5.840%,

9/15/27 144A 

1,597,000

1,607

Hyundai

Auto

Receivables

Trust,

Series

2021-

C,

Class

A4

1.030%,

12/15/27 

1,869,000

1,784

Hyundai

Auto

Receivables

Trust,

Series

2022-

A,

Class

A3

2.220%,

10/15/26 

2,204,301

2,164

Hyundai

Auto

Receivables

Trust,

Series

2022-

A,

Class

A4

2.350%,

4/17/28 

1,194,000

1,146

Hyundai

Auto

Receivables

Trust,

Series

2023-

A,

Class

A4

4.480%,

7/17/28 

2,148,000

2,115

Hyundai

Auto

Receivables

Trust,

Series

2023-

B,

Class

A3

5.480%,

4/17/28 

1,222,000

1,225

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Mercedes-Benz

Auto

Receivables

Trust,

Series

2022-1,

Class

A4

5.250%,

2/15/29 

2,454,000

2,458

Navient

Private

Education

Loan

Trust,

Series

2014-AA,

Class

A3

144A

144A

7.043%,

(US

SOFR

1

Month

plus

1.715%),

10/15/31 144A 

531,309

533

Navient

Private

Education

Loan

Trust,

Series

2016-AA,

Class

A2B

144A

144A

7.593%,

(US

SOFR

1

Month

plus

2.265%),

12/15/45 144A 

282,919

285

Navient

Private

Education

Refi

Loan

Trust,

Series

2018-C,

Class

A2

144A

144A

3.520%,

6/16/42 144A 

11,267

11

Navient

Private

Education

Refi

Loan

Trust,

Series

2018-DA,

Class

A2A

144A

144A

4.000%,

12/15/59 144A 

1,279,713

1,245

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-A,

Class

A2A

144A

144A

3.420%,

1/15/43 144A 

921,448

898

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-C,

Class

A2

144A

144A

3.130%,

2/15/68 144A 

834,357

807

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-D,

Class

A2A

144A

144A

3.010%,

12/15/59 144A 

2,519,061

2,385

Navient

Private

Education

Refi

Loan

Trust,

Series

2019-FA,

Class

A2

144A

144A

2.600%,

8/15/68 144A 

1,462,153

1,371

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-EA,

Class

A

144A

144A

1.690%,

5/15/69 144A 

86,165

79

Navient

Private

Education

Refi

Loan

Trust,

Series

2020-GA,

Class

A

144A

144A

1.170%,

9/16/69 144A 

1,616,070

1,462

Navient

Private

Education

Refi

Loan

Trust,

Series

2021-BA,

Class

A

144A

144A

0.940%,

7/15/69 144A 

698,652

614

Navient

Private

Education

Refi

Loan

Trust,

Series

2021-CA,

Class

A

144A

144A

1.060%,

10/15/69 144A 

2,757,707

2,429

Navient

Private

Education

Refi

Loan

Trust,

Series

2021-EA,

Class

A

144A

144A

0.970%,

12/16/69 144A 

4,009,754

3,487

Navient

Private

Education

Refi

Loan

Trust,

Series

2021-FA,

Class

A

144A

144A

1.110%,

2/18/70 144A 

2,501,353

2,138

Navient

Private

Education

Refi

Loan

Trust,

Series

2021-GA,

Class

A

144A

144A

1.580%,

4/15/70 144A 

639,213

558

Navient

Private

Education

Refi

Loan

Trust,

Series

2022-A,

Class

A

144A

144A

2.230%,

7/15/70 144A 

6,209,614

5,477

Navient

Student

Loan

Trust,

Series

2021-3A,

Class

A1A

144A

144A

1.770%,

8/25/70 144A 

2,483,602

2,171

Nelnet

Student

Loan

Trust,

Series

2004-3,

Class

A5

5.789%,

(US

90

Day

Average

SOFR

plus

0.442%),

10/27/36 

230,204

229

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

83

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Nelnet

Student

Loan

Trust,

Series

2004-4,

Class

A5

5.769%,

(US

90

Day

Average

SOFR

plus

0.422%),

1/25/37 

1,386,400

1,377

Nelnet

Student

Loan

Trust,

Series

2005-1,

Class

A5

5.719%,

(US

90

Day

Average

SOFR

plus

0.372%),

10/25/33 

3,653,648

3,616

Nelnet

Student

Loan

Trust,

Series

2005-2,

Class

A5

5.715%,

(US

90

Day

Average

SOFR

plus

0.362%),

3/23/37 

3,246,451

3,212

Nelnet

Student

Loan

Trust,

Series

2005-3,

Class

A5

5.735%,

(US

90

Day

Average

SOFR

plus

0.382%),

12/24/35 

2,412,073

2,387

Nelnet

Student

Loan

Trust,

Series

2005-4,

Class

A4

5.795%,

(US

90

Day

Average

SOFR

plus

0.442%),

3/22/32 

465,187

451

Nissan

Auto

Lease

Trust,

Series

2023-B,

Class A4

5.610%,

11/15/27 

2,116,000

2,117

Nissan

Auto

Lease

Trust,

Series

2024-A,

Class A4

4.970%,

9/15/28 

1,155,000

1,149

Nissan

Auto

Receivables

Owner

Trust,

Series

2022-B,

Class

A4

4.450%,

11/15/29 

1,459,000

1,439

Nissan

Auto

Receivables

Owner

Trust,

Series

2024-A,

Class

A3

5.280%,

12/15/28 

4,972,000

4,989

Nissan

Auto

Receivables

Owner

Trust,

Series

2024-A,

Class

A4

5.180%,

4/15/31 

1,878,000

1,885

PenFed

Auto

Receivables

Owner

Trust,

Series

2022-A,

Class

A3

144A

144A

3.960%,

4/15/26 144A 

1,089,441

1,084

PenFed

Auto

Receivables

Owner

Trust,

Series

2022-A,

Class

A4

144A

144A

4.180%,

12/15/28 144A 

1,093,000

1,078

Santander

Drive

Auto

Receivables

Trust,

Series

2022-3,

Class

A3

3.400%,

12/15/26 

273,646

273

Santander

Drive

Auto

Receivables

Trust,

Series

2022-4,

Class

A3

4.140%,

2/16/27 

951,625

949

Santander

Drive

Auto

Receivables

Trust,

Series

2022-5,

Class

A3

4.110%,

8/17/26 

291,081

291

Santander

Drive

Auto

Receivables

Trust,

Series

2022-6,

Class

A3

4.490%,

11/16/26 

1,492,718

1,490

Santander

Drive

Auto

Receivables

Trust,

Series

2022-7,

Class

A3

5.750%,

4/15/27 

961,394

961

Santander

Drive

Auto

Receivables

Trust,

Series

2024-3,

Class

A3

5.630%,

1/16/29 

2,440,000

2,443

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

SBNA

Auto

Lease

Trust,

Series

2024-A,

Class A3

144A

144A

5.390%,

11/20/26 144A 

2,203,000

2,199

SBNA

Auto

Lease

Trust,

Series

2024-A,

Class A4

144A

144A

5.240%,

1/22/29 144A 

3,016,000

3,011

SBNA

Auto

Receivables

Trust,

Series

2024-A,

Class

A3

144A

144A

5.320%,

12/15/28 144A 

1,483,000

1,479

SBNA

Auto

Receivables

Trust,

Series

2024-A,

Class

A4

144A

144A

5.210%,

4/16/29 144A 

636,000

634

SFS

Auto

Receivables

Securitization

Trust,

Series

2024-1A,

Class

A3

144A

144A

4.950%,

5/21/29 144A 

3,282,000

3,262

SFS

Auto

Receivables

Securitization

Trust,

Series

2024-1A,

Class

A4

144A

144A

4.940%,

1/21/31 144A 

557,000

553

SFS

Auto

Receivables

Securitization

Trust,

Series

2024-2A,

Class

A3

144A

144A

5.330%,

11/20/29 144A 

2,099,000

2,104

SMB

Private

Education

Loan

Trust,

Series

2016-B,

Class

A2A

144A

144A

2.430%,

2/17/32 144A 

168,867

166

SMB

Private

Education

Loan

Trust,

Series

2016-C,

Class

A2B

144A

144A

6.543%,

(US

SOFR

1

Month

plus

1.215%),

9/15/34 144A 

164,112

164

SMB

Private

Education

Loan

Trust,

Series

2020-BA,

Class

A1A

144A

144A

1.290%,

7/15/53 144A 

928,266

850

SMB

Private

Education

Loan

Trust,

Series

2021-A,

Class

APT1

144A

144A

1.070%,

1/15/53 144A 

3,588,153

3,163

SMB

Private

Education

Loan

Trust,

Series

2024-D,

Class

A1A

144A

144A

5.380%,

7/5/53 144A 

1,070,000

1,066

SoFi

Professional

Loan

Program

LLC,

Series

2017-D,

Class

A2FX

144A

144A

2.650%,

9/25/40 144A 

32,030

31

SoFi

Professional

Loan

Program

LLC,

Series

2020-C,

Class

AFX

144A

144A

1.950%,

2/15/46 144A 

229,211

209

SoFi

Professional

Loan

Program

LLC,

Series

2021-B,

Class

AFX

144A

144A

1.140%,

2/15/47 144A 

1,937,750

1,650

Synchrony

Card

Funding

LLC,

Series

2023-

A1,

Class

A

5.540%,

7/15/29 

5,150,000

5,184

T-Mobile

US

Trust,

Series

2022-1A,

Class

A

144A

144A

4.910%,

5/22/28 144A 

2,281,000

2,269

T-Mobile

US

Trust,

Series

2024-1A,

Class

A

144A

144A

5.050%,

9/20/29 144A 

3,303,000

3,296

Toyota

Auto

Loan

Extended

Note

Trust,

Series

2024-1A,

Class

A

144A

144A

5.160%,

11/25/36 144A 

3,691,000

3,714

Toyota

Auto

Receivables

Owner

Trust,

Series

2022-D,

Class

A4

5.430%,

4/17/28 

1,337,000

1,344

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

84

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Toyota

Auto

Receivables

Owner

Trust,

Series

2023-B,

Class

A3

4.710%,

2/15/28 

2,775,000

2,746

Toyota

Auto

Receivables

Owner

Trust,

Series

2023-C,

Class

A3

5.160%,

4/17/28 

3,403,000

3,394

Verizon

Master

Trust,

Series

2022-4,

Class

A

3.400%,

11/20/28 

3,688,000

3,621

Verizon

Master

Trust,

Series

2022-6,

Class

A

3.670%,

1/22/29 

2,765,000

2,713

Verizon

Master

Trust,

Series

2023-1,

Class

A

4.490%,

1/22/29 

4,180,000

4,128

Verizon

Master

Trust,

Series

2023-2,

Class

A

4.890%,

4/20/28 

1,546,000

1,539

Verizon

Master

Trust,

Series

2023-4,

Class A1A

5.160%,

6/20/29 

7,176,000

7,172

Verizon

Master

Trust,

Series

2024-1,

Class A1A

5.000%,

12/20/28 

4,995,000

4,974

Verizon

Master

Trust,

Series

2024-5,

Class

A

144A

144A

5.000%,

6/21/32 144A 

5,241,000

5,230

Volkswagen

Auto

Loan

Enhanced

Trust,

Series

2023-1,

Class

A3

5.020%,

6/20/28 

3,085,000

3,073

Wells

Fargo

Card

Issuance

Trust,

Series

2024-

AI,

Class

A

4.940%,

2/15/29 

6,308,000

6,298

World

Financial

Network

Credit

Card

Master

Trust,

Series

2024-A,

Class

A

5.470%,

2/17/31 

1,314,000

1,322

World

Omni

Select

Auto

Trust,

Series

2023-A,

Class

A2A

5.920%,

3/15/27 

1,151,120

1,152

Total

228,934

Mortgage

Securities

(44.2%)

Angel

Oak

Mortgage

Trust,

Series

2020-2,

Class

A1A

144A

144A

2.531%,

(AFC),

1/26/65 144A 

734,156

674

Angel

Oak

Mortgage

Trust,

Series

2020-5,

Class

A1

144A

144A

1.373%,

(AFC),

5/25/65 144A 

201,484

187

Angel

Oak

Mortgage

Trust,

Series

2021-6,

Class

A1

144A

144A

1.458%,

(AFC),

9/25/66 144A 

1,480,584

1,189

BANK,

Series

2024-BNK47,

Class

A5

5.716%,

6/15/57 

1,974,000

2,030

BANK5

Trust,

Series

2024-5YR7,

Class

A3

5.769%,

6/15/57 

1,063,000

1,078

Barclays

Commercial

Mortgage

Securities

LLC,

Series

2018-C2,

Class

ASB

4.236%,

12/15/51 

598,372

582

BBCMS

Mortgage

Trust,

Series

2024-C26,

Class

A5

5.829%,

5/15/57 

994,000

1,035

Benchmark

Mortgage

Trust,

Series

2024-V7,

Class

A3

6.228%,

(AFC),

5/15/56 

2,982,000

3,079

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

BMO

Mortgage

Trust,

Series

2024-5C4,

Class

A3

6.526%,

5/15/57 

2,090,000

2,189

BMO

Mortgage

Trust,

Series

2024-C9,

Class

A5

5.759%,

7/15/57 

1,902,000

1,959

Bunker

Hill

Loan

Depositary

Trust,

Series

2019-2,

Class

A1

144A

144A

2.879%,

(AFC),

7/25/49 144A ∑

839,394

795

Bunker

Hill

Loan

Depositary

Trust,

Series

2019-3,

Class

A1

144A

144A

2.724%,

(AFC),

11/25/59 144A ∑

347,768

338

BX

Commercial

Mortgage

Trust,

Series

2021-

VOLT,

Class

A

144A

144A

6.143%,

(US

SOFR

1

Month

plus

0.815%),

9/15/36 144A 

6,842,000

6,757

CFCRE

Commercial

Mortgage

Trust,

Series

2017-C8,

Class

ASB

3.367%,

6/15/50 

548,048

532

Citigroup

Mortgage

Loan

Trust,

Series

2005-1,

Class

3A1

6.500%,

4/25/35 

59,169

57

COLT

Mortgage

Loan

Trust,

Series

2021-2,

Class

A1

144A

144A

0.924%,

(AFC),

8/25/66 144A 

1,977,034

1,598

COLT

Mortgage

Loan

Trust,

Series

2021-4,

Class

A1

144A

144A

1.397%,

(AFC),

10/25/66 144A 

2,088,043

1,713

COMM

Mortgage

Trust,

Series

2014-UBS4,

Class

A4

3.420%,

8/10/47 

48,602

49

COMM

Mortgage

Trust,

Series

2015-LC23,

Class

A3

3.521%,

10/10/48 

1,180,282

1,152

Federal

Home

Loan

Mortgage

Corp.

2.000%,

6/1/40 

6,165,879

5,201

2.000%,

7/1/40 

6,350,908

5,356

2.000%,

8/1/40 

6,593,926

5,560

2.000%,

11/1/40 

8,220,845

6,938

2.000%,

12/1/40 

1,901,822

1,606

2.000%,

1/1/41 

1,424,659

1,197

2.000%,

2/1/41 

1,545,988

1,305

2.000%,

4/1/41 

2,691,228

2,275

2.000%,

7/1/41 

2,546,476

2,137

2.000%,

11/1/41 

2,916,747

2,439

2.000%,

1/1/42 

1,737,101

1,453

2.000%,

2/1/47 

1,084,119

866

2.000%,

12/1/51 

832,385

665

2.500%,

4/1/42 

935,468

800

2.500%,

5/1/42 

3,731,905

3,215

2.500%,

6/1/42 

1,299,217

1,119

2.500%,

8/1/43 

3,004,143

2,592

2.500%,

6/1/46 

3,481,626

3,004

2.500%,

9/1/51 

6,241,459

5,202

2.500%,

2/1/52 

639,683

530

2.500%,

3/1/52 

2,140,601

1,768

3.000%,

9/1/33 

1,021,198

955

3.000%,

4/1/40 

1,679,261

1,507

3.000%,

4/1/43 

4,638,787

4,091

3.000%,

5/1/43 

4,178,844

3,693

3.000%,

8/1/43 

3,022,996

2,666

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

85

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

3.000%,

2/1/45 

4,082,204

3,605

3.000%,

4/1/45 

4,443,617

3,919

3.000%,

5/1/45 

2,293,681

2,013

3.000%,

1/1/46 

2,092,782

1,846

3.000%,

9/1/46 

3,082,256

2,696

3.000%,

1/1/47 

2,335,259

2,040

3.000%,

2/1/47 

2,915,820

2,557

3.000%,

4/1/47 

13,892,982

12,134

3.000%,

8/1/48 

5,330,381

4,646

3.144%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.640%),

11/1/48 

1,393,751

1,383

3.800%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.633%),

2/1/50 

1,836,677

1,829

3.966%,

(US

30

Day

Average

SOFR

plus

2.140%),

8/1/52 

1,769,031

1,668

4.000%,

3/1/50 

6,106,628

5,768

4.209%,

(US

30

Day

Average

SOFR

plus

2.305%),

5/1/53 

5,052,730

4,897

4.500%,

6/1/39 

80,244

78

4.500%,

7/1/39 

93,531

91

6.170%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.638%),

3/1/49 

951,699

970

6.652%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.637%),

4/1/48 

2,382,215

2,424

Federal

Home

Loan

Mortgage

Corp.,

Series

1582,

Class

M

2.500%,

5/25/49 

1,542,508

1,340

Federal

Home

Loan

Mortgage

Corp.,

Series

2002-2439,

Class

LH

6.000%,

4/15/32 

116,338

119

Federal

Home

Loan

Mortgage

Corp.,

Series

2012-264,

Class

30

3.000%,

7/15/42 

2,435,628

2,187

Federal

Home

Loan

Mortgage

Corp.,

Series

2012-271,

Class

F5

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

8/15/42 

942,494

927

Federal

Home

Loan

Mortgage

Corp.,

Series

2012-272,

Class

F1

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

8/15/42 

1,509,308

1,484

Federal

Home

Loan

Mortgage

Corp.,

Series

2012-280,

Class

F1

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

9/15/42 

1,528,150

1,503

Federal

Home

Loan

Mortgage

Corp.,

Series

3693,

Class

FC

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

7/15/40 

785,299

783

Federal

Home

Loan

Mortgage

Corp.,

Series

3919,

Class

FA

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

9/15/41 

739,613

737

Federal

Home

Loan

Mortgage

Corp.,

Series

3951,

Class

FN

5.898%,

(US

30

Day

Average

SOFR

plus

0.565%),

11/15/41 

576,483

573

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

Home

Loan

Mortgage

Corp.,

Series

3958,

Class

AF

5.898%,

(US

30

Day

Average

SOFR

plus

0.565%),

11/15/41 

705,997

702

Federal

Home

Loan

Mortgage

Corp.,

Series

3975,

Class

CF

5.938%,

(US

30

Day

Average

SOFR

plus

0.605%),

12/15/41 

564,498

562

Federal

Home

Loan

Mortgage

Corp.,

Series

3975,

Class

FA

5.938%,

(US

30

Day

Average

SOFR

plus

0.605%),

12/15/41 

681,319

678

Federal

Home

Loan

Mortgage

Corp.,

Series

3990,

Class

FG

5.898%,

(US

30

Day

Average

SOFR

plus

0.565%),

1/15/42 

832,769

828

Federal

Home

Loan

Mortgage

Corp.,

Series

4047,

Class

CX

3.500%,

5/15/42 

2,934,000

2,622

Federal

Home

Loan

Mortgage

Corp.,

Series

4059,

Class

FP

5.898%,

(US

30

Day

Average

SOFR

plus

0.565%),

6/15/42 

931,930

926

Federal

Home

Loan

Mortgage

Corp.,

Series

4091,

Class

BX

3.250%,

10/15/41 

1,514,102

1,376

Federal

Home

Loan

Mortgage

Corp.,

Series

4091,

Class

EX

3.375%,

7/15/42 

950,221

865

Federal

Home

Loan

Mortgage

Corp.,

Series

4091,

Class

FN

5.848%,

(US

30

Day

Average

SOFR

plus

0.515%),

8/15/42 

913,473

905

Federal

Home

Loan

Mortgage

Corp.,

Series

4091,

Class

MX

3.250%,

2/15/42 

1,210,292

1,094

Federal

Home

Loan

Mortgage

Corp.,

Series

4122,

Class

FP

5.848%,

(US

30

Day

Average

SOFR

plus

0.515%),

10/15/42 

709,528

696

Federal

Home

Loan

Mortgage

Corp.,

Series

4177,

Class

HB

2.500%,

10/15/42 

1,010,000

858

Federal

Home

Loan

Mortgage

Corp.,

Series

4205,

Class

PA

1.750%,

5/15/43 

837,184

697

Federal

Home

Loan

Mortgage

Corp.,

Series

4240,

Class

FA

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

8/15/43 

2,753,453

2,704

Federal

Home

Loan

Mortgage

Corp.,

Series

4286,

Class

VF

5.898%,

(US

30

Day

Average

SOFR

plus

0.565%),

12/15/43 

2,044,141

2,007

Federal

Home

Loan

Mortgage

Corp.,

Series

4446,

Class

CP

2.250%,

3/15/45 

1,276,229

1,095

Federal

Home

Loan

Mortgage

Corp.,

Series

4544,

Class

P

2.500%,

1/15/46 

6,091,963

5,177

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

86

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

Home

Loan

Mortgage

Corp.,

Series

4582,

Class

HA

3.000%,

9/15/45 

4,777,278

4,396

Federal

Home

Loan

Mortgage

Corp.,

Series

4587,

Class

AF

5.798%,

(US

30

Day

Average

SOFR

plus

0.465%),

6/15/46 

1,509,873

1,502

Federal

Home

Loan

Mortgage

Corp.,

Series

4604,

Class

FB

5.848%,

(US

30

Day

Average

SOFR

plus

0.515%),

8/15/46 

2,617,413

2,583

Federal

Home

Loan

Mortgage

Corp.,

Series

4611,

Class

BF

5.848%,

(US

30

Day

Average

SOFR

plus

0.515%),

6/15/41 

9,847,385

9,723

Federal

Home

Loan

Mortgage

Corp.,

Series

4620,

Class

LF

5.848%,

(US

30

Day

Average

SOFR

plus

0.515%),

10/15/46 

1,445,114

1,427

Federal

Home

Loan

Mortgage

Corp.,

Series

4628,

Class

KF

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

1/15/55 

1,403,287

1,372

Federal

Home

Loan

Mortgage

Corp.,

Series

4709,

Class

FA

5.748%,

(US

30

Day

Average

SOFR

plus

0.415%),

8/15/47 

1,044,550

1,028

Federal

Home

Loan

Mortgage

Corp.,

Series

4719,

Class

LA

3.500%,

9/15/47 

1,370,549

1,231

Federal

Home

Loan

Mortgage

Corp.,

Series

4719,

Class

LM

3.000%,

9/15/47 

1,062,803

926

Federal

Home

Loan

Mortgage

Corp.,

Series

4742,

Class

PA

3.000%,

10/15/47 

1,844,064

1,637

Federal

Home

Loan

Mortgage

Corp.,

Series

4753,

Class

BD

3.000%,

1/15/48 

1,081,000

932

Federal

Home

Loan

Mortgage

Corp.,

Series

4826,

Class

KF

5.748%,

(US

30

Day

Average

SOFR

plus

0.415%),

9/15/48 

881,242

858

Federal

Home

Loan

Mortgage

Corp.,

Series

4854,

Class

FB

5.748%,

(US

30

Day

Average

SOFR

plus

0.415%),

1/15/49 

2,767,956

2,726

Federal

Home

Loan

Mortgage

Corp.,

Series

4857,

Class

JA

3.350%,

1/15/49 

4,214,595

3,925

Federal

Home

Loan

Mortgage

Corp.,

Series

4880,

Class

DA

3.000%,

5/15/50 

1,721,692

1,536

Federal

Home

Loan

Mortgage

Corp.,

Series

4903,

Class

NF

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

8/25/49 

843,318

826

Federal

Home

Loan

Mortgage

Corp.,

Series

4927,

Class

BG

3.000%,

11/25/49 

1,858,063

1,665

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

Home

Loan

Mortgage

Corp.,

Series

4937,

Class

MD

2.500%,

10/25/49 

1,858,745

1,592

Federal

Home

Loan

Mortgage

Corp.,

Series

4940,

Class

AG

3.000%,

5/15/40 

1,221,938

1,125

Federal

Home

Loan

Mortgage

Corp.,

Series

4941,

Class

GA

2.000%,

12/15/47 

1,066,768

873

Federal

Home

Loan

Mortgage

Corp.,

Series

4954,

Class

LB

2.500%,

2/25/50 

882,919

755

Federal

Home

Loan

Mortgage

Corp.,

Series

4957,

Class

MY

3.000%,

2/25/50 

1,143,000

924

Federal

Home

Loan

Mortgage

Corp.,

Series

4979,

Class

UC

1.500%,

6/25/50 

3,462,452

2,692

Federal

Home

Loan

Mortgage

Corp.,

Series

4988,

Class

KF

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

7/25/50 

1,534,845

1,508

Federal

Home

Loan

Mortgage

Corp.,

Series

4993,

Class

KF

5.900%,

(US

30

Day

Average

SOFR

plus

0.565%),

7/25/50 

8,005,578

7,801

Federal

Home

Loan

Mortgage

Corp.,

Series

5004,

Class

FM

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

8/25/50 

1,663,147

1,608

Federal

Home

Loan

Mortgage

Corp.,

Series

5020,

Class

ET

3.500%,

10/25/50 

1,575,326

1,403

Federal

Home

Loan

Mortgage

Corp.,

Series

5058,

Class

BC

5.000%,

11/25/50 

1,153,558

1,119

Federal

Home

Loan

Mortgage

Corp.,

Series

5091,

Class

AB

1.500%,

3/25/51 

2,955,863

2,334

Federal

Home

Loan

Mortgage

Corp.,

Series

5092,

Class

HE

2.000%,

2/25/51 

1,882,017

1,553

Federal

Home

Loan

Mortgage

Corp.,

Series

5116,

Class

PB

2.250%,

2/25/51 

1,944,859

1,661

Federal

Home

Loan

Mortgage

Corp.,

Series

5118,

Class

CA

1.500%,

10/15/33 

1,715,000

1,508

Federal

Home

Loan

Mortgage

Corp.,

Series

5119,

Class

AB

1.500%,

8/25/49 

1,614,729

1,255

Federal

Home

Loan

Mortgage

Corp.,

Series

5119,

Class

QF

5.535%,

(US

30

Day

Average

SOFR

plus

0.200%),

6/25/51 

2,375,875

2,240

Federal

Home

Loan

Mortgage

Corp.,

Series

5143,

Class

GA

2.000%,

6/25/49 

1,195,330

961

Federal

Home

Loan

Mortgage

Corp.,

Series

5178,

Class

TP

2.500%,

4/25/49 

2,592,785

2,211

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

87

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

Home

Loan

Mortgage

Corp.,

Series

5184,

Class

AB

2.500%,

5/25/48 

1,149,593

1,011

Federal

Home

Loan

Mortgage

Corp.,

Series

5201,

Class

CA

2.500%,

7/25/48 

2,236,405

1,978

Federal

Home

Loan

Mortgage

Corp.,

Series

5202,

Class

BH

2.000%,

12/25/47 

1,232,927

1,089

Federal

Home

Loan

Mortgage

Corp.,

Series

5202,

Class

LA

2.500%,

5/25/49 

2,372,307

2,033

Federal

Home

Loan

Mortgage

Corp.,

Series

5202,

Class

MB

3.000%,

11/25/48 

3,045,206

2,709

Federal

Home

Loan

Mortgage

Corp.,

Series

5202,

Class

TA

2.500%,

12/25/48 

3,578,398

3,202

Federal

Home

Loan

Mortgage

Corp.,

Series

5206,

Class

CA

3.000%,

2/25/47 

1,312,922

1,169

Federal

Home

Loan

Mortgage

Corp.,

Series

5206,

Class

CD

3.500%,

5/25/49 

2,334,512

2,117

Federal

Home

Loan

Mortgage

Corp.,

Series

5207,

Class

PA

3.000%,

6/25/51 

2,508,616

2,183

Federal

Home

Loan

Mortgage

Corp.,

Series

5209,

Class

EA

3.000%,

8/25/50 

1,915,234

1,711

Federal

Home

Loan

Mortgage

Corp.,

Series

5209,

Class

EJ

3.000%,

8/25/50 

1,915,234

1,711

Federal

Home

Loan

Mortgage

Corp.,

Series

5210,

Class

DC

3.000%,

9/25/51 

1,794,091

1,629

Federal

Home

Loan

Mortgage

Corp.,

Series

5214,

Class

BY

3.000%,

4/25/52 

1,804,000

1,441

Federal

Home

Loan

Mortgage

Corp.,

Series

5217,

Class

CD

2.500%,

7/25/49 

1,855,758

1,682

Federal

Home

Loan

Mortgage

Corp.,

Series

5220,

Class

QK

3.500%,

9/25/50 

3,675,095

3,413

Federal

Home

Loan

Mortgage

Corp.,

Series

5228,

Class

TN

3.500%,

7/25/39 

1,489,425

1,392

Federal

Home

Loan

Mortgage

Corp.,

Series

5335,

Class

FB

6.148%,

(US

30

Day

Average

SOFR

plus

0.815%),

10/15/39 

3,115,563

3,125

Federal

Home

Loan

Mortgage

Corp.,

Series

5338,

Class

FH

5.748%,

(US

30

Day

Average

SOFR

plus

0.415%),

4/15/45 

3,061,511

2,984

Federal

Home

Loan

Mortgage

Corp.,

Series

5386,

Class

DM

2.000%,

3/25/44 

1,988,000

1,383

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

Home

Loan

Mortgage

Corp.,

Series

5396,

Class

HF

6.285%,

(US

30

Day

Average

SOFR

plus

0.950%),

4/25/54 

4,372,713

4,400

Federal

Home

Loan

Mortgage

Corp.,

Series

5399,

Class

FB

6.235%,

(US

30

Day

Average

SOFR

plus

0.900%),

4/25/54 

2,481,644

2,482

Federal

Home

Loan

Mortgage

Corp.,

Series

5410,

Class

JY

3.000%,

3/15/44 

1,782,000

1,486

Federal

National

Mortgage

Association

1.500%,

7/1/51 

9,334,651

6,973

2.000%,

6/1/40 

1,887,771

1,593

2.000%,

7/1/40 

6,249,731

5,271

2.000%,

9/1/40 

7,042,590

5,928

2.000%,

10/1/40 

9,991,364

8,415

2.000%,

11/1/40 

6,337,530

5,345

2.000%,

12/1/40 

32,997,118

27,833

2.000%,

1/1/41 

11,449,686

9,619

2.000%,

4/1/41 

1,282,298

1,083

2.000%,

5/1/41 

12,496,061

10,522

2.000%,

6/1/41 

999,029

844

2.000%,

10/1/41 

4,160,586

3,524

2.000%,

11/1/41 

1,343,427

1,137

2.000%,

1/1/42 

2,710,251

2,267

2.000%,

2/1/42 

24,537,595

20,555

2.000%,

4/1/42 

2,168,007

1,826

2.000%,

11/1/42 

1,087,507

918

2.000%,

4/1/46 

6,612,926

5,313

2.000%,

1/1/47 

1,239,991

993

2.000%,

3/1/47 

8,852,131

7,081

2.500%,

12/1/40 

3,876,415

3,384

2.500%,

5/1/41 

4,028,000

3,466

2.500%,

8/1/41 

1,998,476

1,737

2.500%,

2/1/42 

2,280,827

1,989

2.500%,

4/1/42 

4,952,470

4,272

2.500%,

5/1/42 

3,040,597

2,605

2.500%,

6/1/42 

2,681,864

2,311

2.500%,

5/1/46 

968,617

810

2.500%,

12/1/47 

5,478,603

4,761

2.500%,

10/1/50 

3,584,455

2,992

2.500%,

3/1/52 

2,542,705

2,105

2.776%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.606%),

6/1/50 

1,324,192

1,223

3.000%,

11/1/39 

1,292,462

1,199

3.000%,

5/1/40 

3,911,871

3,495

3.000%,

8/1/42 

1,280,892

1,130

3.000%,

11/1/42 

1,973,813

1,741

3.000%,

1/1/43 

1,875,112

1,698

3.000%,

2/1/43 

11,553,343

10,120

3.000%,

7/1/43 

1,597,435

1,409

3.000%,

8/1/43 

2,175,198

1,918

3.000%,

9/1/43 

1,765,386

1,557

3.000%,

12/1/43 

2,084,050

1,838

3.000%,

2/1/44 

2,068,856

1,825

3.000%,

10/1/44 

10,965,741

9,672

3.000%,

2/1/45 

3,422,801

3,019

3.000%,

10/1/46 

8,444,802

7,409

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

88

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

3.000%,

11/1/46 

5,879,695

5,126

3.000%,

12/1/46 

8,548,507

7,462

3.000%,

1/1/47 

5,993,446

5,232

3.000%,

2/1/47 

10,199,085

8,968

3.000%,

3/1/47 

1,201,671

1,041

3.000%,

9/1/47 

973,261

849

3.000%,

1/1/48 

3,030,144

2,641

3.000%,

2/1/48 

1,484,819

1,297

3.000%,

4/1/48 

8,431,154

7,437

3.000%,

8/1/48 

1,757,203

1,550

3.000%,

1/1/49 

3,731,906

3,283

3.000%,

2/1/49 

3,560,456

3,109

3.000%,

10/1/49 

25,740,977

22,705

3.000%,

2/1/50 

37,325,402

32,644

3.000%,

5/1/50 

7,796,415

6,833

3.000%,

7/1/50 

24,414,768

21,323

3.000%,

4/1/52 

7,794,721

6,732

3.000%,

7/1/52 

1,526,367

1,338

3.000%,

10/1/52 

9,812,269

8,471

3.000%,

2/1/55 

1,149,013

992

3.000%,

7/1/60 

14,169,438

11,911

3.500%,

5/1/37 

1,121,084

1,065

3.500%,

10/1/37 

1,077,392

1,018

3.500%,

6/1/41 

1,662,265

1,558

3.500%,

5/1/42 

755,083

700

3.500%,

6/1/42 

1,376,672

1,277

3.500%,

8/1/43 

9,381,154

8,631

3.500%,

1/1/44 

769,384

714

3.500%,

7/1/45 

18,671,157

16,925

3.500%,

4/1/47 

6,418,313

5,843

3.500%,

2/1/50 

1,534,764

1,392

3.500%,

4/1/50 

3,118,852

2,819

3.500%,

7/1/50 

6,629,411

6,009

3.515%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.603%),

3/1/50 

2,955,160

2,969

3.954%,

(US

30

Day

Average

SOFR

plus

2.120%),

8/1/52 

748,129

708

4.000%,

9/1/33 

607,261

588

4.000%,

3/1/35 

5,947,795

5,860

4.000%,

10/1/37 

2,795,009

2,751

4.000%,

6/1/38 

939,393

913

4.000%,

9/1/45 

413,265

391

4.000%,

1/1/46 

2,080,341

1,969

4.000%,

4/1/47 

521,831

490

4.000%,

10/1/47 

210,213

199

4.000%,

7/1/48 

6,604,495

6,176

4.000%,

12/1/48 

1,044,453

988

4.000%,

5/1/49 

139,947

129

4.103%,

(US

30

Day

Average

SOFR

plus

2.120%),

7/1/52 

2,562,063

2,436

4.113%,

(US

30

Day

Average

SOFR

plus

2.120%),

9/1/52 

2,603,562

2,527

4.137%,

(US

30

Day

Average

SOFR

plus

2.132%),

10/1/52 

6,138,676

5,960

4.215%,

(US

30

Day

Average

SOFR

plus

2.128%),

11/1/52 

2,128,540

2,069

4.359%,

(US

30

Day

Average

SOFR

plus

2.125%),

7/1/52 

3,241,620

3,151

4.500%,

6/1/41 

85,092

83

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

4.500%,

3/1/43 

1,051,782

1,022

4.500%,

10/1/45 

1,701,692

1,645

4.500%,

2/1/46 

65,310

63

4.500%,

7/1/48 

1,735,244

1,670

4.500%,

11/1/48 

767,897

745

4.609%,

(US

30

Day

Average

SOFR

plus

2.126%),

8/1/52 

3,613,267

3,536

4.628%,

(US

30

Day

Average

SOFR

plus

2.123%),

8/1/52 

2,893,015

2,805

4.648%,

(US

30

Day

Average

SOFR

plus

2.130%),

8/1/52 

2,940,841

2,881

6.000%,

6/1/54 

2,305,719

2,370

6.226%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.578%),

6/1/45 

683,545

697

6.489%,

(FTSE

USD

IBOR

Consumer

Cash

Fallbacks

Term

1

Year

plus

1.580%),

1/1/46 

1,587,748

1,618

6.500%,

6/1/54 

1,969,956

2,065

7.000%,

1/1/54 

11,371,664

11,767

7.500%,

1/1/54 

6,059,601

6,310

Federal

National

Mortgage

Association

Stripped,

Series

2012-414,

Class

A35

3.500%,

10/25/42 

2,071,956

1,910

Federal

National

Mortgage

Association,

Series

2010-107,

Class

FB

5.860%,

(US

30

Day

Average

SOFR

plus

0.525%),

9/25/40 

742,391

737

Federal

National

Mortgage

Association,

Series

2011-111,

Class

DB

4.000%,

11/25/41 

1,510,591

1,428

Federal

National

Mortgage

Association,

Series

2011-117,

Class

AF

5.900%,

(US

30

Day

Average

SOFR

plus

0.565%),

11/25/41 

655,961

652

Federal

National

Mortgage

Association,

Series

2011-117,

Class

FA

5.900%,

(US

30

Day

Average

SOFR

plus

0.565%),

11/25/41 

1,509,783

1,500

Federal

National

Mortgage

Association,

Series

2011-127,

Class

FC

5.900%,

(US

30

Day

Average

SOFR

plus

0.565%),

12/25/41 

697,954

694

Federal

National

Mortgage

Association,

Series

2011-142,

Class

EF

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

1/25/42 

793,208

790

Federal

National

Mortgage

Association,

Series

2012-106,

Class

FA

5.790%,

(US

30

Day

Average

SOFR

plus

0.455%),

10/25/42 

648,842

640

Federal

National

Mortgage

Association,

Series

2012-12,

Class

FA

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

2/25/42 

690,604

688

Federal

National

Mortgage

Association,

Series

2012-133,

Class

JF

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

12/25/42 

1,245,839

1,217

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

89

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

National

Mortgage

Association,

Series

2012-151,

Class

NX

1.500%,

1/25/43 

885,372

735

Federal

National

Mortgage

Association,

Series

2012-35,

Class

FL

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

4/25/42 

563,255

561

Federal

National

Mortgage

Association,

Series

2012-47,

Class

JF

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

5/25/42 

929,101

925

Federal

National

Mortgage

Association,

Series

2012-9,

Class

FA

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

2/25/42 

530,703

529

Federal

National

Mortgage

Association,

Series

2012-9,

Class

WF

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

2/25/42 

539,192

537

Federal

National

Mortgage

Association,

Series

2013-11,

Class

AP

1.500%,

1/25/43 

2,660,296

2,375

Federal

National

Mortgage

Association,

Series

2013-15,

Class

FA

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

3/25/43 

1,501,960

1,467

Federal

National

Mortgage

Association,

Series

2013-43,

Class

BP

1.750%,

5/25/43 

1,022,855

853

Federal

National

Mortgage

Association,

Series

2013-49,

Class

AP

1.750%,

5/25/43 

767,963

628

Federal

National

Mortgage

Association,

Series

2014-17,

Class

DY

3.500%,

4/25/44 

1,915,000

1,699

Federal

National

Mortgage

Association,

Series

2014-25,

Class

EL

3.000%,

5/25/44 

1,420,845

1,274

Federal

National

Mortgage

Association,

Series

2014-74,

Class

PC

2.500%,

6/25/44 

1,124,321

1,032

Federal

National

Mortgage

Association,

Series

2015-26,

Class

GF

5.750%,

(US

30

Day

Average

SOFR

plus

0.415%),

5/25/45 

2,186,939

2,132

Federal

National

Mortgage

Association,

Series

2015-32,

Class

FA

5.750%,

(US

30

Day

Average

SOFR

plus

0.415%),

5/25/45 

1,347,681

1,312

Federal

National

Mortgage

Association,

Series

2015-48,

Class

FB

5.750%,

(US

30

Day

Average

SOFR

plus

0.415%),

7/25/45 

1,632,398

1,590

Federal

National

Mortgage

Association,

Series

2015-8,

Class

AP

2.000%,

3/25/45 

2,572,068

2,230

Federal

National

Mortgage

Association,

Series

2015-84,

Class

PA

1.700%,

8/25/33 

3,127,357

2,832

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

National

Mortgage

Association,

Series

2016-11,

Class

CF

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

3/25/46 

731,656

722

Federal

National

Mortgage

Association,

Series

2016-11,

Class

FG

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

3/25/46 

1,009,843

994

Federal

National

Mortgage

Association,

Series

2016-19,

Class

FD

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

4/25/46 

4,604,216

4,542

Federal

National

Mortgage

Association,

Series

2016-22,

Class

FA

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

4/25/46 

1,910,509

1,883

Federal

National

Mortgage

Association,

Series

2016-22,

Class

FG

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

4/25/46 

1,608,891

1,587

Federal

National

Mortgage

Association,

Series

2016-3,

Class

PL

2.500%,

2/25/46 

9,817,059

8,188

Federal

National

Mortgage

Association,

Series

2016-45,

Class

PB

3.000%,

7/25/46 

1,060,000

791

Federal

National

Mortgage

Association,

Series

2016-48,

Class

MA

2.000%,

6/25/38 

3,224,555

2,920

Federal

National

Mortgage

Association,

Series

2016-57,

Class

PC

1.750%,

6/25/46 

6,874,524

5,685

Federal

National

Mortgage

Association,

Series

2016-69,

Class

BF

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

10/25/46 

1,526,813

1,508

Federal

National

Mortgage

Association,

Series

2016-75,

Class

FE

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

10/25/46 

1,184,415

1,168

Federal

National

Mortgage

Association,

Series

2016-78,

Class

FA

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

3/25/44 

781,377

771

Federal

National

Mortgage

Association,

Series

2016-79,

Class

FH

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

11/25/46 

1,184,813

1,169

Federal

National

Mortgage

Association,

Series

2016-82,

Class

FE

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

11/25/46 

2,710,988

2,678

Federal

National

Mortgage

Association,

Series

2016-82,

Class

FH

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

11/25/46 

2,429,067

2,396

Federal

National

Mortgage

Association,

Series

2016-84,

Class

FB

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

11/25/46 

1,158,959

1,143

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

90

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

National

Mortgage

Association,

Series

2016-86,

Class

FE

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

11/25/46 

2,956,060

2,915

Federal

National

Mortgage

Association,

Series

2016-88,

Class

CF

5.900%,

(US

30

Day

Average

SOFR

plus

0.565%),

12/25/46 

2,100,289

2,075

Federal

National

Mortgage

Association,

Series

2016-91,

Class

AF

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

12/25/46 

1,125,570

1,121

Federal

National

Mortgage

Association,

Series

2017-12,

Class

FD

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

3/25/47 

1,252,981

1,236

Federal

National

Mortgage

Association,

Series

2017-13,

Class

PA

3.000%,

8/25/46 

1,107,105

1,001

Federal

National

Mortgage

Association,

Series

2017-23,

Class

FA

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

4/25/47 

1,340,436

1,322

Federal

National

Mortgage

Association,

Series

2017-24,

Class

PG

2.625%,

4/25/47 

4,210,808

3,588

Federal

National

Mortgage

Association,

Series

2017-26,

Class

FA

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

4/25/47 

3,251,444

3,207

Federal

National

Mortgage

Association,

Series

2017-79,

Class

FB

5.700%,

(US

30

Day

Average

SOFR

plus

0.365%),

10/25/47 

2,530,239

2,510

Federal

National

Mortgage

Association,

Series

2017-9,

Class

BF

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

3/25/47 

1,429,874

1,411

Federal

National

Mortgage

Association,

Series

2017-9,

Class

DF

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

3/25/47 

1,034,992

1,021

Federal

National

Mortgage

Association,

Series

2018-14,

Class

KC

3.000%,

3/25/48 

2,042,199

1,898

Federal

National

Mortgage

Association,

Series

2018-36,

Class

FD

5.700%,

(US

30

Day

Average

SOFR

plus

0.365%),

6/25/48 

2,636,300

2,610

Federal

National

Mortgage

Association,

Series

2018-38,

Class

MA

3.300%,

6/25/48 

2,113,365

1,958

Federal

National

Mortgage

Association,

Series

2018-45,

Class

TM

3.000%,

6/25/48 

1,671,476

1,468

Federal

National

Mortgage

Association,

Series

2018-55,

Class

GA

3.375%,

8/25/48 

1,618,137

1,498

Federal

National

Mortgage

Association,

Series

2018-64,

Class

A

3.000%,

9/25/48 

1,436,567

1,232

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

National

Mortgage

Association,

Series

2018-8,

Class

KL

2.500%,

3/25/47 

1,144,280

994

Federal

National

Mortgage

Association,

Series

2018-85,

Class

EA

3.500%,

12/25/48 

1,160,872

1,098

Federal

National

Mortgage

Association,

Series

2019-13,

Class

PE

3.000%,

3/25/49 

991,950

877

Federal

National

Mortgage

Association,

Series

2019-15,

Class

FA

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

4/25/49 

837,217

822

Federal

National

Mortgage

Association,

Series

2019-25,

Class

PA

3.000%,

5/25/48 

2,213,528

2,001

Federal

National

Mortgage

Association,

Series

2019-41,

Class

FG

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

8/25/59 

2,020,251

1,980

Federal

National

Mortgage

Association,

Series

2019-43,

Class

FC

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

8/25/49 

1,621,817

1,587

Federal

National

Mortgage

Association,

Series

2019-67,

Class

FB

5.900%,

(US

30

Day

Average

SOFR

plus

0.565%),

11/25/49 

849,255

832

Federal

National

Mortgage

Association,

Series

2020-37,

Class

DA

1.500%,

6/25/50 

1,177,577

1,010

Federal

National

Mortgage

Association,

Series

2020-45,

Class

JL

3.000%,

7/25/40 

2,720,902

2,454

Federal

National

Mortgage

Association,

Series

2020-48,

Class

AB

2.000%,

7/25/50 

1,209,113

979

Federal

National

Mortgage

Association,

Series

2020-48,

Class

DA

2.000%,

7/25/50 

3,706,355

3,052

Federal

National

Mortgage

Association,

Series

2020-57,

Class

LJ

2.000%,

8/25/50 

1,863,000

1,304

Federal

National

Mortgage

Association,

Series

2020-59,

Class

NC

3.000%,

8/25/40 

1,770,956

1,590

Federal

National

Mortgage

Association,

Series

2021-22,

Class

MN

2.750%,

10/25/50 

2,003,505

1,759

Federal

National

Mortgage

Association,

Series

2021-26,

Class

BD

1.750%,

5/25/51 

1,093,474

940

Federal

National

Mortgage

Association,

Series

2021-27,

Class

EC

1.500%,

5/25/51 

5,264,307

4,174

Federal

National

Mortgage

Association,

Series

2021-33,

Class

AV

2.500%,

3/25/48 

830,307

603

Federal

National

Mortgage

Association,

Series

2021-42,

Class

AC

2.000%,

2/25/51 

1,577,042

1,327

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

91

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

National

Mortgage

Association,

Series

2021-42,

Class

DC

2.000%,

11/25/50 

3,833,792

3,198

Federal

National

Mortgage

Association,

Series

2021-73,

Class

A

2.500%,

11/25/49 

2,109,775

1,812

Federal

National

Mortgage

Association,

Series

2021-73,

Class

DJ

2.000%,

3/25/49 

2,181,448

1,811

Federal

National

Mortgage

Association,

Series

2021-76,

Class

KB

1.250%,

11/25/51 

939,459

754

Federal

National

Mortgage

Association,

Series

2021-78,

Class

ND

1.500%,

11/25/51 

2,929,910

2,330

Federal

National

Mortgage

Association,

Series

2021-86,

Class

MA

2.500%,

11/25/47 

3,375,487

2,970

Federal

National

Mortgage

Association,

Series

2021-91,

Class

AB

2.500%,

9/25/49 

1,988,044

1,716

Federal

National

Mortgage

Association,

Series

2021-96,

Class

AH

2.500%,

3/25/49 

2,193,310

1,879

Federal

National

Mortgage

Association,

Series

2022-11,

Class

D

3.000%,

1/25/50 

2,188,612

1,959

Federal

National

Mortgage

Association,

Series

2022-18,

Class

DL

3.250%,

7/25/46 

2,810,030

2,558

Federal

National

Mortgage

Association,

Series

2022-28,

Class

CA

2.000%,

1/25/48 

1,932,160

1,682

Federal

National

Mortgage

Association,

Series

2022-3,

Class

N

2.000%,

10/25/47 

5,769,907

4,906

Federal

National

Mortgage

Association,

Series

2022-4,

Class

MH

3.000%,

9/25/48 

2,266,329

2,054

Federal

National

Mortgage

Association,

Series

2022-49,

Class

NQ

3.000%,

2/25/52 

1,063,000

915

Federal

National

Mortgage

Association,

Series

2022-89,

Class

AY

3.000%,

2/25/48 

2,263,000

1,859

Federal

National

Mortgage

Association,

Series

2022-9,

Class

DJ

3.250%,

3/25/49 

1,575,690

1,430

Federal

National

Mortgage

Association,

Series

2023-14,

Class

EJ

2.750%,

4/25/49 

1,961,312

1,757

Federal

National

Mortgage

Association,

Series

2023-37,

Class

FH

5.850%,

(US

30

Day

Average

SOFR

plus

0.515%),

1/25/50 

3,369,938

3,299

Federal

National

Mortgage

Association,

Series

2023-38,

Class

FC

6.000%,

(US

30

Day

Average

SOFR

plus

0.665%),

6/25/40 

2,153,479

2,142

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

National

Mortgage

Association,

Series

2024-26,

Class

KY

3.000%,

12/25/43 

1,762,000

1,465

Government

National

Mortgage

Association

2.500%,

12/20/37 

2,336,327

2,099

2.500%,

6/20/38 

4,392,192

3,941

3.000%,

6/20/43 

2,144,754

1,880

3.000%,

8/20/43 

704,298

617

3.000%,

10/20/46 

368,912

323

3.000%,

12/20/46 

1,802,677

1,579

3.000%,

1/20/47 

608,338

532

3.000%,

3/20/47 

1,362,444

1,194

3.000%,

4/20/47 

1,857,391

1,626

3.000%,

7/20/47 

597,568

524

3.000%,

8/20/47 

878,846

770

3.000%,

9/20/47 

450,488

395

3.000%,

11/15/47 

6,222,648

5,560

3.000%,

11/20/47 

1,452,824

1,271

3.000%,

12/20/47 

108,391

94

3.000%,

1/20/48 

801,479

700

3.000%,

2/20/48 

561,391

491

3.000%,

3/20/48 

221,905

194

3.000%,

10/20/50 

5,231,862

4,571

3.500%,

1/20/48 

1,121,209

1,018

4.000%,

3/20/48 

300,732

279

4.000%,

4/20/48 

1,047,427

972

4.500%,

8/15/47 

203,139

196

4.500%,

2/20/49 

1,336,112

1,254

6.000%,

1/20/53 

8,629,109

8,754

Government

National

Mortgage

Association

TBA

6.500%,

7/15/54 

37,000,000

37,527

Government

National

Mortgage

Association,

Series

2010-163,

Class

NC

4.000%,

12/20/40 

1,675,335

1,620

Government

National

Mortgage

Association,

Series

2013-152,

Class

HA

2.500%,

6/20/43 

1,831,823

1,643

Government

National

Mortgage

Association,

Series

2014-181,

Class

L

3.000%,

12/20/44 

1,211,000

1,063

Government

National

Mortgage

Association,

Series

2015-144,

Class

CA

2.500%,

10/20/45 

1,942,379

1,668

Government

National

Mortgage

Association,

Series

2016-136,

Class

A

3.000%,

7/20/44 

1,024,333

891

Government

National

Mortgage

Association,

Series

2016-93,

Class

AB

1.750%,

7/20/44 

2,199,445

1,733

Government

National

Mortgage

Association,

Series

2016-99,

Class

TL

2.000%,

4/16/44 

2,793,547

2,220

Government

National

Mortgage

Association,

Series

2017-139,

Class

GA

3.000%,

9/20/47 

4,348,138

3,840

Government

National

Mortgage

Association,

Series

2017-167,

Class

BQ

2.500%,

8/20/44 

1,093,240

988

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

92

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Government

National

Mortgage

Association,

Series

2018-65,

Class

DC

3.500%,

5/20/48 

1,482,000

1,313

Government

National

Mortgage

Association,

Series

2020-133,

Class

GA

1.000%,

9/20/50 

2,274,873

1,892

Government

National

Mortgage

Association,

Series

2020-138,

Class

LE

1.500%,

9/20/50 

5,173,964

4,069

Government

National

Mortgage

Association,

Series

2021-215,

Class

GA

2.000%,

12/20/51 

1,186,702

1,000

Government

National

Mortgage

Association,

Series

2021-227,

Class

E

2.500%,

7/20/50 

8,333,533

7,090

Government

National

Mortgage

Association,

Series

2021-27,

Class

BD

5.000%,

2/20/51 

1,483,139

1,437

Government

National

Mortgage

Association,

Series

2021-27,

Class

CW

5.001%,

2/20/51 

2,156,337

2,061

Government

National

Mortgage

Association,

Series

2021-27,

Class

NT

5.000%,

2/20/51 

1,676,259

1,575

Government

National

Mortgage

Association,

Series

2021-27,

Class

Q

5.000%,

2/20/51 

1,481,385

1,394

Government

National

Mortgage

Association,

Series

2021-8,

Class

CY

5.000%,

1/20/51 

1,485,762

1,449

Government

National

Mortgage

Association,

Series

2022-107,

Class

C

2.500%,

6/20/51 

6,875,035

5,620

Government

National

Mortgage

Association,

Series

2022-153,

Class

KA

4.000%,

12/20/49 

1,888,492

1,802

Government

National

Mortgage

Association,

Series

2022-191,

Class

B

4.000%,

6/20/41 

8,606,000

8,002

Government

National

Mortgage

Association,

Series

2022-191,

Class

BY

4.000%,

8/20/41 

9,389,000

8,753

Government

National

Mortgage

Association,

Series

2022-197,

Class

LF

6.033%,

(US

30

Day

Average

SOFR

plus

0.700%),

11/20/52 

6,412,830

6,337

Government

National

Mortgage

Association,

Series

2022-205,

Class

A

2.000%,

9/20/51 

2,548,188

2,008

Government

National

Mortgage

Association,

Series

2022-31,

Class

GH

2.500%,

12/20/49 

4,387,369

3,799

Government

National

Mortgage

Association,

Series

2022-34,

Class

DN

3.500%,

9/20/41 

3,559,224

3,258

Government

National

Mortgage

Association,

Series

2022-5,

Class

BA

2.000%,

10/20/49 

8,607,207

7,210

Government

National

Mortgage

Association,

Series

2022-50,

Class

CA

3.000%,

3/20/52 

6,242,771

5,447

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Government

National

Mortgage

Association,

Series

2022-66,

Class

CG

3.500%,

4/20/52 

3,947,588

3,662

Government

National

Mortgage

Association,

Series

2022-84,

Class

A

2.500%,

1/20/52 

13,159,707

10,743

Government

National

Mortgage

Association,

Series

2023-196,

Class

E

3.000%,

9/20/48 

2,592,465

2,378

Government

National

Mortgage

Association,

Series

2024-45,

Class

BD

2.000%,

3/20/54 

1,433,484

1,260

GS

Mortgage

Securities

Trust,

Series

2015-

GC32,

Class

A3

3.498%,

7/10/48 

1,068,355

1,045

GS

Mortgage

Securities

Trust,

Series

2020-

GSA2,

Class

A4

1.721%,

12/12/53 

3,499,000

2,887

Impact

Funding

Affordable

Multifamily

Housing

Mortgage

Loan

Trust,

Series

2010-1,

Class A1

144A

144A

5.314%,

1/25/51 144A 

737,821

727

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2016-JP4,

Class

A3

3.392%,

12/15/49 

674,000

643

JPMBB

Commercial

Mortgage

Securities

Trust,

Series

2015-C28,

Class

A3

2.912%,

10/15/48 

3,340,808

3,298

JPMBB

Commercial

Mortgage

Securities

Trust,

Series

2015-C30,

Class

A5

3.821%,

7/15/48 

1,895,000

1,835

MFRA

Trust,

Series

2021-NQM2,

Class

A1

144A

144A

1.029%,

(AFC),

11/25/64 144A 

795,276

685

Morgan

Stanley

Capital

I

Trust,

Series

2020-

HR8,

Class

A3

1.790%,

7/15/53 

1,911,000

1,591

New

Residential

Mortgage

Loan

Trust,

Series

2019-NQM4,

Class

A1

144A

144A

2.492%,

(AFC),

9/25/59 144A 

352,292

327

Residential

Funding

Mortgage

Securities

I,

Series

2003-S18,

Class

A1

4.500%,

10/25/25 

2,120

1

Starwood

Mortgage

Residential

Trust,

Series

2020-1,

Class

A1

144A

144A

2.275%,

(AFC),

2/25/50 144A 

126,030

118

Starwood

Mortgage

Residential

Trust,

Series

2020-3,

Class

A1

144A

144A

1.486%,

(AFC),

4/25/65 144A 

492,154

468

Starwood

Mortgage

Residential

Trust,

Series

2020-INV1,

Class

A1

144A

144A

1.027%,

(AFC),

11/25/55 144A 

435,503

403

Starwood

Mortgage

Residential

Trust,

Series

2021-1,

Class

A1

144A

144A

1.219%,

(AFC),

5/25/65 144A 

654,103

582

Starwood

Mortgage

Residential

Trust,

Series

2021-4,

Class

A1

144A

144A

1.162%,

(AFC),

8/25/56 144A 

1,818,503

1,559

Uniform

Mortgage

Backed

Security

TBA

6.000%,

7/15/54 

27,700,000

27,777

6.500%,

7/15/54 

22,500,000

22,899

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

93

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Verus

Securitization

Trust,

Series

2019-4,

Class

A1

144A

144A

3.642%,

(AFC),

11/25/59 144A ∑

475,703

462

Verus

Securitization

Trust,

Series

2019-INV3,

Class

A1

144A

144A

3.692%,

(AFC),

11/25/59 144A 

199,298

194

Verus

Securitization

Trust,

Series

2020-2,

Class

A1

144A

144A

3.226%,

(AFC),

5/25/60 144A 

82,828

82

Verus

Securitization

Trust,

Series

2021-1,

Class

A1

144A

144A

0.815%,

(AFC),

1/25/66 144A 

806,981

710

Verus

Securitization

Trust,

Series

2021-2,

Class

A1

144A

144A

1.031%,

(AFC),

2/25/66 144A 

1,582,512

1,381

Verus

Securitization

Trust,

Series

2021-3,

Class

A1

144A

144A

1.046%,

(AFC),

6/25/66 144A 

1,334,586

1,119

Verus

Securitization

Trust,

Series

2021-4,

Class

A1

144A

144A

0.938%,

(AFC),

7/25/66 144A 

1,676,045

1,357

Verus

Securitization

Trust,

Series

2021-5,

Class

A1

144A

144A

1.013%,

(AFC),

9/25/66 144A 

4,336,445

3,606

Verus

Securitization

Trust,

Series

2021-7,

Class

A1

144A

144A

1.829%,

(AFC),

10/25/66 144A ∑

1,934,412

1,692

Verus

Securitization

Trust,

Series

2021-8,

Class

A1

144A

144A

1.824%,

(AFC),

11/25/66 144A 

1,876,611

1,644

Structured

Products

(52.4%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Verus

Securitization

Trust,

Series

2021-R1,

Class

A1

144A

144A

0.820%,

(AFC),

10/25/63 144A 

612,499

564

Verus

Securitization

Trust,

Series

2021-R3,

Class

A1

144A

144A

1.020%,

(AFC),

5/25/64 144A 

752,371

674

Visio

Trust,

Series

2020-1R,

Class

A1

144A

144A

1.312%,

11/25/55 144A 

457,956

427

Total

1,241,464

Total

Structured

Products

(Cost: $1,511,599)

1,470,398

Total

Investments

(101.8%)

(Cost:

$2,934,145)

@

2,857,462

Other

Assets,

Less

Liabilities (-1.8%)

(50,671)

Net

Assets

(100.0%)

2,806,791

+

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

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$197,538

representing

7.0%

of

the

net

assets.

α

Rate

shown

is

the

rate

as

of

the

period

end.

The

rate

may

be

based

on

a

fixed

rate,

a

capped

rate

or

a  floor

rate

and

may

convert

to

a

variable

or

floating

rate

in

the

future.

§

Security

was

purchased

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933,

which

exempts

from

registration

securities

offered

and

sold

outside

of

the

United

States.

At

June

30,

2024,

the

aggregate

value

of

these

securities

was

$789

(in

thousands),

representing

0.0%

of

net

assets.

∑

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$2,934,145

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$76,683

which

is

comprised

of

$14,301

aggregate

gross

unrealized

appreciation

and

$90,984

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

Select

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

94

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

—

$

8,453

$

—

Corporate

Bonds

—

725,314

—

Governments

—

653,297

—

Structured

Products

—

1,470,398

—

Total

Assets:

$

—

$

2,857,462

$

—

Schedule

of

Investments

June

30,

2024

(unaudited)

Long-Term

U.S.

Government

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

95

Corporate

Bonds

(

0.3%

)

Shares/

Par

+

Value

$

(000's)

Industrial

(0.3%)

Vessel

Management

Services,

Inc.

3.432%, 8/15/36

347,000‌

302

Total

302

Total

Corporate

Bonds

(Cost: $347)

302

Governments

(

125.5%

)

Governments

(125.5%)

Federal

National

Mortgage

Association

5.625%, 4/17/28

100,000‌

104

Resolution

Funding

Corp.

Stripped

0.000%, 4/15/30

PO 

4,800,000‌

3,668

0.000%, 4/15/28

IO 

400,000‌

337

Tennessee

Valley

Authority

Stripped

0.000%, 5/1/30

PO 

500,000‌

379

US

Treasury

1.125%, 5/15/40

1,650,000‌

1,015

1.125%, 8/15/40

44,690,000‌

27,212

1.375%, 11/15/40

9,800,000‌

6,184

1.375%, 8/15/50

1,080,000‌

553

1.625%, 11/15/50

400,000‌

219

1.875%, 2/15/41

1,900,000‌

1,300

2.000%, 2/15/50

12,920,000‌

7,846

2.250%, 8/15/49

300,000‌

194

2.375%, 5/15/51

2,300,000‌

1,515

2.500%, 2/15/45

1,440,000‌

1,027

2.500%, 2/15/46

850,000‌

599

2.875%, 5/15/49

1,750,000‌

1,293

3.000%, 11/15/44

1,620,000‌

1,265

3.000%, 5/15/45

1,410,000‌

1,096

3.000%, 11/15/45

370,000‌

286

3.000%, 2/15/48

330,000‌

251

3.000%, 8/15/48

 β

700,000‌

531

3.000%, 2/15/49

10,470,000‌

7,931

3.000%, 8/15/52

4,500,000‌

3,385

3.125%, 8/15/44

1,620,000‌

1,295

3.125%, 5/15/48

2,430,000‌

1,890

3.375%, 8/15/42

6,500,000‌

5,490

3.625%, 3/31/30

200,000‌

193

3.625%, 2/15/53

2,900,000‌

2,467

3.625%, 5/15/53

1,400,000‌

1,191

3.750%, 5/31/30

200,000‌

194

3.750%, 6/30/30

400,000‌

387

3.875%, 2/15/43

900,000‌

814

3.875%, 5/15/43

3,100,000‌

2,797

4.000%, 2/28/30

200,000‌

196

4.000%, 11/15/42

2,800,000‌

2,580

4.000%, 11/15/52

15,830,000‌

14,421

4.125%, 8/31/30

200,000‌

197

4.250%, 2/28/29

4,300,000‌

4,281

4.375%, 11/30/30

600,000‌

600

4.375%, 5/15/41

16,080,000‌

15,769

4.375%, 8/15/43

6,800,000‌

6,564

4.500%, 2/15/44

1,600,000‌

1,570

4.625%, 9/30/30

300,000‌

304

4.750%, 11/15/43

3,390,000‌

3,435

Governments

(125.5%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

4.875%, 10/31/30

200,000‌

206

US

Treasury

Inflation

Index

Bond

0.125%, 1/15/32

904,776‌

783

0.625%, 7/15/32

1,726,432‌

1,548

1.125%, 1/15/33

2,252,307‌

2,084

1.250%, 4/15/28

1,881,360‌

1,817

1.750%, 1/15/34

2,346,322‌

2,276

2.375%, 10/15/28

614,274‌

622

US

Treasury

Stripped

0.000%, 8/15/34

IO 

850,000‌

541

0.000%, 5/15/41

IO 

40,000‌

18

0.000%, 8/15/41

IO 

50,000‌

22

0.000%, 11/15/41

IO 

80,000‌

35

0.000%, 5/15/42

IO 

70,000‌

30

0.000%, 8/15/42

IO 

220,000‌

92

0.000%, 11/15/42

IO 

50,000‌

21

Total

144,920

Total

Governments

(Cost: $167,833)

144,920

Structured

Products

(

22.5%

)

Asset

Backed

Securities

(0.3%

)

ECMC

Group

Student

Loan

Trust,

Series

2018-1A,

Class

A

144A

144A

6.200%,

(US

30

Day

Average

SOFR

plus

0.865%),

2/27/68 144A 

40,945‌

41

Hertz

Vehicle

Financing

LLC,

Series

2022-2A,

Class

A

144A

144A

2.330%,

6/26/28 144A 

300,000‌

275

Massachusetts

Educational

Financing

Authority,

Series

2008-1,

Class

A1

6.559%,

(US

90

Day

Average

SOFR

plus

1.212%),

4/25/38 

13,388‌

13

Total

329

Mortgage

Securities

(22.2%)

Benchmark

Mortgage

Trust,

Series

2019-B9,

Class

A5

4.015%,

3/15/52 

600,000‌

558

Benchmark

Mortgage

Trust,

Series

2024-V6,

Class

A3

5.925%,

3/15/29 

200,000‌

204

BWAY

Mortgage

Trust,

Series

2013-1515,

Class

A2

144A

144A

3.454%,

3/10/33 144A 

300,000‌

285

COMM

Mortgage

Trust,

Series

2018-HOME,

Class

A

144A

144A

3.942%,

(CSTR,

AFC),

4/10/33 144A 

200,000‌

182

Extended

Stay

America

Trust,

Series

2021-

ESH,

Class

A

144A

144A

6.523%,

(US

SOFR

1

Month

plus

1.195%),

7/15/38 144A 

363,118‌

362

Federal

Home

Loan

Mortgage

Corp.

4.500%,

5/1/54 

1,742,858‌

1,643

Federal

Home

Loan

Mortgage

Corp.,

Series

2752,

Class

EZ

5.500%,

2/15/34 

89,835‌

91

Long-Term

U.S.

Government

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

96

Structured

Products

(22.5%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Federal

Home

Loan

Mortgage

Corp.,

Series

3759,

Class

FB

5.948%,

(US

30

Day

Average

SOFR

plus

0.615%),

11/15/40 

16,588‌

16

Federal

Home

Loan

Mortgage

Corp.,

Series

4092,

Class

AY

3.000%,

8/15/32 

2,200,000‌

2,045

Federal

Home

Loan

Mortgage

Corp.,

Series

4387,

Class

AZ

4.000%,

9/15/44 

2,075,309‌

1,961

Federal

Home

Loan

Mortgage

Corp.,

Series

4398,

Class

ZX

4.000%,

9/15/54 

882,672‌

765

Federal

Home

Loan

Mortgage

Corp.,

Series

4830,

Class

ZG

3.000%,

4/15/53 

621,775‌

492

Federal

Home

Loan

Mortgage

Corp.,

Series

T-61,

Class

1A1

6.553%,

(Federal

Reserve

US

12

Month

Cumulative

Avg

1

year

CMT

plus

1.400%),

7/25/44 

3,649‌

3

Federal

National

Mortgage

Association

3.600%,

2/1/40 

528,830‌

485

5.000%,

6/1/35 

17,797‌

18

5.000%,

2/1/36 

27,741‌

27

5.500%,

5/1/49 

23,814‌

24

6.500%,

5/1/54 

1,177,782‌

1,199

Federal

National

Mortgage

Association,

Series

2007-39,

Class

NZ

4.250%,

5/25/37 

32,611‌

32

Federal

National

Mortgage

Association,

Series

2012-101,

Class

FC

5.950%,

(US

30

Day

Average

SOFR

plus

0.615%),

9/25/42 

23,569‌

23

Federal

National

Mortgage

Association,

Series

2016-61,

Class

ML

3.000%,

9/25/46 

900,000‌

729

Freddie

Mac

Military

Housing

Bonds

Resecuritization

Trust,

Series

2015-R1,

Class

A2

144A

144A

4.310%,

(CSTR),

10/25/52 144A 

551,877‌

476

Government

National

Mortgage

Association

TBA

4.000%,

7/15/54 

800,000‌

739

Government

National

Mortgage

Association,

Series

2010-26,

Class

OW

0.000%,

2/20/40

PO 

252,560‌

193

Government

National

Mortgage

Association,

Series

2010-75,

Class

OA

0.000%,

9/20/35

PO 

160,126‌

126

GS

Mortgage

Securities

Trust,

Series

2015-

590M,

Class

B

144A

144A

3.932%,

(CSTR),

10/10/35 144A 

300,000‌

277

Hilton

USA

Trust,

Series

2016-HHV,

Class

A

144A

144A

3.719%,

11/5/38 144A 

600,000‌

571

Merrill

Lynch

Mortgage

Investors

Trust,

Series

2003-A4,

Class

3A

6.970%,

(CSTR,

AFC),

5/25/33 

524‌

1

Structured

Products

(22.5%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Morgan

Stanley

Capital

I

Trust,

Series

2021-

230P,

Class

A

144A

144A

6.613%,

(US

SOFR

1

Month

plus

1.284%),

12/15/38 144A 

200,000‌

189

New

Residential

Mortgage

Loan

Trust,

Series

2020-RPL1,

Class

A1

144A

144A

2.750%,

(AFC),

11/25/59 144A 

81,589‌

76

Ready

Capital

Mortgage

Financing

LLC,

Series

2022-FL8,

Class

A

144A

144A

6.985%,

(US

30

Day

Average

SOFR

plus

1.650%),

1/25/37 144A 

162,578‌

162

Structured

Asset

Mortgage

Investments,

Inc.,

Series

2004-AR5,

Class

1A1

6.113%,

(US

SOFR

1

Month

plus

0.775%),

(AFC),

10/19/34 

1,251‌

1

Towd

Point

Mortgage

Trust,

Series

2020-1,

Class

A2A

144A

144A

3.100%,

(AFC),

1/25/60 144A 

200,000‌

174

Uniform

Mortgage

Backed

Security

TBA

4.500%,

7/13/53 

4,050,000‌

3,818

5.000%,

7/15/54 

2,000,000‌

1,933

5.500%,

8/15/54 

2,700,000‌

2,663

6.000%,

8/15/54 

3,100,000‌

3,107

Total

25,650

Total

Structured

Products

(Cost: $27,195)

25,979

Short-Term

Investments

(

36.9%

)

Governments

(1

.2%)

US

Treasury

0.000%,

7/5/24

1,400,000‌

1,399

Total

1,399

Repurchase

Agreements

(35.7%)

BNP

Paribas

SA

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$11,501,725,

collateralized

by

US

Treasury

Note,

1.375%,

due

11/15/31,

par

and

fair

value

of

$14,411,500

and

$11,700,337,

respectively)

5.400%,

7/1/24

11,500,000‌

11,500

Citigroup

Global

Markets,

Inc.

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$11,501,728,

collateralized

by

US

Treasury

Note,

5.000%,

due

9/30/25,

par

and

fair

value

of

$11,728,000

and

$11,720,441,

respectively)

5.410%,

7/1/24

11,500

,000‌

11,500

Citigroup

Global

Markets,

Inc.

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$9,001,360,

collateralized

by

US

Treasury

Note,

0.875%,

due

9/30/26,

par

and

fair

value

of

$9,960,000

and

$9,162,033,

respectively)

5.410%,

7/1/24

9,000,000‌

9,000

Deutsche

Bank

AG

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$9,201,383,

collateralized

by

US

Treasury

Note,

1.375%,

due

11/15/31,

par

and

fair

value

of

$11,512,000

and

$9,346,305,

respectively)

Long-Term

U.S.

Government

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

97

Short-Term

Investments

(36.9%)

Shares/

Par

+

Value

$

(000’s)

Repurchase

Agreements

continued

5.410%,

7/1/24

9,200,000‌

9,200

Total

41,200

Total

Short-Term

Investments

(Cost:

$42,599)

42,599

Total

Investments

(185.2%)

(Cost:

$237,974)

@

213,800

Other

Assets,

Less

Liabilities (-85.2%)

(98,348)

Net

Assets

(100.0%)

115,452

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

15,300‌

153

9/24

$

16,307‌

$

(113‌)

$

17‌

Ten-Year

US

Treasury

Note

Future

Short

USD

1,000‌

10

9/24

1,100‌

(1‌)

3‌

Two-Year

US

Treasury

Note

Future

Short

USD

1,600‌

8

9/24

1,634‌

(1‌)

–‌π

Ultra

Long

Term

US

Treasury

Bond

Future

Long

USD

1,700‌

17

9/24

2,131‌

24‌

(28‌)

Ultra

Ten-Year

US

Treasury

Note

Future

Short

USD

23,000‌

230

9/24

26,112‌

(254‌)

111‌

US

Treasury

Long

Bond

Future

Short

USD

7,400‌

74

9/24

8,755‌

(59‌)

74‌

$

(404‌)

$

177‌

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

500‌

USD

$

(7‌)

$

181‌

$

174‌

$

7‌

1-Day

USD-SOFR

Compounded-OIS

0.750%

3/31

1,000‌

USD

14‌

192‌

206‌

3‌

1-Day

USD-SOFR

Compounded-OIS

1.250%

6/41

3,110‌

USD

94‌

1,042‌

1,136‌

27‌

$

101‌

$

1,415‌

$

1,516‌

$

37‌

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

$

11‌

$

(903‌)

$

(892‌)

$

(10‌

)

1-Day

USD-SOFR

Compounded-OIS

1.000%

12/25

3,170‌

USD

23‌

(204‌)

(181‌)

1‌

$

34‌

$

(1,107‌)

$

(1,073‌)

$

(9‌)

Written

Options

Description

Currency

Notional

Par

(000's)

Exercise

Price

Expiration

Date

Number

of

Contracts

Value

(000's)

Call

-

Ten-Year

US

Treasury

Note

Future

USD

9‌

$

112.000‌

7/24

9‌

$

(1‌)

Put

-

Ten-Year

US

Treasury

Note

Future

USD

9‌

109.000‌

7/24

9‌

(3‌)

(Premiums

Received

$5)

$

(4‌)

Long-Term

U.S.

Government

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

98

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

$

38‌

$

205‌

$

243‌

$

(10‌)

$

(28‌)

$

(38‌)

$

(4‌)

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

β

Part

or

all

of

the

security

has

been

pledged

as

collateral.

144A

Security

exempt

from

registration

under

Rule

144A

of

the

Securities

Act

of

1933.

These

securities

may

be

resold

as

transactions

exempt

from

registration,

normally

to

qualified

institutional

buyers.

At

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$3,070

representing

2.7%

of

the

net

assets.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$238,104

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$24,269

which

is

comprised

of

$1,646

aggregate

gross

unrealized

appreciation

and

$25,915

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

π

Amount

is

less

than

one

thousand.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

—‌

$

302‌

$

—‌

Governments

—‌

144,920‌

—‌

Structured

Products

—‌

25,979‌

—‌

Short-Term

Investments

—‌

42,599‌

—‌

Other

Financial

Instruments

Ω

Futures

24‌

—‌

—‌

Interest

Rate

Swaps

—‌

1,516‌

—‌

Total

Assets:

$

24‌

$

215,316‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Futures

(428‌)

—‌

—‌

Written

Options

(4‌)

—‌

—‌

Interest

Rate

Swaps

—‌

(1,073‌)

—‌

Total

Liabilities:

$

(432‌)

$

(1,073‌)

$

—‌

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

Inflation

Protection

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

99

Corporate

Bonds

(

6.1%

)

Shares/

Par

+

Value

$

(000's)

Consumer,

Cyclical

(0.4%)

Honda

Motor

Co.,

Ltd.

2.271%, 3/10/25

1,550,000‌

1,516

Total

1,516

Consumer,

Non-cyclical

(1.5%)

AbbVie,

Inc.

2.950%, 11/21/26

800,000‌

762

Amgen,

Inc.

5.250%, 3/2/33

830,000‌

827

Bristol-Myers

Squibb

Co.

5.200%, 2/22/34

197,000‌

197

Roche

Holdings,

Inc.

 144‌A

 144‌A

2.314%, 3/10/27

144A

1,270,000‌

1,185

Stryker

Corp.

4.850%, 12/8/28

800,000‌

794

Thermo

Fisher

Scientific,

Inc.

1.215%, 10/18/24

2,570,000‌

2,537

Total

6,302

Financial

(3.3%)

Bank

of

America

Corp.

5.468%,

(US

SOFR

plus

1.650%), 1/23/35

α

335,000‌

335

5.933%,

(US

SOFR

plus

1.340%), 9/15/27

α

2,210,000‌

2,234

The

Charles

Schwab

Corp.

 α

5.375%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

year

plus

4.971%), 12/31/99

µ,α

1,055,000‌

1,043

Chubb

INA

Holdings,

Inc.

5.000%, 3/15/34

1,070,000‌

1,059

Citigroup,

Inc.

3.668%,

(US

SOFR

3

Month

plus

1.652%), 7/24/28

α

100,000‌

95

5.827%,

(US

SOFR

plus

2.056%), 2/13/35

α

420,000‌

416

6.270%,

(US

SOFR

plus

2.338%), 11/17/33

α

70,000‌

73

Corebridge

Global

Funding

 144‌A

 144‌A

5.350%, 6/24/26

144A

913,000‌

912

Fifth

Third

Bancorp

 α

6.339%,

(US

SOFR

plus

2.340%), 7/27/29

α

1,620,000‌

1,661

JPMorgan

Chase

&

Co.

4.005%,

(US

SOFR

3

Month

plus

1.382%), 4/23/29

α

360,000‌

344

5.299%,

(US

SOFR

plus

1.450%), 7/24/29

α

760,000‌

762

6.087%,

(US

SOFR

plus

1.570%), 10/23/29

α

970,000‌

1,002

National

Bank

of

Canada

 α

1.000%,

(US

SOFR

plus

1.036%), 7/2/27

α

603,000‌

603

Truist

Financial

Corp.

 α

5.711%,

(US

SOFR

plus

1.922%), 1/24/35

α

1,477,000‌

1,470

UBS

Group

Funding

AG

 144‌A

 144‌A

4.125%, 9/24/25

144A

843,000‌

827

Wells

Fargo

&

Co.

4.897%,

(US

SOFR

plus

2.100%), 7/25/33

α

325,000‌

313

5.389%,

(US

SOFR

plus

2.020%), 4/24/34

α

120,000‌

119

Corporate

Bonds

(6.1%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

6.303%,

(US

SOFR

plus

1.790%), 10/23/29

α

280,000‌

291

Total

13,559

Industrial

(0.5%)

Caterpillar

Financial

Services

Corp.

3.650%, 8/12/25

1,970,000‌

1,935

Total

1,935

Utilities

(0.4%)

Duke

Energy

Florida

LLC

5.875%, 11/15/33

460,000‌

478

PPL

Electric

Utilities

Corp.

4.850%, 2/15/34

850,000‌

827

Sempra

3.300%, 4/1/25

507,000‌

498

Total

1,803

Total

Corporate

Bonds

(Cost: $25,393)

25,115

144A

144A

144A

Governments

(

69.1%

)

Governments

(69.1%)

Canadian

Government

Bond

3.500%, 3/1/28

CAD

 ∞

18,500,000‌

13,482

4.000%, 3/1/29

CAD

 ∞

2,580,000‌

1,925

Deutsche

Bundesrepublik

Inflation

Linked

Bond

0.100%, 4/15/26

EUR

 §,∞

6,882,260‌

7,188

Federal

Home

Loan

Banks

5.500%, 7/15/36

1,000,000‌

1,089

Federal

Home

Loan

Mortgage

Corp.

6.250%, 7/15/32

14,850,000‌

16,619

Federal

National

Mortgage

Association

6.625%, 11/15/30

13,650,000‌

15,256

Tennessee

Valley

Authority

1.500%, 9/15/31

1,500,000‌

1,221

3.875%, 3/15/28

1,750,000‌

1,712

5.880%, 4/1/36

3,250,000‌

3,574

US

Treasury

Inflation

Index

Bond

0.125%, 1/15/30

 β

19,191,848‌

17,272

0.125%, 7/15/30

10,332,407‌

9,245

0.125%, 1/15/31

16,920,837‌

14,935

0.125%, 7/15/31

11,673,616‌

10,250

0.125%, 1/15/32

12,893,058‌

11,161

0.125%, 2/15/51

8,609,816‌

4,977

0.125%, 10/15/26

 β

2,948,561‌

2,806

0.250%, 2/15/50

6,731,198‌

4,108

0.375%, 1/15/27

6,035,003‌

5,736

0.375%, 7/15/27

10,573,365‌

10,034

0.500%, 1/15/28

9,532,350‌

8,982

0.625%, 7/15/32

10,196,739‌

9,143

0.625%, 2/15/43

8,522,500‌

6,398

0.750%, 2/15/42

10,537,607‌

8,230

0.750%, 2/15/45

17,933,285‌

13,429

0.875%, 2/15/47

5,844,375‌

4,387

0.875%, 1/15/29

11,174,400‌

10,586

Inflation

Protection

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

100

Governments

(69.1%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

1.000%, 2/15/46

3,903,234‌

3,045

1.000%, 2/15/48

1,462,041‌

1,119

1.000%, 2/15/49

3,051,160‌

2,317

1.125%, 1/15/33

4,946,656‌

4,576

1.250%, 4/15/28

8,884,200‌

8,580

1.375%, 7/15/33

23,638,983‌

22,320

1.375%, 2/15/44

11,003,572‌

9,429

1.750%, 1/15/34

3,977,610‌

3,859

1.750%, 1/15/28

516,286‌

508

2.125%, 2/15/41

3,609,064‌

3,578

2.375%, 1/15/27

893,895‌

893

2.500%, 1/15/29

3,380,386‌

3,439

3.625%, 4/15/28

2,907,510‌

3,055

3.875%, 4/15/29

3,814,120‌

4,119

Total

284,582

Total

Governments

(Cost: $325,591)

284,582

Municipal

Bonds

(

0.4%

)

Municipal

Bonds

(0.4%)

Golden

State

Tobacco

Securitization

Corp.

2.746%, 6/1/34 RB  

740,000‌

618

University

of

California

1.316%, 5/15/27 RB  

1,105,000‌

1,003

Total

Municipal

Bonds

(Cost: $1,765)

1,621

Structured

Products

(

15.7%

)

Asset

Backed

Securities

(3.8%)

Bean

Creek

CLO,

Ltd.,

Series

2018-1A,

Class AR

144A

144A

6.606%,

(US

SOFR

3

Month

plus

1.282%),

4/20/31 144A 

863,824‌

865

Blackbird

 Capital

 Aircraft,

Series

2021-1A,

Class 

A

144A

144A

2.443%,

7/15/46 144A 

730,426‌

653

Cologix

Canadian

Issuer

LP,

Series

2022-

1CAN,

Class

A2

144A

144A

4.940%,

1/25/52 144A

CAD ∞

1,950,000‌

1,331

Dryden

Senior

Loan

Fund,

Series

2016-43A,

Class 

B2R2

144A

144A

3.093%,

4/20/34 144A 

2,000,000‌

1,785

FirstKey

Homes

Trust,

Series

2020-SFR2,

Class

D

144A

144A

1.968%,

10/19/37 144A 

1,000,000‌

944

Goodgreen

Trust,

Series

2020-1A,

Class

A

144A

144A

2.630%,

4/15/55 144A 

537,421‌

447

Goodgreen

Trust,

Series

2021-1A,

Class

A

144A

144A

2.660%,

10/20/56 144A 

248,963‌

205

Greenwood

Park

CLO,

Ltd.,

Series

2018-1A,

Class

A1

144A

144A

6.620%,

(US

SOFR

3

Month

plus

1.292%),

4/15/31 144A 

333,843‌

334

Hilton

Grand

Vacations

Trust,

Series

2019-AA,

Class

B

144A

144A

2.540%,

7/25/33 144A 

368,134‌

353

KKR

Financial

CLO,

Ltd.,

Series

2018-22A,

Class

A

144A

144A

6.736%,

(US

SOFR

3

Month

plus

1.412%),

7/20/31 144A 

1,313,809‌

1,314

Structured

Products

(15.7%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

KKR

Financial

CLO,

Ltd.,

Series

2022-1A,

Class

BR

144A

144A

7.325%,

(US

SOFR

3

Month

plus

2.000%),

7/20/31 144A 

1,425,000‌

1,416

Magnetite

CLO,

Ltd.,

Series

 2021-29A,

Class

 B

144A

144A

6.990%,

(US

SOFR

3

Month

plus

1.662%),

1/15/34 144A 

1,650,000‌

1,653

Palmer

Square

CLO,

Ltd.,

Series

2018-1A,

Class

A1R2

144A

144A

6.709%,

(US

SOFR

3

Month

plus

1.392%),

1/17/31 144A 

766,249‌

767

Sierra

Receivables

Funding

Co.

LLC,

Series

2019-3A,

Class

B

144A

144A

2.750%,

7/15/38 144A 

391,631‌

388

Sierra

Receivables

Funding

Co.

LLC,

Series

2021-A1,

Class

B

144A

144A

1.340%,

11/20/37 144A 

708,471‌

674

Subway

Funding

LLC

144A

144A

6.268%,

7/30/54 144A 

554,000‌

561

Towd

Point

Mortgage

Trust,

Series

2024-

CES3,

Class

A1

144A

144A

6.290%,

(AFC),

5/25/64 144A 

691,591‌

694

Wellfleet

CLO,

Ltd.,

Series

2022-1A,

Class

B2

144A

144A

4.775%,

4/15/34 144A 

1,250,000‌

1,198

Total

15,582

Mortgage

Securities

(11.9%)

Agate

Bay

Mortgage

Trust,

Series

2015-7,

Class

A3

144A

144A

3.500%,

(AFC),

10/25/45 144A 

384,499‌

340

Aligned

Data

Centers

Issuer

LLC,

Series

2021-1A,

Class 

B

144A

144A

2.482%,

8/15/46 144A 

1,100,000‌

1,002

Angel

Oak 

Mortgage Trust,

 Series 

2019-6, 

Class 

A3

144A

144A

2.927%,

(AFC),

11/25/59 144A 

152,944‌

148

Arroyo

Mortgage

Trust,

Series

2021-1R,

Class A2

144A

144A

1.483%,

(CSTR,

AFC),

10/25/48 144A 

268,568‌

232

Arroyo

Mortgage

Trust,

Series

2021-1R,

Class A3

144A

144A

1.637%,

(CSTR,

AFC),

10/25/48 144A 

206,591‌

178

BANK5

Trust,

Series

2024-5YR6,

Class

A3

6.225%,

5/15/57 

818,000‌

845

BANK5

Trust,

Series

2024-5YR7,

Class

A3

5.769%,

6/15/57 

1,520,000‌

1,541

BBCMS

Mortgage

Trust,

Series

2024-C27,

Class

A3

6.014%,

7/15/57 

400,000‌

411

Chase

Home

Lending

Mortgage

Trust,

Series

2024-2,

Class

A4A

144A

144A

6.000%,

(AFC),

2/25/55 144A 

556,076‌

555

Connecticut

Avenue

Securities

Trust,

Series

2022-R03,

Class

1M1

144A

144A

7.435%,

(US

30

Day

Average

SOFR

plus

2.100%),

3/25/42 144A 

464,824‌

473

Credit

Suisse

Mortgage

Trust,

Series

2015-

WIN1,

Class

A10

144A

144A

3.500%,

(AFC),

12/25/44 144A 

43,609‌

39

Inflation

Protection

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

101

Structured

Products

(15.7%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Credit

Suisse

Mortgage

Trust,

Series

2021-

NQM2,

Class

A3

144A

144A

1.538%,

(AFC),

2/25/66 144A 

252,408‌

219

Deephaven

Residential

Mortgage

Trust,

Series

2020-2,

Class

A3

144A

144A

2.856%,

5/25/65 144A 

1,081,266‌

1,063

Federal

Home

Loan

Mortgage

Corp.

3.500%,

8/1/52 

1,973,196‌

1,748

4.500%,

10/1/52 

1,792,118‌

1,692

Federal

National

Mortgage

Association

2.500%,

1/1/52 

7,678,882‌

6,344

4.000%,

9/1/52 

9,469,674‌

8,680

5.500%,

1/1/53 

3,808,069‌

3,763

Government

National

Mortgage

Association

3.000%,

9/20/51 

3,567,267‌

3,110

5.000%,

8/20/53 

6,258,502‌

6,096

5.500%,

12/20/52 

1,674,051‌

1,662

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2018-AON,

Class

A

144A

144A

4.128%,

7/5/31 144A 

2,020,000‌

1,828

JP

Morgan

Mortgage

Trust,

Series

2014-5,

Class

A1

144A

144A

2.725%,

(AFC),

10/25/29 144A 

197,590‌

189

JP

Morgan

Mortgage

Trust,

Series

2016-1,

Class

A7

144A

144A

3.500%,

5/25/46 144A 

541,006‌

476

JP

Morgan

Mortgage

Trust,

Series

2024-5,

Class

A6

144A

144A

6.000%,

(AFC),

11/25/54 144A 

1,275,000‌

1,269

NJ

Trust,

Series

2023-GSP,

Class

A

144A

144A

6.697%,

1/6/29 144A 

825,000‌

851

RCKT

Mortgage

Trust,

Series

2024-CES3,

Class

A1A

144A

144A

6.591%,

(AFC),

5/25/44 144A 

491,321‌

496

Sequoia

Mortgage

Trust,

Series

2017-7,

Class

 A7

144A

144A

3.500%,

(AFC),

10/25/47 144A 

969,008‌

850

STACR

Trust,

Series

2021-DNA7,

Class

M1

144A

144A

6.185%,

(US

30

Day

Average

SOFR

plus

0.850%),

11/25/41 144A 

1,172,831‌

1,173

Starwood

Mortgage

Residential

Trust,

Series

2021-1,

Class

A1

144A

144A

1.219%,

(AFC),

5/25/65 144A 

660,909‌

588

Switch

ABS

Issuer,

LLC,

Series

2024-2A,

Class

A2

144A

144A

5.436%,

6/25/54 144A 

625,000‌

605

Verus

Securitization

Trust,

Series

2021-1,

Class

A3

144A

144A

1.155%,

(AFC),

1/25/66 144A 

553,352‌

485

Vista

Point

Securitization

Trust,

Series

2020-2,

Class

A3

144A

144A

2.496%,

(AFC),

4/25/65 144A 

241,200‌

223

Total

49,174

Total

Structured

Products

(Cost: $67,732)

64,756

144A

144A

144A

Short-Term

Investments

(

6.7%

)

Shares/

Par

+

Value

$

(000's)

Commercial

Paper

(6.7%)

Barton

Capital

Corp.

0.000%,

7/1/24

11,500,000‌

11,495

Chevron

Corp.

0.000%,

7/9/24

7,500,000‌

7,488

LMA

SA

/

LMA

Americas

LLC

0.000%,

7/12/24

5,000,000‌

4,990

0.000%,

7/16/24

3,900,000‌

3,889

Total

27,862

Total

Short-Term

Investments

(Cost:

$27,874)

27,862

Total

Investments

(98.0%)

(Cost:

$448,355)

@

403,936

Other

Assets,

Less

Liabilities (2.0%)

8,039

Net

Assets

(100.0%)

411,975

Inflation

Protection

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

102

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)

Ten-Year

US

Treasury

Note

Future

Long

USD

5,900‌

59

9/24

$

6,489‌

$

67‌

$

(37‌)

$

67‌

$

(37‌)

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

1.858%

8/24

12,700‌

USD

$

–‌

$

1,643‌

$

1,643‌

$

–‌π

CPURNSA

2.073%

8/27

3,500‌

USD

–‌

480‌

480‌

7‌

CPURNSA

2.145%

11/27

5,000‌

USD

(1‌)

634‌

633‌

10‌

CPURNSA

1.800%

10/29

3,700‌

USD

–‌

593‌

593‌

8‌

CPURNSA

1.884%

11/29

2,000‌

USD

–‌

306‌

306‌

4‌

CPURNSA

2.243%

1/26

6,000‌

USD

–‌

712‌

712‌

4‌

CPURNSA

1.078%

6/25

3,000‌

USD

–‌

530‌

530‌

1‌

CPURNSA

2.503%

8/26

7,000‌

USD

–‌

51‌

51‌

5‌

CPURNSA

2.415%

2/28

2,500‌

USD

–‌

38‌

38‌

5‌

CPURNSA

2.565%

4/28

1,500‌

USD

–‌

9‌

9‌

3‌

CPURNSA

2.370%

2/29

13,400‌

USD

1‌

150‌

151‌

27‌

CPURNSA

2.438%

2/30

9,500‌

USD

1‌

149‌

150‌

20‌

CPURNSA

1.291%

5/30

2,000‌

USD

–‌

418‌

418‌

4‌

CPURNSA

1.629%

6/30

2,000‌

USD

–‌

381‌

381‌

4‌

CPURNSA

2.663%

8/30

1,200‌

USD

–‌

(2‌)

(2‌)

3‌

CPURNSA

2.498%

9/31

7,000‌

USD

–‌

529‌

529‌

13‌

CPURNSA

2.619%

3/33

5,500‌

USD

1‌

24‌

25‌

9‌

CPURNSA

2.495%

5/33

3,500‌

USD

1‌

36‌

37‌

5‌

CPURNSA

2.650%

8/33

8,500‌

USD

1‌

(26‌)

(25‌)

15‌

CPURNSA

2.485%

2/34

3,400‌

USD

1‌

30‌

31‌

5‌

$

5‌

$

6,685‌

$

6,690‌

$

152‌

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

$

152‌

$

–‌

$

152‌

$

–‌

$

(37‌)

$

(37‌)

$

–‌

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      

Bank

of

America

NA

CAD

5,324‌

3,899‌

9/18/24

$

8‌

$

—‌π

$

8‌

Buy      

Goldman

Sachs

International

CAD

6,247‌

4,575‌

9/18/24

6‌

—‌

6‌

Sell      

Bank

of

America

NA

CAD

34,359‌

25,162‌

9/18/24

—‌

(136‌)

(136‌)

Sell      

Bank

of

America

NA

EUR

5,261‌

5,655‌

9/18/24

8‌

(4‌)

4‌

Sell      

Goldman

Sachs

International

EUR

1,323‌

1,422‌

9/18/24

20‌

—‌

20‌

$

42‌

$

(140‌)

$

(98‌)

Inflation

Protection

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

103

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

2.528%

8/24

2,750

$

99‌

$

99‌

CPURNSA

Bank

of

America

NA

2.140%

7/25

2,900

333‌

333‌

CPURNSA

Bank

of

America

NA

1.790%

8/25

1,500

223‌

223‌

CPURNSA

Bank

of

America

NA

2.240%

4/27

3,500

389‌

389‌

CPURNSA

Bank

of

America

NA

2.218%

4/27

2,000

227‌

227‌

CPURNSA

Bank

of

America

NA

2.235%

4/27

2,000

224‌

224‌

CPURNSA

Bank

of

America

NA

2.235%

5/27

5,000

563‌

563‌

CPURNSA

Barclays

Bank

PLC

2.589%

7/24

1,400

41‌

41‌

CPURNSA

Barclays

Bank

PLC

2.895%

12/27

1,700

(202‌)

(202‌)

CPURNSA

Barclays

Bank

PLC

2.784%

7/44

1,400

(68‌)

(68‌)

CPURNSA

Goldman

Sachs

International

1.870%

5/26

8,500

1,357‌

1,357‌

CPURNSA

Goldman

Sachs

International

1.920%

5/26

7,000

1,073‌

1,073‌

CPURNSA

Goldman

Sachs

International

1.770%

6/26

6,000

1,014‌

1,014‌

CPURNSA

Goldman

Sachs

International

2.245%

11/26

3,000

347‌

347‌

CPURNSA

Goldman

Sachs

International

2.280%

11/26

3,000

335‌

335‌

CPURNSA

Goldman

Sachs

International

2.280%

11/26

4,000

447‌

447‌

$

6,402‌

$

6,402‌

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

$

42‌

$

6,672‌

$

6,714‌

$

(140‌)

—‌

$

(270‌)

$

(410‌)

+

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

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$31,788

representing

7.7%

of

the

net

assets.

α

Rate

shown

is

the

rate

as

of

the

period

end.

The

rate

may

be

based

on

a

fixed

rate,

a

capped

rate

or

a  floor

rate

and

may

convert

to

a

variable

or

floating

rate

in

the

future.

µ

Perpetual

maturity,

date

shown,

if

applicable,

represents

next

contractual

call

date.

∞

Foreign

Bond

—

par

value

is

foreign

denominated.

§

Security

was

purchased

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933,

which

exempts

from

registration

securities

offered

and

sold

outside

of

the

United

States.

At

June

30,

2024,

the

aggregate

value

of

these

securities

was

$7,188

(in

thousands),

representing

1.7%

of

net

assets.

β

Part

or

all

of

the

security

has

been

pledged

as

collateral.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$448,360

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$31,363

which

is

comprised

of

$13,552

aggregate

gross

unrealized

appreciation

and

$44,915

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

π

Amount

is

less

than

one

thousand.

Inflation

Protection

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

104

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  See

Note

3

for

additional

information

on

portfolio

valuation.

Valuation

Inputs

Description

Level

1

-

Quoted

Prices

Level

2

-

Other

Significant

Observable

Inputs

Level

3

- Significant

Unobservable

Inputs

(Amounts

in

thousands)

Assets:

Municipal

Bonds

$

—‌

$

1,621‌

$

—‌

Corporate

Bonds

—‌

25,115‌

—‌

Governments

—‌

284,582‌

—‌

Structured

Products

—‌

64,756‌

—‌

Short-Term

Investments

—‌

27,862‌

—‌

Other

Financial

Instruments

Ω

Futures

67‌

—‌

—‌

Forward

Foreign

Currency

Contracts

—‌

42‌

—‌

Total

Return

Swaps

—‌

13,389‌

—‌

Total

Assets:

$

67‌

$

417,367‌

$

—‌

Liabilities:

Other

Financial

Instruments

Ω

Forward

Foreign

Currency

Contracts

—‌

(140‌)

—‌

Total

Return

Swaps

—‌

(297‌)

—‌

Total

Liabilities:

$

—‌

$

(437‌)

$

—‌

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

105

Corporate

Bonds

(

95.2%

)

Shares/

Par

+

Value

$

(000's)

Basic

Materials

(3.3%)

Ashland,

Inc.

 144‌A

 144‌A

3.375%, 9/1/31

144A

825,000‌

694

Axalta

Coating

Systems

Dutch

Holding

BV

 144‌A

 144‌A

7.250%, 2/15/31

144A

425,000‌

441

Axalta

Coating

Systems

LLC

 144‌A

 144‌A

3.375%, 2/15/29

144A

875,000‌

783

Axalta

Coating

Systems

LLC

/

Axalta

Coating

Systems

Dutch

Holding

 144‌A

 144‌A

4.750%, 6/15/27

144A

600,000‌

583

Cleveland-Cliffs,

Inc.

 144‌A

 144‌A

4.625%, 3/1/29

144A

1,525,000‌

1,443

4.875%, 3/1/31

144A

425,000‌

375

6.750%, 4/15/30

144A

600,000‌

594

7.000%, 3/15/32

144A

775,000‌

766

Coeur

Mining,

Inc.

 144‌A

 144‌A

5.125%, 2/15/29

144A

1,950,000‌

1,828

Element

Solutions,

Inc.

 144‌A

 144‌A

3.875%, 9/1/28

144A

1,650,000‌

1,516

H.B.

Fuller

Co.

4.250%, 10/15/28

525,000‌

495

Herens

Holdco

SARL

 144‌A

 144‌A

4.750%, 5/15/28

144A

3,450,000‌

2,993

Illuminate

Buyer

LLC

/

Illuminate

Holdings

IV,

Inc.

 144‌A

 144‌A

9.000%, 7/1/28

144A

1,025,000‌

1,033

Olympus

Water

US

Holding

Corp.

 144‌A

 144‌A

4.250%, 10/1/28

144A

1,500,000‌

1,365

6.250%, 10/1/29

144A

1,975,000‌

1,803

7.125%, 10/1/27

144A

875,000‌

878

9.750%, 11/15/28

144A

2,125,000‌

2,248

SNF

Group

 144‌A

 144‌A

3.375%, 3/15/30

144A

425,000‌

367

WR

Grace

Holdings

LLC

 144‌A

 144‌A

4.875%, 6/15/27

144A

675,000‌

651

5.625%, 8/15/29

144A

1,200,000‌

1,106

7.375%, 3/1/31

144A

325,000‌

329

Total

22,291

Communications

(11.8%)

Audacy

Capital

Corp.

 144‌A

 144‌A

6.500%, 5/1/27

144A

φ

2,250,000‌

79

6.750%, 3/31/29

144A

φ

1,650,000‌

58

Cars.com,

Inc.

 144‌A

 144‌A

6.375%, 11/1/28

144A

2,125,000‌

2,087

CCO

Holdings

LLC

/

CCO

Holdings

Capital

Corp.

 144‌A

 144‌A

4.250%, 1/15/34

144A

1,200,000‌

911

4.500%, 8/15/30

144A

1,500,000‌

1,270

4.500%, 5/1/32

1,050,000‌

846

4.500%, 6/1/33

144A

1,175,000‌

925

4.750%, 3/1/30

144A

3,400,000‌

2,945

5.000%, 2/1/28

144A

2,000,000‌

1,870

5.125%, 5/1/27

144A

2,225,000‌

2,136

5.375%, 6/1/29

144A

1,350,000‌

1,228

5.500%, 5/1/26

144A

275,000‌

272

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Communications

continued

Ciena

Corp.

 144‌A

 144‌A

4.000%, 1/31/30

144A

325,000‌

294

CMG

Media

Corp.

 144‌A

 144‌A

8.875%, 12/15/27

144A

2,925,000‌

1,668

CSC

Holdings

LLC

 144‌A

 144‌A

3.375%, 2/15/31

144A

825,000‌

515

4.125%, 12/1/30

144A

950,000‌

614

4.500%, 11/15/31

144A

2,750,000‌

1,774

5.500%, 4/15/27

144A

2,275,000‌

1,845

5.750%, 1/15/30

144A

4,200,000‌

1,585

6.500%, 2/1/29

144A

1,100,000‌

803

7.500%, 4/1/28

144A

475,000‌

252

Cumulus

Media

New

Holdings,

Inc.

 144‌A

 144‌A

8.000%, 7/1/29

144A

356,000‌

150

DISH

DBS

Corp.

5.125%, 6/1/29

2,950,000‌

1,168

5.750%, 12/1/28

144A

1,100,000‌

763

7.375%, 7/1/28

750,000‌

319

7.750%, 7/1/26

1,350,000‌

838

Go

Daddy

Operating

Co.

LLC

/

GD

Finance

Co.,

Inc.

 144‌A

 144‌A

5.250%, 12/1/27

144A

1,625,000‌

1,591

GoTo

Group,

Inc.

 144‌A

 144‌A

5.500%, 5/1/28

144A

2,059,750‌

1,162

Gray

Television,

Inc.

 144‌A

 144‌A

5.375%, 11/15/31

144A

975,000‌

553

7.000%, 5/15/27

144A

550,000‌

506

iHeartCommunications,

Inc.

 144‌A

 144‌A

5.250%, 8/15/27

144A

1,075,000‌

571

8.375%, 5/1/27

775,000‌

286

Lamar

Media

Corp.

3.625%, 1/15/31

425,000‌

374

4.000%, 2/15/30

100,000‌

91

4.875%, 1/15/29

675,000‌

649

Match

Group

Holdings

II

LLC

 144‌A

 144‌A

4.125%, 8/1/30

144A

2,175,000‌

1,924

4.625%, 6/1/28

144A

1,450,000‌

1,357

5.000%, 12/15/27

144A

525,000‌

503

Midas

OpCo

Holdings

LLC

 144‌A

 144‌A

5.625%, 8/15/29

144A

5,600,000‌

5,172

Millennium

Escrow

Corp.

 144‌A

 144‌A

6.625%, 8/1/26

144A

1,425,000‌

744

Nexstar

Media,

Inc.

 144‌A

 144‌A

4.750%, 11/1/28

144A

350,000‌

311

5.625%, 7/15/27

144A

1,900,000‌

1,805

Outfront

Media

Capital

LLC

/

Outfront

Media

Capital

Corp.

 144‌A

 144‌A

4.250%, 1/15/29

144A

1,150,000‌

1,049

4.625%, 3/15/30

144A

1,100,000‌

990

7.375%, 2/15/31

144A

150,000‌

156

Scripps

Escrow

II,

Inc.

 144‌A

 144‌A

5.375%, 1/15/31

144A

300,000‌

133

Scripps

Escrow,

Inc.

 144‌A

 144‌A

5.875%, 7/15/27

144A

1,425,000‌

861

Sinclair

Television

Group,

Inc.

 144‌A

 144‌A

4.125%, 12/1/30

144A

150,000‌

100

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

106

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Communications

continued

5.125%, 2/15/27

144A

1,475,000‌

1,301

5.500%, 3/1/30

144A

1,000,000‌

608

Sirius

XM

Radio,

Inc.

 144‌A

 144‌A

3.125%, 9/1/26

144A

1,075,000‌

1,011

3.875%, 9/1/31

144A

2,025,000‌

1,653

4.000%, 7/15/28

144A

725,000‌

655

4.125%, 7/1/30

144A

1,525,000‌

1,303

5.500%, 7/1/29

144A

925,000‌

869

Sprint

LLC

7.625%, 2/15/25

700,000‌

704

Sunrise

FinCo

I

BV

 144‌A

 144‌A

4.875%, 7/15/31

144A

3,450,000‌

3,133

TEGNA,

Inc.

5.000%, 9/15/29

2,075,000‌

1,832

Telenet

Finance

Luxembourg

Notes

SARL

 144‌A

 144‌A

5.500%, 3/1/28

144A

4,400,000‌

4,168

Univision

Communications,

Inc.

 144‌A

 144‌A

4.500%, 5/1/29

144A

1,400,000‌

1,177

7.375%, 6/30/30

144A

1,025,000‌

953

8.000%, 8/15/28

144A

1,475,000‌

1,438

Urban

One,

Inc.

 144‌A

 144‌A

7.375%, 2/1/28

144A

725,000‌

557

Viavi

Solutions,

Inc.

 144‌A

 144‌A

3.750%, 10/1/29

144A

775,000‌

655

Virgin

Media

Finance

PLC

 144‌A

 144‌A

5.000%, 7/15/30

144A

2,700,000‌

2,226

Virgin

Media

Secured

Finance

PLC

 144‌A

 144‌A

4.500%, 8/15/30

144A

250,000‌

212

5.500%, 5/15/29

144A

475,000‌

434

Virgin

Media

Vendor

Financing

Notes

IV

 144‌A

 144‌A

5.000%, 7/15/28

144A

1,150,000‌

1,023

VMED

O2

UK

Financing

I

PLC

 144‌A

 144‌A

4.250%, 1/31/31

144A

600,000‌

498

4.750%, 7/15/31

144A

1,475,000‌

1,244

VZ

Secured

Financing

BV

 144‌A

 144‌A

5.000%, 1/15/32

144A

1,225,000‌

1,045

Ziggo

Bond

Co.

BV

 144‌A

 144‌A

5.125%, 2/28/30

144A

1,300,000‌

1,105

6.000%, 1/15/27

144A

2,025,000‌

1,986

Ziggo

BV

 144‌A

 144‌A

4.875%, 1/15/30

144A

200,000‌

178

Total

80,071

Consumer,

Cyclical

(19.8%)

1011778

BC

ULC

/

New

Red

Finance,

Inc.

 144‌A

 144‌A

3.875%, 1/15/28

144A

1,125,000‌

1,054

4.000%, 10/15/30

144A

5,150,000‌

4,534

4.375%, 1/15/28

144A

1,175,000‌

1,108

Academy,

Ltd.

 144‌A

 144‌A

6.000%, 11/15/27

144A

1,850,000‌

1,821

Adient

Global

Holdings,

Ltd.

 144‌A

 144‌A

4.875%, 8/15/26

144A

3,300,000‌

3,209

7.000%, 4/15/28

144A

350,000‌

358

8.250%, 4/15/31

144A

350,000‌

365

Affinity

Interactive

 144‌A

 144‌A

6.875%, 12/15/27

144A

1,575,000‌

1,389

American

Airlines,

Inc.

/

AAdvantage

Loyalty

IP,

Ltd.

 144‌A

 144‌A

5.500%, 4/20/26

144A

1,100,000‌

1,090

5.750%, 4/20/29

144A

200,000‌

195

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

continued

American

Builders

&

Contractors

Supply

Co.,

Inc.

 144‌A

 144‌A

3.875%, 11/15/29

144A

275,000‌

246

4.000%, 1/15/28

144A

2,050,000‌

1,914

Aramark

Services,

Inc.

 144‌A

 144‌A

5.000%, 2/1/28

144A

225,000‌

218

Asbury

Automotive

Group,

Inc.

 144‌A

 144‌A

4.625%, 11/15/29

144A

1,850,000‌

1,710

5.000%, 2/15/32

144A

450,000‌

408

BCPE

Empire

Holdings,

Inc.

 144‌A

 144‌A

7.625%, 5/1/27

144A

5,225,000‌

5,063

Beacon

Roofing

Supply,

Inc.

 144‌A

 144‌A

6.500%, 8/1/30

144A

425,000‌

429

Boyd

Gaming

Corp.

4.750%, 12/1/27

1,650,000‌

1,588

4.750%, 6/15/31

144A

575,000‌

521

Caesars

Entertainment,

Inc.

 144‌A

 144‌A

4.625%, 10/15/29

144A

825,000‌

756

6.500%, 2/15/32

144A

1,450,000‌

1,457

7.000%, 2/15/30

144A

375,000‌

383

8.125%, 7/1/27

144A

2,325,000‌

2,372

Carnival

Corp.

 144‌A

 144‌A

7.000%, 8/15/29

144A

375,000‌

389

7.625%, 3/1/26

144A

725,000‌

732

CCM

Merger,

Inc.

 144‌A

 144‌A

6.375%, 5/1/26

144A

425,000‌

421

Churchill

Downs,

Inc.

 144‌A

 144‌A

5.500%, 4/1/27

144A

225,000‌

221

6.750%, 5/1/31

144A

2,000,000‌

2,011

Clarios

Global

LP

 144‌A

 144‌A

6.750%, 5/15/25

144A

135,000‌

135

6.750%, 5/15/28

144A

625,000‌

633

Clarios

Global

LP

/

Clarios

US

Finance

Co.

 144‌A

 144‌A

6.250%, 5/15/26

144A

270,000‌

270

8.500%, 5/15/27

144A

6,450,000‌

6,486

Dana

Financing

Luxembourg

SARL

 144‌A

 144‌A

5.750%, 4/15/25

144A

325,000‌

324

Dana,

Inc.

5.375%, 11/15/27

150,000‌

147

Dornoch

Debt

Merger

Sub,

Inc.

 144‌A

 144‌A

6.625%, 10/15/29

144A

3,450,000‌

2,933

Ford

Motor

Credit

Co.

LLC

2.700%, 8/10/26

725,000‌

681

3.375%, 11/13/25

3,250,000‌

3,145

4.000%, 11/13/30

1,975,000‌

1,763

4.063%, 11/1/24

1,700,000‌

1,690

4.125%, 8/17/27

1,350,000‌

1,283

4.271%, 1/9/27

1,675,000‌

1,614

4.389%, 1/8/26

2,725,000‌

2,667

5.113%, 5/3/29

1,200,000‌

1,159

5.125%, 6/16/25

825,000‌

819

6.800%, 5/12/28

700,000‌

721

Foundation

Building

Materials,

Inc.

 144‌A

 144‌A

6.000%, 3/1/29

144A

3,625,000‌

3,217

The

Gap,

Inc.

 144‌A

 144‌A

3.625%, 10/1/29

144A

1,325,000‌

1,147

3.875%, 10/1/31

144A

475,000‌

397

Gates

Corp.

 144‌A

 144‌A

6.875%, 7/1/29

144A

875,000‌

890

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

107

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

continued

GYP

Holdings

III

Corp.

 144‌A

 144‌A

4.625%, 5/1/29

144A

2,475,000‌

2,290

H&E

Equipment

Services,

Inc.

 144‌A

 144‌A

3.875%, 12/15/28

144A

2,200,000‌

1,985

Hilton

Domestic

Operating

Co.,

Inc.

 144‌A

 144‌A

3.625%, 2/15/32

144A

700,000‌

606

3.750%, 5/1/29

144A

1,150,000‌

1,054

4.875%, 1/15/30

500,000‌

480

5.750%, 5/1/28

144A

800,000‌

796

IHO

Verwaltungs

GmbH

 144‌A

 144‌A

4.750%, 9/15/26

144A

2,150,000‌

2,083

6.000%, 5/15/27

144A

1,650,000‌

1,624

6.375%, 5/15/29

144A

2,350,000‌

2,323

Interface,

Inc.

 144‌A

 144‌A

5.500%, 12/1/28

144A

1,350,000‌

1,266

JB

Poindexter

&

Co.,

Inc.

 144‌A

 144‌A

8.750%, 12/15/31

144A

1,175,000‌

1,217

KFC

Holding

Co.

/

Pizza

Hut

Holdings

LLC

/

Taco

Bell

of

America

LLC

 144‌A

 144‌A

4.750%, 6/1/27

144A

550,000‌

536

Kontoor

Brands,

Inc.

 144‌A

 144‌A

4.125%, 11/15/29

144A

575,000‌

520

LCM

Investments

Holdings

II

LLC

 144‌A

 144‌A

8.250%, 8/1/31

144A

2,700,000‌

2,817

Light

and

Wonder

International,

Inc.

 144‌A

 144‌A

7.250%, 11/15/29

144A

1,700,000‌

1,736

7.500%, 9/1/31

144A

725,000‌

749

MGM

Resorts

International

6.500%, 4/15/32

1,775,000‌

1,767

Midwest

Gaming

Borrower

LLC

 144‌A

 144‌A

4.875%, 5/1/29

144A

1,275,000‌

1,188

Mohegan Tribal

Gaming

Authority

 144‌A

 144‌A

8.000%, 2/1/26

144A

3,575,000‌

3,389

NCL

Corp.,

Ltd.

 144‌A

 144‌A

5.875%, 3/15/26

144A

1,450,000‌

1,433

7.750%, 2/15/29

144A

525,000‌

546

8.125%, 1/15/29

144A

575,000‌

602

NCL

Finance,

Ltd.

 144‌A

 144‌A

6.125%, 3/15/28

144A

750,000‌

741

Ontario

Gaming

GTA

LP

/

OTG

Co-Issuer,

Inc.

 144‌A

 144‌A

8.000%, 8/1/30

144A

2,025,000‌

2,078

Penn

Entertainment,

Inc.

 144‌A

 144‌A

4.125%, 7/1/29

144A

2,325,000‌

1,994

5.625%, 1/15/27

144A

250,000‌

241

Raptor

Acquisition

Corp.

/

Raptor

Co-Issuer

LLC

 144‌A

 144‌A

4.875%, 11/1/26

144A

1,200,000‌

1,161

Real

Hero

Merger

Sub

2,

Inc.

 144‌A

 144‌A

6.250%, 2/1/29

144A

3,375,000‌

2,881

Royal

Caribbean

Cruises,

Ltd.

 144‌A

 144‌A

5.375%, 7/15/27

144A

750,000‌

738

5.500%, 8/31/26

144A

750,000‌

742

6.250%, 3/15/32

144A

925,000‌

933

Scientific

Games

Holdings

LP

/

Scientific

Games

US

FinCo,

Inc.

 144‌A

 144‌A

6.625%, 3/1/30

144A

1,875,000‌

1,828

SeaWorld

Parks

&

Entertainment,

Inc.

 144‌A

 144‌A

5.250%, 8/15/29

144A

2,675,000‌

2,528

Six

Flags

Entertainment

Corp.

 144‌A

 144‌A

5.500%, 4/15/27

144A

475,000‌

470

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

continued

7.250%, 5/15/31

144A

1,775,000‌

1,807

Station

Casinos

LLC

 144‌A

 144‌A

4.500%, 2/15/28

144A

2,000,000‌

1,882

4.625%, 12/1/31

144A

1,300,000‌

1,159

6.625%, 3/15/32

144A

250,000‌

249

Suburban

Propane

Partners

LP

/

Suburban

Energy

Finance

Corp.

 144‌A

 144‌A

5.000%, 6/1/31

144A

2,525,000‌

2,274

5.875%, 3/1/27

900,000‌

891

Velocity

Vehicle

Group

LLC

 144‌A

 144‌A

8.000%, 6/1/29

144A

300,000‌

309

White

Cap

Buyer

LLC

 144‌A

 144‌A

6.875%, 10/15/28

144A

1,825,000‌

1,761

White

Cap

Parent

LLC

 144‌A

 144‌A

8.250%, 3/15/26

144A

1,650,000‌

1,650

The

William

Carter

Co.

 144‌A

 144‌A

5.625%, 3/15/27

144A

800,000‌

789

WMG

Acquisition

Corp.

 144‌A

 144‌A

3.750%, 12/1/29

144A

800,000‌

725

3.875%, 7/15/30

144A

325,000‌

290

Wynn

Resorts

Finance

LLC

/

Wynn

Resorts

Capital

Corp.

 144‌A

 144‌A

7.125%, 2/15/31

144A

875,000‌

907

Yum!

Brands,

Inc.

4.625%, 1/31/32

1,625,000‌

1,494

4.750%, 1/15/30

144A

725,000‌

691

ZF

North

America

Capital,

Inc.

 144‌A

 144‌A

6.750%, 4/23/30

144A

150,000‌

153

6.875%, 4/14/28

144A

1,000,000‌

1,019

7.125%, 4/14/30

144A

550,000‌

569

Total

134,044

Consumer,

Non-cyclical

(12.7%)

AHP

Health

Partners,

Inc.

 144‌A

 144‌A

5.750%, 7/15/29

144A

1,450,000‌

1,376

Albertsons

Cos.,

Inc.

/

Safeway,

Inc.

/

New

 Albertson's

LP

/

Albertson's

LLC

 144‌A

 144‌A

3.250%, 3/15/26

144A

350,000‌

336

3.500%, 3/15/29

144A

750,000‌

675

5.875%, 2/15/28

144A

700,000‌

692

6.500%, 2/15/28

144A

1,200,000‌

1,206

7.500%, 3/15/26

144A

625,000‌

634

Allied

 Universal

 Holdco

 LLC

/

Allied

Universal

Finance

Corp.

 144‌A

 144‌A

6.000%, 6/1/29

144A

2,225,000‌

1,948

6.625%, 7/15/26

144A

47,000‌

47

7.875%, 2/15/31

144A

975,000‌

977

9.750%, 7/15/27

144A

3,675,000‌

3,653

Avantor

Funding,

Inc.

 144‌A

 144‌A

3.875%, 11/1/29

144A

1,825,000‌

1,660

4.625%, 7/15/28

144A

2,350,000‌

2,236

Bausch

Health

Cos.,

Inc.

 144‌A

 144‌A

4.875%, 6/1/28

144A

350,000‌

262

5.000%, 2/15/29

144A

625,000‌

300

5.250%, 1/30/30

144A

1,700,000‌

790

5.250%, 2/15/31

144A

300,000‌

139

5.750%, 8/15/27

144A

775,000‌

615

6.125%, 2/1/27

144A

300,000‌

250

6.250%, 2/15/29

144A

975,000‌

498

7.250%, 5/30/29

144A

1,050,000‌

542

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

108

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Bellring

Brands,

Inc.

 144‌A

 144‌A

7.000%, 3/15/30

144A

2,050,000‌

2,101

Boost

Newco

Borrower

LLC

 144‌A

 144‌A

7.500%, 1/15/31

144A

2,875,000‌

2,998

The

Brink's

Co.

 144‌A

 144‌A

6.500%, 6/15/29

144A

1,075,000‌

1,086

6.750%, 6/15/32

144A

1,050,000‌

1,058

Centene

Corp.

4.625%, 12/15/29

1,500,000‌

1,419

CHS

/

Community

Health

Systems,

Inc.

 144‌A

 144‌A

5.250%, 5/15/30

144A

1,000,000‌

824

5.625%, 3/15/27

144A

750,000‌

698

6.000%, 1/15/29

144A

550,000‌

485

6.125%, 4/1/30

144A

800,000‌

560

6.875%, 4/15/29

144A

2,100,000‌

1,606

Concentra

Escrow

Issuer

Corp.

 144‌A

 144‌A

6.875%, 7/15/32

144A

425,000‌

431

Edgewell

Personal

Care

Co.

 144‌A

 144‌A

4.125%, 4/1/29

144A

1,000,000‌

920

5.500%, 6/1/28

144A

875,000‌

854

Embecta

Corp.

 144‌A

 144‌A

5.000%, 2/15/30

144A

525,000‌

432

6.750%, 2/15/30

144A

1,400,000‌

1,217

Garda

World

Security

Corp.

 144‌A

 144‌A

4.625%, 2/15/27

144A

875,000‌

836

6.000%, 6/1/29

144A

2,375,000‌

2,167

7.750%, 2/15/28

144A

600,000‌

611

9.500%, 11/1/27

144A

3,569,000‌

3,585

Grifols

SA

 144‌A

 144‌A

4.750%, 10/15/28

144A

3,775,000‌

3,258

HCA,

Inc.

5.375%, 2/1/25

1,250,000‌

1,246

HealthEquity,

Inc.

 144‌A

 144‌A

4.500%, 10/1/29

144A

2,225,000‌

2,080

IQVIA,

Inc.

 144‌A

 144‌A

5.000%, 10/15/26

144A

1,375,000‌

1,349

5.000%, 5/15/27

144A

750,000‌

732

6.500%, 5/15/30

144A

200,000‌

203

Jazz

Securities

DAC

 144‌A

 144‌A

4.375%, 1/15/29

144A

1,400,000‌

1,300

Medline

Borrower

LP

 144‌A

 144‌A

3.875%, 4/1/29

144A

1,625,000‌

1,496

5.250%, 10/1/29

144A

6,000,000‌

5,726

Medline

Borrower

LP

/

Medline

Co-Issuer,

Inc.

 144‌A

 144‌A

6.250%, 4/1/29

144A

1,150,000‌

1,163

Neogen

Food

Safety

Corp.

 144‌A

 144‌A

8.625%, 7/20/30

144A

675,000‌

729

Organon

&

Co.

/

Organon

Foreign

Debt

Co-

Issuer

BV

 144‌A

 144‌A

4.125%, 4/30/28

144A

425,000‌

395

5.125%, 4/30/31

144A

1,800,000‌

1,617

6.750%, 5/15/34

144A

300,000‌

300

7.875%, 5/15/34

144A

500,000‌

514

Performance

Food

Group,

Inc.

 144‌A

 144‌A

4.250%, 8/1/29

144A

1,425,000‌

1,297

5.500%, 10/15/27

144A

950,000‌

929

Post

Holdings,

Inc.

 144‌A

 144‌A

5.500%, 12/15/29

144A

900,000‌

868

5.625%, 1/15/28

144A

975,000‌

960

6.250%, 2/15/32

144A

1,300,000‌

1,302

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Prestige

Brands,

Inc.

 144‌A

 144‌A

3.750%, 4/1/31

144A

650,000‌

566

Teleflex,

Inc.

 144‌A

 144‌A

4.250%, 6/1/28

144A

250,000‌

236

4.625%, 11/15/27

450,000‌

435

Tenet

Healthcare

Corp.

4.250%, 6/1/29

225,000‌

209

4.625%, 6/15/28

125,000‌

119

5.125%, 11/1/27

1,800,000‌

1,761

6.125%, 10/1/28

2,450,000‌

2,438

6.125%, 6/15/30

775,000‌

770

6.250%, 2/1/27

1,125,000‌

1,124

6.750%, 5/15/31

1,125,000‌

1,142

United

Rentals

North

America,

Inc.

4.875%, 1/15/28

1,225,000‌

1,187

5.250%, 1/15/30

425,000‌

412

5.500%, 5/15/27

400,000‌

397

6.000%, 12/15/29

144A

375,000‌

377

6.125%, 3/15/34

144A

675,000‌

672

US

Foods,

Inc.

 144‌A

 144‌A

4.625%, 6/1/30

144A

700,000‌

650

4.750%, 2/15/29

144A

1,500,000‌

1,423

6.875%, 9/15/28

144A

775,000‌

792

ZipRecruiter,

Inc.

 144‌A

 144‌A

5.000%, 1/15/30

144A

975,000‌

847

Total

85,745

Diversified

(0.2%)

Stena

International

SA

 144‌A

 144‌A

7.250%, 1/15/31

144A

1,475,000‌

1,508

Total

1,508

Energy

(10.6%)

Antero

Midstream

Partners

LP

/

Antero

Midstream

Finance

Corp.

 144‌A

 144‌A

5.375%, 6/15/29

144A

975,000‌

945

5.750%, 3/1/27

144A

2,375,000‌

2,356

5.750%, 1/15/28

144A

2,600,000‌

2,556

6.625%, 2/1/32

144A

225,000‌

227

Antero

Resources

Corp.

 144‌A

 144‌A

5.375%, 3/1/30

144A

625,000‌

605

7.625%, 2/1/29

144A

244,000‌

251

Archrock

Partners

LP

 144‌A

 144‌A

6.250%, 4/1/28

144A

1,975,000‌

1,956

6.875%, 4/1/27

144A

3,275,000‌

3,288

Ascent

Resources

Utica

Holdings

LLC

/

ARU

Finance

Corp.

 144‌A

 144‌A

5.875%, 6/30/29

144A

600,000‌

586

7.000%, 11/1/26

144A

1,375,000‌

1,376

8.250%, 12/31/28

144A

575,000‌

589

9.000%, 11/1/27

144A

400,000‌

495

Blue

Racer

Midstream

LLC

/

Blue

Racer

Finance

Corp.

 144‌A

 144‌A

7.000%, 7/15/29

144A

400,000‌

407

7.250%, 7/15/32

144A

550,000‌

565

Cheniere

Energy

Partners

LP

4.000%, 3/1/31

1,000,000‌

909

4.500%, 10/1/29

725,000‌

691

Chesapeake

Energy

Corp.

 144‌A

 144‌A

5.875%, 2/1/29

144A

225,000‌

223

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

109

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

Chesapeake

Energy

Corp.

Escrow

7.000%, 10/1/24

*

1,000,000‌

19

Chord

Energy

Corp.

 144‌A

 144‌A

6.375%, 6/1/26

144A

525,000‌

525

Civitas

Resources,

Inc.

 144‌A

 144‌A

8.375%, 7/1/28

144A

1,575,000‌

1,650

8.625%, 11/1/30

144A

575,000‌

616

8.750%, 7/1/31

144A

300,000‌

321

CNX

Midstream

Partners

LP

 144‌A

 144‌A

4.750%, 4/15/30

144A

2,250,000‌

2,028

Comstock

Resources,

Inc.

 144‌A

 144‌A

5.875%, 1/15/30

144A

475,000‌

442

6.750%, 3/1/29

144A

2,175,000‌

2,108

CrownRock

LP

/

CrownRock

Finance,

Inc.

 144‌A

 144‌A

5.625%, 10/15/25

144A

3,025,000‌

3,018

DT

Midstream,

Inc.

 144‌A

 144‌A

4.375%, 6/15/31

144A

1,450,000‌

1,321

Endeavor

Energy

Resources

LP

/

EER

Finance,

Inc.

 144‌A

 144‌A

5.750%, 1/30/28

144A

850,000‌

858

Energy

Transfer

LP

 144‌A

 144‌A

7.375%, 2/1/31

144A

750,000‌

783

Enviva

Partners

LP

/

Enviva

Partners

Finance

Corp.

 144‌A

 144‌A

6.500%, 1/15/26

144A

φ

2,235,000‌

991

EQM

Midstream

Partners

LP

 144‌A

 144‌A

4.500%, 1/15/29

144A

300,000‌

283

4.750%, 1/15/31

144A

1,325,000‌

1,239

5.500%, 7/15/28

1,925,000‌

1,896

6.000%, 7/1/25

144A

331,000‌

331

6.375%, 4/1/29

144A

600,000‌

606

6.500%, 7/1/27

144A

1,825,000‌

1,845

7.500%, 6/1/27

144A

975,000‌

996

7.500%, 6/1/30

144A

175,000‌

187

Hess

Midstream

Operations

LP

 144‌A

 144‌A

4.250%, 2/15/30

144A

625,000‌

574

5.500%, 10/15/30

144A

475,000‌

459

6.500%, 6/1/29

144A

200,000‌

203

Hess Midstream Operations LP

 144‌A

 144‌A

5.125%, 6/15/28

144A

1,300,000‌

1,259

HF

Sinclair

Corp.

 144‌A

 144‌A

5.000%, 2/1/28

144A

1,725,000‌

1,671

6.375%, 4/15/27

144A

425,000‌

426

Kodiak

Gas

Services

LLC

 144‌A

 144‌A

7.250%, 2/15/29

144A

1,225,000‌

1,256

Matador

Resources

Co.

 144‌A

 144‌A

6.500%, 4/15/32

144A

1,000,000‌

1,000

Nabors

Industries,

Ltd.

 144‌A

 144‌A

7.250%, 1/15/26

144A

1,200,000‌

1,217

7.375%, 5/15/27

144A

225,000‌

229

7.500%, 1/15/28

144A

800,000‌

763

9.125%, 1/31/30

144A

100,000‌

104

Northriver

Midstream

Finance

LP

 144‌A

 144‌A

6.750%, 7/15/32

144A

825,000‌

826

Occidental

Petroleum

Corp.

5.875%, 9/1/25

1,000,000‌

1,000

Permian

Resources

Operating

LLC

 144‌A

 144‌A

5.375%, 1/15/26

144A

825,000‌

816

Precision

Drilling

Corp.

 144‌A

 144‌A

7.125%, 1/15/26

144A

1,199,000‌

1,199

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

Range

Resources

Corp.

 144‌A

 144‌A

4.750%, 2/15/30

144A

475,000‌

446

4.875%, 5/15/25

350,000‌

348

8.250%, 1/15/29

1,125,000‌

1,166

Rockcliff

Energy

II

LLC

 144‌A

 144‌A

5.500%, 10/15/29

144A

1,025,000‌

959

Sitio

Royalties

Operating

Partnership

LP

/

Sitio

Finance

Corp.

 144‌A

 144‌A

7.875%, 11/1/28

144A

600,000‌

620

SM

Energy

Co.

5.625%, 6/1/25

1,000,000‌

996

6.500%, 7/15/28

200,000‌

198

6.625%, 1/15/27

250,000‌

249

6.750%, 9/15/26

1,100,000‌

1,100

Solaris

Midstream

Holdings

LLC

 144‌A

 144‌A

7.625%, 4/1/26

144A

775,000‌

778

Southwestern

Energy

Co.

4.750%, 2/1/32

725,000‌

667

5.375%, 3/15/30

300,000‌

290

8.375%, 9/15/28

1,100,000‌

1,137

Targa

Resources

Partners

LP

/

Targa

Resources

Partners

Finance

Corp.

5.500%, 3/1/30

2,250,000‌

2,236

6.500%, 7/15/27

300,000‌

302

TerraForm

Power

Operating

LLC

 144‌A

 144‌A

4.750%, 1/15/30

144A

1,725,000‌

1,572

5.000%, 1/31/28

144A

1,775,000‌

1,695

USA

Compression

Partners

LP

/

USA

Compression

Finance

Corp.

6.875%, 9/1/27

1,475,000‌

1,478

7.125%, 3/15/29

144A

2,175,000‌

2,192

Western

Midstream

Operating

LP

4.650%, 7/1/26

175,000‌

172

5.300%, 3/1/48

325,000‌

281

Total

71,972

Financial

(10.9%)

Acrisure

LLC

/

Acrisure

Finance,

Inc.

 144‌A

 144‌A

7.500%, 11/6/30

144A

1,875,000‌

1,876

Alliant

Holdings

Intermediate

LLC

/

Alliant

Holdings

Co-Issuer

 144‌A

 144‌A

5.875%, 11/1/29

144A

300,000‌

281

6.750%, 10/15/27

144A

275,000‌

271

7.000%, 1/15/31

144A

2,050,000‌

2,071

Ally

Financial,

Inc.

5.750%, 11/20/25

1,475,000‌

1,466

AmWINS

Group,

Inc.

 144‌A

 144‌A

4.875%, 6/30/29

144A

2,575,000‌

2,395

6.375%, 2/15/29

144A

1,175,000‌

1,178

Ardonagh

Finco,

Ltd.

 144‌A

 144‌A

7.750%, 2/15/31

144A

800,000‌

791

Ardonagh

Group

Finance,

Ltd.

 144‌A

 144‌A

8.875%, 2/15/32

144A

5,925,000‌

5,787

AssuredPartners,

Inc.

 144‌A

 144‌A

5.625%, 1/15/29

144A

1,900,000‌

1,777

7.500%, 2/15/32

144A

1,475,000‌

1,481

Baldwin

Insurance

Group

Holdings

LLC

/

Baldwin

Insurance

Group

Holdings

Finance

 144‌A

 144‌A

7.125%, 5/15/31

144A

1,650,000‌

1,669

BroadStreet

Partners,

Inc.

 144‌A

 144‌A

5.875%, 4/15/29

144A

6,075,000‌

5,669

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

110

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

GTCR

AP

Finance,

Inc.

 144‌A

 144‌A

8.000%, 5/15/27

144A

1,925,000‌

1,929

HUB

International,

Ltd.

 144‌A

 144‌A

5.625%, 12/1/29

144A

3,075,000‌

2,908

7.250%, 6/15/30

144A

3,475,000‌

3,562

7.375%, 1/31/32

144A

4,625,000‌

4,690

Iron

Mountain,

Inc.

 144‌A

 144‌A

7.000%, 2/15/29

144A

3,125,000‌

3,180

Jones

Deslauriers

Insurance

Management,

Inc.

 144‌A

 144‌A

8.500%, 3/15/30

144A

1,800,000‌

1,877

10.500%, 12/15/30

144A

1,950,000‌

2,094

Macquarie

Airfinance

Holdings,

Ltd.

 144‌A

 144‌A

6.400%, 3/26/29

144A

175,000‌

178

6.500%, 3/26/31

144A

175,000‌

180

8.125%, 3/30/29

144A

150,000‌

159

Navient

Corp.

5.000%, 3/15/27

675,000‌

644

5.500%, 3/15/29

1,650,000‌

1,507

6.750%, 6/25/25

1,300,000‌

1,299

6.750%, 6/15/26

500,000‌

502

Panther

Escrow

Issuer

LLC

 144‌A

 144‌A

7.125%, 6/1/31

144A

3,075,000‌

3,110

RHP

Hotel

Properties

LP

/

RHP

Finance

Corp.

 144‌A

 144‌A

6.500%, 4/1/32

144A

825,000‌

825

7.250%, 7/15/28

144A

600,000‌

621

Rocket

Mortgage

LLC

/

Rocket

Mortgage

Co-

Issuer,

Inc.

 144‌A

 144‌A

2.875%, 10/15/26

144A

1,800,000‌

1,681

3.625%, 3/1/29

144A

1,475,000‌

1,338

3.875%, 3/1/31

144A

1,525,000‌

1,329

4.000%, 10/15/33

144A

1,200,000‌

1,011

Ryan Specialty LLC

 144‌A

 144‌A

4.375%, 2/1/30

144A

800,000‌

741

United

Wholesale

Mortgage

LLC

 144‌A

 144‌A

5.500%, 11/15/25

144A

2,125,000‌

2,110

5.500%, 4/15/29

144A

1,725,000‌

1,639

5.750%, 6/15/27

144A

950,000‌

928

USI,

Inc.

 144‌A

 144‌A

7.500%, 1/15/32

144A

4,050,000‌

4,113

VICI

Properties

LP

/

VICI

Note

Co.,

Inc.

 144‌A

 144‌A

3.500%, 2/15/25

144A

125,000‌

123

4.250%, 12/1/26

144A

1,125,000‌

1,085

4.500%, 9/1/26

144A

450,000‌

437

4.625%, 6/15/25

144A

400,000‌

395

4.625%, 12/1/29

144A

600,000‌

568

5.750%, 2/1/27

144A

225,000‌

225

Total

73,700

Industrial

(13.0%)

ARD

Finance

SA

 144‌A

 144‌A

6.500%, 6/30/27

144A

3,032,214‌

751

Ardagh

Metal

Packaging

Finance

USA

LLC

/

Ardagh

Metal

Packaging

Finance

PLC

 144‌A

 144‌A

4.000%, 9/1/29

144A

2,250,000‌

1,904

Ardagh

Packaging

Finance

PLC

/

Ardagh

Holdings

USA,

Inc.

 144‌A

 144‌A

5.250%, 8/15/27

144A

6,825,000‌

4,234

Artera

Services

LLC

 144‌A

 144‌A

8.500%, 2/15/31

144A

775,000‌

798

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Industrial

continued

Ball

Corp.

2.875%, 8/15/30

700,000‌

595

3.125%, 9/15/31

300,000‌

254

6.000%, 6/15/29

750,000‌

754

6.875%, 3/15/28

675,000‌

693

Berry

Global,

Inc.

 144‌A

 144‌A

4.875%, 7/15/26

144A

524,000‌

515

5.625%, 7/15/27

144A

1,150,000‌

1,131

Camelot

Return

Merger

Sub,

Inc.

 144‌A

 144‌A

8.750%, 8/1/28

144A

1,225,000‌

1,201

Clearwater

Paper

Corp.

 144‌A

 144‌A

4.750%, 8/15/28

144A

150,000‌

139

Clydesdale

Acquisition

Holdings,

Inc.

 144‌A

 144‌A

8.750%, 4/15/30

144A

6,325,000‌

6,190

Coherent

Corp.

 144‌A

 144‌A

5.000%, 12/15/29

144A

2,575,000‌

2,437

CP

Atlas

Buyer,

Inc.

 144‌A

 144‌A

7.000%, 12/1/28

144A

3,250,000‌

2,778

Crown

Americas

LLC

5.250%, 4/1/30

400,000‌

387

Crown

Americas

LLC

/

Crown

Americas

Capital

Corp.

VI

4.750%, 2/1/26

1,175,000‌

1,155

EMRLD

Borrower

LP

/

Emerald

Co-Issuer,

Inc.

 144‌A

 144‌A

6.625%, 12/15/30

144A

4,225,000‌

4,258

6.750%, 7/15/31

144A

200,000‌

203

Energizer

Holdings,

Inc.

 144‌A

 144‌A

4.375%, 3/31/29

144A

2,525,000‌

2,284

4.750%, 6/15/28

144A

1,400,000‌

1,311

6.500%, 12/31/27

144A

1,650,000‌

1,648

Graphic

Packaging

International

LLC

 144‌A

 144‌A

3.500%, 3/15/28

144A

425,000‌

392

3.500%, 3/1/29

144A

450,000‌

403

3.750%, 2/1/30

144A

175,000‌

156

4.750%, 7/15/27

144A

500,000‌

488

Hillenbrand,

Inc.

6.250%, 2/15/29

2,025,000‌

2,035

Madison

IAQ

LLC

 144‌A

 144‌A

4.125%, 6/30/28

144A

250,000‌

233

5.875%, 6/30/29

144A

4,800,000‌

4,466

Masterbrand,

Inc.

 144‌A

 144‌A

7.000%, 7/15/32

144A

400,000‌

405

Mauser

Packaging

Solutions

Holding

Co.

 144‌A

 144‌A

7.875%, 4/15/27

144A

1,425,000‌

1,453

9.250%, 4/15/27

144A

1,225,000‌

1,226

Miter

Brands

Acquisition

Holdco,

Inc.

/

MIWD

Borrower

LLC

 144‌A

 144‌A

6.750%, 4/1/32

144A

575,000‌

579

MIWD

Holdco

II

LLC

/

MIWD

Finance

Corp.

 144‌A

 144‌A

5.500%, 2/1/30

144A

875,000‌

808

OI

European

Group

BV

 144‌A

 144‌A

4.750%, 2/15/30

144A

450,000‌

411

Owens-Brockway

Glass

Container,

Inc.

 144‌A

 144‌A

6.625%, 5/13/27

144A

775,000‌

773

7.250%, 5/15/31

144A

1,825,000‌

1,822

7.375%, 6/1/32

144A

400,000‌

400

Sealed

Air

Corp.

 144‌A

 144‌A

5.000%, 4/15/29

144A

550,000‌

523

6.125%, 2/1/28

144A

550,000‌

549

6.500%, 7/15/32

144A

1,000,000‌

994

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

111

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Industrial

continued

7.250%, 2/15/31

144A

575,000‌

592

Sensata

Technologies

BV

 144‌A

 144‌A

5.875%, 9/1/30

144A

1,700,000‌

1,665

Sensata

Technologies,

Inc.

 144‌A

 144‌A

3.750%, 2/15/31

144A

225,000‌

196

6.625%, 7/15/32

144A

250,000‌

252

SPX

FLOW,

Inc.

 144‌A

 144‌A

8.750%, 4/1/30

144A

2,550,000‌

2,618

Standard

Industries,

Inc.

 144‌A

 144‌A

3.375%, 1/15/31

144A

725,000‌

611

4.375%, 7/15/30

144A

1,200,000‌

1,084

4.750%, 1/15/28

144A

1,325,000‌

1,261

5.000%, 2/15/27

144A

3,000,000‌

2,916

TransDigm,

Inc.

4.625%, 1/15/29

1,250,000‌

1,166

4.875%, 5/1/29

275,000‌

258

5.500%, 11/15/27

1,250,000‌

1,227

6.375%, 3/1/29

144A

1,025,000‌

1,030

6.625%, 3/1/32

144A

2,225,000‌

2,247

6.750%, 8/15/28

144A

1,000,000‌

1,012

6.875%, 12/15/30

144A

3,850,000‌

3,930

Trivium

Packaging

Finance

BV

 144‌A

 144‌A

5.500%, 8/15/26

144A

525,000‌

514

8.500%, 8/15/27

144A

4,325,000‌

4,293

TTM

Technologies,

Inc.

 144‌A

 144‌A

4.000%, 3/1/29

144A

1,675,000‌

1,537

Watco

Cos.

LLC

/

Watco

Finance

Corp.

 144‌A

 144‌A

6.500%, 6/15/27

144A

2,150,000‌

2,141

WESCO

Distribution,

Inc.

 144‌A

 144‌A

6.375%, 3/15/29

144A

1,150,000‌

1,154

6.625%, 3/15/32

144A

1,375,000‌

1,389

7.250%, 6/15/28

144A

1,075,000‌

1,094

Total

87,923

Technology

(10.5%)

ams-OSRAM

AG

 144‌A

 144‌A

12.250%, 3/30/29

144A

475,000‌

492

AthenaHealth

Group,

Inc.

 144‌A

 144‌A

6.500%, 2/15/30

144A

6,400,000‌

5,892

Boxer

Parent

Co.,

Inc.

 144‌A

 144‌A

9.125%, 3/1/26

144A

2,100,000‌

2,102

Capstone

Borrower,

Inc.

 144‌A

 144‌A

8.000%, 6/15/30

144A

1,800,000‌

1,859

Central

Parent

LLC

/

CDK

Global

II

LLC

/

CDK

Financing

Co.,

Inc.

 144‌A

 144‌A

8.000%, 6/15/29

144A

775,000‌

787

Central

Parent,

Inc.

/

Central

Merger

Sub,

Inc.

 144‌A

 144‌A

7.250%, 6/15/29

144A

3,050,000‌

3,035

Clarivate

Science

Holdings

Corp.

 144‌A

 144‌A

3.875%, 7/1/28

144A

350,000‌

325

4.875%, 7/1/29

144A

3,100,000‌

2,877

Cloud

Software

Group,

Inc.

 144‌A

 144‌A

6.500%, 3/31/29

144A

3,125,000‌

3,001

8.250%, 6/30/32

144A

325,000‌

331

9.000%, 9/30/29

144A

2,425,000‌

2,353

Consensus

Cloud

Solutions,

Inc.

 144‌A

 144‌A

6.000%, 10/15/26

144A

1,900,000‌

1,853

6.500%, 10/15/28

144A

2,225,000‌

2,077

The

Dun

&

Bradstreet

Corp.

 144‌A

 144‌A

5.000%, 12/15/29

144A

2,375,000‌

2,206

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Technology

continued

Elastic

NV

 144‌A

 144‌A

4.125%, 7/15/29

144A

2,500,000‌

2,283

Entegris,

Inc.

 144‌A

 144‌A

3.625%, 5/1/29

144A

725,000‌

651

4.750%, 4/15/29

144A

850,000‌

813

5.950%, 6/15/30

144A

2,300,000‌

2,277

Fortress

Intermediate

3,

Inc.

 144‌A

 144‌A

7.500%, 6/1/31

144A

625,000‌

640

Helios

Software

Holdings,

Inc.

/

ION

Corporate

Solutions

Finance

SARL

 144‌A

 144‌A

4.625%, 5/1/28

144A

1,300,000‌

1,161

Insight

Enterprises,

Inc.

 144‌A

 144‌A

6.625%, 5/15/32

144A

525,000‌

533

McAfee

Corp.

 144‌A

 144‌A

7.375%, 2/15/30

144A

6,150,000‌

5,682

NCR

Atleos

Corp.

 144‌A

 144‌A

9.500%, 4/1/29

144A

1,425,000‌

1,540

NCR

Voyix

Corp.

 144‌A

 144‌A

5.000%, 10/1/28

144A

1,375,000‌

1,298

5.125%, 4/15/29

144A

1,475,000‌

1,389

5.250%, 10/1/30

144A

1,425,000‌

1,302

Open

Text

Corp.

 144‌A

 144‌A

3.875%, 2/15/28

144A

1,675,000‌

1,550

3.875%, 12/1/29

144A

125,000‌

112

6.900%, 12/1/27

144A

450,000‌

467

Open

Text

Holdings,

Inc.

 144‌A

 144‌A

4.125%, 2/15/30

144A

1,250,000‌

1,127

4.125%, 12/1/31

144A

300,000‌

264

Rackspace

Finance

LLC

 144‌A

 144‌A

3.500%, 5/15/28

144A

1,052,500‌

453

Roblox

Corp.

 144‌A

 144‌A

3.875%, 5/1/30

144A

1,650,000‌

1,466

Rocket

Software,

Inc.

 144‌A

 144‌A

6.500%, 2/15/29

144A

3,675,000‌

3,204

9.000%, 11/28/28

144A

400,000‌

407

Science

Applications

International

Corp.

 144‌A

 144‌A

4.875%, 4/1/28

144A

875,000‌

835

Seagate

HDD

Cayman

8.250%, 12/15/29

75,000‌

80

8.500%, 7/15/31

700,000‌

754

9.625%, 12/1/32

2,477,125‌

2,826

SS&C

Technologies,

Inc.

 144‌A

 144‌A

5.500%, 9/30/27

144A

3,850,000‌

3,791

6.500%, 6/1/32

144A

625,000‌

630

Synaptics,

Inc.

 144‌A

 144‌A

4.000%, 6/15/29

144A

900,000‌

816

UKG,

Inc.

 144‌A

 144‌A

6.875%, 2/1/31

144A

2,800,000‌

2,835

Zebra

Technologies

Corp.

 144‌A

 144‌A

6.500%, 6/1/32

144A

525,000‌

531

Total

70,907

Utilities

(2.4%)

AmeriGas

Partners

LP

/

AmeriGas

Finance

Corp.

5.500%, 5/20/25

75,000‌

75

5.875%, 8/20/26

1,975,000‌

1,914

Calpine

Corp.

 144‌A

 144‌A

3.750%, 3/1/31

144A

1,250,000‌

1,105

4.500%, 2/15/28

144A

1,575,000‌

1,496

4.625%, 2/1/29

144A

350,000‌

325

High

Yield

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

112

Corporate

Bonds

(95.2%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

5.000%, 2/1/31

144A

600,000‌

560

5.125%, 3/15/28

144A

1,075,000‌

1,034

5.250%, 6/1/26

144A

299,000‌

295

NextEra

Energy

Operating

Partners

LP

 144‌A

 144‌A

7.250%, 1/15/29

144A

1,925,000‌

1,974

NRG

Energy,

Inc.

 144‌A

 144‌A

3.875%, 2/15/32

144A

207,000‌

178

5.250%, 6/15/29

144A

775,000‌

744

5.750%, 1/15/28

400,000‌

397

6.625%, 1/15/27

625,000‌

624

TransAlta

Corp.

7.750%, 11/15/29

350,000‌

365

Vistra

Operations

Co.

LLC

 144‌A

 144‌A

5.000%, 7/31/27

144A

1,100,000‌

1,064

5.500%, 9/1/26

144A

1,400,000‌

1,380

5.625%, 2/15/27

144A

1,925,000‌

1,893

7.750%, 10/15/31

144A

750,000‌

781

Total

16,204

Total

Corporate

Bonds

(Cost: $690,667)

644,365

144A

144A

144A

Total

Investments

(95.2%)

(Cost:

$690,667)

@

644,365

Other

Assets,

Less

Liabilities (4.8%)

32,783

Net

Assets

(100.0%)

677,148

+

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

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$566,083

representing

83.6%

of

the

net

assets.

φ

Defaulted

Security

-

not

accruing

income

as

of

the

date

of

this

report.

*

Non

income

producing

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$690,667

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$46,302

which

is

comprised

of

$4,955

aggregate

gross

unrealized

appreciation

and

$51,257

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

—‌

$

644,365‌

$

—‌

Total

Assets:

$

—‌

$

644,365‌

$

—‌

Schedule

of

Investments

June

30,

2024

(unaudited)

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

113

Common

Stocks

(

0.1%

)

Shares/

Par

+

Value

$

(000's)

Energy

(0.0%)

Constellation

Oil

-

Class

B *,Æ,δ

112,235‌

12

Total

12

Financials

(0.1%)

DrillCo

Holding

Lux

SA

-

Class

B *,Æ,δ

2,686‌

63

DrillCo

Holding

Lux

SA

-

Class

C *,Æ,δ

24,180‌

565

Total

628

Health

Care

(0.0%)

AmSurg

Corp. *,Æ,δ

9,484‌

470

Total

470

Real

Estate

(0.0%)

ADLER

Group

SA *

8,632‌

2

Corestate

Capital

Holding

SA *,Æ,δ

421,967‌

–π

Total

2

Telecommunications

(0.0%)

Intelsat

Emergence

SA *,Æ

9,447‌

351

Total

351

Total

Common

Stocks

(Cost: $1,796)

1,463

Corporate

Bonds

(

44.9%

)

Basic

Materials

(0.5%)

ALROSA

Finance

SA

 144‌A

 144‌A

3.100%, 6/25/27

144A

Æ,φ

8,500,000‌

425

4.650%, 4/9/24

144A

Æ,φ

500,000‌

25

Georgia-Pacific

LLC

8.875%, 5/15/31

200,000‌

244

ICL

Group,

Ltd.

 144‌A

 144‌A

6.375%, 5/31/38

144A

§

2,355,000‌

2,153

INEOS

Styrolution

Group

GmbH

2.250%, 1/16/27

EUR

§,∞

500,000‌

501

MMK

International

Capital

DAC

 144‌A

 144‌A

4.375%, 6/13/24

144A

Æ,φ

1,400,000‌

70

Olympus

Water

US

Holding

Corp.

 144‌A

 144‌A

4.250%, 10/1/28

144A

1,200,000‌

1,092

Sasol

Financing

USA

LLC

6.500%, 9/27/28

2,000,000‌

1,906

Total

6,416

Communications

(3.2%)

Altice

France

SA

4.000%, 7/15/29

EUR

§,∞

3,250,000‌

2,307

4.250%, 10/15/29

EUR

§,∞

400,000‌

284

AMC

Networks,

Inc.

4.250%, 2/15/29

500,000‌

337

AT&T,

Inc.

3.500%, 9/15/53

237,000‌

161

3.650%, 9/15/59

6,663,000‌

4,468

3.800%, 12/1/57

115,000‌

80

CCO

Holdings

LLC

/

CCO

Holdings

Capital

Corp.

 144‌A

 144‌A

4.250%, 2/1/31

144A

2,500,000‌

2,041

4.500%, 6/1/33

144A

800,000‌

630

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Communications

continued

Charter

Communications

Operating

LLC

/

Charter

Communications

Operating

Capital

Corp.

3.700%, 4/1/51

300,000‌

183

4.200%, 3/15/28

1,700,000‌

1,607

5.125%, 7/1/49

1,500,000‌

1,151

Connect

Finco

SARL

/

Connect

US

Finco

LLC

 144‌A

 144‌A

6.750%, 10/1/26

144A

1,425,000‌

1,375

DISH

DBS

Corp.

 144‌A

 144‌A

5.750%, 12/1/28

144A

900,000‌

624

Gray

Television,

Inc.

 144‌A

 144‌A

5.375%, 11/15/31

144A

750,000‌

425

Intelsat

Jackson

Holdings

SA

 144‌A

 144‌A

6.500%, 3/15/30

144A

703,000‌

654

Level

3

Financing,

Inc.

 144‌A

 144‌A

11.000%, 11/15/29

144A

1,100,000‌

1,126

Prosus

NV

 144‌A

 144‌A

3.257%, 1/19/27

144A

500,000‌

468

Sirius

XM

Radio,

Inc.

 144‌A

 144‌A

3.125%, 9/1/26

144A

1,100,000‌

1,035

Sprint

Spectrum

Co.

LLC

/

Sprint

Spectrum

Co.

II

LLC

/

Sprint

Spectrum

Co.

III

LLC

 144‌A

 144‌A

5.152%, 3/20/28

144A

975,000‌

970

Sunrise

FinCo

I

BV

 144‌A

 144‌A

4.875%, 7/15/31

144A

2,700,000‌

2,452

Telecom

Italia

SpA

7.875%, 7/31/28

EUR

§,∞

1,400,000‌

1,634

T-Mobile

USA,

Inc.

5.050%, 7/15/33

750,000‌

734

5.650%, 1/15/53

1,000,000‌

985

Verizon

Communications,

Inc.

2.355%, 3/15/32

3,500,000‌

2,861

Virgin

Media

Secured

Finance

PLC

4.125%, 8/15/30

GBP

§,∞

1,200,000‌

1,259

4.250%, 1/15/30

GBP

§,∞

3,200,000‌

3,438

VMED

O2

UK

Financing

I

PLC

4.000%, 1/31/29

GBP

§,∞

3,100,000‌

3,388

4.500%, 7/15/31

GBP

§,∞

400,000‌

417

4.750%, 7/15/31

144A

1,100,000‌

928

Vodafone

Group

PLC

 α

7.000%,

(USD

5

Year

Swap

Rate

plus

4.873%), 4/4/79

α

1,700,000‌

1,752

Total

39,774

Consumer,

Cyclical

(5.2%)

Adient

Global

Holdings,

Ltd.

3.500%, 8/15/24

EUR

§,∞

59,781‌

64

Air

Canada

Pass-Through

Trust,

Series

2020-2,

 Class A

 144‌A

 144‌A

5.250%, 10/1/30

144A

572,604‌

565

Alaska

Airlines

Pass-Through

Trust,

Series

2020-1,

Class

A

 144‌A

 144‌A

4.800%, 2/15/29

144A

145,128‌

142

American

Airlines

Pass-Through

Trust,

Series

2014-1,

Class

A

3.700%, 4/1/28

151,537‌

145

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

114

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

continued

American

Airlines

Pass-Through

Trust,

Series

2015-1,

Class

A

3.375%, 11/1/28

274,963‌

260

American

Airlines

Pass-Through

Trust,

Series

2016-1,

Class

AA

3.575%, 7/15/29

707,465‌

668

American

Airlines

Pass-Through

Trust,

Series

2017-2,

Class

AA

3.350%, 4/15/31

742,793‌

684

British

Airways

Pass-Through

Trust,

Series

2020-1,

Class

A

 144‌A

 144‌A

2.900%, 9/15/36

144A

357,722‌

309

4.250%, 5/15/34

144A

96,344‌

90

Carnival

Corp.

 144‌A

 144‌A

4.000%, 8/1/28

144A

2,300,000‌

2,160

Flutter

Treasury

DAC

 144‌A

 144‌A

6.375%, 4/29/29

144A

1,200,000‌

1,208

Ford

Motor

Credit

Co.

LLC

1.744%, 7/19/24

EUR

∞

200,000‌

214

2.330%, 11/25/25

EUR

∞

100,000‌

105

2.386%, 2/17/26

EUR

∞

100,000‌

105

3.250%, 9/15/25

EUR

∞

300,000‌

319

3.625%, 6/17/31

2,900,000‌

2,500

3.815%, 11/2/27

300,000‌

281

4.134%, 8/4/25

200,000‌

196

4.389%, 1/8/26

800,000‌

783

4.535%, 3/6/25

GBP

∞

100,000‌

125

7.200%, 6/10/30

25,000‌

26

7.350%, 11/4/27

50,000‌

52

7.350%, 3/6/30

25,000‌

26

Hilton

Domestic

Operating

Co.,

Inc.

 144‌A

 144‌A

3.625%, 2/15/32

144A

2,900,000‌

2,510

IHO

Verwaltungs

GmbH

3.750%, 9/15/26

EUR

§,∞

3,250,000‌

3,428

JetBlue

Airways

Corp.

4.000%, 5/15/34

693,874‌

649

John

Lewis

PLC

4.250%, 12/18/34

GBP

§,∞

1,000,000‌

969

Las

Vegas

Sands

Corp.

3.900%, 8/8/29

100,000‌

92

Marks

&

Spencer

PLC

4.500%, 7/10/27

GBP

§,∞

300,000‌

367

Mattel,

Inc.

 144‌A

 144‌A

3.375%, 4/1/26

144A

100,000‌

96

Melco

Resorts

Finance,

Ltd.

 144‌A

 144‌A

4.875%, 6/6/25

144A

5,700,000‌

5,583

5.375%, 12/4/29

144A

700,000‌

625

Mitchells

&

Butlers

Finance

PLC

5.775%,

(SONIO

plus

0.569%), 12/15/30

GBP

§,∞

713,328‌

843

6.040%,

(US

SOFR

plus

0.712%), 12/15/30

§

129,696‌

120

6.469%, 9/15/32

GBP

§,∞

200,000‌

236

NCL

Corp.,

Ltd.

 144‌A

 144‌A

8.125%, 1/15/29

144A

1,200,000‌

1,257

Nissan

Motor

Acceptance

Corp.

 144‌A

 144‌A

2.000%, 3/9/26

144A

400,000‌

374

Nissan

Motor

Co.,

Ltd.

 144‌A

 144‌A

4.345%, 9/17/27

144A

3,500,000‌

3,342

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Cyclical

continued

Renault

SA

2.375%, 5/25/26

EUR

§,∞

3,900,000‌

4,041

Ritchie

Bros

Holdings,

Inc.

 144‌A

 144‌A

7.750%, 3/15/31

144A

1,500,000‌

1,567

Rivian

Holdings

LLC

/

Rivian

LLC

/

Rivian

Automotive

LLC

 144‌A

 144‌A

11.310%,

(CME

Term

SOFR

6

Month

plus

6.028%), 10/15/26

144A

1,900,000‌

1,917

Royal

Caribbean

Cruises,

Ltd.

 144‌A

 144‌A

7.250%, 1/15/30

144A

1,000,000‌

1,035

Sands

China,

Ltd.

2.300%, 3/8/27

400,000‌

364

3.250%, 8/8/31

1,100,000‌

926

4.050%, 1/8/26

1,700,000‌

1,645

5.900%, 8/8/28

3,200,000‌

3,133

Spirit

Loyalty

Cayman,

Ltd.

/

Spirit

IP

Cayman,

Ltd.

 144‌A

 144‌A

8.000%, 9/20/25

144A

775,000‌

566

United

Airlines

Pass-Through

Trust,

Series

2014-1,

Class

A

4.000%, 10/11/27

508,383‌

493

United

Airlines

Pass-Through

Trust,

Series

2019-2,

Class

A

2.900%, 11/1/29

80,208‌

72

United

Airlines

Pass-Through

Trust,

Series

2020-1,

Class

A

5.875%, 4/15/29

1,597,779‌

1,602

United

Airlines

Pass-Through

Trust,

Series

2023-1,

Class

A

5.800%, 7/15/37

3,700,000‌

3,756

US

Airways

Pass-Through

Trust,

Series

2012-

1,

Class

A

5.900%, 4/1/26

469,709‌

469

Viking

Cruises,

Ltd.

 144‌A

 144‌A

9.125%, 7/15/31

144A

425,000‌

460

Walgreens

Boots

Alliance,

Inc.

3.600%, 11/20/25

GBP

∞

900,000‌

1,098

Wynn

Macau,

Ltd.

 144‌A

 144‌A

5.500%, 1/15/26

144A

200,000‌

196

5.500%, 1/15/26

§

500,000‌

490

Wynn

Resorts

Finance

LLC

/

Wynn

Resorts

Capital

Corp.

 144‌A

 144‌A

5.125%, 10/1/29

144A

800,000‌

761

7.125%, 2/15/31

144A

1,000,000‌

1,037

ZF

Europe

Finance

BV

2.000%, 2/23/26

EUR

§,∞

2,000,000‌

2,057

ZF

Finance

GmbH

2.750%, 5/25/27

EUR

§,∞

4,300,000‌

4,376

3.750%, 9/21/28

EUR

§,∞

2,000,000‌

2,072

Total

65,651

Consumer,

Non-cyclical

(5.3%)

Abertis

Infraestructuras

SA

1.625%, 7/15/29

EUR

§,∞

500,000‌

485

1.875%, 3/26/32

EUR

§,∞

600,000‌

556

3.000%, 3/27/31

EUR

§,∞

600,000‌

613

3.375%, 11/27/26

GBP

§,∞

2,100,000‌

2,529

Albion

Financing

1

SARL

/

Aggreko

Holdings,

Inc.

5.250%, 10/15/26

EUR

§,∞

1,600,000‌

1,718

6.125%, 10/15/26

144A

300,000‌

296

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

115

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Alta

Equipment

Group,

Inc.

 144‌A

 144‌A

9.000%, 6/1/29

144A

1,000,000‌

928

Amgen,

Inc.

5.650%, 3/2/53

1,000,000‌

985

Ashtead

Capital,

Inc.

 144‌A

 144‌A

5.800%, 4/15/34

144A

1,000,000‌

992

Bacardi,

Ltd.

 144‌A

 144‌A

4.700%, 5/15/28

144A

2,900,000‌

2,820

BAT

Capital

Corp.

3.222%, 8/15/24

58,000‌

58

Bausch

&

Lomb

Corp.

 144‌A

 144‌A

8.375%, 10/1/28

144A

700,000‌

717

Bayer

US

Finance

LLC

 144‌A

 144‌A

6.125%, 11/21/26

144A

2,100,000‌

2,122

6.375%, 11/21/30

144A

400,000‌

410

Block,

Inc.

 144‌A

 144‌A

6.500%, 5/15/32

144A

2,700,000‌

2,736

Boels

Topholding

BV

 144‌A

 144‌A

5.750%, 5/15/30

144A

EUR

∞

1,300,000‌

1,410

Boost

Newco

Borrower

LLC

 144‌A

 144‌A

7.500%, 1/15/31

144A

2,000,000‌

2,085

Centene

Corp.

4.250%, 12/15/27

200,000‌

191

4.625%, 12/15/29

500,000‌

473

Cheplapharm

Arzneimittel

GmbH

 144‌A

 144‌A

7.500%, 5/15/30

144A

EUR

∞

600,000‌

672

CHS

/

Community

Health

Systems,

Inc.

 144‌A

 144‌A

6.000%, 1/15/29

144A

700,000‌

618

10.875%, 1/15/32

144A

500,000‌

520

Constellation

Brands,

Inc.

3.700%, 12/6/26

200,000‌

193

Coty,

Inc.

/

HFC

Prestige

Products,

Inc.

/

HFC

Prestige

International

US

LLC

 144‌A

 144‌A

6.625%, 7/15/30

144A

2,300,000‌

2,334

CVS

Pass-Through

Trust

 144‌A

 144‌A

4.704%, 1/10/36

144A

325,670‌

296

5.926%, 1/10/34

144A

534,636‌

530

7.507%, 1/10/32

144A

51,936‌

54

Elevance

Health,

Inc.

4.750%, 2/15/33

900,000‌

869

Fortrea

Holdings,

Inc.

 144‌A

 144‌A

7.500%, 7/1/30

144A

900,000‌

894

Global

Medical

Response,

Inc.

 144‌A

 144‌A

10.000%, 10/31/28

144A

101,010‌

99

HCA,

Inc.

5.200%, 6/1/28

2,000,000‌

1,992

5.450%, 4/1/31

1,200,000‌

1,199

Imperial

Brands

Finance

PLC

 144‌A

 144‌A

3.500%, 7/26/26

144A

200,000‌

192

6.125%, 7/27/27

144A

2,200,000‌

2,238

IQVIA,

Inc.

5.700%, 5/15/28

1,700,000‌

1,716

Kraft

Heinz

Foods

Co.

4.375%, 6/1/46

1,500,000‌

1,220

LifePoint

Health,

Inc.

 144‌A

 144‌A

11.000%, 10/15/30

144A

1,600,000‌

1,763

Loxam

SAS

2.875%, 4/15/26

EUR

§,∞

100,000‌

104

Market

Bidco

Finco

PLC

4.750%, 11/4/27

EUR

§,∞

1,698,000‌

1,723

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Consumer,

Non-cyclical

continued

Medline

Borrower

LP

/

Medline

Co-Issuer,

Inc.

 144‌A

 144‌A

6.250%, 4/1/29

144A

2,000,000‌

2,023

Mundys

SpA

1.625%, 2/3/25

EUR

§,∞

1,200,000‌

1,264

1.875%, 7/13/27

EUR

§,∞

400,000‌

399

1.875%, 2/12/28

EUR

§,∞

5,500,000‌

5,401

Nexi

SpA

2.125%, 4/30/29

EUR

§,∞

3,700,000‌

3,582

Organon

&

Co.

/

Organon

Foreign

Debt

Co-

Issuer

BV

2.875%, 4/30/28

EUR

§,∞

2,800,000‌

2,819

4.125%, 4/30/28

144A

2,000,000‌

1,857

Perrigo

Finance

Unlimited

Co.

4.400%, 6/15/30

200,000‌

184

Picard

Groupe

SAS

 144‌A

 144‌A

6.375%, 7/1/29

144A

EUR

∞

900,000‌

963

Sartorius

Finance

BV

4.500%, 9/14/32

EUR

§,∞

2,000,000‌

2,201

Star

Parent,

Inc.

 144‌A

 144‌A

9.000%, 10/1/30

144A

1,300,000‌

1,365

Teva

Pharmaceutical

Finance

Netherlands

II

BV

4.375%, 5/9/30

EUR

∞

2,000,000‌

2,073

4.500%, 3/1/25

EUR

∞

137,000‌

146

Wand

NewCo

3,

Inc.

 144‌A

 144‌A

7.625%, 1/30/32

144A

800,000‌

826

Total

66,453

Energy

(7.2%)

Aker

BP

ASA

 144‌A

 144‌A

3.750%, 1/15/30

144A

400,000‌

366

Antero

Midstream

Partners

LP

/

Antero

Midstream

Finance

Corp.

 144‌A

 144‌A

6.625%, 2/1/32

144A

850,000‌

858

Blue

Racer

Midstream

LLC

/

Blue

Racer

Finance

Corp.

 144‌A

 144‌A

6.625%, 7/15/26

144A

100,000‌

100

7.000%, 7/15/29

144A

1,300,000‌

1,324

Cheniere

Corpus

Christi

Holdings

LLC

5.125%, 6/30/27

100,000‌

100

Cheniere

Energy

Partners

LP

4.000%, 3/1/31

1,400,000‌

1,273

CQP

Holdco

LP

/

BIP-V

Chinook

Holdco

LLC

 144‌A

 144‌A

5.500%, 6/15/31

144A

1,000,000‌

948

Ecopetrol

SA

8.375%, 1/19/36

1,200,000‌

1,179

El

Paso

Natural

Gas

Co.

LLC

8.375%, 6/15/32

200,000‌

231

Enbridge,

Inc.

5.700%, 3/8/33

900,000‌

907

Energy

Transfer

LP

2.900%, 5/15/25

100,000‌

98

3.750%, 5/15/30

200,000‌

184

4.950%, 5/15/28

1,200,000‌

1,182

5.000%, 5/15/50

200,000‌

170

5.250%, 4/15/29

100,000‌

100

6.050%, 6/1/41

100,000‌

98

6.500%, 2/1/42

300,000‌

310

6.625%, 10/15/36

500,000‌

528

7.500%, 7/1/38

1,700,000‌

1,931

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

116

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

Eni

SpA

 144‌A

 144‌A

5.500%, 5/15/34

144A

1,300,000‌

1,288

EQM

Midstream

Partners

LP

 144‌A

 144‌A

4.500%, 1/15/29

144A

1,500,000‌

1,416

Genesis

Energy

LP

/

Genesis

Energy

Finance

Corp.

8.250%, 1/15/29

800,000‌

826

Gray

Oak

Pipeline

LLC

 144‌A

 144‌A

3.450%, 10/15/27

144A

500,000‌

470

Greensaif

Pipelines

Bidco

SARL

6.129%, 2/23/38

§

1,300,000‌

1,321

Howard

Midstream

Energy

Partners

LLC

 144‌A

 144‌A

8.875%, 7/15/28

144A

1,800,000‌

1,905

KazMunayGas

National

Co.

JSC

5.375%, 4/24/30

§

600,000‌

584

5.750%, 4/19/47

§

1,200,000‌

1,047

Kinder

Morgan

Energy

Partners

LP

6.550%, 9/15/40

2,382,000‌

2,453

Kinder

Morgan,

Inc.

7.750%, 1/15/32

1,216,000‌

1,372

MPLX

LP

4.250%, 12/1/27

100,000‌

97

NGPL

PipeCo

LLC

 144‌A

 144‌A

7.768%, 12/15/37

144A

3,900,000‌

4,501

Noble

Finance

II

LLC

 144‌A

 144‌A

8.000%, 4/15/30

144A

1,400,000‌

1,457

NuStar

Logistics

LP

5.625%, 4/28/27

1,400,000‌

1,388

6.000%, 6/1/26

200,000‌

200

Occidental

Petroleum

Corp.

5.875%, 9/1/25

700,000‌

700

Permian

Resources

Operating

LLC

 144‌A

 144‌A

7.000%, 1/15/32

144A

925,000‌

950

Pertamina

Persero

PT

 144‌A

 144‌A

6.500%, 11/7/48

144A

4,300,000‌

4,581

Petroleos

de

Venezuela

SA

5.375%, 4/12/27

§,φ

6,500,000‌

761

5.500%, 4/12/37

§,φ

4,300,000‌

499

Petroleos

Mexicanos

2.750%, 4/21/27

EUR

§,∞

1,100,000‌

1,044

4.750%, 2/26/29

EUR

§,∞

3,000,000‌

2,798

5.625%, 1/23/46

378,000‌

228

5.950%, 1/28/31

2,400,000‌

1,934

6.350%, 2/12/48

1,700,000‌

1,085

6.625%, 6/15/35

3,700,000‌

2,813

6.625%, 6/15/38

2,000,000‌

1,421

6.700%, 2/16/32

536,000‌

449

6.750%, 9/21/47

2,900,000‌

1,908

7.690%, 1/23/50

2,580,000‌

1,865

Petrorio

Luxembourg

SARL

 144‌A

 144‌A

6.125%, 6/9/26

144A

200,000‌

195

Plains

All

American

Pipeline

LP

/

PAA

Finance

Corp.

4.900%, 2/15/45

1,100,000‌

932

6.650%, 1/15/37

277,000‌

291

Ras

Laffan

Liquefied

Natural

Gas

Co.,

Ltd.

III

 144‌A

 144‌A

5.838%, 9/30/27

144A

1,431,750‌

1,441

Rio

Oil

Finance

Trust

9.750%, 1/6/27

§

206,999‌

214

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Energy

continued

Sabine

Pass

Liquefaction

LLC

4.500%, 5/15/30

700,000‌

672

5.625%, 3/1/25

1,960,000‌

1,956

5.875%, 6/30/26

400,000‌

402

Santos

Finance,

Ltd.

 144‌A

 144‌A

3.649%, 4/29/31

144A

700,000‌

612

Seadrill

Finance,

Ltd.

 144‌A

 144‌A

8.375%, 8/1/30

144A

1,500,000‌

1,568

Sitio

Royalties

Operating

Partnership

LP

/

Sitio

Finance

Corp.

 144‌A

 144‌A

7.875%, 11/1/28

144A

1,100,000‌

1,137

Southern

Gas

Corridor

CJSC

6.875%, 3/24/26

§

1,100,000‌

1,105

Southwestern

Energy

Co.

5.375%, 2/1/29

100,000‌

97

Tallgrass

Energy

Partners

LP

/

Tallgrass

Energy

Finance

Corp.

 144‌A

 144‌A

5.500%, 1/15/28

144A

7,400,000‌

7,080

Targa

Resources

Partners

LP

/

Targa

Resources

Partners

Finance

Corp.

5.500%, 3/1/30

1,200,000‌

1,193

Transocean

Aquila,

Ltd.

 144‌A

 144‌A

8.000%, 9/30/28

144A

1,100,000‌

1,117

Valaris,

Ltd.

 144‌A

 144‌A

8.375%, 4/30/30

144A

1,000,000‌

1,035

Venture

Global

Calcasieu

Pass

LLC

 144‌A

 144‌A

3.875%, 8/15/29

144A

2,700,000‌

2,459

3.875%, 11/1/33

144A

1,600,000‌

1,363

Venture

Global

LNG,

Inc.

 144‌A

 144‌A

8.375%, 6/1/31

144A

2,700,000‌

2,801

9.500%, 2/1/29

144A

2,000,000‌

2,190

Viridien

 144‌A

 144‌A

8.750%, 4/1/27

144A

300,000‌

286

Vital

Energy,

Inc.

 144‌A

 144‌A

7.875%, 4/15/32

144A

1,100,000‌

1,118

Western

Midstream

Operating

LP

3.100%, 2/1/25

1,200,000‌

1,179

Yinson

Boronia

Production

BV

 144‌A

 144‌A

8.947%, 7/31/42

144A

2,425,000‌

2,442

Total

90,133

Financial

(14.9%)

Abu

Dhabi

Development

Holding

Co.

PJSC

 144‌A

 144‌A

5.375%, 5/8/29

144A

1,900,000‌

1,930

ADLER

Financing

SARL

 144‌A

 144‌A

12.500%, 12/30/28

144A

EUR

§,∞,Æ,Þ

7,460,100‌

8,185

ADLER

Group

SA

4.625%, 1/14/26

EUR

§,∞

3,000,000‌

1,044

5.500%, 11/13/26

EUR

§,∞

5,100,000‌

1,781

AerCap

Ireland

Capital

DAC

/

AerCap

Global

Aviation

Trust

3.650%, 7/21/27

500,000‌

475

4.450%, 4/3/26

900,000‌

883

4.625%, 10/15/27

500,000‌

487

Aircastle,

Ltd.

 144‌A

 144‌A

2.850%, 1/26/28

144A

600,000‌

543

4.250%, 6/15/26

300,000‌

292

5.250%, 8/11/25

144A

2,400,000‌

2,382

Alliant

Holdings

Intermediate

LLC

/

Alliant

Holdings

Co-Issuer

 144‌A

 144‌A

7.000%, 1/15/31

144A

1,200,000‌

1,212

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

117

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

Ally

Financial,

Inc.

6.848%,

(US

SOFR

plus

2.820%), 1/3/30

α

1,000,000‌

1,028

8.000%, 11/1/31

3,271,000‌

3,610

American

Tower

Corp.

5.900%, 11/15/33

2,500,000‌

2,560

Antares

Holdings

LP

 144‌A

 144‌A

2.750%, 1/15/27

144A

250,000‌

227

Athene

Global

Funding

 144‌A

 144‌A

5.339%, 1/15/27

144A

1,500,000‌

1,500

Athora

Netherlands

NV

 α,Ψ

7.000%,

(5

Year

EUR

Annual

Swap

Rate

plus

6.463%), 6/19/25

EUR

§,µ,∞,α,Ψ

200,000‌

214

Aviation

Capital

Group

LLC

 144‌A

 144‌A

5.500%, 12/15/24

144A

1,000,000‌

997

Avolon

Holdings

Funding,

Ltd.

 144‌A

 144‌A

2.528%, 11/18/27

144A

2,173,000‌

1,954

Banca

Monte

dei

Paschi

di

Siena

SpA

1.875%, 1/9/26

EUR

§,∞

300,000‌

308

2.625%, 4/28/25

EUR

§,∞

1,600,000‌

1,683

5.375%,

(5

Year

EUR

Annual

Swap

Rate

plus

5.005%), 1/18/28

EUR

§,∞,α

3,800,000‌

4,290

8.000%,

(5

Year

EUR

Annual

Swap

Rate

plus

8.149%), 1/22/30

EUR

§,∞,α

500,000‌

541

8.500%,

(5

Year

EUR

Annual

Swap

Rate

plus

8.917%), 9/10/30

EUR

§,∞,α

800,000‌

877

Banco

Bilbao

Vizcaya

Argentaria

SA

 α

6.138%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.700%), 9/14/28

α

2,300,000‌

2,345

Banco

BTG

Pactual

SA

 144‌A

 144‌A

4.500%, 1/10/25

144A

500,000‌

495

6.250%, 4/8/29

144A

1,500,000‌

1,507

Banco

do

Brasil

SA

8.500%, 7/29/26

MXN

§,∞

22,000,000‌

1,136

Banco

Votorantim

SA

4.500%, 9/24/24

§

200,000‌

199

Bank

of

America

Corp.

3.419%,

(US

SOFR

3

Month

plus

1.302%), 12/20/28

α

973,000‌

915

5.468%,

(US

SOFR

plus

1.650%), 1/23/35

α

1,900,000‌

1,898

5.875%,

(US

SOFR

3

Month

plus

3.193%), 3/15/28

µ,α

3,700,000‌

3,680

Bank

of

Ireland

Group

PLC

 144‌A

 144‌A

6.253%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.650%), 9/16/26

144A

α

600,000‌

603

7.500%,

(5

Year

EUR

Annual

Swap

Rate

plus

7.924%), 5/19/25

EUR

§,µ,∞,α,Ψ

1,700,000‌

1,850

Barclays

PLC

5.501%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.650%), 8/9/28

α

3,000,000‌

2,994

6.125%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

year

plus

5.867%), 12/15/25

µ,α,Ψ

500,000‌

490

7.437%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

3.500%), 11/2/33

α

500,000‌

550

Blue

Owl

Finance

LLC

 144‌A

 144‌A

6.250%, 4/18/34

144A

1,200,000‌

1,203

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

BNP

Paribas

SA

 144‌A

 144‌A

1.904%,

(US

SOFR

plus

1.609%), 9/30/28

144A

α

1,700,000‌

1,518

5.497%,

(US

SOFR

plus

1.590%), 5/20/30

144A

α

1,100,000‌

1,096

BPCE

SA

 144‌A

,α

 144‌A

5.936%,

(US

SOFR

plus

1.850%), 5/30/35

144A

α

2,000,000‌

1,992

Brandywine

Operating

Partnership

LP

8.875%, 4/12/29

1,200,000‌

1,250

CaixaBank

SA

 144‌A

,α

 144‌A

5.673%,

(US

SOFR

plus

1.780%), 3/15/30

144A

α

1,300,000‌

1,295

Cantor

Fitzgerald

LP

 144‌A

 144‌A

7.200%, 12/12/28

144A

1,200,000‌

1,234

Chubb

INA

Holdings,

Inc.

0.875%, 6/15/27

EUR

∞

200,000‌

199

CI

Financial

Corp.

 144‌A

 144‌A

7.500%, 5/30/29

144A

1,100,000‌

1,090

Citigroup,

Inc.

3.400%, 5/1/26

400,000‌

386

5.449%,

(US

SOFR

plus

1.447%), 6/11/35

α

1,800,000‌

1,786

Corestate

Capital

Holding

SA

10.000%, 12/31/26

EUR

∞,Þ

209,147‌

197

Credicorp

Capital

Sociedad

Titulizadora

SA

 144‌A

 144‌A

10.100%, 12/15/43

144A

PEN

§,∞

11,300,000‌

2,999

Credit

Acceptance

Corp.

 144‌A

 144‌A

9.250%, 12/15/28

144A

1,200,000‌

1,268

Crown

Castle,

Inc.

2.100%, 4/1/31

1,700,000‌

1,377

5.000%, 1/11/28

1,700,000‌

1,679

DAE

Sukuk

DIFC,

Ltd.

 144‌A

 144‌A

3.750%, 2/15/26

144A

1,000,000‌

962

Deutsche

Bank

AG

3.035%,

(US

SOFR

plus

1.718%), 5/28/32

α

200,000‌

168

3.547%,

(US

SOFR

plus

3.043%), 9/18/31

α

1,300,000‌

1,144

3.729%,

(US

SOFR

plus

2.757%), 1/14/32

α

3,300,000‌

2,782

5.882%,

(US

SOFR

plus

5.438%), 7/8/31

α

400,000‌

392

DrillCo

Holding

Lux

SA

7.500%, 6/15/30

§

277,407‌

257

Encore

Capital

Group,

Inc.

 144‌A

 144‌A

8.500%, 5/15/30

144A

700,000‌

712

9.250%, 4/1/29

144A

1,200,000‌

1,250

Fairfax

Financial

Holdings,

Ltd.

2.750%, 3/29/28

EUR

§,∞

1,700,000‌

1,736

Fidelity

National

Financial,

Inc.

3.400%, 6/15/30

200,000‌

177

Freedom

Mortgage

Corp.

 144‌A

 144‌A

6.625%, 1/15/27

144A

500,000‌

483

7.625%, 5/1/26

144A

2,100,000‌

2,085

12.000%, 10/1/28

144A

1,000,000‌

1,074

GLP

Capital

LP

/

GLP

Financing

II,

Inc.

3.350%, 9/1/24

100,000‌

99

5.750%, 6/1/28

400,000‌

400

goeasy,

Ltd.

 144‌A

 144‌A

9.250%, 12/1/28

144A

1,100,000‌

1,168

The

Goldman

Sachs

Group,

Inc.

3.375%, 3/27/25

EUR

§,∞

200,000‌

214

5.851%,

(US

SOFR

plus

1.552%), 4/25/35

α

2,500,000‌

2,561

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

118

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

6.484%,

(US

SOFR

plus

1.770%), 10/24/29

α

1,500,000‌

1,566

HAT

Holdings

I

LLC

/

HAT

Holdings

II

LLC

 144‌A

 144‌A

8.000%, 6/15/27

144A

2,250,000‌

2,339

HSBC

Holdings

PLC

1.645%,

(US

SOFR

plus

1.538%), 4/18/26

α

200,000‌

194

2.099%,

(US

SOFR

plus

1.929%), 6/4/26

α

200,000‌

193

2.804%,

(US

SOFR

plus

1.187%), 5/24/32

α

3,300,000‌

2,761

3.973%,

(US

SOFR

3

Month

plus

1.872%), 5/22/30

α

4,900,000‌

4,580

Hudson

Pacific

Properties

LP

3.250%, 1/15/30

500,000‌

345

ING

Groep

NV

 α,Ψ

5.750%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

year

plus

4.342%), 11/16/26

µ,α,Ψ

1,800,000‌

1,730

Intesa

Sanpaolo

SpA

 144‌A

 144‌A

3.250%, 9/23/24

144A

300,000‌

298

4.000%, 9/23/29

144A

200,000‌

184

5.500%,

(5

Year

EUR

Annual

Swap

Rate

plus

5.848%), 3/1/28

EUR

§,µ,∞,α,Ψ

1,025,000‌

1,049

5.875%,

(5

Year

EUR

Annual

Swap

Rate

plus

6.086%), 9/1/31

EUR

§,µ,∞,α,Ψ

450,000‌

460

Jane

Street

Group

/

JSG

Finance,

Inc.

 144‌A

 144‌A

7.125%, 4/30/31

144A

1,900,000‌

1,948

Jefferies

Finance

LLC

/

JFIN

Co-Issuer

Corp.

 144‌A

 144‌A

5.000%, 8/15/28

144A

1,500,000‌

1,384

JPMorgan

Chase

&

Co.

5.040%,

(US

SOFR

plus

1.190%), 1/23/28

α

2,000,000‌

1,989

5.336%,

(US

SOFR

plus

1.620%), 1/23/35

α

1,300,000‌

1,292

5.581%,

(US

SOFR

plus

1.160%), 4/22/30

α

1,200,000‌

1,219

Kaisa

Group

Holdings,

Ltd.

9.375%, 6/30/24

§,φ

400,000‌

13

9.750%, 9/28/23

§,φ

600,000‌

18

10.500%, 1/15/25

§,φ

1,100,000‌

36

10.875%, 7/23/23

§,φ

400,000‌

13

11.250%, 4/16/25

§,φ

3,500,000‌

114

11.650%, 6/1/26

§,φ

1,000,000‌

32

Kennedy

Wilson,

Inc.

4.750%, 2/1/30

1,800,000‌

1,494

Ladder

Capital

Finance

LLLP

/

Ladder

Capital

Finance

Corp.

 144‌A

 144‌A

7.000%, 7/15/31

144A

1,300,000‌

1,311

Lazard

Group

LLC

6.000%, 3/15/31

1,200,000‌

1,213

LeasePlan

Corp.

NV

 144‌A

 144‌A

2.875%, 10/24/24

144A

300,000‌

297

Lloyds

Banking

Group

PLC

4.976%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.300%), 8/11/33

α

200,000‌

191

5.679%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.750%), 1/5/35

α

1,700,000‌

1,693

Logicor

Financing

SARL

3.250%, 11/13/28

EUR

§,∞

600,000‌

610

Macquarie

Airfinance

Holdings,

Ltd.

 144‌A

 144‌A

6.500%, 3/26/31

144A

425,000‌

437

Marsh

&

McLennan

Cos.,

Inc.

1.349%, 9/21/26

EUR

∞

100,000‌

102

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

Mizuho

Financial

Group,

Inc.

 α

5.594%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.300%), 7/10/35

α

1,500,000‌

1,493

Morgan

Stanley

3.790%,

(Euribor

3

Month

ACT/360

plus

1.037%), 3/21/30

EUR

∞,α

1,800,000‌

1,929

5.466%,

(US

SOFR

plus

1.730%), 1/18/35

α

2,000,000‌

1,995

Nationstar

Mortgage

Holdings,

Inc.

 144‌A

 144‌A

7.125%, 2/1/32

144A

1,300,000‌

1,308

NatWest

Group

PLC

4.800%, 4/5/26

2,800,000‌

2,765

4.892%,

(ICE

LIBOR

USD

3

Month

plus

1.754%), 5/18/29

α

3,700,000‌

3,617

6.000%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

year

plus

5.625%), 12/29/25

µ,α,Ψ

500,000‌

489

Newmark

Group,

Inc.

 144‌A

 144‌A

7.500%, 1/12/29

144A

1,200,000‌

1,234

NN

Group

NV

 α

4.500%,

(Euribor

3

Month

ACT/360

plus

4.000%), 7/15/49

EUR

§,µ,∞,α

2,600,000‌

2,778

Nomura

Holdings,

Inc.

5.594%, 7/2/27

1,000,000‌

1,000

OMEGA

Healthcare

Investors,

Inc.

4.500%, 1/15/25

100,000‌

99

OneMain

Finance

Corp.

3.500%, 1/15/27

1,100,000‌

1,031

4.000%, 9/15/30

700,000‌

601

7.125%, 3/15/26

1,400,000‌

1,423

Pacific

Life

Global

Funding

II

 144‌A

 144‌A

1.200%, 6/24/25

144A

200,000‌

192

Panama

Infrastructure

Receivable

Purchaser

PLC

 144‌A

 144‌A

0.000%, 4/5/32

144A

PO

2,900,000‌

1,885

Panther

Escrow

Issuer

LLC

 144‌A

 144‌A

7.125%, 6/1/31

144A

1,800,000‌

1,821

PennyMac

Financial

Services,

Inc.

 144‌A

 144‌A

7.875%, 12/15/29

144A

1,800,000‌

1,856

PRA

Group,

Inc.

 144‌A

 144‌A

8.375%, 2/1/28

144A

1,300,000‌

1,296

RLJ

Lodging

Trust

LP

 144‌A

 144‌A

3.750%, 7/1/26

144A

200,000‌

190

Sammons

Financial

Group,

Inc.

 144‌A

 144‌A

6.875%, 4/15/34

144A

1,500,000‌

1,538

Santander

UK

Group

Holdings

PLC

2.896%,

(US

SOFR

plus

1.475%), 3/15/32

α

800,000‌

674

3.823%,

(ICE

LIBOR

USD

3

Month

plus

1.400%), 11/3/28

α

4,000,000‌

3,780

Sberbank

of

Russia

Via

SB

Capital

SA

 Ψ

5.250%, 5/23/23

§,Æ,φ,Ψ

4,500,000‌

225

Standard

Chartered

PLC

 144‌A

,α

 144‌A

5.688%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.050%), 5/14/28

144A

α

1,700,000‌

1,700

Tesco

Property

Finance

3

PLC

5.744%, 4/13/40

GBP

§,∞

88,984‌

112

Tesco

Property

Finance

6

PLC

5.411%, 7/13/44

GBP

§,∞

2,476,663‌

3,019

Trust

Fibra

Uno

 144‌A

 144‌A

6.390%, 1/15/50

144A

100,000‌

79

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

119

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Financial

continued

7.375%, 2/13/34

144A

1,200,000‌

1,184

UBS

Group

AG

 144‌A

 144‌A

4.703%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

2.050%), 8/5/27

144A

α

400,000‌

393

5.428%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.520%), 2/8/30

144A

α

1,200,000‌

1,198

5.699%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.770%), 2/8/35

144A

α

1,300,000‌

1,299

6.327%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

1

Year

plus

1.600%), 12/22/27

144A

α

3,000,000‌

3,050

UniCredit

SpA

 144‌A

,α

 144‌A

7.296%,

(USD

5

Year

Swap

Rate

plus

4.914%), 4/2/34

144A

α

3,700,000‌

3,775

VFH

Parent

LLC

/

Valor

Co-Issuer,

Inc.

 144‌A

 144‌A

7.500%, 6/15/31

144A

900,000‌

904

VICI

Properties,

Inc.

5.750%, 4/1/34

2,600,000‌

2,576

Virgin

Money

UK

PLC

3.375%,

(1

Year

GBP

Swap

Rate

plus

2.145%), 4/24/26

GBP

§,∞,α

100,000‌

124

4.000%,

(1

Year

UK

Gilts

plus

2.800%), 9/25/26

GBP

§,∞,α

500,000‌

618

4.000%,

(1

Year

UK

Gilts

plus

3.750%), 9/3/27

GBP

§,∞,α

200,000‌

245

Wells

Fargo

&

Co.

1.000%, 2/2/27

EUR

§,∞

1,500,000‌

1,503

4.808%,

(US

SOFR

plus

1.980%), 7/25/28

α

200,000‌

197

5.574%,

(US

SOFR

plus

1.740%), 7/25/29

α

1,500,000‌

1,514

5.707%,

(US

SOFR

plus

1.070%), 4/22/28

α

1,500,000‌

1,513

Weyerhaeuser

Co.

7.375%, 3/15/32

424,000‌

474

Yango

Justice

International,

Ltd.

7.500%, 4/15/24

§,φ

4,200,000‌

2

7.875%, 9/4/24

§,φ

600,000‌

–π

Total

187,701

Industrial

(3.2%)

Berry

Global,

Inc.

1.570%, 1/15/26

100,000‌

94

The

Boeing

Co.

3.950%, 8/1/59

2,000,000‌

1,274

5.150%, 5/1/30

2,400,000‌

2,305

6.858%, 5/1/54

144A

2,000,000‌

2,052

Cargo

Aircraft

Management,

Inc.

 144‌A

 144‌A

4.750%, 2/1/28

144A

1,400,000‌

1,299

Constellation

Oil

Services

Holding

SA

3.000%, 12/31/26

101,233‌

83

DAE

Funding

LLC

 144‌A

 144‌A

1.550%, 8/1/24

144A

1,700,000‌

1,693

2.625%, 3/20/25

144A

500,000‌

487

3.375%, 3/20/28

144A

700,000‌

643

3.375%, 3/20/28

§

200,000‌

184

Empresa

de

Transporte

de

Pasajeros

Metro

SA

4.700%, 5/7/50

§

1,400,000‌

1,140

ESAB

Corp.

 144‌A

 144‌A

6.250%, 4/15/29

144A

1,200,000‌

1,207

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Industrial

continued

Flex,

Ltd.

3.750%, 2/1/26

700,000‌

679

Fortress

Transportation

&

Infrastructure

Investors

LLC

 144‌A

 144‌A

5.500%, 5/1/28

144A

400,000‌

388

7.000%, 5/1/31

144A

4,400,000‌

4,495

GE

Capital

UK

Funding

Unlimited

Co.

5.875%, 1/18/33

GBP

∞

800,000‌

1,040

General

Electric

Co.

4.125%, 9/19/35

EUR

§,∞

500,000‌

544

GN

Bondco

LLC

 144‌A

 144‌A

9.500%, 10/15/31

144A

1,200,000‌

1,118

Imola

Merger

Corp.

 144‌A

 144‌A

4.750%, 5/15/29

144A

1,300,000‌

1,215

Lima

Metro

Line

2

Finance,

Ltd.

 144‌A

 144‌A

5.875%, 7/5/34

144A

257,498‌

254

The

Manitowoc

Co.,

Inc.

 144‌A

 144‌A

9.000%, 4/1/26

144A

6,200,000‌

6,200

Rolls-Royce

PLC

4.625%, 2/16/26

EUR

§,∞

1,600,000‌

1,727

5.750%, 10/15/27

144A

200,000‌

201

5.750%, 10/15/27

GBP

§,∞

100,000‌

127

SMBC

Aviation

Capital

Finance

DAC

 144‌A

 144‌A

2.300%, 6/15/28

144A

200,000‌

177

Spirit

Aerosystems,

Inc.

 144‌A

 144‌A

9.375%, 11/30/29

144A

100,000‌

108

9.750%, 11/15/30

144A

1,500,000‌

1,655

Standard

Industries,

Inc.

2.250%, 11/21/26

EUR

§,∞

2,600,000‌

2,630

TransDigm,

Inc.

 144‌A

 144‌A

7.125%, 12/1/31

144A

1,600,000‌

1,649

Vallourec

SACA

 144‌A

 144‌A

7.500%, 4/15/32

144A

1,300,000‌

1,346

XPO,

Inc.

 144‌A

 144‌A

6.250%, 6/1/28

144A

1,200,000‌

1,204

7.125%, 2/1/32

144A

1,300,000‌

1,332

Total

40,550

Technology

(2.2%)

Booz

Allen

Hamilton,

Inc.

 144‌A

 144‌A

3.875%, 9/1/28

144A

1,200,000‌

1,130

Broadcom,

Inc.

 144‌A

 144‌A

2.450%, 2/15/31

144A

700,000‌

589

3.137%, 11/15/35

144A

3,100,000‌

2,482

Cloud

Software

Group,

Inc.

 144‌A

 144‌A

8.250%, 6/30/32

144A

1,300,000‌

1,325

Crowdstrike

Holdings,

Inc.

3.000%, 2/15/29

1,275,000‌

1,150

Dell

International

LLC

/

EMC

Corp.

5.300%, 10/1/29

4,300,000‌

4,324

6.020%, 6/15/26

149,000‌

151

8.100%, 7/15/36

162,000‌

193

Gartner,

Inc.

 144‌A

 144‌A

3.750%, 10/1/30

144A

1,400,000‌

1,256

IPD

3

BV

 144‌A

 144‌A

7.085%,

(Euribor

3

Month

ACT/360

plus

3.375%), 6/15/31

144A

EUR

∞

1,700,000‌

1,818

Marvell

Technology,

Inc.

5.750%, 2/15/29

1,300,000‌

1,327

NCR

Atleos

Corp.

 144‌A

 144‌A

9.500%, 4/1/29

144A

375,000‌

405

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

120

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Technology

continued

NXP

BV

/

NXP

Funding

LLC

5.350%, 3/1/26

1,600,000‌

1,596

Oracle

Corp.

3.850%, 4/1/60

1,200,000‌

825

Seagate

HDD

Cayman

4.125%, 1/15/31

650,000‌

581

9.625%, 12/1/32

920,000‌

1,049

SS&C

Technologies,

Inc.

 144‌A

 144‌A

6.500%, 6/1/32

144A

1,800,000‌

1,816

Ubisoft

Entertainment

SA

0.878%, 11/24/27

EUR

§,∞

800,000‌

734

UKG,

Inc.

 144‌A

 144‌A

6.875%, 2/1/31

144A

2,800,000‌

2,835

VMware

LLC

4.500%, 5/15/25

300,000‌

297

4.650%, 5/15/27

1,400,000‌

1,378

4.700%, 5/15/30

100,000‌

97

Total

27,358

Utilities

(3.2%)

American

Electric

Power

Co.,

Inc.

5.625%, 3/1/33

1,000,000‌

996

Centrais

Eletricas

Brasileiras

SA

 144‌A

 144‌A

4.625%, 2/4/30

144A

300,000‌

270

Chile

Electricity

Lux

MPC

SARL

 144‌A

 144‌A

6.010%, 1/20/33

144A

1,100,000‌

1,113

Constellation

Energy

Generation

LLC

6.500%, 10/1/53

1,000,000‌

1,061

Duke

Energy

Corp.

3.750%, 4/1/31

EUR

∞

2,100,000‌

2,218

Edison

International

5.750%, 6/15/27

100,000‌

101

Electricite

de

France

SA

 144‌A

 144‌A

4.500%, 9/21/28

144A

900,000‌

868

6.000%, 4/22/64

144A

1,300,000‌

1,208

6.250%, 5/23/33

144A

1,200,000‌

1,241

9.125%,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

year

plus

5.411%), 6/15/33

144A

µ,α

1,500,000‌

1,631

Exelon

Corp.

5.450%, 3/15/34

1,200,000‌

1,192

Georgia

Power

Co.

5.250%, 3/15/34

1,200,000‌

1,196

Lumen

Technologies,

Inc.

 144‌A

 144‌A

4.125%, 4/15/29

144A

42,500‌

28

4.125%, 4/15/30

144A

42,500‌

27

Monongahela

Power

Co.

 144‌A

 144‌A

5.850%, 2/15/34

144A

900,000‌

916

Nakilat,

Inc.

6.067%, 12/31/33

§

832,690‌

865

6.267%, 12/31/33

144A

420,798‌

436

National

Fuel

Gas

Co.

5.200%, 7/15/25

300,000‌

298

NextEra

Energy

Operating

Partners

LP

 144‌A

 144‌A

7.250%, 1/15/29

144A

1,000,000‌

1,026

NPC

Ukrenergo

6.875%, 11/9/28

§,φ

800,000‌

282

Pacific

Gas

&

Electric

Co.

2.100%, 8/1/27

100,000‌

90

2.500%, 2/1/31

100,000‌

83

2.950%, 3/1/26

100,000‌

96

Corporate

Bonds

(44.9%)

Shares/

Par

+

Value

$

(000’s)

Utilities

continued

3.150%, 1/1/26

1,600,000‌

1,541

3.300%, 3/15/27

200,000‌

189

3.300%, 12/1/27

500,000‌

466

3.300%, 8/1/40

2,700,000‌

1,923

3.450%, 7/1/25

300,000‌

293

3.500%, 6/15/25

1,500,000‌

1,467

3.750%, 7/1/28

100,000‌

94

4.200%, 6/1/41

100,000‌

78

4.250%, 3/15/46

100,000‌

76

4.450%, 4/15/42

300,000‌

238

4.550%, 7/1/30

500,000‌

474

PacifiCorp

5.450%, 2/15/34

2,200,000‌

2,173

Perusahaan

Listrik

Negara

PT

 144‌A

 144‌A

3.000%, 6/30/30

144A

1,500,000‌

1,302

6.150%, 5/21/48

§

3,300,000‌

3,254

PPL

Electric

Utilities

Corp.

4.850%, 2/15/34

1,650,000‌

1,606

Southern

California

Edison

Co.

5.200%, 6/1/34

1,100,000‌

1,074

5.650%, 10/1/28

1,250,000‌

1,271

Thames

Water

Utilities

Finance

PLC

5.500%, 2/11/41

GBP

§,∞

1,225,000‌

1,250

Tierra

Mojada

Luxembourg

II

SARL

5.750%, 12/1/40

§

2,893,039‌

2,610

Virginia

Electric

&

Power

Co.

5.000%, 1/15/34

2,000,000‌

1,944

Total

40,565

Total

Corporate

Bonds

(Cost: $624,561)

564,601

Convertible

Corporate

Bonds

(

0.0%

)

Financial

(0.0%)

Sunac

China

Holdings,

Ltd.

 144‌A

 144‌A

1.000%, 9/30/32

144A

Þ

755,877‌

45

Total

45

Total

Convertible

Corporate

Bonds

(Cost: $626)

45

144A

144A

144A

Governments

(

22.2%

)

Governments

(22.2%)

Abu

Dhabi

Government

International

Bond

144A

144A

2.700%, 9/2/70

144A

3,700,000‌

2,111

2.700%, 9/2/70

 §

900,000‌

513

3.875%, 4/16/50

 §

1,500,000‌

1,193

Albania

Government

International

Bond

144A

144A

3.500%, 6/16/27

144A

EUR

 ∞

500,000‌

518

Angolan

Government

International

Bond

8.000%, 11/26/29

 §

1,200,000‌

1,079

9.125%, 11/26/49

 §

1,600,000‌

1,312

Arab

Republic

of

Egypt

144A

144A

7.500%, 2/16/61

144A

1,900,000‌

1,273

Argentine

Republic

Government

International

Bond

0.750%, 7/9/30

800,857‌

449

1.000%, 7/9/29

405,455‌

232

3.500%, 7/9/41

14,293,196‌

5,603

3.625%, 7/9/35

5,922,164‌

2,487

Australian

Government

4.250%, 4/21/26

AUD

 §,∞

2,400,000‌

1,603

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

121

Governments

(22.2%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

Banque

Ouest

Africaine

de

Developpement

144A

144A

2.750%, 1/22/33

144A

EUR

 ∞

500,000‌

431

Benin

Government

International

Bond

144A

144A

7.960%, 2/13/38

144A

2,500,000‌

2,324

Brazilian

Government

International

Bond

5.000%, 1/27/45

1,000,000‌

768

6.125%, 3/15/34

3,400,000‌

3,268

7.125%, 5/13/54

2,250,000‌

2,174

Colombia

Government

International

Bond

4.500%, 3/15/29

3,800,000‌

3,463

5.000%, 6/15/45

6,000,000‌

4,206

5.200%, 5/15/49

200,000‌

141

8.000%, 11/14/35

1,000,000‌

1,028

Costa

Rica

Government

International

Bond

144A

144A

7.300%, 11/13/54

144A

800,000‌

839

Dominican

Republic

International

Bond

144A

144A

4.875%, 9/23/32

144A

550,000‌

492

4.875%, 9/23/32

 §

1,700,000‌

1,521

6.500%, 2/15/48

144A

2,800,000‌

2,648

6.500%, 2/15/48

 §

1,000,000‌

946

6.875%, 1/29/26

 §

500,000‌

505

Ecuador

Government

International

Bond

144A

144A

0.000%, 7/31/30

144A

PO 

323,958‌

155

2.500%, 7/31/40

144A

1,225,800‌

555

3.500%, 7/31/35

144A

2,674,620‌

1,333

3.500%, 7/31/35

 §

2,961,000‌

1,476

6.000%, 7/31/30

 §

2,250,000‌

1,424

Egypt

Government

International

Bond

6.375%, 4/11/31

EUR

 §,∞

6,550,000‌

5,568

7.500%, 2/16/61

 §

800,000‌

536

El

Salvador

Government

International

Bond

144A

144A

0.250%, 4/17/30

144A

IO 

2,200,000‌

64

6.375%, 1/18/27

 §

1,063,000‌

945

9.250%, 4/17/30

144A

2,200,000‌

1,954

European

Union

3.000%, 12/4/34

EUR

 §,∞

13,100,000‌

13,831

Federal

Republic

of

Nigeria

7.625%, 11/28/47

 §

700,000‌

507

7.696%, 2/23/38

 §

600,000‌

465

7.875%, 2/16/32

 §

2,800,000‌

2,417

Ghana

Government

International

Bond

8.125%, 3/26/32

 §,φ

3,700,000‌

1,896

8.950%, 3/26/51

 §,φ

2,100,000‌

1,075

Guatemala

Government

Bond

144A

144A

6.600%, 6/13/36

144A

1,700,000‌

1,710

Hungary

Government

International

Bond

5.375%, 9/12/33

EUR

 §,∞

4,400,000‌

4,899

5.500%, 3/26/36

144A

1,400,000‌

1,345

6.125%, 5/22/28

144A

1,200,000‌

1,222

Ivory

Coast

Government

International

Bond

5.250%, 3/22/30

EUR

 §,∞

500,000‌

486

5.875%, 10/17/31

144A

EUR

 ∞

300,000‌

289

6.625%, 3/22/48

144A

EUR

 ∞

900,000‌

750

6.625%, 3/22/48

EUR

 §,∞

800,000‌

667

6.875%, 10/17/40

144A

EUR

 ∞

400,000‌

358

6.875%, 10/17/40

EUR

 §,∞

100,000‌

89

Kenya

Government

International

Bond

144A

144A

9.750%, 2/16/31

144A

1,400,000‌

1,342

Kingdom

of

Jordan

144A

144A

4.950%, 7/7/25

144A

300,000‌

292

Governments

(22.2%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

5.850%, 7/7/30

144A

400,000‌

358

7.500%, 1/13/29

144A

800,000‌

783

Mexican

Udibonos

2.750%, 11/27/31

MXN

 ∞

8,128,175‌

371

4.000%, 8/24/34

MXN

 ∞

38,446,268‌

1,882

Morocco

Government

International

Bond

144A

144A

4.000%, 12/15/50

144A

500,000‌

343

5.500%, 12/11/42

 §

800,000‌

705

North

Macedonia

144A

144A

3.675%, 6/3/26

144A

EUR

 ∞

500,000‌

519

Oman

Government

International

Bond

6.000%, 8/1/29

 §

900,000‌

912

6.250%, 1/25/31

144A

2,300,000‌

2,366

6.500%, 3/8/47

 §

500,000‌

499

6.750%, 1/17/48

 §

1,100,000‌

1,120

Panama

Government

International

Bond

3.750%, 3/16/25

1,100,000‌

1,081

4.500%, 4/16/50

1,300,000‌

872

6.700%, 1/26/36

1,900,000‌

1,841

6.853%, 3/28/54

3,800,000‌

3,474

7.500%, 3/1/31

2,900,000‌

3,031

8.125%, 4/28/34

100,000‌

107

Perusahaan

Penerbit

SBSN

Indonesia

III

3.550%, 6/9/51

 §

1,400,000‌

1,014

3.800%, 6/23/50

 §

1,400,000‌

1,063

Republic

of

Chile

4.850%, 1/22/29

1,200,000‌

1,185

Republic

of

Pakistan

6.000%, 4/8/26

 §

600,000‌

541

7.375%, 4/8/31

 §

700,000‌

552

Republic

of

Paraguay

5.600%, 3/13/48

 §

600,000‌

538

6.000%, 2/9/36

 §

1,300,000‌

1,305

6.100%, 8/11/44

 §

300,000‌

289

Republic

of

Peru

3.300%, 3/11/41

2,700,000‌

1,995

6.900%, 8/12/37

144A

PEN

 ∞

5,500,000‌

1,368

Republic

of

Poland

Government

International

Bond

5.125%, 9/18/34

2,900,000‌

2,852

5.500%, 3/18/54

1,000,000‌

970

Republic

of

South

Africa

Government

International

Bond

4.850%, 9/30/29

1,200,000‌

1,098

4.875%, 4/14/26

600,000‌

585

5.000%, 10/12/46

500,000‌

352

5.750%, 9/30/49

2,100,000‌

1,583

Republic

of

Uzbekistan

International

Bond

144A

144A

5.375%, 5/29/27

144A

EUR

 ∞

700,000‌

747

Romanian

Government

International

Bond

144A

144A

2.000%, 4/14/33

144A

EUR

 ∞

1,400,000‌

1,124

2.875%, 4/13/42

144A

EUR

 ∞

500,000‌

348

4.125%, 3/11/39

EUR

 §,∞

1,500,000‌

1,329

5.250%, 5/30/32

144A

EUR

 ∞

1,000,000‌

1,044

5.625%, 2/22/36

144A

EUR

 ∞

1,700,000‌

1,775

5.625%, 5/30/37

144A

EUR

 ∞

800,000‌

827

6.375%, 9/18/33

144A

EUR

 ∞

2,500,000‌

2,784

Saudi

International

Bond

4.500%, 10/26/46

 §

9,300,000‌

7,880

5.000%, 1/16/34

144A

10,000,000‌

9,821

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

122

Governments

(22.2%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

5.750%, 1/16/54

144A

700,000‌

680

Senegal

Government

International

Bond

4.750%, 3/13/28

EUR

 §,∞

700,000‌

692

5.375%, 6/8/37

EUR

 §,∞

600,000‌

467

6.750%, 3/13/48

 §

800,000‌

578

7.750%, 6/10/31

 §

2,100,000‌

1,993

Serbia

International

Bond

1.500%, 6/26/29

EUR

 §,∞

4,400,000‌

4,002

1.650%, 3/3/33

144A

EUR

 ∞

700,000‌

560

6.500%, 9/26/33

 §

1,500,000‌

1,520

Sri

Lanka

Government

International

Bond

7.550%, 3/28/30

 §,φ

1,600,000‌

921

7.850%, 3/14/29

 §,φ

500,000‌

295

State

Agency

of

Roads

of

Ukraine

6.250%, 6/24/30

 §,φ

600,000‌

165

State

of

Minas

Gerais

5.333%, 2/15/28

 §

80,000‌

79

State

of

Qatar

144A

144A

4.400%, 4/16/50

144A

1,200,000‌

1,050

4.400%, 4/16/50

 §

2,400,000‌

2,100

4.817%, 3/14/49

 §

800,000‌

748

5.103%, 4/23/48

 §

1,200,000‌

1,169

Turkiye

Government

International

Bond

4.875%, 4/16/43

6,200,000‌

4,383

5.750%, 5/11/47

4,400,000‌

3,372

5.875%, 5/21/30

EUR

 ∞

2,850,000‌

3,056

Ukraine

Government

International

Bond

144A

144A

4.375%, 1/27/32

144A

EUR

 ∞,φ

1,600,000‌

439

4.375%, 1/27/32

EUR

 §,∞,φ

1,700,000‌

466

6.750%, 6/20/28

144A

EUR

 ∞,φ

600,000‌

180

6.876%, 5/21/31

144A

 φ

900,000‌

257

7.375%, 9/25/34

 §,φ

300,000‌

86

8.994%, 2/1/26

144A

 φ

1,000,000‌

324

United

Kingdom

Gilt

4.375%, 7/31/54

GBP

 §,∞

2,600,000‌

3,133

United

Mexican

States

2.125%, 10/25/51

EUR

 ∞

1,000,000‌

607

3.771%, 5/24/61

5,400,000‌

3,302

4.490%, 5/25/32

EUR

 ∞

1,700,000‌

1,800

4.500%, 1/31/50

2,300,000‌

1,724

6.000%, 5/7/36

2,600,000‌

2,531

6.350%, 2/9/35

1,700,000‌

1,709

6.400%, 5/7/54

1,150,000‌

1,095

US

Treasury

1.875%, 8/31/24

 β

7,310,000‌

7,266

2.125%, 11/30/24

 β

3,400,000‌

3,356

2.250%, 11/15/24

 β

15,910,000‌

15,726

2.375%, 8/15/24

 β

3,700,000‌

3,686

4.000%, 11/15/42

19,800,000‌

18,247

4.625%, 5/15/44

15,100,000‌

15,072

4.625%, 5/15/54

4,500,000‌

4,563

4.750%, 11/15/43

8,700,000‌

8,816

Venezuela

Government

International

Bond

6.000%, 12/9/49

 §,φ

32,000‌

4

7.000%, 3/31/38

 §,φ

204,000‌

29

7.650%, 4/21/25

 §,φ

1,955,000‌

300

8.250%, 10/13/24

 §,φ

356,000‌

55

9.000%, 5/7/23

 §,φ

32,000‌

5

9.250%, 5/7/28

 §,φ

1,241,000‌

205

Governments

(22.2%)

Shares/

Par

+

Value

$

(000’s)

Governments

continued

9.375%, 1/13/34

 φ

1,400,000‌

263

Total

279,086

Total

Governments

(Cost: $311,109)

279,086

144A

144A

144A

Municipal

Bonds

(

0.5%

)

Municipal

Bonds

(0.5%)

American

Municipal

Power,

Inc.

7.834%, 2/15/41 RB  

100,000‌

121

Bay

Area

Toll

Authority

6.918%, 4/1/40 RB  

200,000‌

225

City

of

Riverside

California

Electric

Revenue

7.605%, 10/1/40 RB  

200,000‌

239

Golden

State

Tobacco

Securitization

Corp.

3.850%, 6/1/50 RB  

2,245,000‌

2,106

Irvine

Ranch

California

Water

District

6.622%, 5/1/40 RB  

100,000‌

110

Los

Angeles

County

California

Public

Works

Financing

Authority

7.618%, 8/1/40 RB  

200,000‌

236

Metropolitan

Government

of

Nashville

&

Davidson

County

Tennessee

6.568%, 7/1/37 RB  

100,000‌

109

Municipal

Electric

Authority

of

Georgia

6.655%, 4/1/57 RB  

94,000‌

102

New

York

City

Transitional

Finance

Authority

5.508%, 8/1/37 RB  

300,000‌

299

New

York

State

Urban

Development

Corp.

5.770%, 3/15/39 RB  

90,000‌

91

Port

Authority

of

New

York

&

New

Jersey

4.926%, 10/1/51 RB  

200,000‌

191

5.647%, 11/1/40 RB  

1,100,000‌

1,141

State

of

Illinois

6.630%, 2/1/35

GO  

207,308‌

216

6.725%, 4/1/35

GO  

80,385‌

84

7.350%, 7/1/35

GO  

171,429‌

184

Triborough

Bridge

&

Tunnel

Authority

5.550%, 11/15/40 RB  

800,000‌

787

Total

Municipal

Bonds

(Cost: $6,072)

6,241

Structured

Products

(

30.6%

)

Asset

Backed

Securities

(11.6%)

ABFC

Trust,

Series

2007-WMC1,

Class

A1A

6.710%,

(US

SOFR

1

Month

plus

1.365%),

6/25/37 

7,662,353‌

5,372

ACE

Securities

Corp.

Home

Equity

Loan

Trust,

Series

2004-HE4,

Class

M1

6.360%,

(US

SOFR

1

Month

plus

1.015%),

12/25/34 

1,260,803‌

1,109

ACE

Securities

Corp.

Home

Equity

Loan

Trust,

Series

2004-RM2,

Class

M2

6.255%,

(US

SOFR

1

Month

plus

0.910%),

1/25/35 

32,779‌

30

ACE

Securities

Corp.

Home

Equity

Loan

Trust,

Series

2006-FM1,

Class

A2C

5.760%,

(US

SOFR

1

Month

plus

0.415%),

7/25/36 

6,941,656‌

1,628

ACHV

ABS

Trust,

Series

2023-4CP,

Class

A

144A

144A

6.810%,

11/25/30 144A 

229,618‌

230

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

123

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

ACHV

ABS

Trust,

Series

2023-4CP,

Class

B

144A

144A

7.240%,

11/25/30 144A 

1,600,000‌

1,608

ACHV

ABS

Trust,

Series

2023-4CP,

Class

C

144A

144A

7.710%,

11/25/30 144A 

700,000‌

710

Aegis

Asset

Backed

Securities

Trust,

Series

2004-6,

Class

M2

6.460%,

(US

SOFR

1

Month

plus

1.115%),

(AFC),

3/25/35 

53,914‌

50

Ameriquest

Mortgage

Securities,

Inc.,

Series

2004-R5,

Class

M1

6.330%,

(US

SOFR

1

Month

plus

0.985%),

7/25/34 

4,952‌

5

Anchorage

Capital

CLO,

Ltd.,

Series

2018-

10A,

Class

A1AR

144A

144A

6.432%,

(US

SOFR

3

Month

plus

1.100%),

10/15/31 144A Æ

1,000,000‌

1,000

Ares

European

CLO

VI

DAC,

Series

2013-6A,

Class

ARR

144A

144A

4.516%,

(Euribor

3

Month

ACT/360

plus

0.610%),

4/15/30 144A

EUR ∞

328,323‌

351

Ares

European

CLO,

Series

10A,

Class

AR

144A

144A

4.686%,

(Euribor

3

Month

ACT/360

plus

0.780%),

10/15/31 144A

EUR ∞

931,425‌

997

Asset

Backed

Securities

Corp.

Home

Equity

Loan

Trust,

Series

2005-HE5,

Class

M4

6.360%,

(US

SOFR

1

Month

plus

1.015%),

6/25/35 

67,142‌

65

Aurium

CLO

I

DAC,

Series

2019-1A,

Class ARR

144A

144A

4.750%,

(Euribor

3

Month

ACT/360

plus

1.050%),

3/23/32 144A

EUR ∞

249,841‌

268

Avis

Budget

Rental

Car

Funding

AESOP

LLC,

Series

2024-1A,

Class

A

144A

144A

5.360%,

6/20/30 144A 

4,000,000‌

3,981

Babson

CLO,

Ltd.,

Series

2018-1A,

Class

A1

144A

144A

6.540%,

(US

SOFR

3

Month

plus

1.212%),

4/15/31 144A 

4,036,183‌

4,041

Bain

Capital

Euro

CLO,

Series

2018-2A,

Class AR

144A

144A

4.637%,

(Euribor

3

Month

ACT/360

plus

0.740%),

1/20/32 144A

EUR ∞

282,529‌

301

Bear

Stearns

Asset

Backed

Securities

I

Trust,

Series

2007-HE6,

Class

1A1

6.710%,

(US

SOFR

1

Month

plus

1.365%),

8/25/37 

26,470‌

26

Bluemountain

CLO,

Ltd.,

Series

2016-3A,

Class

AR12

144A

144A

6.522%,

(US

SOFR

3

Month

plus

1.200%),

11/15/30 144A 

2,954,489‌

2,959

Cairn

CLO

X

BV,

Series

2018-10A,

Class

AR

144A

144A

4.686%,

(Euribor

3

Month

ACT/360

plus

0.780%),

10/15/31 144A

EUR ∞

699,130‌

745

Carlyle

Global

Market

Strategies

Euro

CLO,

Series

2017-3A,

Class

A1R

144A

144A

4.606%,

(Euribor

3

Month

ACT/360

plus

0.700%),

1/15/31 144A

EUR ∞

782,962‌

839

Carrington

Mortgage

Loan

Trust,

Series

2005-

FRE1,

Class

M3

6.225%,

(US

SOFR

1

Month

plus

0.880%),

12/25/35 

8,016,000‌

6,218

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Carvana

Auto

Receivables

Trust,

Series

2023-

P1,

Class

A3

144A

144A

5.980%,

12/10/27 144A 

2,000,000‌

2,005

CBAM

CLO

Management

LLC,

Series

2019-

10A,

Class

A1R

144A

144A

6.706%,

(US

SOFR

3

Month

plus

1.382%),

4/20/32 144A 

3,500,000‌

3,503

Citigroup

Mortgage

Loan

Trust,

Series

2007-

AHL1,

Class

A2C

5.880%,

(US

SOFR

1

Month

plus

0.535%),

12/25/36 

76,480‌

74

Citigroup

Mortgage

Loan

Trust,

Series

2007-

FS1,

Class

2A1A

144A

144A

4.524%,

(US

SOFR

1

Month

plus

1.115%),

(AFC),

10/25/37 144A 

6,638,605‌

5,841

Countrywide

Asset-Backed

Certificates

Trust,

Series

2004-9,

Class

MV4

7.035%,

(US

SOFR

1

Month

plus

1.690%),

11/25/34 

55,192‌

54

Countrywide

Asset-Backed

Certificates

Trust,

Series

2005-AB4,

Class

2A4

6.160%,

(US

SOFR

1

Month

plus

0.815%),

3/25/36 

63,067‌

53

Countrywide

Asset-Backed

Certificates

Trust,

Series

2006-1,

Class

AF5

4.513%,

(AFC),

7/25/36 ∑

74,577‌

69

Countrywide

Asset-Backed

Certificates

Trust,

Series

2006-26,

Class

1A

5.600%,

(US

SOFR

1

Month

plus

0.255%),

6/25/37 

324,144‌

299

Countrywide

Asset-Backed

Certificates

Trust,

Series

2006-5,

Class

M1

5.985%,

(US

SOFR

1

Month

plus

0.640%),

8/25/36 

1,285,793‌

1,243

Countrywide

Asset-Backed

Certificates

Trust,

Series

2006-BC3,

Class

M2

5.940%,

(US

SOFR

1

Month

plus

0.595%),

2/25/37 

900,000‌

824

Countrywide

Asset-Backed

Certificates

Trust,

Series

2007-1,

Class

2A3

5.600%,

(US

SOFR

1

Month

plus

0.255%),

7/25/37 

3,367‌

3

Countrywide

Asset-Backed

Certificates

Trust,

Series

2007-13,

Class

1A

6.300%,

(US

SOFR

1

Month

plus

0.955%),

10/25/47 

930,791‌

895

Countrywide

Asset-Backed

Certificates

Trust,

Series

2007-9,

Class

1A

5.660%,

(US

SOFR

1

Month

plus

0.315%),

6/25/47 

687,675‌

585

Countrywide

Asset-Backed

Certificates

Trust,

Series

2007-SEA1,

Class

1A1

144A

144A

6.560%,

(US

SOFR

1

Month

plus

1.215%),

(AFC),

5/25/47 144A 

915,939‌

715

CPS

Auto

Trust,

Series

2024-A,

Class

B

144A

144A

5.650%,

5/15/28 144A 

1,725,000‌

1,722

CPS

Auto

Trust,

Series

2024-A,

Class

C

144A

144A

5.740%,

4/15/30 144A 

1,575,000‌

1,573

CRB

Securitization

Trust,

Series

2023-1,

Class A

144A

144A

6.960%,

10/20/33 144A 

957,244‌

963

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

124

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Credit

Suisse

First

Boston

Mortgage

Securities

Corp.,

Series

2001-HE17,

Class

A1

5.099%,

(US

SOFR

1

Month

plus

0.735%),

1/25/32 

1,695‌

2

CVC

Cordatus

Loan

Fund

XI

DAC,

Series

2011-A,

Class

AR

144A

144A

4.556%,

(Euribor

3

Month

ACT/360

plus

0.650%),

10/15/31 144A

EUR ∞

770,819‌

823

Ellington

Loan

Acquisition

Trust,

Series

2007-

2,

Class

A1

144A

144A

6.510%,

(US

SOFR

1

Month

plus

1.165%),

5/25/37 144A 

164,971‌

160

Euro-Galaxy

III

CLO

BV,

Series

2013-3A,

Class

ARRR

144A

144A

4.511%,

(Euribor

3

Month

ACT/360

plus

0.620%),

4/24/34 144A

EUR ∞

299,394‌

318

Exeter

Automobile

Receivables

Trust,

Series

2024-1A,

Class

B

5.290%,

8/15/28 

500,000‌

498

Exeter

Automobile

Receivables

Trust,

Series

2024-1A,

Class

C

5.410%,

5/15/30 

500,000‌

497

Ford

Auto

Securitization

Trust,

Series

2023-

BA,

Class

A1

144A

144A

5.889%,

5/15/26 144A

CAD ∞

1,374,778‌

1,008

Foursight

Capital

Automobile

Receivables

Trust,

Series

2024-1,

Class

A2

144A

144A

5.490%,

1/16/29 144A 

993,841‌

991

Foursight

Capital

Automobile

Receivables

Trust,

Series

2024-1,

Class

B

144A

144A

5.550%,

5/15/29 144A 

1,000,000‌

994

Fremont

Home

Loan

Trust,

Series

2005-2,

Class

M4

6.390%,

(US

SOFR

1

Month

plus

1.045%),

6/25/35 

300,000‌

264

GLS

Auto

Receivables

Trust,

Series

2024-1A,

Class

B

144A

144A

5.490%,

7/17/28 144A 

1,200,000‌

1,196

GLS

Auto

Receivables

Trust,

Series

2024-2A,

Class

B

144A

144A

5.770%,

11/15/28 144A 

1,200,000‌

1,202

GLS

Auto

Select

Receivables

Trust,

Series

2023-2A,

Class

B

144A

144A

6.670%,

12/17/29 144A 

2,000,000‌

2,058

GSAA

Home

Equity

Trust,

Series

2006-17,

Class

A1

5.580%,

(US

SOFR

1

Month

plus

0.235%),

11/25/36 

44,826‌

10

GSAMP

Trust,

Series

2004-WF,

Class

M2

7.110%,

(US

SOFR

1

Month

plus

1.765%),

10/25/34 

12,172‌

12

GSAMP

Trust,

Series

2007-FM2,

Class

A2B

5.550%,

(US

SOFR

1

Month

plus

0.205%),

1/25/37 

142,173‌

84

GSAMP

Trust,

Series

2007-NC1,

Class

A2A

5.560%,

(US

SOFR

1

Month

plus

0.215%),

12/25/46 

11,565‌

6

Harvest

CLO

XX

DAC,

Series

2020-A,

Class AR

144A

144A

4.577%,

(Euribor

3

Month

ACT/360

plus

0.680%),

10/20/31 144A

EUR ∞

567,648‌

606

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Hertz

Vehicle

Financing

III

LLC,

Series

2023-

1A,

Class

A

144A

144A

5.490%,

6/25/27 144A 

2,600,000‌

2,595

Home

Equity

Loan

Trust,

Series

2007-FRE1,

Class

2AV4

5.800%,

(US

SOFR

1

Month

plus

0.455%),

4/25/37 

500,000‌

414

HSI

Asset

Securitization

Corp.

Trust,

Series

2005-I1,

Class

2A4

6.240%,

(US

SOFR

1

Month

plus

0.895%),

11/25/35 

116,465‌

110

IndyMac

Residential

Asset

Backed

Trust,

Series

2007-B,

Class

2A2

5.620%,

(US

SOFR

1

Month

plus

0.275%),

7/25/37 

298,821‌

160

Invesco

Euro

CLO

III

DAC,

Series

3A,

Class

A

144A

144A

4.826%,

(Euribor

3

Month

ACT/360

plus

0.920%),

7/15/32 144A

EUR ∞

500,000‌

536

JP

Morgan

Mortgage

Acquisition

Trust,

Series

2007-CH3,

Class

M1

5.760%,

(US

SOFR

1

Month

plus

0.415%),

3/25/37 

400,000‌

381

KKR

Financial

CLO,

Ltd.,

Series

9,

Class

AR2

144A

144A

6.540%,

(US

SOFR

3

Month

plus

1.212%),

7/15/30 144A 

1,083,567‌

1,085

Laurelin

DAC,

Series

2016-1A,

Class

ARR

144A

144A

4.617%,

(Euribor

3

Month

ACT/360

plus

0.720%),

10/20/31 144A

EUR ∞

230,535‌

247

LCM

XV

LP,

Series

2015-A,

Class

AR2

144A

144A

6.586%,

(US

SOFR

3

Month

plus

1.262%),

7/20/30 144A 

606,603‌

607

Long

Beach

Mortgage

Loan

Trust,

Series

2006-1,

Class

2A4

6.060%,

(US

SOFR

1

Month

plus

0.715%),

2/25/36 

50,862‌

42

Long

Beach

Mortgage

Loan

Trust,

Series

2006-3,

Class

2A4

6.000%,

(US

SOFR

1

Month

plus

0.655%),

5/25/46 

270,913‌

82

Long

Beach

Mortgage

Loan

Trust,

Series

2006-4,

Class

1A

5.760%,

(US

SOFR

1

Month

plus

0.415%),

5/25/36 

1,346,001‌

698

Madison

Park

Euro

Funding

XIV

DAC,

Series

14A,

Class

A1R

144A

144A

4.706%,

(Euribor

3

Month

ACT/360

plus

0.800%),

7/15/32 144A

EUR ∞

299,890‌

319

Magnetite

CLO,

Ltd.,

Series

2015-12A,

Class AR4

144A

144A

6.479%,

(US

SOFR

3

Month

plus

1.150%),

10/15/31 144A 

3,615,987‌

3,619

Man

GLG

EURO

CLO

DAC,

Series

2021-3A,

Class

AR

144A

144A

4.586%,

(Euribor

3

Month

ACT/360

plus

0.680%),

10/15/30 144A

EUR ∞

128,481‌

138

Man

GLG

EURO

CLO

DAC,

Series

2022-6A,

Class

AR

144A

144A

4.716%,

(Euribor

3

Month

ACT/360

plus

0.810%),

10/15/32 144A

EUR ∞

276,615‌

295

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

125

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Marble

Point

CLO

X,

Ltd.,

Series

2017-1A,

Class

AR

144A

144A

6.630%,

(US

SOFR

3

Month

plus

1.302%),

10/15/30 144A 

1,907,306‌

1,909

MASTR

Asset

Backed

Securities

Trust,

Series

2004-OPT1,

Class

M1

6.240%,

(US

SOFR

1

Month

plus

0.895%),

2/25/34 

620,952‌

632

MASTR

Asset

Backed

Securities

Trust,

Series

2004-WMC2,

Class

M1

6.360%,

(US

SOFR

1

Month

plus

1.015%),

4/25/34 

64,328‌

61

MASTR

Asset

Backed

Securities

Trust,

Series

2006-FRE2,

Class

A1

5.760%,

(US

SOFR

1

Month

plus

0.415%),

3/25/36 

7,660,429‌

6,916

MASTR

Asset

Backed

Securities

Trust,

Series

2006-HE3,

Class

A2

5.660%,

(US

SOFR

1

Month

plus

0.315%),

8/25/36 

1,915,859‌

574

MASTR

Asset

Backed

Securities

Trust,

Series

2006-HE5,

Class

A3

5.780%,

(US

SOFR

1

Month

plus

0.435%),

11/25/36 

1,565,463‌

914

MASTR

Asset

Backed

Securities

Trust,

Series

2006-WMC4,

Class

A5

5.760%,

(US

SOFR

1

Month

plus

0.415%),

10/25/36 

1,193,389‌

388

Merrill

Lynch

Mortgage

Investors

Trust,

Series

2007-SD1,

Class

A1

6.360%,

(US

SOFR

1

Month

plus

1.015%),

2/25/47 

645,138‌

369

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2005-HE5,

Class

M4

6.330%,

(US

SOFR

1

Month

plus

0.985%),

9/25/35 

6,114,536‌

4,873

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2005-NC1,

Class

A2MZ

6.040%,

(US

SOFR

1

Month

plus

0.695%),

1/25/35 

571,630‌

570

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2005-NC1,

Class

M2

6.165%,

(US

SOFR

1

Month

plus

0.820%),

1/25/35 

162,120‌

157

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2005-WMC5,

Class

M5

6.450%,

(US

SOFR

1

Month

plus

1.105%),

6/25/35 

67,415‌

66

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2006-HE7,

Class

A2C

5.780%,

(US

SOFR

1

Month

plus

0.435%),

9/25/36 

57,223‌

24

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2006-HE8,

Class

A2C

5.600%,

(US

SOFR

1

Month

plus

0.255%),

10/25/36 

51,744‌

23

Morgan

Stanley

ABS

Capital

I,

Inc.

Trust,

Series

2007-HE5,

Class

A2C

5.710%,

(US

SOFR

1

Month

plus

0.365%),

3/25/37 

51,878‌

22

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Morgan

Stanley

Dean

Witter

Capital

I,

Inc.,

Series

2003-NC2,

Class

M1

6.810%,

(US

SOFR

1

Month

plus

1.465%),

2/25/33 

10,998‌

11

Morgan

Stanley

Home

Equity

Loan

Trust,

Series

2007-2,

Class

A3

5.690%,

(US

SOFR

1

Month

plus

0.345%),

4/25/37 

2,743,509‌

1,401

Neuberger

Berman

CLO,

Ltd.,

Series

2013-

14A,

Class

AR2

144A

144A

6.616%,

(US

SOFR

3

Month

plus

1.292%),

1/28/30 144A 

3,465,559‌

3,470

NovaStar

Mortgage

Funding

Trust,

Series

2007-2,

Class

A2B

5.620%,

(US

SOFR

1

Month

plus

0.275%),

(AFC),

9/25/37 

62,363‌

62

Oak

Hill

Euro

Credit

Partners

VII

DAC,

Series

2021-7A,

Class

AR

144A

144A

4.637%,

(Euribor

3

Month

ACT/360

plus

0.740%),

10/20/31 144A

EUR ∞

1,041,796‌

1,111

OneMain

Direct

Auto

Receivables

Trust,

Series

2023-1A,

Class

A

144A

144A

5.410%,

11/14/29 144A 

2,000,000‌

1,998

OneMain

Financial

Issuance

Trust,

Series

2023-2A,

Class

A2

144A

144A

6.833%,

(US

30

Day

Average

SOFR

plus

1.500%),

9/15/36 144A 

2,100,000‌

2,126

OZLM,

Ltd.,

Series

2017-17A,

Class

A1RR

144A

144A

6.475%,

(US

SOFR

3

Month

plus

1.150%),

7/20/30 144A 

1,000,000‌

1,000

Pagaya

AI

Debt

Trust,

Series

2023-3,

Class

B

144A

144A

9.570%,

12/16/30 144A 

999,801‌

1,025

Pagaya

AI

Debt

Trust,

Series

2024-3,

Class

A

144A

144A

6.258%,

10/15/31 144A 

4,023,012‌

4,025

Popular

Mortgage

Pass-Through

Trust,

Series

2006-A,

Class

M1

6.045%,

(US

SOFR

1

Month

plus

0.700%),

(AFC),

2/25/36 

5,104‌

5

RAAC

Series,

Series

2007-RP4,

Class

A

144A

144A

6.160%,

(US

SOFR

1

Month

plus

0.465%),

(AFC),

11/25/46 144A 

144,390‌

137

Rad

CLO

4,

Ltd.,

Series

2019-4A,

Class

AR

144A

144A

6.554%,

(US

SOFR

3

Month

plus

1.230%),

4/25/32 144A 

1,200,000‌

1,202

Regatta

XV

Funding,

Ltd.,

Series

2018-4A,

Class

A1R

144A

144A

6.523%,

(US

SOFR

3

Month

plus

1.200%),

10/25/31 144A 

3,300,000‌

3,301

Renaissance

Home

Equity

Loan

Trust,

Series

2006-4,

Class

AF6

5.340%,

1/25/37 ∑

1,514,158‌

473

Residential

Asset

Securities

Corp.,

Series

2007-KS3,

Class

AI4

5.800%,

(US

SOFR

1

Month

plus

0.455%),

(AFC),

4/25/37 

1,066,246‌

1,009

Santander

Drive

Auto

Receivables

Trust,

Series

2023-5,

Class

B

6.160%,

12/17/29 

1,400,000‌

1,425

Santander

Drive

Auto

Receivables

Trust,

Series

2023-5,

Class

C

6.430%,

2/18/31 

1,600,000‌

1,646

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

126

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Santander

Drive

Auto

Receivables

Trust,

Series

2023-6,

Class

B

5.980%,

4/16/29 

812,500‌

821

Santander

Drive

Auto

Receivables

Trust,

Series

2023-6,

Class

C

6.400%,

3/17/31 

812,500‌

834

Saranac

CLO,

Ltd.,

Series

2018-6A,

Class A1R

144A

144A

6.748%,

(US

SOFR

3

Month

plus

1.402%),

8/13/31 144A 

2,143,903‌

2,151

Saxon

Asset

Securities

Trust,

Series

2006-1,

Class

M1

5.925%,

(US

SOFR

1

Month

plus

0.580%),

(AFC),

3/25/36 

141,699‌

134

SMB

Private

Education

Loan

Trust,

Series

2024-C,

Class

A1A

144A

144A

5.500%,

6/17/52 144A 

1,380,271‌

1,391

SMB

Private

Education

Loan

Trust,

Series

2024-C,

Class

A1B

144A

144A

6.433%,

(US

30

Day

Average

SOFR

plus

1.100%),

6/17/52 144A 

492,954‌

493

SMB

Private

Education

Loan

Trust,

Series

2024-D,

Class

A1A

144A

144A

5.380%,

7/5/53 144A 

2,300,000‌

2,292

SMB

Private

Education

Loan

Trust,

Series

2024-D,

Class

A1B

144A

144A

6.436%,

(US

30

Day

Average

SOFR

plus

1.100%),

7/5/53 144A 

2,700,000‌

2,683

Sound

Point

CLO

XIV,

Ltd.,

Series

2017-2A,

Class

AR

144A

144A

6.565%,

(US

SOFR

3

Month

plus

1.242%),

7/25/30 144A 

1,691,803‌

1,693

Soundview

Home

Loan

Trust,

Series

2006-2,

Class

M2

5.985%,

(US

SOFR

1

Month

plus

0.640%),

3/25/36 

73,858‌

73

Soundview

Home

Loan

Trust,

Series

2006-

OPT2,

Class

A4

6.020%,

(US

SOFR

1

Month

plus

0.675%),

5/25/36 

80,013‌

77

Soundview

Home

Loan

Trust,

Series

2006-

OPT3,

Class

M1

5.925%,

(US

SOFR

1

Month

plus

0.580%),

6/25/36 

6,682,079‌

5,563

Stream

Innovations

Issuer

Trust,

Series

2024-

1A,

Class

A

144A

144A

6.270%,

7/15/44 144A 

500,000‌

500

Structured

Asset

Investment

Loan

Trust,

Series

2005-7,

Class

M2

6.225%,

(US

SOFR

1

Month

plus

0.880%),

8/25/35 

205,616‌

197

Structured

Asset

Investment

Loan

Trust,

Series

2006-BNC3,

Class

A3

5.610%,

(US

SOFR

1

Month

plus

0.265%),

9/25/36 

3,284‌

3

Structured

Asset

Securities

Corp.

Mortgage

Loan

Trust,

Series

2006-BC4,

Class

A4

5.800%,

(US

SOFR

1

Month

plus

0.455%),

12/25/36 

91,948‌

88

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Asset

Backed

Securities

continued

Structured

Asset

Securities

Corp.

Mortgage

Loan

Trust,

Series

2007-WF1,

Class

A6

5.880%,

(US

SOFR

1

Month

plus

0.535%),

2/25/37 

36,835‌

36

Toro

European

CLO

DAC,

Series

6A,

Class AR

144A

144A

4.832%,

(Euribor

3

Month

ACT/360

plus

0.920%),

1/12/32 144A

EUR ∞

500,000‌

534

Toro

European

CLO

DAC,

Series

7A

,

Class ARE

144A

144A

4.638%,

(Euribor

3

Month

ACT/360

plus

0.810%),

2/15/34 144A

EUR ∞

250,000‌

268

Trinitas

CLO

VI,

Ltd.,

Series

2017-6A,

Class ARRR

144A

144A

6.663%,

(US

SOFR

3

Month

plus

1.330%),

1/25/34 144A 

1,600,000‌

1,603

Trinitas

CLO

XIV,

Ltd.,

Series

2020-14A,

Class A1R

144A

144A

6.663%,

(US

SOFR

3

Month

plus

1.340%),

1/25/34 144A 

3,500,000‌

3,510

Truman

Capital

Mortgage

Loan

Trust,

Series

2006-1,

Class

A

144A

144A

5.720%,

(US

SOFR

1

Month

plus

0.375%),

3/25/36 144A 

174,969‌

174

Venture

CDO,

Ltd.,

Series

2018-33A,

Class A1LR

144A

144A

6.650%,

(US

SOFR

3

Month

plus

1.322%),

7/15/31 144A 

926,876‌

927

Venture

XXVIII

CLO,

Ltd.,

Series

2017-28A,

Class

A1R

144A

144A

6.576%,

(US

SOFR

3

Month

plus

1.252%),

7/20/30 144A 

135,123‌

135

Vibrant

CLO

VII,

Ltd.,

Series

2017-7A,

Class A1R

144A

144A

6.626%,

(US

SOFR

3

Month

plus

1.302%),

9/15/30 144A 

93,152‌

93

WaMu

Asset-Backed

Certificates,

Series

2007-

HE1,

Class

1A

5.760%,

(US

SOFR

1

Month

plus

0.265%),

1/25/37 

95,393‌

79

Wellfleet

CLO,

Ltd.,

Series

2015-1A,

Class AR4

144A

144A

6.476%,

(US

SOFR

3

Month

plus

1.152%),

7/20/29 144A 

21,631‌

22

World

Omni

Auto

Receivables

Trust,

Series

2024-B,

Class

A3

5.230%,

9/17/29 

800,000‌

802

Total

145,112

Mortgage

Securities

(19.0%)

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2020-BOC,

Class

A

144A

144A

2.627%,

1/15/32 144A 

2,350,000‌

1,759

Banc

of

America

Funding

Trust,

Series

2005-

H,

Class

5A1

6.245%,

(CSTR),

11/20/35 

45,874‌

41

Banc

of

America

Funding

Trust,

Series

2006-J,

Class

4A1

5.020%,

(CSTR),

1/20/47 

21,966‌

18

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

127

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Banc

of

America

Funding

Trust,

Series

2007-6,

Class

A1

6.040%,

(US

SOFR

1

Month

plus

0.695%),

7/25/37 

34,691‌

32

BCAP

LLC

Trust,

Series

2009-RR14,

Class 2A2

144A

144A

3.964%,

(CSTR),

7/26/36 144A 

14,685‌

13

BCAP

LLC

Trust,

Series

2009-RR5,

Class

3A3

144A

144A

6.250%,

(CSTR),

8/26/36 144A 

2,022,559‌

820

Bear

Stearns

Adjustable

Rate

Mortgage

Trust,

Series

2004-3,

Class

4A

6.172%,

(CSTR),

7/25/34 

742‌

1

Bear

Stearns

Adjustable

Rate

Mortgage

Trust,

Series

2007-4,

Class 22A1

4.398%,

(CSTR),

6/25/47 

48,250‌

42

Bear

Stearns

ALT-A

Trust,

Series

2006-6,

Class

2A1

4.266%,

(CSTR),

11/25/36 

112,876‌

51

Chase

Home

Lending

Mortgage

Trust,

Series

2023-RPL3,

Class

A1

144A

144A

3.250%,

(AFC),

9/25/63 144A 

6,666,836‌

5,914

Chase

Home

Lending

Mortgage

Trust,

Series

2024-RPL1,

Class

A1A

144A

144A

3.250%,

(AFC),

3/25/64 144A 

1,362,488‌

1,187

Chase

Home

Lending

Mortgage

Trust,

Series

2024-RPL2,

Class

A1A

144A

144A

3.250%,

(AFC),

8/25/64 144A 

1,390,075‌

1,208

Chase

Home

Lending

Mortgage

Trust,

Series

2024-RPL3,

Class

A1A

144A

144A

3.250%,

(AFC),

9/25/64 144A 

1,400,000‌

1,223

Citicorp

Mortgage

Securities

Trust,

Series

2007-8,

Class

1A3

6.000%,

9/25/37 

1,241‌

1

Citigroup

Mortgage

Loan

Trust,

Series

2007-

10,

Class

22AA

4.560%,

(CSTR),

9/25/37 

5,886‌

5

Citigroup

Mortgage

Loan

Trust,

Series

2007-

10,

Class

2A3A

4.771%,

(CSTR),

9/25/37 

9,929‌

9

Citigroup

Mortgage

Loan

Trust,

Series

2007-

AR4,

Class

2A2A

4.564%,

(CSTR),

3/25/37 

241,757‌

201

COLT

Mortgage

Loan

Trust,

Series

2024-3,

Class

A1

144A

144A

7.393%,

(AFC),

6/25/69 144A ∑

997,769‌

1,004

Countrywide

Alternative

Loan

Trust,

Series

2004-28CB,

Class

5A1

5.750%,

1/25/35 

8,050‌

8

Countrywide

Alternative

Loan

Trust,

Series

2005-1CB,

Class

2A1

6.000%,

3/25/35 

257,298‌

115

Countrywide

Alternative

Loan

Trust,

Series

2005-59,

Class

1A1

6.117%,

(US

SOFR

1

Month

plus

0.775%),

11/20/35 

3,379‌

3

Countrywide

Alternative

Loan

Trust,

Series

2005-76,

Class

1A1

6.633%,

(Federal

Reserve

US

12

Month

Cumulative

Avg

1

year

CMT

plus

1.480%),

1/25/36 

9,413‌

9

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Countrywide

Alternative

Loan

Trust,

Series

2005-79CB,

Class

A3

5.500%,

1/25/36 

99,715‌

56

Countrywide

Alternative

Loan

Trust,

Series

2005-J1,

Class

1A8

5.500%,

2/25/35 

81,810‌

70

Countrywide

Alternative

Loan

Trust,

Series

2005-J1,

Class

3A1

6.500%,

8/25/32 

697‌

1

Countrywide

Alternative

Loan

Trust,

Series

2005-J11,

Class

1A13

5.500%,

11/25/35 

144,524‌

80

Countrywide

Alternative

Loan

Trust,

Series

2006-45T1,

Class

1A13

6.000%,

2/25/37 

103,852‌

39

Countrywide

Alternative

Loan

Trust,

Series

2006-5T2,

Class

A1

5.960%,

(US

SOFR

1

Month

plus

0.615%),

4/25/36 

336,391‌

132

Countrywide

Alternative

Loan

Trust,

Series

2006-HY10,

Class

2A1

5.383%,

(CSTR),

5/25/36 

5,297‌

5

Countrywide

Alternative

Loan

Trust,

Series

2006-OA12,

Class

A1B

5.643%,

(US

SOFR

1

Month

plus

0.305%),

9/20/46 

4,646‌

5

Countrywide

Alternative

Loan

Trust,

Series

2006-OA17,

Class

1A1A

5.648%,

(US

SOFR

1

Month

plus

0.310%),

12/20/46 

18,760‌

16

Countrywide

Alternative

Loan

Trust,

Series

2006-OA2,

Class

A1

5.873%,

(US

SOFR

1

Month

plus

0.535%),

5/20/46 

251,464‌

210

Countrywide

Alternative

Loan

Trust,

Series

2006-OA9,

Class

2A1A

5.663%,

(US

SOFR

1

Month

plus

0.325%),

7/20/46 

5,605‌

4

Countrywide

Alternative

Loan

Trust,

Series

2007-9T1,

Class

2A2

6.000%,

5/25/37 

216,911‌

95

Countrywide

Alternative

Loan

Trust,

Series

2007-AL1,

Class

A1

5.710%,

(US

SOFR

1

Month

plus

0.365%),

6/25/37 

3,152,605‌

2,485

Countrywide

Alternative

Loan

Trust,

Series

2007-OA3,

Class

1A1

5.740%,

(US

SOFR

1

Month

plus

0.395%),

4/25/47 

22,201‌

19

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2005-22,

Class

3A1

4.412%,

(CSTR),

10/25/35 

8,426‌

7

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2005-HYB8,

Class 1A1

5.114%,

(CSTR),

12/20/35 

745‌

1

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2006-16,

Class

2A1

6.500%,

11/25/36 

13,118‌

4

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

128

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2006-9,

Class

A1

6.000%,

5/25/36 

94,890‌

42

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2006-OA4,

Class

A1

6.113%,

(Federal

Reserve

US

12

Month

Cumulative

Avg

1

year

CMT

plus

0.960%),

4/25/46 

33,967‌

10

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2006-OA4,

Class

A2

6.000%,

(US

SOFR

1

Month

plus

0.655%),

4/25/46 

900,138‌

256

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2007-HYB1,

Class 3A1

4.483%,

(CSTR),

3/25/37 

4,661‌

4

Credit

Suisse

First

Boston

Mortgage

Securities

Corp.,

Series

2003-8,

Class

5A1

6.500%,

4/25/33 

217‌

–π

Credit

Suisse

Mortgage

Trust,

Series

2014-6R,

Class

3A2

144A

144A

4.916%,

(CSTR),

9/27/35 144A 

140,725‌

118

Cross

Mortgage

Trust,

Series

2024-H4,

Class A1

144A

144A

7.147%,

(AFC),

7/25/69 144A ∑

1,000,000‌

1,000

Deutsche

ALT-A

Securities,

Inc.

Mortgage

Loan

Trust,

Series

2005-6,

Class

2A3

5.500%,

12/25/35 

262,873‌

214

EMF-NL

BV,

Series

2008-APRX,

Class

A2

4.688%,

(Euribor

3

Month

ACT/360

plus

0.800%),

4/17/41

EUR §,∞

42,865‌

45

Federal

Home

Loan

Mortgage

Corp.

4.500%,

5/1/54 

5,477,552‌

5,164

5.000%,

11/1/52 

19,868,976‌

19,235

5.500%,

12/1/52 

19,173,369‌

18,954

Federal

Home

Loan

Mortgage

Corp.,

Series

5426,

Class

CF

6.224%,

(US

30

Day

Average

SOFR

plus

0.900%),

12/15/50 

2,451,927‌

2,425

Federal

National

Mortgage

Association,

Series

2003-W6,

Class

F

5.800%,

(US

30

Day

Average

SOFR

plus

0.465%),

9/25/42 

11,914‌

12

First

Horizon

Mortgage

Pass-Through

Trust,

Series

2007-2,

Class

1A5

5.750%,

5/25/37 

150,793‌

53

Fontainebleau

Miami

Beach

Trust,

Series

2019-FBLU,

Class

A

144A

144A

3.144%,

12/10/36 144A 

1,000,000‌

986

GCAT

Trust,

Series

2024-NQM2,

Class

A1

144A

144A

7.359%,

(AFC),

6/25/59 144A ∑

968,929‌

970

GSR

Mortgage

Loan

Trust,

Series

2005-AR6,

Class

1A1

6.455%,

(CSTR),

9/25/35 

582‌

1

GSR

Mortgage

Loan

Trust,

Series

2006-2F,

Class

3A6

6.000%,

2/25/36 

69,567‌

30

GSR

Mortgage

Loan

Trust,

Series

2006-AR1,

Class

2A1

4.619%,

(CSTR),

1/25/36 

758‌

1

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

GSR

Mortgage

Loan

Trust,

Series

2007-AR1,

Class

2A1

4.307%,

(CSTR),

3/25/47 

6,218‌

4

HarborView

Mortgage

Loan

Trust,

Series

2005-10,

Class

2A1A

6.073%,

(US

SOFR

1

Month

plus

0.735%),

(AFC),

11/19/35 

3,173‌

2

HarborView

Mortgage

Loan

Trust,

Series

2005-3,

Class

2A1A

5.933%,

(US

SOFR

1

Month

plus

0.595%),

(AFC),

6/19/35 

7,668‌

7

HomeBanc

Mortgage

Trust,

Series

2005-1,

Class

A1

5.960%,

(US

SOFR

1

Month

plus

0.615%),

3/25/35 

2,539‌

2

HSI

Asset

Securitization

Corp.

Trust,

Series

2006-NC1,

Class

2A

5.900%,

(US

SOFR

1

Month

plus

0.555%),

11/25/35 

734,204‌

661

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2004-AR6,

Class

5A1

5.149%,

(CSTR),

10/25/34 

13,132‌

12

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2005-AR12,

Class

2A1A

5.940%,

(US

SOFR

1

Month

plus

0.595%),

(AFC),

7/25/35 

957‌

1

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2005-AR14,

Class

2A1A

6.060%,

(US

SOFR

1

Month

plus

0.715%),

7/25/35 

7,256‌

6

JP

Morgan

Mortgage

Trust,

Series

2005-ALT1,

Class

2A1

5.240%,

(CSTR),

10/25/35 

5,274‌

4

JP

Morgan

Mortgage

Trust,

Series

2007-A1,

Class

6A1

5.338%,

(CSTR),

7/25/35 

2,866‌

3

JP

Morgan

Mortgage

Trust,

Series

2007-A4,

Class

3A1

5.483%,

(CSTR),

6/25/37 

26,934‌

20

JP

Morgan

Mortgage

Trust,

Series

2024-5,

Class

A11

144A

144A

6.583%,

(US

30

Day

Average

SOFR

plus

1.250%),

(AFC),

11/25/54 144A 

1,500,000‌

1,500

LoanCore,

Series

2022-CRE7,

Class

A

144A

144A

6.883%,

(US

30

Day

Average

SOFR

plus

1.550%),

1/17/37 144A 

3,986,890‌

3,977

Luminent

Mortgage

Trust,

Series

2006-6,

Class

A1

5.860%,

(US

SOFR

1

Month

plus

0.515%),

10/25/46 

627,679‌

542

Merrill

Lynch

Mortgage

Investors

Trust,

Series

2006-1,

Class

1A

4.664%,

(CSTR),

2/25/36 

412‌

–π

Merrill

Lynch

Mortgage

Investors

Trust,

Series

2006-A3,

Class

6A1

5.016%,

(CSTR),

5/25/36 

5,511‌

5

MF1,

Series

2022-FL8,

Class

A

144A

144A

6.689%,

(US

SOFR

1

Month

plus

1.350%),

2/19/37 144A 

968,663‌

961

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

129

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Mill

City

Mortgage

Loan

Trust,

Series

2018-1,

Class

A1

144A

144A

3.250%,

(AFC),

5/25/62 144A 

448,085‌

438

New

Residential

Mortgage

Loan

Trust,

Series

2021-NQM1R,

Class

A3

144A

144A

1.198%,

(AFC),

7/25/55 144A 

639,688‌

565

New

Residential

Mortgage

Loan

Trust,

Series

2023-NQM1,

Class

A1A

144A

144A

7.864%,

(AFC),

10/25/63 144A ∑

3,502,941‌

3,543

OBX

Trust,

Series

2023-NQM8,

Class

A1

144A

144A

7.045%,

(AFC),

9/25/63 144A ∑

2,398,649‌

2,439

OBX

Trust,

Series

2024-HYB2,

Class

A1

144A

144A

3.601%,

(CSTR),

4/25/53 144A 

3,017,073‌

2,894

OBX

Trust,

Series

2024-NQM8,

Class

A1

144A

144A

7.233%,

(AFC),

5/25/64 144A ∑

991,881‌

996

Onslow

Bay

Financial

LLC,

Series

2023-

NQM9,

Class

A1

144A

144A

7.159%,

(AFC),

10/25/63 144A ∑

4,462,703‌

4,548

OPEN

Trust,

Series

2023-AIR,

Class

A

144A

144A

8.418%,

(US

SOFR

1

Month

plus

3.089%),

10/15/28 144A 

3,250,303‌

3,287

PRPM

Trust,

Series

2023-NQM2,

Class

A1

144A

144A

6.250%,

(AFC),

8/25/68 144A ∑

2,785,845‌

2,774

PRPM

Trust,

Series

2024-NQM1,

Class

A1

144A

144A

6.265%,

(AFC),

12/25/68 144A ∑

965,565‌

966

PRPM

Trust,

Series

2024-NQM2,

Class

A1

144A

144A

7.292%,

(AFC),

6/25/69 144A ∑

1,000,000‌

1,001

RCKT

Mortgage

Trust,

Series

2024-CES4,

Class

A1A

144A

144A

7.147%,

(AFC),

6/25/44 144A ∑

2,284,397‌

2,299

Residential

Accredit

Loans,

Inc.,

Series

2006-

QA7,

Class

1A1

5.840%,

(US

SOFR

1

Month

plus

0.495%),

8/25/36 

3,409‌

3

Residential

Accredit

Loans,

Inc.,

Series

2006-

QA8,

Class

A1

5.840%,

(US

SOFR

1

Month

plus

0.495%),

9/25/36 

10,652‌

10

Residential

Accredit

Loans,

Inc.,

Series

2007-

QA1,

Class

A1

5.740%,

(US

SOFR

1

Month

plus

0.395%),

1/25/37 

879‌

1

Residential

Asset

Securitization

Trust,

Series

2007-A2,

Class

2A2

6.500%,

4/25/37 

3,309,576‌

850

Securitized

Asset

Backed

Receivables

LLC

Trust,

Series

2005-FR4,

Class

M2

6.420%,

(US

SOFR

1

Month

plus

1.075%),

1/25/36 

27,856‌

25

Specialty

Underwriting

&

Residential

Finance

Trust,

Series

2005-BC2,

Class

M3

6.435%,

(US

SOFR

1

Month

plus

1.090%),

12/25/35 

60,582‌

59

Structured

Adjustable

Rate

Mortgage

Loan

Trust,

Series

2005-19XS,

Class

1A1

5.780%,

(US

SOFR

1

Month

plus

0.435%),

10/25/35 

29,412‌

27

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Structured

Asset

Mortgage

Investments

II

Trust,

Series

2005-AR8,

Class

A2

6.538%,

(Federal

Reserve

US

12

Month

Cumulative

Avg

1

year

CMT

plus

1.480%),

2/25/36 

197,050‌

162

Structured

Asset

Mortgage

Investments

II

Trust,

Series

2006-AR6,

Class

1A1

5.820%,

(US

SOFR

1

Month

plus

0.475%),

(AFC),

7/25/46 

122,973‌

100

Suntrust

Alternative

Loan

Trust,

Series

2005-

1F,

Class

1A1

5.750%,

(US

SOFR

1

Month

plus

0.765%),

12/25/35 

4,282‌

4

Towd

Point

Mortgage

Trust,

Series

2017-2,

Class

M1

144A

144A

3.750%,

(AFC),

4/25/57 144A 

2,500,000‌

2,401

Uniform

Mortgage

Backed

Security

TBA

4.500%,

7/15/54 

6,600,000‌

6,222

5.000%,

8/15/54 

15,000,000‌

14,495

5.500%,

8/15/54 

26,700,000‌

26,330

6.000%,

8/15/54 

31,200,000‌

31,274

6.500%,

8/15/54 

49,400,000‌

50,249

Verus

Securitization

Trust,

Series

2023-4,

Class

A1

144A

144A

6.811%,

(AFC),

5/25/68 144A ∑

897,259‌

892

Verus

Securitization

Trust,

Series

2023-7,

Class

A1

144A

144A

7.070%,

(AFC),

10/25/68 144A ∑

2,645,866‌

2,689

Verus

Securitization

Trust,

Series

2024-INV1,

Class

A1

144A

144A

6.116%,

(AFC),

3/25/69 144A ∑

3,207,554‌

3,207

WaMu

Mortgage

Pass-Through

Certificates,

Series

2002-AR19,

Class

A6

5.542%,

(CSTR,

AFC),

2/25/33 

448‌

–π

WaMu

Mortgage

Pass-Through

Certificates,

Series

2006-AR12,

Class

3A3

3.905%,

(CSTR),

10/25/36 

11,885‌

10

WaMu

Mortgage

Pass-Through

Certificates,

Series

2006-AR2,

Class

1A1

4.580%,

(CSTR),

3/25/36 

87,401‌

79

WaMu

Mortgage

Pass-Through

Certificates,

Series

2006-AR8,

Class

2A1

4.483%,

(CSTR),

8/25/36 

5,349‌

5

WaMu

Mortgage

Pass-Through

Certificates,

Series

2007-HY1,

Class

3A1

4.171%,

(CSTR),

2/25/37 

2,195‌

2

WaMu

Mortgage

Pass-Through

Certificates,

Series

2007-OA3,

Class

4A2

5.853%,

(Federal

Reserve

US

12

Month

Cumulative

Avg

1

year

CMT

plus

0.700%),

4/25/47 

209,147‌

159

Wells

Fargo

Alternative

Loan

Trust,

Series

2007-PA4,

Class

2A1

6.863%,

(CSTR),

7/25/37 

20,349‌

18

Wells

Fargo

Mortgage

Backed

Securities

Trust,

Series

2006-AR5,

Class

2A1

6.578%,

(CSTR),

4/25/36 

18,818‌

17

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

130

Structured

Products

(30.6%)

Shares/

Par

+

Value

$

(000’s)

Mortgage

Securities

continued

Wells

Fargo

Mortgage

Backed

Securities

Trust,

Series

2007-AR8,

Class

A1

5.930%,

(CSTR),

11/25/37 

15,618‌

13

Total

239,173

Total

Structured

Products

(Cost: $389,453)

384,285

144A

144A

144A

Bank

Loan

Obligations

(

2.9%

)

Bank

Loan

Obligations

(2.9%)

Adient

US

LLC,

8.094%,

(US

SOFR

1

Month

plus

2.750%),

1/31/31

16,708‌

17

Air

Canada,

7.847%,

(US

SOFR

1

Month

plus

2.500%),

3/21/31

1,296,750‌

1,297

Albion

Financing

3

SARL,

9.147%,

(Euribor

3

Month

ACT/360

plus

5.250%),

8/17/26

EUR∞

1,400,000‌

1,500

AmSurg

Corp.

First

Out,

11.186%,

(US

SOFR

3

Month

plus

5.750%),

7/20/26Æ

281,436‌

281

AmSurg

Corp.

Last

Out,

14.311%,

(US

SOFR

3

Month

plus

8.875%),

11/3/28Æ,Þ

1,023,159‌

1,023

Avolon

TLB

Borrower

1

LLC,

7.339%,

(US

SOFR

1

Month

plus

2.000%),

6/22/28

1,161,165‌

1,162

Broadcom,

Inc.

Term

A2,

6.467%,

(US

SOFR

1

Month

plus

1.125%),

8/15/25

1,150,000‌

1,141

Broadcom,

Inc.

Term

A3,

6.592%,

(US

SOFR

1

Month

plus

1.250%),

8/14/26

1,150,000‌

1,141

Charter

Communications

Operating

LLC,

7.052%,

(US

SOFR

3

Month

plus

1.750%),

2/1/27

3,294,697‌

3,290

Connect

Finco

SARL,

8.844%,

(US

SOFR

1

Month

plus

3.500%),

12/11/26

340,250‌

336

Cotiviti,

Inc.,

8.579%,

(US

SOFR

1

Month

plus

3.250%),

5/1/31

2,892,750‌

2,875

Directv

Financing

LLC,

10.708%,

(US

SOFR

1

Month

plus

5.250%),

8/2/29

1,050,500‌

1,045

First

Student

Bidco,

Inc.,

8.345%,

(US

SOFR

1

Month

plus

3.000%),

7/21/28

1,000,000‌

1,000

Fortress

Intermediate

3,

Inc.,

9.063%,

(US

SOFR

1

Month

plus

3.750%),

5/9/31

1,400,000‌

1,400

Global

Medical

Response,

Inc.,

10.848%,

(US

SOFR

3

Month

plus

5.500%),

10/31/28

300,334‌

290

INEOS

US

Petrochem

LLC,

9.679%,

(US

SOFR

1

Month

plus

4.250%),

4/2/29

5,302‌

5

LifePoint

Health,

Inc.,

9.329%,

(US

SOFR

1

Month

plus

4.000%),

5/17/31

1,500,000‌

1,502

Lumen

Technologies,

Inc.,

7.808%,

(US

SOFR

3

Month

plus

2.350%),

4/15/29

8,333‌

6

Modena

Buyer

LLC,

9.324%,

(US

SOFR

1

Month

plus

4.500%),

4/18/31

1,800,000‌

1,755

Newfold

Digital

Holdings

Group,

Inc.,

8.944%,

(US

SOFR

3

Month

plus

3.500%),

2/10/28

997,429‌

922

Republic

of

Turkey,

10.040%,

(Euribor

6

Month

ACT/360

plus

6.210%),

4/27/31

EUR∞,Æ

1,200,000‌

1,455

Restaurant

Brands

International,

7.094%,

(US

SOFR

1

Month

plus

1.750%),

9/20/30

2,400,000‌

2,391

Setanta

Aircraft

Leasing

DAC,

7.346%,

(US

SOFR

3

Month

plus

1.750%),

11/5/28

2,000,000‌

2,010

SOCAR

Turkey

Energy,

Inc.,

7.348%,

(Euribor

6

Month

ACT/360

plus

3.450%),

8/11/26

EUR∞

5,800,000‌

6,165

Bank

Loan

Obligations

(2.9%)

Shares/

Par

+

Value

$

(000’s)

Bank

Loan

Obligations

continued

Standard

Industries,

Inc.,

7.344%,

(US

SOFR

1

Month

plus

2.000%),

9/22/28

1,168,975‌

1,171

Station

Casinos

LLC,

7.594%,

(US

SOFR

1

Month

plus

2.250%),

3/14/31

1,197,000‌

1,196

Wand

NewCo

3,

Inc.,

9.094%,

(US

SOFR

1

Month

plus

3.750%),

1/30/31

700,000‌

704

Total

Bank

Loan

Obligations

(Cost:

$37,719)

37,080

Short-Term

Investments

(

15.9%

)

Repurchase

Agreements

(15.9%)

BNP

Paribas

SA

repurchase

(Purchased

on

6/27/24,

to

be

repurchased

at

$72,032,340,

collateralized

by

US

Treasury

Note,

2.875%,

due

5/15/32,

par

and

fair

value

of

$80,818,900

and

$72,692,812,

respectively)

5.390%,

7/1/24

72,000,000‌

72,000

Canadian

Imperial

Bank

of

Commerce

repurchase

(Purchased

on

6/27/24,

to

be

repurchased

at

CAD

40,051,726,

collateralized

by

Province

of

Quebec

Government

Bond,

4.25%,

due

12/1/43,

par

and

fair

value

of

CAD

41,480,000

and

CAD

40,539,648,

respectively)

4.720%,

7/8/24

CAD∞

40,000,000‌

29,239

Canadian

Imperial

Bank

of

Commerce

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

CAD

30,027,214,

collateralized

by

Province

of

Ontario

Government

Bond,

2.15%,

due

6/2/31,

par

and

fair

value

of

CAD

34,315,000

and

CAD

30,599,029,

respectively)

4.730%,

7/9/24

CAD∞

30,000,000‌

21,929

Citigroup

Global

Markets,

Inc.

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$6,102,730,

collateralized

by

US

Treasury

Note,

0.75%,

due

4/30/26,

par

and

fair

value

of

$6,685,000

and

$6,214,830,

respectively)

5.370%,

7/1/24

6,100,000‌

6,100

Citigroup

Global

Markets,

Inc.

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$71,100,626,

collateralized

by

US

Treasury

Note,

0.75%,

due

4/30/26,

par

and

fair

value

of

$77,895,000

and

$72,416,486,

respectively)

5.380%,

7/2/24

71,100,000‌

71,100

JP

Morgan

Securities

LLC

repurchase

(Purchased

on

6/28/24,

to

be

repurchased

at

$100,015,

collateralized

by

US

Treasury

Inflation

Protection

Bond,

0.125%,

due

4/15/25,

par

and

fair

value

of

$105,595

and

$102,720,

respectively)

5.440%,

7/2/24

100,000‌

100

Total

200,468

Total

Short-Term

Investments

(Cost:

$200,438)

200,468

Total

Investments

(117.1%)

(Cost:

$1,571,774)

@

1,473,269

Other

Assets,

Less

Liabilities (-17.1%)

(215,288)

Net

Assets

(100.0%)

1,257,981

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

131

Reverse

Repurchase

Agreements

Reference

Entity

Counterparty

Interest

Rate

Borrowing

Date

Maturity

Date

Currency

Amount

Borrowed

(000's)

Payable

for

Reverse

Repurchase

Agreements

(000s)

Intesa

Sanpaolo

SpA

Morgan

Stanley

&

Co.

International

PLC

2.250%

6/11/24

Open

EUR

(387‌)

$

(415‌)

Nexi

SpA

Morgan

Stanley

&

Co.

International

PLC

0.250%

6/13/24

Open

EUR

(546‌)

(586‌)

Nexi

SpA

Barclays

Bank

PLC

0.500%

6/13/24

Open

EUR

(1,274‌)

(1,365‌)

Nexi

SpA

JP

Morgan

Securities

PLC

0.500%

6/13/24

Open

EUR

(546‌)

(585‌)

Serbia

International

Bond

Barclays

Bank

PLC

5.000%

2/14/24

Open

USD

(830‌)

(830‌)

Ubisoft

Entertainment

Barclays

Bank

PLC

3.000%

6/11/24

Open

EUR

(347‌)

(372‌)

$

(4,153‌)

Exchange

Traded

or

Centrally

Cleared

Derivatives

Futures

Issuer

Long/

Short

Currency

Notional

Par

(000's)

Number

of

Contracts

Expiration

Date

Notional

Value

(000's)

Unrealized

Appreciation/

(Depreciation)

(000's)

Variation

Margin

(000's)

Euro-Bobl

Future

Long

EUR

29,800‌

298

9/24

$

37,161‌

$

368‌

$

(48‌)

Euro-BTP

Future

Long

EUR

3,400‌

34

9/24

4,198‌

(49‌)

(12‌)

Euro-Bund

Future

Short

EUR

3,800‌

38

9/24

5,356‌

46‌

17‌

Euro-Schatz

Future

Long

EUR

26,400‌

264

9/24

29,885‌

(21‌)

(10‌)

Five-Year

US

Treasury

Note

Future

Long

USD

48,300‌

483

9/24

51,477‌

118‌

(53‌)

Long

Gilt

Future

Short

GBP

5,500‌

55

9/24

6,784‌

(22‌)

30‌

Ten-Year

US

Treasury

Note

Future

Long

USD

6,400‌

64

9/24

7,039‌

62‌

(17‌)

Two-Year

US

Treasury

Note

Future

Long

USD

25,200‌

126

9/24

25,732‌

80‌

(3‌)

US

Treasury

Long

Bond

Future

Short

USD

600‌

6

9/24

710‌

1‌

6‌

$

583‌

$

(90‌)

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

$

111‌

$

247‌

$

358‌

$

9‌

1-Day

JPY

-

MUTKCALM

Compounded-OIS

0.850%

9/33

370,000‌

JPY

10‌

20‌

30‌

3‌

1-Day

USD-SOFR

Compounded-OIS

3.750%

6/34

28,100‌

USD

265‌

209‌

474‌

166‌

1-Day

USD-SOFR

Compounded-OIS

4.060%

7/34

700‌

USD

–‌

(6‌)

(6‌)

(6‌)

1-Day

USD-SOFR

Compounded-OIS

3.994%

7/34

1,200‌

USD

–‌

(4‌)

(4‌)

(4‌)

6-Month

Euribor

2.500%

9/54

8,400‌

EUR

(396‌)

445‌

49‌

65‌

$

(10‌)

$

911‌

$

901‌

$

233‌

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

132

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

4.000%

9/29

16,900‌

GBP

$

251‌

$

(162‌)

$

89‌

$

(16‌)

1-Day

GBP-SONIO

Compounded-OIS

3.750%

9/34

3,000‌

GBP

31‌

(60‌)

(29‌)

(15‌)

1-Day

GBP-SONIO

Compounded-OIS

3.750%

9/54

1,200‌

GBP

25‌

(70‌)

(45‌)

(16‌)

1-Year

BRL-CDI

10.284%

1/27

61,700‌

BRL

–‌

(320‌)

(320‌)

(37‌)

6-Month

AUD-BBR-BBSW

4.750%

12/33

23,300‌

AUD

(188‌)

227‌

39‌

(18‌)

6-Month

Euribor

3.000%

9/26

16,200‌

EUR

87‌

(114‌)

(27‌)

(7‌)

6-Month

Euribor

2.750%

9/29

2,300‌

EUR

33‌

(41‌)

(8‌)

(4‌)

6-Month

Euribor

2.750%

9/34

18,900‌

EUR

388‌

(497‌)

(109‌)

(66‌)

Canadian

Overnight

Repo

Rate

Average

3.750%

12/25

35,200‌

CAD

(190‌)

43‌

(147‌)

4‌

Canadian

Overnight

Repo

Rate

Average

2.500%

6/29

8,000‌

CAD

(260‌)

14‌

(246‌)

(4‌)

$

177‌

$

(980‌)

$

(803‌)

$

(179‌)

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

1.668%

5,336‌

USD

$

(71‌)

$

21‌

$

(50‌)

$

–‌π

Markit

CDX

Emerging

Markets

Index,

Series

36

1.000%

12/26

1.205%

33,028‌

USD

(936‌)

779‌

(157‌)

6‌

Markit

CDX

Emerging

Markets

Index,

Series

37

1.000%

6/27

1.356%

490‌

USD

(25‌)

20‌

(5‌)

–‌π

Markit

CDX

Emerging

Markets

Index,

Series

38

1.000%

12/27

1.458%

4,200‌

USD

(235‌)

175‌

(60‌)

1‌

Markit

CDX

Emerging

Markets

Index,

Series

39

1.000%

6/28

1.502%

2,100‌

USD

(108‌)

71‌

(37‌)

–‌π

Markit

CDX

Emerging

Markets

Index,

Series

40

1.000%

12/28

1.631%

13,300‌

USD

(546‌)

217‌

(329‌)

2‌

Markit

CDX

Emerging

Markets

Index,

Series

41

1.000%

6/29

1.747%

8,200‌

USD

(288‌)

26‌

(262‌)

2‌

Markit

CDX

North

America

High

Yield

Index,

Series

38

5.000%

6/27

2.637%

582‌

USD

(10‌)

47‌

37‌

(1‌)

Markit

CDX

North

America

High

Yield

Index,

Series

40

5.000%

6/28

3.143%

594‌

USD

1‌

36‌

37‌

–‌π

Markit

CDX

North

America

High

Yield

Index,

Series

41

5.000%

12/28

3.289%

28,512‌

USD

520‌

1,291‌

1,811‌

(10‌)

Markit

CDX

North

America

High

Yield

Index,

Series

42

5.000%

6/29

3.448%

69,300‌

USD

4,491‌

(165‌)

4,326‌

(31‌)

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

133

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

42

1.000%

6/29

0.538%

64,500‌

USD

$

1,352‌

$

(32‌)

$

1,320‌

$

(2‌)

$

4,145‌

$

2,486‌

$

6,631‌

$

(33‌)

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%

6/25

0.314%

100‌

USD

$

(1‌)

$

2‌

$

1‌

$

–‌π

AT&T,

Inc.

1.000%

6/26

0.399%

100‌

USD

1‌

–‌

1‌

–‌π

Carnival

Corp.

1.000%

12/28

1.915%

600‌

USD

(119‌)

97‌

(22‌)

1‌

Ford

Motor

Co.

5.000%

6/25

0.296%

200‌

USD

3‌

6‌

9‌

–‌π

Ford

Motor

Co.

5.000%

12/25

0.501%

400‌

USD

6‌

20‌

26‌

–‌π

Ford

Motor

Co.

5.000%

6/26

0.602%

1,000‌

USD

21‌

62‌

83‌

–‌π

Ford

Motor

Co.

5.000%

6/27

0.875%

300‌

USD

17‌

17‌

34‌

–‌π

Ford

Motor

Co.

5.000%

6/27

0.915%

900‌

USD

38‌

64‌

102‌

–‌π

General

Electric

Co.

1.000%

12/26

0.149%

400‌

USD

2‌

6‌

8‌

–‌π

General

Electric

Co.

1.000%

6/26

0.107%

3,800‌

USD

17‌

47‌

64‌

–‌π

Glencore

Finance

Europe,

Ltd.

5.000%

6/31

1.655%

1,000‌

EUR

227‌

(12‌)

215‌

–‌π

Marks

&

Spencer

PLC

1.000%

12/24

0.209%

2,900‌

EUR

(13‌)

25‌

12‌

–‌π

Marks

&

Spencer

PLC

1.000%

6/27

0.540%

100‌

EUR

(5‌)

6‌

1‌

–‌π

Marks

&

Spencer

PLC

1.000%

12/28

0.838%

500‌

EUR

(25‌)

29‌

4‌

–‌π

Volkswagen

International

Finance

NV

1.000%

12/26

0.453%

3,100‌

EUR

33‌

10‌

43‌

–‌π

$

202‌

$

379‌

$

581‌

$

1‌

Written

Options

Description

Currency

Notional

Par

(000's)

Exercise

Price

Expiration

Date

Number

of

Contracts

Value

(000's)

Call

-

Ten-Year

US

Treasury

Note

Future

USD

2‌

$

112.000‌

7/24

2‌

$

—‌π

Put

-

Ten-Year

US

Treasury

Note

Future

USD

2‌

109.000‌

7/24

2‌

(1‌)

(Premiums

Received

$1)

$

(1‌)

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

$

259‌

$

53‌

$

312‌

$

(237‌)

$

(143‌)

$

(380‌)

$

(1‌)

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      

BNP

Paribas

SA

AUD

9,368‌

6,249‌

7/2/24

$

7‌

$

—‌

$

7‌

Sell      

Barclays

Bank

PLC

AUD

9,368‌

6,250‌

7/2/24

—‌

(50‌)

(50‌)

Sell      

BNP

Paribas

SA

AUD

9,368‌

6,255‌

8/2/24

—‌

(7‌)

(7‌)

Buy      

HSBC

Bank

PLC

CAD

13,079‌

9,560‌

7/2/24

8‌

—‌

8‌

Buy      

Barclays

Bank

PLC

CAD

1,560‌

1,141‌

8/2/24

1‌

—‌

1‌

Sell      

HSBC

Bank

PLC

CAD

13,071‌

9,554‌

7/2/24

45‌

—‌

45‌

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

134

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

PLC

CAD

40,052‌

29,281‌

7/8/24

$

—‌

$

(33‌)

$

(33‌)

Sell      

BNP

Paribas

SA

CAD

30,027‌

21,953‌

7/9/24

5‌

—‌

5‌

Sell      

HSBC

Bank

PLC

CAD

13,070‌

9,561‌

8/2/24

—‌

(8‌)

(8‌)

Buy      

JP

Morgan

Chase

Bank

NA

CHF

6,819‌

7,589‌

7/2/24

—‌

(9‌)

(9‌)

Sell      

Bank

of

America

NA

CHF

26‌

29‌

7/2/24

—‌

—‌π

—‌π

Sell      

HSBC

Bank

PLC

CHF

529‌

589‌

7/2/24

—‌

(4‌)

(4‌)

Sell      

UBS

AG

CHF

6,267‌

6,975‌

7/2/24

—‌

(43‌)

(43‌)

Sell      

JP

Morgan

Chase

Bank

NA

CHF

6,794‌

7,590‌

8/2/24

9‌

—‌

9‌

Sell      

JP

Morgan

Chase

Bank

NA

CNH

579‌

80‌

10/25/24

1‌

—‌

1‌

Sell      

Royal

Bank

of

Canada

CNH

80,685‌

11,146‌

10/25/24

154‌

—‌

154‌

Buy      

HSBC

Bank

PLC

EUR

149,074‌

159,651‌

7/2/24

246‌

—‌

246‌

Buy      

JP

Morgan

Chase

Bank

NA

EUR

10,126‌

10,844‌

7/2/24

8‌

(12‌)

(4‌)

Buy      

BNP

Paribas

SA

EUR

9,473‌

10,160‌

8/2/24

13‌

—‌

13‌

Sell      

Bank

of

America

NA

EUR

127,677‌

136,735‌

7/2/24

1,883‌

—‌

1,883‌

Sell      

Barclays

Bank

PLC

EUR

3,575‌

3,829‌

7/2/24

8‌

—‌

8‌

Sell      

BNP

Paribas

SA

EUR

10,823‌

11,591‌

7/2/24

2‌

(13‌)

(11‌)

Sell      

HSBC

Bank

PLC

EUR

1,908‌

2,043‌

7/2/24

33‌

—‌

33‌

Sell      

JP

Morgan

Chase

Bank

NA

EUR

15,217‌

16,296‌

7/2/24

128‌

—‌

128‌

Sell      

HSBC

Bank

PLC

EUR

150,605‌

161,526‌

8/2/24

—‌

(246‌)

(246‌)

Buy      

Barclays

Bank

PLC

GBP

2,317‌

2,929‌

7/2/24

—‌

(14‌)

(14‌)

Buy      

JP

Morgan

Chase

Bank

NA

GBP

1,041‌

1,316‌

7/2/24

—‌

(8‌)

(8‌)

Buy      

Royal

Bank

of

Canada

GBP

16,654‌

21,052‌

7/2/24

—‌

(67‌)

(67‌)

Sell      

BNP

Paribas

SA

GBP

19,931‌

25,194‌

7/2/24

265‌

—‌

265‌

Sell      

Royal

Bank

of

Canada

GBP

81‌

102‌

7/2/24

1‌

—‌

1‌

Sell      

Royal

Bank

of

Canada

GBP

16,654‌

21,056‌

8/2/24

66‌

—‌

66‌

Buy      

JP

Morgan

Chase

Bank

NA

IDR

8,192,500‌

500‌

7/22/24

—‌π

—‌

—‌π

Sell      

Barclays

Bank

PLC

IDR

164,096‌

10‌

7/29/24

—‌

—‌π

—‌π

Buy      

HSBC

Bank

PLC

ILS

562‌

149‌

7/18/24

—‌

(3‌)

(3‌)

Buy      

UBS

AG

ILS

1,296‌

343‌

7/18/24

—‌

(6‌)

(6‌)

Sell      

UBS

AG

ILS

2,394‌

634‌

7/19/24

12‌

—‌

12‌

Buy      

BNP

Paribas

SA

INR

948,890‌

11,350‌

9/24/24

13‌

—‌

13‌

Sell      

BNP

Paribas

SA

INR

1,081‌

13‌

9/24/24

—‌π

—‌

—‌π

Sell      

Goldman

Sachs

Bank

USA

JPY

27,600‌

172‌

7/2/24

5‌

—‌

5‌

Sell      

HSBC

Bank

PLC

JPY

40,800‌

253‌

7/2/24

7‌

—‌

7‌

Buy      

Goldman

Sachs

Bank

USA

KRW

68,698‌

50‌

7/8/24

—‌

—‌π

—‌π

Sell      

BNP

Paribas

SA

KRW

61,215‌

44‌

7/15/24

—‌

—‌π

—‌π

Sell      

Goldman

Sachs

Bank

USA

KRW

3,849‌

3‌

7/15/24

—‌

—‌π

—‌π

Sell      

JP

Morgan

Chase

Bank

NA

KRW

3,838‌

3‌

7/15/24

—‌

—‌π

—‌π

Sell      

JP

Morgan

Chase

Bank

NA

KRW

15,174,769‌

11,036‌

7/22/24

—‌

(16‌)

(16‌)

Buy      

JP

Morgan

Chase

Bank

NA

MXN

32,178‌

1,738‌

9/18/24

—‌

(40‌)

(40‌)

Sell      

Barclays

Bank

PLC

MXN

10,278‌

561‌

7/15/24

—‌

(5‌)

(5‌)

Sell      

Goldman

Sachs

Bank

USA

MXN

10,036‌

547‌

7/15/24

—‌

(7‌)

(7‌)

Sell      

Barclays

Bank

PLC

MXN

13,832‌

747‌

9/18/24

—‌

(17‌)

(17‌)

Sell      

Goldman

Sachs

Bank

USA

MXN

7,052‌

381‌

9/18/24

—‌π

(3‌)

(3‌)

Buy      

Bank

of

America

NA

NZD

2,361‌

1,439‌

7/2/24

—‌

(10‌)

(10‌)

Buy      

JP

Morgan

Chase

Bank

NA

NZD

2,201‌

1,341‌

7/2/24

—‌

(12‌)

(12‌)

Buy      

JP

Morgan

Chase

Bank

NA

NZD

4,562‌

2,779‌

8/2/24

—‌

(1‌)

(1‌)

Sell      

JP

Morgan

Chase

Bank

NA

PEN

17,468‌

4,545‌

7/22/24

120‌

—‌

120‌

Buy      

Barclays

Bank

PLC

PLN

28,022‌

6,959‌

7/22/24

—‌

(147‌)

(147‌)

Buy      

BNP

Paribas

SA

PLN

269‌

67‌

7/22/24

—‌

(2‌)

(2‌)

Buy      

HSBC

Bank

PLC

PLN

1,182‌

294‌

7/22/24

—‌

(5‌)

(5‌)

Buy      

Bank

of

America

NA

SGD

1,401‌

1,033‌

7/2/24

—‌π

(5‌)

(5‌)

Buy      

BNP

Paribas

SA

SGD

4,612‌

3,401‌

7/2/24

1‌

—‌

1‌

Sell      

Barclays

Bank

PLC

SGD

1,352‌

997‌

7/2/24

6‌

—‌

6‌

Sell      

JP

Morgan

Chase

Bank

NA

SGD

4,661‌

3,437‌

7/2/24

25‌

—‌π

25‌

Sell      

Bank

of

America

NA

SGD

54‌

40‌

8/2/24

—‌

—‌π

—‌π

Sell      

BNP

Paribas

SA

SGD

4,605‌

3,401‌

8/2/24

—‌

(1‌)

(1‌)

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

135

Forward

Foreign

Currency

Contracts

(continued)

Type      

Counterparty

Currency

Foreign

Principal

Amount

Covered

by

Contract

(000s)

USD

Principal

Amount

Covered

by

Contract

(000’s)

Settlement

Date

Unrealized

Appreciation

(000’s)

Unrealized

(Depreciation)

(000’s)

Net

Unrealized

Appreciation/

(Depreciation)

(000’s)

Buy      

Barclays

Bank

PLC

TRY

68,409‌

2,043‌

7/25/24

$

37‌

$

—‌

$

37‌

Buy      

Barclays

Bank

PLC

TRY

41,695‌

1,229‌

8/6/24

14‌

—‌

14‌

Buy      

JP

Morgan

Chase

Bank

NA

TRY

27,222‌

801‌

8/8/24

42‌

—‌

42‌

Buy      

Barclays

Bank

PLC

TRY

40,076‌

1,152‌

8/29/24

9‌

—‌

9‌

Sell      

JP

Morgan

Chase

Bank

NA

TWD

359,949‌

11,183‌

9/13/24

—‌

(17‌)

(17‌)

Buy      

Bank

of

America

NA

ZAR

140,432‌

7,709‌

7/19/24

26‌

—‌

26‌

$

3,200‌

$

(811‌)

$

2,389‌

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)

Republic

of

Indonesia

Barclays

Bank

PLC

1.000%

6/31

1.027%

USD

5,700

$

(168‌)

$

159‌

$

(9‌)

Republic

of

Poland

JP

Morgan

Chase

Bank

NA

1.000%

6/29

0.679%

USD

2,000

25‌

4‌

29‌

Republic

of

Turkey

Morgan

Stanley

Capital

Services

LLC

1.000%

12/28

2.583%

USD

3,000

(206‌)

22‌

(184‌)

United

Mexican

States

Morgan

Stanley

Capital

Services

LLC

1.000%

12/26

0.613%

USD

300

–‌π

3‌

3‌

United

Mexican

States

Morgan

Stanley

Capital

Services

LLC

1.000%

6/27

0.685%

USD

100

–‌π

1‌

1‌

United

Mexican

States

Morgan

Stanley

Capital

Services

LLC

1.000%

6/28

0.890%

USD

100

(1‌)

1‌

–‌π

United

Mexican

States

Morgan

Stanley

Capital

Services

LLC

1.000%

12/28

1.011%

USD

300

(3‌)

3‌

–‌π

$

(353‌)

$

193‌

$

(160‌)

Written

Options

Description

Counterparty

Currency

Notional

Par

(000's)

Exercise

Price

Expiration

Date

Number

of

Contracts

Value

(000's)

Call

-

Five-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,400‌

$

3.689‌

7/24

1,400,000‌

$

(1‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

700‌

3.540‌

7/24

700,000‌

(1‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,600‌

3.628‌

7/24

1,600,000‌

(2‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Morgan

Stanley

Capital

Services

LLC

USD

800‌

3.630‌

7/24

800,000‌

(2‌)

Call

-

Ten-Year

Interest

Rate

Swaption

JP

Morgan

Chase

Bank

NA

USD

400‌

3.640‌

7/24

400,000‌

(1‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,600‌

3.648‌

7/24

1,600,000‌

(3‌)

Call

-

Ten-Year

Interest

Rate

Swaption

JP

Morgan

Chase

Bank

NA

USD

800‌

3.675‌

7/24

800,000‌

(1‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

800‌

3.680‌

7/24

800,000‌

(2‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Morgan

Stanley

Capital

Services

LLC

USD

800‌

3.690‌

7/24

800,000‌

(2‌)

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

136

Description

Counterparty

Currency

Notional

Par

(000’s)

Exercise

Price

Expiration

Date

Number

of

Contracts

Value

(000’s)

Call

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

800‌

$

3.710‌

7/24

800,000‌

$

(2‌)

Call

-

Ten-Year

Interest

Rate

Swaption

Morgan

Stanley

Capital

Services

LLC

USD

900‌

3.765‌

7/24

900,000‌

(3‌)

Call

-

Ten-Year

Interest

Rate

Swaption

JP

Morgan

Chase

Bank

NA

USD

500‌

3.800‌

7/24

500,000‌

—‌π

Call

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,200‌

3.844‌

7/24

1,200,000‌

(2‌)

Put

-

Five-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,400‌

4.139‌

7/24

1,400,000‌

(3‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,600‌

3.978‌

7/24

1,600,000‌

(10‌)

Put

-

Ten-Year

Interest

Rate

Swaption

JP

Morgan

Chase

Bank

NA

USD

400‌

3.990‌

7/24

400,000‌

(3‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,600‌

3.998‌

7/24

1,600,000‌

(10‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

700‌

4.000‌

7/24

700,000‌

(5‌)

Put

-

Ten-Year

Interest

Rate

Swaption

JP

Morgan

Chase

Bank

NA

USD

800‌

4.025‌

7/24

800,000‌

(4‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

800‌

4.030‌

7/24

800,000‌

(4‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Morgan

Stanley

Capital

Services

LLC

USD

800‌

4.040‌

7/24

800,000‌

(5‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Morgan

Stanley

Capital

Services

LLC

USD

800‌

4.090‌

7/24

800,000‌

(4‌)

Put

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

800‌

4.110‌

7/24

800,000‌

(3‌)

Put

-

Ten-Year

Interest

Rate

Swaption

JP

Morgan

Chase

Bank

NA

USD

500‌

4.150‌

7/24

500,000‌

—‌π

Put

-

Ten-Year

Interest

Rate

Swaption

Goldman

Sachs

Bank

USA

USD

1,200‌

4.194‌

7/24

1,200,000‌

—‌π

Put

-

Ten-Year

Interest

Rate

Swaption

Morgan

Stanley

Capital

Services

LLC

USD

900‌

4.265‌

7/24

900,000‌

(1‌)

(Premiums

Received

$88)

$

(74‌)

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

$

3,200‌

$

33‌

$

3,2

33‌

$

(811‌)

$

(74‌)

$

(193‌)

$

(1,078‌)

Restricted

Securities

Description      

Acquisition

Date

Cost

(000's)

Value

(000's)

Value

as

a

Percentage

of

Net

Assets

AmSurg

Corp.

11/2/23

$

396‌

$

469‌

0.04‌%

Constellation

Oil

-

Class

B

6/10/22

12‌

12‌

–‌%

Corestate

Capital

Holding

SA

8/22/23

–‌

–‌π

–‌%

DrillCo

Holding

Lux

SA

-

Class

B

6/8/23

54‌

63‌

0.01‌%

DrillCo

Holding

Lux

SA

-

Class

C

6/8/23

484‌

565‌

0.04‌%

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

*

Non

income

producing

Æ

Security

valued

using

significant

unobservable

inputs.

δ

Restricted

security

–

see

accompanying

table

for

additional

details

π

Amount

is

less

than

one

thousand.

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

137

144A

Security

exempt

from

registration

under

Rule

144A

of

the

Securities

Act

of

1933.

These

securities

may

be

resold

as

transactions

exempt

from

registration,

normally

to

qualified

institutional

buyers.

At

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$449,820

representing

35.8%

of

the

net

assets.

φ

Defaulted

Security

-

not

accruing

income

as

of

the

date

of

this

report.

§

Security

was

purchased

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933,

which

exempts

from

registration

securities

offered

and

sold

outside

of

the

United

States.

At

June

30,

2024,

the

aggregate

value

of

these

securities

was

$202,600

(in

thousands),

representing

16.1%

of

net

assets.

∞

Foreign

Bond

—

par

value

is

foreign

denominated.

α

Rate

shown

is

the

rate

as

of

the

period

end.

The

rate

may

be

based

on

a

fixed

rate,

a

capped

rate

or

a  floor

rate

and

may

convert

to

a

variable

or

floating

rate

in

the

future.

Þ

PIK

-

Payment

In

Kind.

PIK

rate

of

AmSurg

Corp.

Last

Out

is

50.00%

of

the

coupon,

ADLER

Financing

SARL

is

12.50%,

Corestate

Capital

Holding

SA

is

11.00%,

and

Sunac

China

Holdings,

Ltd.

is

2.00%.

Ψ

Contingent

convertible

security

µ

Perpetual

maturity,

date

shown,

if

applicable,

represents

next

contractual

call

date.

β

Part

or

all

of

the

security

has

been

pledged

as

collateral.

∑

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$1,571,687

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$92,524

which

is

comprised

of

$22,048

aggregate

gross

unrealized

appreciation

and

$114,572

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

138

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

Bank

Loan

Obligations

$

—‌

$

34,321‌

$

2,759‌

Common

Stocks

Real

Estate

2‌

—‌

—‌π

All

Others

—‌

—‌

1,461‌

Convertible

Corporate

Bonds

—‌

45‌

—‌

Municipal

Bonds

—‌

6,241‌

—‌

Corporate

Bonds

Basic

Materials

—‌

5,896‌

520‌

Financial

—‌

179,291‌

8,410‌

All

Others

—‌

370,484‌

—‌

Governments

—‌

279,086‌

—‌

Structured

Products

Asset

Backed

Securities

—‌

144,112‌

1,000‌

Mortgage

Securities

—‌

239,173‌

—‌

Short-Term

Investments

—‌

200,468‌

—‌

Other

Financial

Instruments

Ω

Futures

675‌

—‌

—‌

Forward

Foreign

Currency

Contracts

—‌

3,200‌

—‌

Interest

Rate

Swaps

—‌

1,039‌

—‌

Credit

Default

Swaps

—‌

8,167‌

—‌

Total

Assets:

$

677‌

$

1,471,523‌

$

14,150‌

Liabilities:

Other

Financial

Instruments

Ω

Futures

(92‌)

—‌

—‌

Forward

Foreign

Currency

Contracts

—‌

(811‌)

—‌

Written

Options

(1‌)

(74‌)

—‌

Interest

Rate

Swaps

—‌

(941‌)

—‌

Credit

Default

Swaps

—‌

(1,115‌)

—‌

Reverse

Repurchase

Agreements

—‌

(4,153‌)

—‌

Total

Liabilities:

$

(93‌)

$

(7,094‌)

$

—‌

Ω

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.

Multi-Sector

Bond

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

139

The

following

is

a

reconciliation

of

the

fair

valuations

using

significant

unobservable

inputs

(Level

3)

for

the

period

ended

June

30,

2024:

Category

Value

at

12/31/2023

Purchases

Sales

Realized

Gain

(Loss)

Change

in

Unrealized

Appreciation/

Depreciation

Transfers

into

Level

3

Transfers

out

of

Level

3

Value

at

6/30/2024

Change

in

Unrealized

Appreciation/

Depreciation

on

investments

held

at

6/30/2024

Bank

Loan

Obligations

$

1,268

$

1,460

$

-

$

-

$

31

$

-

$

-

$

2,759

$

31

Common

Stocks

1,445

-

-

-

16

-

-

1,461

27

Corporate

Bonds

4,048

8,062

-

-

15

-

(3,195)

8,930

123

Structured

Products

1,856

1,000

-

-

(848)

-

(1,008)

1,000

-

$

8,617

$

10,522

$

-

$

-

$

(786)

$

-

$

(4,203)

$

14,150

$

181

The

following

is

a

summary

of

significant

unobservable

inputs

used

in

the

fair

valuations

of

assets

categorized

within

Level

3

of

the

fair

value

hierarchy:

(%

Unless

Noted

Otherwise)

Category

Value

at

6/30/2024

Valuation

Techniques

Unobservable

Inputs

Input

values

Weighted

Average

Bank

Loan

Obligations

$

1,304

Comparable

Companies

EBITDA

Multiple

13.500

-

1,455

Proxy

pricing

Base

Price

109.200

-

Common

Stocks

833

Comparable

Companies

EBITDA

Multiple

$

4.240-13.500

9.477

-

Expected

Recovery

Price

$

-

-

628

Indicative

Market

Quotation

Broker

Quote

$

23.380

-

Corporate

Bonds

8,185

Proxy

pricing

Base

Price

102.300

-

745

Third

Party

Vendor

Expected

Recovery

6.000

-

Structured

Products

1,000

Cost

Cost

$

100.000

-

$

14,150

Schedule

of

Investments

June

30,

2024

(unaudited)

Balanced

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

140

Investment

Companies

(

97.1%

)

Shares/

Par

+

Value

$

(000's)

Commodities

(0.9%)

abrdn

Bloomberg

All

Commodity

Strategy

K-1

Free

ETF 

891,400

18,122

Total

18,122

Domestic

Equity

(29.2%)

iShares

Core

S&P

500

ETF 

250,200

136,917

iShares

Core

S&P

Mid-Cap

ETF 

296,750

17,366

iShares

Core

S&P

Small-Cap

ETF 

174,500

18,612

Northwestern

Mutual

Series

Fund,

Inc.,

Domestic

Equity

Portfolio ₤

32,966,302

53,900

Northwestern

Mutual

Series

Fund,

Inc.,

Focused

Appreciation

Portfolio ₤

12,075,732

54,619

Northwestern

Mutual

Series

Fund,

Inc.,

Large

Cap

Blend

Portfolio ₤

39,953,670

54,936

Northwestern

Mutual

Series

Fund,

Inc.,

Mid

Cap

Growth

Stock

Portfolio ₤

15,196,944

47,718

Northwestern

Mutual

Series

Fund,

Inc.,

Mid

Cap

Value

Portfolio ₤

32,468,399

48,475

Northwestern

Mutual

Series

Fund,

Inc.,

Small

Cap

Growth

Stock

Portfolio ₤

8,956,771

21,344

Northwestern

Mutual

Series

Fund,

Inc.,

Small

Cap

Value

Portfolio ₤

12,364,188

23,541

Schwab

U.S.

REIT

ETF 

1,513,300

30,221

SPDR

Dow

Jones

REIT

ETF 

324,600

30,220

SPDR

Portfolio

S&P

400

Mid

Cap

ETF 

64,200

3,294

SPDR

Portfolio

S&P

600

Small

Cap

ETF 

590,300

24,515

Total

565,678

Fixed

Income

(53.0%)

iShares

Core

U.S.

Aggregate

Bond

ETF 

2,195,200

213,088

Northwestern

Mutual

Series

Fund,

Inc.,

Multi-

Sector

Bond

Portfolio ₤

147,433,123

146,254

Northwestern

Mutual

Series

Fund,

Inc.,

Select

Bond

Portfolio ₤

497,599,701

547,857

Northwestern

Mutual

Series

Fund,

Inc.,

Short-

Term

Bond

Portfolio ₤

23,532,136

24,497

Investment

Companies

(97.1%)

Shares/

Par

+

Value

$

(000’s)

Fixed

Income

continued

SPDR

Portfolio

Long

Term

Treasury

ETF 

3,500,700

95,289

Total

1,026,985

Foreign

Equity

(14.0%)

iShares

Core

MSCI

EAFE

ETF 

664,400

48,262

Northwestern

Mutual

Series

Fund,

Inc.,

Emerging

Markets

Equity

Portfolio ₤

76,063,015

74,390

Northwestern

Mutual

Series

Fund,

Inc.,

International

Equity

Portfolio ₤

44,391,265

72,358

Northwestern

Mutual

Series

Fund,

Inc.,

International

Growth

Portfolio ₤

37,014,430

75,176

Total

270,186

Total

Investment

Companies

(Cost: $1,886,471)

1,880,971

Short-Term

Investments

(

1.9%

)

Commercial

Paper

(0.4%)

The

Home

Depot,

Inc.

 144A

 144A

5.380%,

7/16/24

144A

8,000,000

7,979

Total

7,979

Governments

(1.0%)

US

Treasury

0.000%,

7/30/24

6,700,000

6,672

0.000%,

8/29/24

6,700,000

6,642

4.250%,

9/30/24

6,700,000

6,682

Total

19,996

Investment

Companies

(0.5%)

JPMorgan

Ultra-Short

Income

ETF

188,550

9,516

Total

9,516

Total

Short-Term

Investments

(Cost:

$37,553)

37,491

144A

144A

144A

Total

Investments

(99.0%)

(Cost:

$1,924,024)

@

1,918,462

Other

Assets,

Less

Liabilities (1.0%)

19,858

Net

Assets

(100.0%)

1,938,320

Over

the

Counter

Derivatives

Total

Return

Swaps

Reference

Entity

Counterparty

Payment

made

by

the

Fund

Payment

Received

by

the

Fund

Expiration

Date

Notional

Amount

(000's)

Unrealized

Appreciation/

(Depreciation)

(000's)

Market

Value

(000's)

Bloomberg

Commodity

Index

Morgan

Stanley

Capital

Services

LLC

0.180%

Bloomberg

Commodity

Index

11/24

19,693

$

—

$

—

$

—

$

—

Balanced

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

141

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

—

—

—

—

—

—

—

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

₤

Affiliated

Company

144A

Security

exempt

from

registration

under

Rule

144A

of

the

Securities

Act

of

1933.

These

securities

may

be

resold

as

transactions

exempt

from

registration,

normally

to

qualified

institutional

buyers.

At

June

30,

2024

the

value

of

these

securities

(in

thousands)

was

$7,979

representing

0.4%

of

the

net

assets.

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$1,943,717

and

the

net

unrealized

depreciation

of

investments

based

on

that

cost

was

$5,562

which

is

comprised

of

$104,056

aggregate

gross

unrealized

appreciation

and

$109,618

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

1,880,971

$

—

$

—

Short-Term

Investments

Investment

Companies

9,516

—

—

All

Others

—

27,975

—

Other

Financial

Instruments

Ω

Total

Return

Swaps

—

—

—

Total

Assets:

$

1,890,487

$

27,975

$

—

Ω

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.

Schedule

of

Investments

June

30,

2024

(unaudited)

Asset

Allocation

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

142

Investment

Companies

(

96.8%

)

Shares/

Par

+

Value

$

(000's)

Commodities

(1.0%)

abrdn

Bloomberg

All

Commodity

Strategy

K-1

Free

ETF 

138,200

2,810

Total

2,810

Domestic

Equity

(42.2%)

iShares

Core

S&P

500

ETF 

61,650

33,737

iShares

Core

S&P

Mid-Cap

ETF 

38,750

2,268

iShares

Core

S&P

Small-Cap

ETF 

18,700

1,995

Northwestern

Mutual

Series

Fund,

Inc.,

Domestic

Equity

Portfolio ₤

7,757,647

12,684

Northwestern

Mutual

Series

Fund,

Inc.,

Focused

Appreciation

Portfolio ₤

2,819,167

12,751

Northwestern

Mutual

Series

Fund,

Inc.,

Large

Cap

Blend

Portfolio ₤

9,292,484

12,777

Northwestern

Mutual

Series

Fund,

Inc.,

Mid

Cap

Growth

Stock

Portfolio ₤

3,169,673

9,953

Northwestern

Mutual

Series

Fund,

Inc.,

Mid

Cap

Value

Portfolio ₤

6,751,284

10,080

Northwestern

Mutual

Series

Fund,

Inc.,

Small

Cap

Growth

Stock

Portfolio ₤

1,494,074

3,560

Northwestern

Mutual

Series

Fund,

Inc.,

Small

Cap

Value

Portfolio ₤

1,799,537

3,426

Schwab

U.S.

REIT

ETF 

216,000

4,313

SPDR

Dow

Jones

REIT

ETF 

46,300

4,310

SPDR

Portfolio

S&P

400

Mid

Cap

ETF 

7,900

405

SPDR

Portfolio

S&P

600

Small

Cap

ETF 

85,000

3,530

Total

115,789

Fixed

Income

(33.8%)

iShares

Core

U.S.

Aggregate

Bond

ETF 

259,100

25,151

Northwestern

Mutual

Series

Fund,

Inc.,

Multi-

Sector

Bond

Portfolio ₤

13,968,613

13,857

Northwestern

Mutual

Series

Fund,

Inc.,

Select

Bond

Portfolio ₤

41,173,283

45,332

Investment

Companies

(96.8%)

Shares/

Par

+

Value

$

(000’s)

Fixed

Income

continued

Northwestern

Mutual

Series

Fund,

Inc.,

Short-

Term

Bond

Portfolio ₤

2,677,738

2,787

SPDR

Portfolio

Long

Term

Treasury

ETF 

199,300

5,425

Total

92,552

Foreign

Equity

(19.8%)

iShares

Core

MSCI

EAFE

ETF 

168,600

12,247

Northwestern

Mutual

Series

Fund,

Inc.,

Emerging

Markets

Equity

Portfolio ₤

12,323,483

12,053

Northwestern

Mutual

Series

Fund,

Inc.,

International

Equity

Portfolio ₤

9,036,199

14,729

Northwestern

Mutual

Series

Fund,

Inc.,

International

Growth

Portfolio ₤

7,554,455

15,343

Total

54,372

Total

Investment

Companies

(Cost: $253,868)

265,523

Short-Term

Investments

(

1.9%

)

Governments

(1.4%)

US

Treasury

0.000%,

7/30/24

1,300,000

1,295

0.000%,

8/29/24

1,300,000

1,289

4.250%,

9/30/24

1,300,000

1,296

Total

3,880

Investment

Companies

(0.5%)

JPMorgan

Ultra-Short

Income

ETF

28,100

1,418

Total

1,418

Total

Short-Term

Investments

(Cost:

$5,307)

5,298

Total

Investments

(98.7%)

(Cost:

$259,175)

@

270,821

Other

Assets,

Less

Liabilities (1.3%)

3,612

Net

Assets

(100.0%)

274,433

Over

the

Counter

Derivatives

Total

Return

Swaps

Reference

Entity

Counterparty

Payment

made

by

the

Fund

Payment

Received

by

the

Fund

Expiration

Date

Notional

Amount

(000's)

Unrealized

Appreciation/

(Depreciation)

(000's)

Market

Value

(000's)

Bloomberg

Commodity

Index

Morgan

Stanley

Capital

Services

LLC

0.180%

Bloomberg

Commodity

Index

11/24

3,939

$

—

$

—

$

—

$

—

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

—

—

—

—

—

—

—

Asset

Allocation

Portfolio

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

143

+

All

par

is

stated

in

U.S.

Dollar

unless

otherwise

noted.

₤

Affiliated

Company

@

At

June

30,

2024,

the

aggregate

cost

of

investments,

including

derivatives,

for

federal

tax

purposes

(in

thousands)

was

$263,113

and

the

net

unrealized

appreciation

of

investments

based

on

that

cost

was

$11,646

which

is

comprised

of

$22,210

aggregate

gross

unrealized

appreciation

and

$10,564

aggregate

gross

unrealized

depreciation.  Because

tax

adjustments

are

calculated

annually,

these

amounts

do

not

reflect

tax

adjustments.  For

the

previous

fiscal

year's

federal

income

tax

information,

please

refer

to

the

Notes

to

the

Financial

Statements

section

in

the

Portfolio's

most

recent

annual

report.

The

following

is

a

summary

of

the

inputs

used

in

valuing

the

Portfolio's

Investments

at

June

30,

2024.  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

$

265,523

$

—

$

—

Short-Term

Investments

Investment

Companies

1,418

—

—

Governments

—

3,880

—

Other

Financial

Instruments

Ω

Total

Return

Swaps

—

—

—

Total

Assets:

$

266,941

$

3,880

$

—

Ω

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.

Northwestern

Mutual

Series

Fund,

Inc.

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

144

Statements

of

Assets

and

Liabilities

Growth

Stock

Portfolio

Focused

Appreciation

Portfolio

Large

Cap

Core

Stock

Portfolio

Large

Cap

Blend

Portfolio

Index

500

Stock

Portfolio

Assets

Unaffiliated

Investments,

at

Value

(1)

..............................

$

1,289,010‌

$

1,341,190‌

$

731,090‌

$

168,397‌

$

6,131,631‌

Cash

........................................................................

4,379‌

33,138‌

3,023‌

287‌

55,803‌

Collateral

with

Counterparty

..........................................

—‌

—‌

—‌

—‌

2,578‌

Receivable

for

Portfolio

Shares

Sold

...............................

43‌

129‌

18‌

1‌

1,407‌

Receivable

for

Investment

Securities

Sold

........................

2,775‌

11,739‌

8,773‌

609‌

—‌

Prepaid

Expenses

and

Other

Assets

...............................

17‌

19‌

28‌

16‌

49‌

Dividends

and

Interest

Receivable

..................................

185‌

522‌

374‌

135‌

3,147‌

Total

Assets

.......................................................

1,296,409‌

1,386,737‌

743,306‌

169,445‌

6,194,615‌

Liabilities

Payable

for

Portfolio

Shares

Redeemed

..........................

489‌

6,467‌

372‌

3,975‌

1,635‌

Payable

for

Investment

Securities

Purchased

...................

—‌

—‌

7,562‌

838‌

—‌

Variation

Margin

Payable

..............................................

—‌

—‌

—‌

—‌

278‌

Investment

Advisory

Fees

Payable

.................................

426‌

673‌

247‌

88‌

939‌

Compliance

Fees

Payable

............................................

3‌

3‌

2‌

2‌

5‌

Accrued

Expenses

......................................................

36‌

37‌

28‌

24‌

76‌

Total

Liabilities

...................................................

954‌

7,180‌

8,211‌

4,927‌

2,933‌

Net

Assets

.........................................................

$

1,295,455‌

$

1,379,557‌

$

735,095‌

$

164,518‌

$

6,191,682‌

Represented

By:

Aggregate

Paid

in

Capital

(10)

(11)

.................................

$

644,717‌

$

485,644‌

$

463,589‌

$

85,132‌

$

1,573,148‌

Total

Distributable

Earnings

(Loss)

..................................

650,738‌

893,913‌

271,506‌

79,386‌

4,618,534‌

Net

Assets

for

Shares

Outstanding

(10)

(11)

.....................

$

1,295,455‌

$

1,379,557‌

$

735,095‌

$

164,518‌

$

6,191,682‌

Net

Asset

Value,

Offering

and

Redemption

Price

per

Share

.

$

3

.85‌

$

4

.52‌

$

1

.90‌

$

1

.38‌

$

9

.08‌

(1)

Unaffiliated

Investments,

at

Cost

...................................

$

634,862‌

$

708,199‌

$

554,296‌

$

140,502‌

$

1,820,000‌

(10)

Shares

Outstanding

..................................................

336,258‌

304,946‌

387,606‌

119,617‌

682,099‌

(11)

Shares

Authorized,

$.01

Par

Value

...............................

2,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

Northwestern

Mutual

Series

Fund,

Inc.

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

145

Statements

of

Assets

and

Liabilities

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)

..............................

$

145,338‌

$

1,025,311‌

$

717,737‌

$

1,014,862‌

$

1,322,643‌

Cash

........................................................................

2,751‌

10,548‌

6,923‌

547‌

8,591‌

Foreign

Currency,

at

Value

(4)

.......................................

—‌

—‌

116‌

—‌

—‌

Collateral

with

Counterparty

..........................................

2‌

—‌

—‌

—‌

—‌

Receivable

for

Portfolio

Shares

Sold

...............................

9‌

435‌

60‌

78‌

459‌

Receivable

for

Investment

Securities

Sold

........................

1,955‌

2,678‌

15,225‌

1,740‌

2,820‌

Variation

Margin

Receivable

..........................................

—‌

—‌

—‌

—‌

16‌

Receivable

for

Foreign

Currency

....................................

29‌

—‌

—‌

—‌

—‌

Prepaid

Expenses

and

Other

Assets

...............................

12‌

17‌

15‌

18‌

27‌

Dividends

and

Interest

Receivable

..................................

338‌

1,264‌

1,552‌

159‌

1,268‌

Total

Assets

.......................................................

150,434‌

1,040,253‌

741,628‌

1,017,404‌

1,335,824‌

Liabilities

Payable

for

Portfolio

Shares

Redeemed

..........................

70‌

378‌

407‌

415‌

512‌

Payable

for

Investment

Securities

Purchased

...................

1,873‌

—‌

14,521‌

1,721‌

—‌

Collateral

from

Counterparty

..........................................

—‌

—‌

—‌

—‌

1‌

Investment

Advisory

Fees

Payable

.................................

80‌

412‌

330‌

433‌

240‌

Compliance

Fees

Payable

............................................

2‌

3‌

2‌

3‌

3‌

Accrued

Expenses

......................................................

31‌

45‌

39‌

34‌

84‌

Total

Liabilities

...................................................

2,056‌

838‌

15,299‌

2,606‌

840‌

Net

Assets

.........................................................

$

148,378‌

$

1,039,415‌

$

726,329‌

$

1,014,798‌

$

1,334,984‌

Represented

By:

Aggregate

Paid

in

Capital

(10)

(11)

.................................

$

132,005‌

$

757,621‌

$

475,880‌

$

872,592‌

$

857,303‌

Total

Distributable

Earnings

(Loss)

..................................

16,373‌

281,794‌

250,449‌

142,206‌

477,681‌

Net

Assets

for

Shares

Outstanding

(10)

(11)

.....................

$

148,378‌

$

1,039,415‌

$

726,329‌

$

1,014,798‌

$

1,334,984‌

Net

Asset

Value,

Offering

and

Redemption

Price

per

Share

.

$

0

.83‌

$

1

.64‌

$

1

.79‌

$

3

.14‌

$

2

.30‌

(1)

Unaffiliated

Investments,

at

Cost

...................................

$

142,864‌

$

912,287‌

$

553,569‌

$

871,488‌

$

970,034‌

(4)

Foreign

Currency,

at

Cost

............................................

—‌

—‌

116‌

—‌

—‌

(10)

Shares

Outstanding

..................................................

179,380‌

635,552‌

406,713‌

323,170‌

581,201‌

(11)

Shares

Authorized,

$.01

Par

Value

...............................

2,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

Northwestern

Mutual

Series

Fund,

Inc.

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

146

Statements

of

Assets

and

Liabilities

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)

..............................

$

610,800‌

$

702,789‌

$

435,881‌

$

527,779‌

$

1,028,082‌

Cash

........................................................................

11,738‌

11,769‌

2,458‌

19,340‌

29,323‌

Foreign

Currency,

at

Value

(4)

.......................................

—‌

—‌

—‌

—‌

187‌

Receivable

for

Portfolio

Shares

Sold

...............................

337‌

97‌

254‌

43‌

421‌

Receivable

for

Investment

Securities

Sold

........................

855‌

36,775‌

—‌

2,024‌

116‌

Variation

Margin

Receivable

..........................................

—‌

—‌

5‌

—‌

—‌

Receivable

for

Foreign

Currency

....................................

94‌

—‌

—‌

—‌

—‌

Prepaid

Expenses

and

Other

Assets

...............................

15‌

15‌

25‌

16‌

19‌

Dividends

and

Interest

Receivable

..................................

1,152‌

164‌

496‌

436‌

1,938‌

Total

Assets

.......................................................

624,991‌

751,609‌

439,119‌

549,638‌

1,060,086‌

Liabilities

Payable

for

Portfolio

Shares

Redeemed

..........................

201‌

195‌

272‌

279‌

347‌

Payable

for

Investment

Securities

Purchased

...................

255‌

42,112‌

64‌

1,146‌

421‌

Accrued

Foreign

Capital

Gains

Tax

.................................

—‌

—‌

—‌

—‌

123‌

Payable

for

Foreign

Currency

........................................

1‌

—‌

—‌

—‌

—‌

Collateral

from

Counterparty

..........................................

650‌

—‌

—‌

—‌

—‌

Investment

Advisory

Fees

Payable

.................................

352‌

307‌

80‌

377‌

510‌

Compliance

Fees

Payable

............................................

3‌

3‌

2‌

2‌

3‌

Accrued

Expenses

......................................................

67‌

43‌

57‌

41‌

91‌

Total

Liabilities

...................................................

1,529‌

42,660‌

475‌

1,845‌

1,495‌

Net

Assets

.........................................................

$

623,462‌

$

708,949‌

$

438,644‌

$

547,793‌

$

1,058,591‌

Represented

By:

Aggregate

Paid

in

Capital

(10)

(11)

.................................

$

581,768‌

$

595,372‌

$

351,879‌

$

404,972‌

$

706,049‌

Total

Distributable

Earnings

(Loss)

..................................

41,694‌

113,577‌

86,765‌

142,821‌

352,542‌

Net

Assets

for

Shares

Outstanding

(10)

(11)

.....................

$

623,462‌

$

708,949‌

$

438,644‌

$

547,793‌

$

1,058,591‌

Net

Asset

Value,

Offering

and

Redemption

Price

per

Share

.

$

1

.49‌

$

2

.38‌

$

1

.51‌

$

1

.90‌

$

2

.03‌

(1)

Unaffiliated

Investments,

at

Cost

...................................

$

621,235‌

$

586,546‌

$

375,564‌

$

434,068‌

$

731,978‌

(4)

Foreign

Currency,

at

Cost

............................................

—‌

—‌

—‌

—‌

187‌

(10)

Shares

Outstanding

..................................................

417,485‌

297,540‌

289,880‌

287,726‌

521,059‌

(11)

Shares

Authorized,

$.01

Par

Value

...............................

2,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

Northwestern

Mutual

Series

Fund,

Inc.

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

147

Statements

of

Assets

and

Liabilities

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)

..............................

$

846,654‌

$

1,863,580‌

$

1,056,231‌

$

294,128‌

$

380,110‌

Investments

in

Repurchase

Agreements,

at

Value

(3)

.........

—‌

—‌

—‌

227,500‌

—‌

Cash

........................................................................

13,442‌

34,322‌

4,787‌

1,116‌

1,994‌

Foreign

Currency,

at

Value

(4)

.......................................

204‌

573‌

1,705‌

—‌

—‌

Collateral

with

Counterparty

..........................................

—‌

—‌

—‌

—‌

1‌

Receivable

for

Portfolio

Shares

Sold

...............................

365‌

365‌

317‌

397‌

38‌

Receivable

for

Investment

Securities

Sold

........................

293‌

—‌

616‌

—‌

22,355‌

Variation

Margin

Receivable

..........................................

—‌

—‌

—‌

—‌

56‌

Receivable

for

Foreign

Currency

....................................

1‌

1,836‌

—‌

—‌

—‌

Prepaid

Expenses

and

Other

Assets

...............................

17‌

23‌

17‌

16‌

14‌

Dividends

and

Interest

Receivable

..................................

3,333‌

7,356‌

3,609‌

727‌

2,864‌

Total

Assets

.......................................................

864,309‌

1,908,055‌

1,067,282‌

523,884‌

407,432‌

Liabilities

Payable

for

Portfolio

Shares

Redeemed

..........................

385‌

798‌

690‌

167‌

308‌

Payable

for

Investment

Securities

Purchased

...................

—‌

447‌

791‌

2,230‌

23,800‌

Accrued

Foreign

Capital

Gains

Tax

.................................

350‌

2,488‌

7,572‌

—‌

—‌

Variation

Margin

Payable

..............................................

—‌

—‌

—‌

—‌

11‌

Payable

for

Foreign

Currency

........................................

—‌

73‌

—‌

—‌

—‌

Collateral

from

Counterparty

..........................................

—‌

1,670‌

—‌

—‌

—‌

Investment

Advisory

Fees

Payable

.................................

483‌

1,043‌

722‌

127‌

102‌

Compliance

Fees

Payable

............................................

2‌

3‌

3‌

2‌

2‌

Accrued

Expenses

......................................................

91‌

126‌

131‌

28‌

74‌

Total

Liabilities

...................................................

1,311‌

6,648‌

9,909‌

2,554‌

24,297‌

Net

Assets

.........................................................

$

862,998‌

$

1,901,407‌

$

1,057,373‌

$

521,330‌

$

383,135‌

Represented

By:

Aggregate

Paid

in

Capital

(10)

(11)

.................................

$

665,655‌

$

1,789,901‌

$

1,025,286‌

$

521,333‌

$

382,558‌

Total

Distributable

Earnings

(Loss)

..................................

197,343‌

111,506‌

32,087‌

(

3‌

)

577‌

Net

Assets

for

Shares

Outstanding

(10)

(11)

.....................

$

862,998‌

$

1,901,407‌

$

1,057,373‌

$

521,330‌

$

383,135‌

Net

Asset

Value,

Offering

and

Redemption

Price

per

Share

.

$

1

.13‌

$

1

.63‌

$

0

.98‌

$

1

.00‌

$

1

.04‌

(1)

Unaffiliated

Investments,

at

Cost

...................................

$

665,192‌

$

1,850,988‌

$

963,899‌

$

294,128‌

$

385,245‌

(3)

Investments

in

Repurchase

Agreements,

at

Cost

..............

—‌

—‌

—‌

227,500‌

—‌

(4)

Foreign

Currency,

at

Cost

............................................

204‌

573‌

1,916‌

—‌

—‌

(8)

Premiums

Paid

on

Swap

Contracts

................................

—‌

—‌

—‌

—‌

70‌

(10)

Shares

Outstanding

..................................................

767,083‌

1,166,179‌

1,081,308‌

521,331‌

368,174‌

(11)

Shares

Authorized,

$.01

Par

Value

...............................

2,000,000‌

3,000,000‌

2,000,000‌

2,000,000‌

2,000,000‌

Northwestern

Mutual

Series

Fund,

Inc.

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

148

Statements

of

Assets

and

Liabilities

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)

..............................

$

2,857,462‌

$

172,600‌

$

403,936‌

$

644,365‌

$

1,272,801‌

Investments

in

Repurchase

Agreements,

at

Value

(3)

.........

—‌

41,200‌

—‌

—‌

200,468‌

Cash

........................................................................

69,415‌

1,001‌

4,771‌

22,146‌

—‌

Foreign

Currency,

at

Value

(4)

.......................................

—‌

—‌

—‌

—‌

2,152‌

Collateral

with

Counterparty

..........................................

—‌

1,188‌

6,333‌

—‌

8,600‌

Receivable

for

Portfolio

Shares

Sold

...............................

762‌

21‌

81‌

131‌

186‌

Receivable

for

Investment

Securities

Sold

........................

33,543‌

9,122‌

618‌

958‌

129,621‌

Receivable

for

Financing

Transactions

............................

—‌

139,105‌

—‌

—‌

—‌

Variation

Margin

Receivable

..........................................

—‌

243‌

152‌

—‌

312‌

Outstanding

Swap

Contracts,

at

Value

(8)

........................

—‌

—‌

6,672‌

—‌

33‌

Receivable

for

Foreign

Currency

....................................

—‌

—‌

42‌

—‌

3,204‌

Deferred

Expense

for

Financing

Transactions

...................

—‌

15‌

—‌

—‌

—‌

Prepaid

Expenses

and

Other

Assets

...............................

31‌

13‌

14‌

17‌

28‌

Dividends

and

Interest

Receivable

..................................

17,827‌

1,307‌

2,200‌

11,613‌

14,303‌

Total

Assets

.......................................................

2,979,040‌

365,815‌

424,819‌

679,230‌

1,631,708‌

Liabilities

Payable

for

Portfolio

Shares

Redeemed

..........................

1,254‌

40‌

276‌

318‌

538‌

Payable

for

Investment

Securities

Purchased

...................

170,126‌

62,602‌

1,015‌

1,450‌

362,670‌

Payable

for

Financing

Transactions

................................

—‌

187,588‌

—‌

—‌

—‌

Variation

Margin

Payable

..............................................

—‌

38‌

37‌

—‌

380‌

Outstanding

Options

Written,

at

Value

(6)

.........................

—‌

4‌

—‌

—‌

75‌

Payable

to

Custodian

...................................................

—‌

—‌

—‌

—‌

1,174‌

Payable

for

Reverse

Repurchase

Agreements

..................

—‌

—‌

—‌

—‌

4,153‌

Outstanding

Swap

Contracts,

at

Value

(9)

........................

—‌

—‌

270‌

—‌

193‌

Payable

for

Foreign

Currency

........................................

—‌

—‌

140‌

—‌

816‌

Collateral

from

Counterparty

..........................................

30‌

—‌

10,900‌

—‌

2,896‌

Investment

Advisory

Fees

Payable

.................................

699‌

48‌

135‌

234‌

689‌

Compliance

Fees

Payable

............................................

4‌

2‌

2‌

2‌

3‌

Accrued

Expenses

......................................................

136‌

41‌

69‌

78‌

140‌

Total

Liabilities

...................................................

172,249‌

250,363‌

12,844‌

2,082‌

373,727‌

Net

Assets

.........................................................

$

2,806,791‌

$

115,452‌

$

411,975‌

$

677,148‌

$

1,257,981‌

Represented

By:

Aggregate

Paid

in

Capital

(10)

(11)

.................................

$

3,191,629‌

$

182,975‌

$

444,394‌

$

694,028‌

$

1,361,423‌

Total

Distributable

Earnings

(Loss)

..................................

(

384,838‌

)

(

67,523‌

)

(

32,419‌

)

(

16,880‌

)

(

103,442‌

)

Net

Assets

for

Shares

Outstanding

(10)

(11)

.....................

$

2,806,791‌

$

115,452‌

$

411,975‌

$

677,148‌

$

1,257,981‌

Net

Asset

Value,

Offering

and

Redemption

Price

per

Share

.

$

1

.10‌

$

0

.63‌

$

1

.04‌

$

0

.68‌

$

0

.99‌

(1)

Unaffiliated

Investments,

at

Cost

...................................

$

2,934,145‌

$

196,774‌

$

448,355‌

$

690,667‌

$

1,371,336‌

(3)

Investments

in

Repurchase

Agreements,

at

Cost

..............

—‌

41,200‌

—‌

—‌

200,438‌

(4)

Foreign

Currency,

at

Cost

............................................

—‌

—‌

—‌

—‌

2,159‌

(6)

Premiums

Received

on

Options

Written

..........................

—‌

5‌

—‌

—‌

89‌

(8)

Premiums

Paid

on

Swap

Contracts

................................

—‌

142‌

6‌

—‌

7,955‌

(9)

Premiums

Received

from

Swap

Contracts

......................

—‌

7‌

1‌

—‌

3,794‌

(10)

Shares

Outstanding

..................................................

2,549,613‌

184,342‌

394,426‌

991,775‌

1,268,427‌

(11)

Shares

Authorized,

$.01

Par

Value

...............................

6,000,000‌

2,000,000‌

2,000,000‌

3,000,000‌

2,000,000‌

Northwestern

Mutual

Series

Fund,

Inc.

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

149

Statements

of

Assets

and

Liabilities

Balanced

Portfolio

Asset

Allocation

Portfolio

Assets

Unaffiliated

Investments,

at

Value

(1)

..............................

$

673,397‌

$

101,489‌

Affiliated

Investments,

at

Value

(2)

..................................

1,245,065‌

169,332‌

Cash

........................................................................

13,064‌

1,231‌

Receivable

for

Portfolio

Shares

Sold

...............................

75‌

56‌

Receivable

for

Investment

Securities

Sold

........................

50,430‌

10,758‌

Prepaid

Expenses

and

Other

Assets

...............................

25‌

13‌

Dividends

and

Interest

Receivable

..................................

359‌

55‌

Total

Assets

.......................................................

1,982,415‌

282,934‌

Liabilities

Payable

for

Portfolio

Shares

Redeemed

..........................

823‌

80‌

Payable

for

Investment

Securities

Purchased

...................

43,068‌

8,360‌

Investment

Advisory

Fees

Payable

.................................

160‌

23‌

Compliance

Fees

Payable

............................................

3‌

2‌

Accrued

Expenses

......................................................

41‌

36‌

Total

Liabilities

...................................................

44,095‌

8,501‌

Net

Assets

.........................................................

$

1,938,320‌

$

274,433‌

Represented

By:

Aggregate

Paid

in

Capital

(10)

(11)

.................................

$

1,847,133‌

$

248,445‌

Total

Distributable

Earnings

(Loss)

..................................

91,187‌

25,988‌

Net

Assets

for

Shares

Outstanding

(10)

(11)

.....................

$

1,938,320‌

$

274,433‌

Net

Asset

Value,

Offering

and

Redemption

Price

per

Share

.

$

1

.34‌

$

1

.13‌

(1)

Unaffiliated

Investments,

at

Cost

...................................

$

623,385‌

$

89,618‌

(2)

Affiliated

Investments,

at

Cost

.......................................

1,300,639‌

169,557‌

(10)

Shares

Outstanding

..................................................

1,450,364‌

242,295‌

(11)

Shares

Authorized,

$.01

Par

Value

...............................

4,000,000‌

2,000,000‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

150

Statements

of

Operations

Growth

Stock

Portfolio

Focused

Appreciation

Portfolio

Large

Cap

Core

Stock

Portfolio

Large

Cap

Blend

Portfolio

Index

500

Stock

Portfolio

Investment

Income

Income

Interest

(1)

...............................................................

$

114‌

$

1,055‌

$

81‌

$

35‌

$

1,051‌

Unaffiliated

Dividends

(1)

........................................

3,025‌

3,612‌

3,798‌

1,153‌

41,232‌

Total

Income

..................................................

3,139‌

4,667‌

3,879‌

1,188‌

42,283‌

Expenses

Investment

Advisory

Fees

.......................................

2,427‌

4,820‌

1,485‌

679‌

5,819‌

Custodian

Fees

.......................................................

2‌

11‌

4‌

2‌

5‌

Shareholder

Reporting

Fees

...................................

16‌

23‌

13‌

9‌

47‌

Audit

Fees

...............................................................

15‌

14‌

16‌

13‌

21‌

Valuation

Services

...................................................

—‌

—‌

1‌

—‌

2‌

Compliance

Fees

....................................................

6‌

6‌

5‌

4‌

11‌

Directors

Fees

.........................................................

22‌

23‌

20‌

17‌

44‌

Professional

Fees

....................................................

7‌

7‌

7‌

9‌

13‌

Trade

Name

Fees

....................................................

—‌

—‌

—‌

—‌

61‌

Other

Expenses

.......................................................

8‌

9‌

5‌

2‌

37‌

Total

Expenses

..............................................

2,503‌

4,913‌

1,556‌

735‌

6,060‌

Less

Waived

Fees:

Paid

by

Affiliate

................................................

(

18‌

)

(

818‌

)

(

31‌

)

(

73‌

)

(

383‌

)

Net

Expenses

.................................................

2,485‌

4,095‌

1,525‌

662‌

5,677‌

Net

Investment

Income

(Loss)

................................

654‌

572‌

2,354‌

526‌

36,606‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments

Net

Realized

Gain

(Loss)

on:

Unaffiliated

Investment

Securities

...........................

37,555‌

145,398‌

56,059‌

11,484‌

89,732‌

Futures

Contracts

....................................................

—‌

—‌

—‌

—‌

5,438‌

Net

Realized

Gain

(Loss)

on

Investments

...

37,555‌

145,398‌

56,059‌

11,484‌

95,170‌

Net

Unrealized

Appreciation

(Depreciation)

of:

Unaffiliated

Investment

Securities

...........................

234,168‌

63,182‌

36,772‌

14,201‌

694,374‌

Futures

Contracts

....................................................

—‌

—‌

—‌

—‌

(

1,427‌

)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..................

234,168‌

63,182‌

36,772‌

14,201‌

692,947‌

Net

Gain

(Loss)

on

Investments

..................................

271,723‌

208,580‌

92,831‌

25,685‌

788,117‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

...................................................................

$

272,377‌

$

209,152‌

$

95,185‌

$

26,211‌

$

824,723‌

(1)

Net

of

Foreign

Witholding

Tax

................................

$

17‌

$

265‌

$

33‌

$

16‌

$

11‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

151

Statements

of

Operations

Large

Company

Value

Portfolio

Domestic

Equity

Portfolio

Equity

Income

Portfolio

Mid

Cap

Growth

Stock

Portfolio

Index

400

Stock

Portfolio

Investment

Income

Income

Interest

(1)

...............................................................

$

82‌

$

549‌

$

134‌

$

36‌

$

260‌

Unaffiliated

Dividends

(1)

........................................

2,117‌

12,550‌

9,699‌

2,353‌

10,431‌

Total

Income

..................................................

2,199‌

13,099‌

9,833‌

2,389‌

10,691‌

Expenses

Investment

Advisory

Fees

.......................................

535‌

2,761‌

2,298‌

2,789‌

1,651‌

Custodian

Fees

.......................................................

6‌

1‌

6‌

6‌

7‌

Shareholder

Reporting

Fees

...................................

11‌

32‌

21‌

18‌

38‌

Audit

Fees

...............................................................

15‌

14‌

15‌

15‌

16‌

Valuation

Services

...................................................

2‌

—‌

—‌

—‌

2‌

Compliance

Fees

....................................................

4‌

6‌

5‌

6‌

6‌

Directors

Fees

.........................................................

17‌

21‌

20‌

22‌

22‌

Professional

Fees

....................................................

6‌

7‌

7‌

7‌

7‌

Trade

Name

Fees

....................................................

—‌

—‌

—‌

—‌

63‌

Other

Expenses

.......................................................

5‌

8‌

6‌

8‌

12‌

Total

Expenses

..............................................

601‌

2,850‌

2,378‌

2,871‌

1,824‌

Less

Waived

Fees:

Paid

by

Affiliate

................................................

(

38‌

)

(

204‌

)

(

303‌

)

(

4‌

)

(

206‌

)

Net

Expenses

.................................................

563‌

2,646‌

2,075‌

2,867‌

1,618‌

Net

Investment

Income

(Loss)

................................

1,636‌

10,453‌

7,758‌

(

478‌

)

9,073‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments

Net

Realized

Gain

(Loss)

on:

Unaffiliated

Investment

Securities

...........................

4,210‌

56,214‌

38,072‌

42,831‌

54,149‌

Futures

Contracts

....................................................

—‌

—‌

—‌

—‌

816‌

Foreign

Currency

Transactions

...............................

239‌

—‌

(

5‌

)

—‌

—‌

Net

Realized

Gain

(Loss)

on

Investments

...

4,449‌

56,214‌

38,067‌

42,831‌

54,965‌

Net

Unrealized

Appreciation

(Depreciation)

of:

Unaffiliated

Investment

Securities

...........................

(

1,471‌

)

(

29,836‌

)

9,354‌

(

31,105‌

)

14,091‌

Futures

Contracts

....................................................

—‌

—‌

—‌

—‌

(

441‌

)

Foreign

Currency

Transactions

...............................

144‌

—‌

—‌

—‌

—‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..................

(1,327‌)

(29,836‌)

9,354‌

(31,105‌)

13,650‌

Net

Gain

(Loss)

on

Investments

..................................

3,122‌

26,378‌

47,421‌

11,726‌

68,615‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

...................................................................

$

4,758‌

$

36,831‌

$

55,179‌

$

11,248‌

$

77,688‌

(1)

Net

of

Foreign

Witholding

Tax

................................

$

57‌

$

—‌

$

313‌

$

8‌

$

—‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

152

Statements

of

Operations

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)

...............................................................

$

340‌

$

133‌

$

70‌

$

423‌

$

679‌

Unaffiliated

Dividends

(1)

........................................

9,078‌

1,622‌

3,968‌

4,614‌

9,418‌

Total

Income

..................................................

9,418‌

1,755‌

4,038‌

5,037‌

10,097‌

Expenses

Investment

Advisory

Fees

.......................................

2,775‌

1,845‌

481‌

2,355‌

3,055‌

Custodian

Fees

.......................................................

14‌

3‌

13‌

4‌

58‌

Shareholder

Reporting

Fees

...................................

37‌

30‌

25‌

25‌

41‌

Audit

Fees

...............................................................

16‌

14‌

15‌

14‌

17‌

Valuation

Services

...................................................

2‌

1‌

2‌

1‌

5‌

Compliance

Fees

....................................................

5‌

5‌

5‌

5‌

5‌

Directors

Fees

.........................................................

20‌

19‌

18‌

19‌

21‌

Professional

Fees

....................................................

7‌

7‌

7‌

7‌

14‌

Trade

Name

Fees

....................................................

—‌

—‌

19‌

—‌

—‌

Other

Expenses

.......................................................

8‌

6‌

6‌

5‌

7‌

Total

Expenses

..............................................

2,884‌

1,930‌

591‌

2,435‌

3,223‌

Less

Waived

Fees:

Paid

by

Affiliate

................................................

(

532‌

)

—‌

—‌

(

14‌

)

(

3‌

)

Net

Expenses

.................................................

2,352‌

1,930‌

591‌

2,421‌

3,220‌

Net

Investment

Income

(Loss)

................................

7,066‌

(

175‌

)

3,447‌

2,616‌

6,877‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments

Net

Realized

Gain

(Loss)

on:

Unaffiliated

Investment

Securities

...........................

13,291‌

39,757‌

8,251‌

23,588‌

16,526‌

Futures

Contracts

....................................................

—‌

—‌

100‌

—‌

—‌

Foreign

Currency

Transactions

...............................

1,157‌

—‌

—‌

—‌

(

86‌

)

Net

Realized

Gain

(Loss)

on

Investments

...

14,448‌

39,757‌

8,351‌

23,588‌

16,440‌

Net

Unrealized

Appreciation

(Depreciation)

of:

Unaffiliated

Investment

Securities

...........................

(

16,091‌

)

3,060‌

(

15,368‌

)

(

28,514‌

)

44,361‌

Futures

Contracts

....................................................

—‌

—‌

(

24‌

)

—‌

—‌

Foreign

Currency

Transactions

...............................

583‌

—‌

—‌

—‌

(

126‌

)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..................

(15,508‌)

3,060‌

(15,392‌)

(28,514‌)

44,235‌

Net

Gain

(Loss)

on

Investments

..................................

(

1,060‌

)

42,817‌

(

7,041‌

)

(

4,926‌

)

60,675‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

...................................................................

$

6,006‌

$

42,642‌

$

(

3,594‌

)

$

(

2,310‌

)

$

67,552‌

(1)

Net

of

Foreign

Witholding

Tax

................................

$

180‌

$

—‌

$

3‌

$

16‌

$

696‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

153

Statements

of

Operations

Research

International

Core

Portfolio

International

Equity

Portfolio

Emerging

Markets

Equity

Portfolio

Government

Money

Market

Portfolio

Short-Term

Bond

Portfolio

Investment

Income

Income

Interest

(1)

...............................................................

$

296‌

$

626‌

$

432‌

$

13,773‌

$

8,557‌

Unaffiliated

Dividends

(1)

........................................

14,127‌

44,790‌

17,211‌

—‌

—‌

Total

Income

..................................................

14,423‌

45,416‌

17,643‌

13,773‌

8,557‌

Expenses

Investment

Advisory

Fees

.......................................

3,195‌

6,183‌

4,956‌

779‌

619‌

Custodian

Fees

.......................................................

49‌

102‌

125‌

14‌

12‌

Shareholder

Reporting

Fees

...................................

37‌

52‌

43‌

9‌

19‌

Audit

Fees

...............................................................

16‌

18‌

16‌

14‌

18‌

Valuation

Services

...................................................

8‌

5‌

5‌

2‌

42‌

Compliance

Fees

....................................................

5‌

7‌

5‌

5‌

5‌

Directors

Fees

.........................................................

20‌

25‌

21‌

18‌

18‌

Professional

Fees

....................................................

16‌

15‌

17‌

5‌

6‌

Other

Expenses

.......................................................

7‌

16‌

9‌

2‌

7‌

Total

Expenses

..............................................

3,353‌

6,423‌

5,197‌

848‌

746‌

Less

Waived

Fees:

Paid

by

Affiliate

................................................

(

255‌

)

—‌

(

899‌

)

(

1‌

)

—‌

Net

Expenses

.................................................

3,098‌

6,423‌

4,298‌

847‌

746‌

Net

Investment

Income

(Loss)

................................

11,325‌

38,993‌

13,345‌

12,926‌

7,811‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments

Net

Realized

Gain

(Loss)

on:

Unaffiliated

Investment

Securities

...........................

(

11,255‌

)

32,409‌

(

20,685‌

)

5‌

(

1,624‌

)

Futures

Contracts

....................................................

—‌

—‌

—‌

—‌

(

861‌

)

Swap

Contracts

.......................................................

—‌

—‌

—‌

—‌

11‌

Foreign

Currency

Transactions

...............................

(

117‌

)

2,304‌

(

646‌

)

—‌

—‌

Net

Realized

Gain

(Loss)

on

Investments

...

(

11,372‌

)

34,713‌

(

21,331‌

)

5‌

(

2,474‌

)

Net

Unrealized

Appreciation

(Depreciation)

of:

Unaffiliated

Investment

Securities

...........................

41,673‌

(

12,165‌

)

54,642‌

—‌

1,875‌

Futures

Contracts

....................................................

—‌

—‌

—‌

—‌

111‌

Swap

Contracts

.......................................................

—‌

—‌

—‌

—‌

9‌

Foreign

Currency

Transactions

...............................

(

207‌

)

114‌

(

28‌

)

—‌

—‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..................

41,466‌

(12,051‌)

54,614‌

—‌

1,995‌

Net

Gain

(Loss)

on

Investments

..................................

30,094‌

22,662‌

33,283‌

5‌

(

479‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

...................................................................

$

41,419‌

$

61,655‌

$

46,628‌

$

12,931‌

$

7,332‌

(1)

Net

of

Foreign

Witholding

Tax

................................

$

789‌

$

1,887‌

$

655‌

$

—‌

$

—‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

154

Statements

of

Operations

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)

...............................................................

$

66,655‌

$

3,227‌

$

8,945‌

$

22,795‌

$

34,842‌

Unaffiliated

Dividends

(1)

........................................

—‌

—‌

—‌

357‌

21‌

Total

Income

..................................................

66,655‌

3,227‌

8,945‌

23,152‌

34,863‌

Expenses

Investment

Advisory

Fees

.......................................

4,292‌

318‌

1,091‌

1,502‌

4,680‌

Custodian

Fees

.......................................................

16‌

6‌

6‌

1‌

57‌

Shareholder

Reporting

Fees

...................................

41‌

11‌

32‌

39‌

35‌

Audit

Fees

...............................................................

23‌

20‌

20‌

20‌

26‌

Valuation

Services

...................................................

47‌

10‌

12‌

28‌

41‌

Compliance

Fees

....................................................

8‌

4‌

5‌

5‌

5‌

Directors

Fees

.........................................................

31‌

17‌

18‌

20‌

22‌

Professional

Fees

....................................................

9‌

6‌

7‌

7‌

9‌

Interest

Expense

.....................................................

—‌

1,127‌

—‌

—‌

195‌

Other

Expenses

.......................................................

23‌

6‌

13‌

7‌

46‌

Total

Expenses

..............................................

4,490‌

1,525‌

1,204‌

1,629‌

5,116‌

Less

Waived

Fees:

Paid

by

Affiliate

................................................

(

87‌

)

(

22‌

)

(

280‌

)

—‌

(

598‌

)

Net

Expenses

.................................................

4,403‌

1,503‌

924‌

1,629‌

4,518‌

Net

Investment

Income

(Loss)

................................

62,252‌

1,724‌

8,021‌

21,523‌

30,345‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments

Net

Realized

Gain

(Loss)

on:

Unaffiliated

Investment

Securities

...........................

(

48,946‌

)

(

4,345‌

)

(

4,261‌

)

(

11,762‌

)

(

26,484‌

)

Futures

Contracts

....................................................

—‌

170‌

1‌

—‌

977‌

Options

Written

........................................................

—‌

65‌

—‌

—‌

76‌

Swap

Contracts

.......................................................

—‌

(

153‌

)

3,757‌

—‌

6,417‌

Foreign

Currency

Transactions

...............................

—‌

—‌

370‌

—‌

5,023‌

Reverse

Repurchase

Agreements

..........................

—‌

—‌

—‌

—‌

(

9‌

)

Net

Realized

Gain

(Loss)

on

Investments

...

(

48,946‌

)

(

4,263‌

)

(

133‌

)

(

11,762‌

)

(

14,000‌

)

Net

Unrealized

Appreciation

(Depreciation)

of:

Unaffiliated

Investment

Securities

...........................

(

20,222‌

)

(

4,447‌

)

(

2,779‌

)

2,917‌

16,081‌

Futures

Contracts

....................................................

—‌

1,703‌

(

749‌

)

—‌

(

7,370‌

)

Options

Written

........................................................

—‌

(

1‌

)

—‌

—‌

13‌

Swap

Contracts

.......................................................

—‌

66‌

(

1,292‌

)

—‌

(

6,186‌

)

Foreign

Currency

Transactions

...............................

—‌

—‌

412‌

—‌

3,315‌

Reverse

Repurchase

Agreements

..........................

—‌

—‌

—‌

—‌

62‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..................

(20,222‌)

(2,679‌)

(4,408‌)

2,917‌

5,915‌

Net

Gain

(Loss)

on

Investments

..................................

(

69,168‌

)

(

6,942‌

)

(

4,541‌

)

(

8,845‌

)

(

8,085‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

...................................................................

$

(

6,916‌

)

$

(

5,218‌

)

$

3,480‌

$

12,678‌

$

22,260‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

155

Statements

of

Operations

Balanced

Portfolio

Asset

Allocation

Portfolio

Investment

Income

Income

Interest

(1)

...............................................................

$

993‌

$

143‌

Unaffiliated

Dividends

(1)

........................................

5,950‌

974‌

Total

Income

..................................................

6,943‌

1,117‌

Expenses

Investment

Advisory

Fees

.......................................

2,910‌

723‌

Custodian

Fees

.......................................................

1‌

1‌

Shareholder

Reporting

Fees

...................................

10‌

16‌

Audit

Fees

...............................................................

19‌

17‌

Compliance

Fees

....................................................

7‌

4‌

Directors

Fees

.........................................................

26‌

17‌

Professional

Fees

....................................................

8‌

6‌

Other

Expenses

.......................................................

17‌

7‌

Total

Expenses

..............................................

2,998‌

791‌

Less

Waived

Fees:

Paid

by

Affiliate

................................................

(

2,263‌

)

(

632‌

)

Net

Expenses

.................................................

735‌

159‌

Net

Investment

Income

(Loss)

................................

6,208‌

958‌

Realized

and

Unrealized

Gain

(Loss)

on

Investments

Net

Realized

Gain

(Loss)

on:

Unaffiliated

Investment

Securities

...........................

32,788‌

2,347‌

Affiliated

Investment

Securities

...............................

(

18,125‌

)

(

1,887‌

)

Swap

Contracts

.......................................................

(

139‌

)

(

27‌

)

Net

Realized

Gain

(Loss)

on

Investments

...

14,524‌

433‌

Net

Unrealized

Appreciation

(Depreciation)

of:

Unaffiliated

Investment

Securities

...........................

(

4,751‌

)

3,461‌

Affiliated

Investment

Securities

...............................

57,506‌

9,492‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..................

52,755‌

12,953‌

Net

Gain

(Loss)

on

Investments

..................................

67,279‌

13,386‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

...................................................................

$

73,487‌

$

14,344‌

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

156

Statements

of

Changes

in

Net

Assets

Growth

Stock

Portfolio

Focused

Appreciation

Portfolio

Large

Cap

Core

Stock

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

654‌

$

1,260‌

$

572‌

$

(

1,121‌

)

$

2,354‌

$

5,022‌

Net

Realized

Gain

(Loss)

on

Investments

37,555‌

19,895‌

145,398‌

117,334‌

56,059‌

42,459‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

234,168‌

344,106‌

63,182‌

350,354‌

36,772‌

93,947‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

272,377‌

365,261‌

209,152‌

466,567‌

95,185‌

141,428‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

392‌

)

—‌

(

73,702‌

)

—‌

(

55,199‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

392‌

)

—‌

(

73,702‌

)

—‌

(

55,199‌

)

Capital

Transactions:

Shares

Sold

............................................

17,037‌

31,596‌

30,945‌

45,950‌

8,692‌

15,414‌

Reinvestment

of

Distributions

Paid

..........

—‌

392‌

—‌

73,702‌

—‌

55,199‌

Shares

Redeemed

..................................

(

61,062‌

)

(

80,457‌

)

(

139,659‌

)

(

197,327‌

)

(

37,678‌

)

(

54,141‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

44,025‌

)

(

48,469‌

)

(

108,714‌

)

(

77,675‌

)

(

28,986‌

)

16,472‌

Total

Increase

(Decrease)

in

Net

Assets

.....

228,352‌

316,400‌

100,438‌

315,190‌

66,199‌

102,701‌

Net

Assets

Beginning

of

Period

...................................

1,067,103‌

750,703‌

1,279,119‌

963,929‌

668,896‌

566,195‌

End

of

Period

.............................................

$

1,295,455‌

$

1,067,103‌

$

1,379,557‌

$

1,279,119‌

$

735,095‌

$

668,896‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

4,940‌

12,321‌

7,327‌

13,468‌

4,867‌

9,820‌

Reinvestment

of

Distributions

Paid

.........

—‌

138‌

—‌

20,337‌

—‌

35,681‌

Shares

Redeemed

..................................

(

17,726‌

)

(

30,806‌

)

(

33,189‌

)

(

56,929‌

)

(

21,032‌

)

(

34,495‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

12,786‌

)

(

18,347‌

)

(

25,862‌

)

(

23,124‌

)

(

16,165‌

)

11,006‌

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

157

Statements

of

Changes

in

Net

Assets

Large

Cap

Blend

Portfolio

Index

500

Stock

Portfolio

Large

Company

Value

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

526‌

$

1,400‌

$

36,606‌

$

73,345‌

$

1,636‌

$

3,096‌

Net

Realized

Gain

(Loss)

on

Investments

11,484‌

38,892‌

95,170‌

102,837‌

4,449‌

5,908‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

14,201‌

(

4,799‌

)

692,947‌

974,774‌

(

1,327‌

)

(

3,512‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

26,211‌

35,493‌

824,723‌

1,150,956‌

4,758‌

5,492‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

16,333‌

)

—‌

(

102,966‌

)

—‌

(

24,155‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

16,333‌

)

—‌

(

102,966‌

)

—‌

(

24,155‌

)

Capital

Transactions:

Shares

Sold

............................................

2,933‌

4,962‌

188,327‌

307,603‌

6,133‌

15,882‌

Reinvestment

of

Distributions

Paid

..........

—‌

16,333‌

—‌

102,966‌

—‌

24,155‌

Shares

Redeemed

..................................

(

52,359‌

)

(

48,649‌

)

(

306,449‌

)

(

439,392‌

)

(

14,511‌

)

(

21,790‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

49,426‌

)

(

27,354‌

)

(

118,122‌

)

(

28,823‌

)

(

8,378‌

)

18,247‌

Total

Increase

(Decrease)

in

Net

Assets

.....

(

23,215‌

)

(

8,194‌

)

706,601‌

1,019,167‌

(

3,620‌

)

(

416‌

)

Net

Assets

Beginning

of

Period

...................................

187,733‌

195,927‌

5,485,081‌

4,465,914‌

151,998‌

152,414‌

End

of

Period

.............................................

$

164,518‌

$

187,733‌

$

6,191,682‌

$

5,485,081‌

$

148,378‌

$

151,998‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

2,294‌

4,348‌

22,279‌

43,380‌

7,376‌

17,828‌

Reinvestment

of

Distributions

Paid

.........

—‌

14,688‌

—‌

13,944‌

—‌

31,617‌

Shares

Redeemed

..................................

(

40,760‌

)

(

42,245‌

)

(

36,101‌

)

(

61,421‌

)

(

17,480‌

)

(

25,066‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

38,466‌

)

(

23,209‌

)

(

13,822‌

)

(

4,097‌

)

(

10,104‌

)

24,379‌

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

158

Statements

of

Changes

in

Net

Assets

Domestic

Equity

Portfolio

Equity

Income

Portfolio

Mid

Cap

Growth

Stock

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

10,453‌

$

20,801‌

$

7,758‌

$

15,454‌

$

(

478‌

)

$

944‌

Net

Realized

Gain

(Loss)

on

Investments

56,214‌

81,380‌

38,067‌

26,642‌

42,831‌

(

24,840‌

)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

(

29,836‌

)

(

64,424‌

)

9,354‌

22,318‌

(

31,105‌

)

169,115‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

36,831‌

37,757‌

55,179‌

64,414‌

11,248‌

145,219‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

65,750‌

)

—‌

(

73,266‌

)

—‌

(

2,522‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

65,750‌

)

—‌

(

73,266‌

)

—‌

(

2,522‌

)

Capital

Transactions:

Shares

Sold

............................................

37,588‌

79,014‌

9,460‌

24,796‌

10,361‌

19,633‌

Reinvestment

of

Distributions

Paid

..........

—‌

65,750‌

—‌

73,266‌

—‌

2,522‌

Shares

Redeemed

..................................

(

92,070‌

)

(

119,824‌

)

(

55,801‌

)

(

74,095‌

)

(

88,785‌

)

(

91,652‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

54,482‌

)

24,940‌

(

46,341‌

)

23,967‌

(

78,424‌

)

(

69,497‌

)

Total

Increase

(Decrease)

in

Net

Assets

.....

(

17,651‌

)

(

3,053‌

)

8,838‌

15,115‌

(

67,176‌

)

73,200‌

Net

Assets

Beginning

of

Period

...................................

1,057,066‌

1,060,119‌

717,491‌

702,376‌

1,081,974‌

1,008,774‌

End

of

Period

.............................................

$

1,039,415‌

$

1,057,066‌

$

726,329‌

$

717,491‌

$

1,014,798‌

$

1,081,974‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

22,998‌

50,536‌

5,455‌

14,994‌

3,247‌

6,883‌

Reinvestment

of

Distributions

Paid

.........

—‌

44,098‌

—‌

47,699‌

—‌

869‌

Shares

Redeemed

..................................

(

56,180‌

)

(

75,951‌

)

(

32,164‌

)

(

44,900‌

)

(

27,961‌

)

(

31,776‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

33,182‌

)

18,683‌

(

26,709‌

)

17,793‌

(

24,714‌

)

(

24,024‌

)

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

159

Statements

of

Changes

in

Net

Assets

Index

400

Stock

Portfolio

Mid

Cap

Value

Portfolio

Small

Cap

Growth

Stock

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

9,073‌

$

16,869‌

$

7,066‌

$

13,979‌

$

(

175‌

)

$

1,051‌

Net

Realized

Gain

(Loss)

on

Investments

54,965‌

44,579‌

14,448‌

19,628‌

39,757‌

33,134‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

13,650‌

120,479‌

(

15,508‌

)

6,722‌

3,060‌

74,030‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

77,688‌

181,927‌

6,006‌

40,329‌

42,642‌

108,215‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

65,023‌

)

—‌

(

94,795‌

)

—‌

(

192‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

65,023‌

)

—‌

(

94,795‌

)

—‌

(

192‌

)

Capital

Transactions:

Shares

Sold

............................................

42,778‌

78,609‌

23,272‌

48,106‌

16,608‌

35,093‌

Reinvestment

of

Distributions

Paid

..........

—‌

65,023‌

—‌

94,795‌

—‌

192‌

Shares

Redeemed

..................................

(

76,296‌

)

(

107,432‌

)

(

71,359‌

)

(

73,856‌

)

(

36,970‌

)

(

51,516‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

33,518‌

)

36,200‌

(

48,087‌

)

69,045‌

(

20,362‌

)

(

16,231‌

)

Total

Increase

(Decrease)

in

Net

Assets

.....

44,170‌

153,104‌

(

42,081‌

)

14,579‌

22,280‌

91,792‌

Net

Assets

Beginning

of

Period

...................................

1,290,814‌

1,137,710‌

665,543‌

650,964‌

686,669‌

594,877‌

End

of

Period

.............................................

$

1,334,984‌

$

1,290,814‌

$

623,462‌

$

665,543‌

$

708,949‌

$

686,669‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

18,948‌

38,677‌

15,513‌

30,757‌

7,200‌

17,413‌

Reinvestment

of

Distributions

Paid

.........

—‌

32,560‌

—‌

68,444‌

—‌

92‌

Shares

Redeemed

..................................

(

33,666‌

)

(

52,277‌

)

(

47,627‌

)

(

46,611‌

)

(

16,031‌

)

(

25,232‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

14,718‌

)

18,960‌

(

32,114‌

)

52,590‌

(

8,831‌

)

(

7,727‌

)

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

160

Statements

of

Changes

in

Net

Assets

Index

600

Stock

Portfolio

Small

Cap

Value

Portfolio

International

Growth

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

3,447‌

$

5,645‌

$

2,616‌

$

4,456‌

$

6,877‌

$

9,421‌

Net

Realized

Gain

(Loss)

on

Investments

8,351‌

9,303‌

23,588‌

21,102‌

16,440‌

27,399‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

(

15,392‌

)

44,818‌

(

28,514‌

)

46,170‌

44,235‌

144,441‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

(

3,594‌

)

59,766‌

(

2,310‌

)

71,728‌

67,552‌

181,261‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

20,110‌

)

—‌

(

39,232‌

)

—‌

(

28,510‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

20,110‌

)

—‌

(

39,232‌

)

—‌

(

28,510‌

)

Capital

Transactions:

Shares

Sold

............................................

30,696‌

49,586‌

8,171‌

23,020‌

35,761‌

68,224‌

Reinvestment

of

Distributions

Paid

..........

—‌

20,110‌

—‌

39,232‌

—‌

28,510‌

Shares

Redeemed

..................................

(

26,004‌

)

(

43,358‌

)

(

33,917‌

)

(

54,517‌

)

(

63,594‌

)

(

123,661‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

4,692‌

26,338‌

(

25,746‌

)

7,735‌

(

27,833‌

)

(

26,927‌

)

Total

Increase

(Decrease)

in

Net

Assets

.....

1,098‌

65,994‌

(

28,056‌

)

40,231‌

39,719‌

125,824‌

Net

Assets

Beginning

of

Period

...................................

437,546‌

371,552‌

575,849‌

535,618‌

1,018,872‌

893,048‌

End

of

Period

.............................................

$

438,644‌

$

437,546‌

$

547,793‌

$

575,849‌

$

1,058,591‌

$

1,018,872‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

20,397‌

35,240‌

4,323‌

12,711‌

17,868‌

38,455‌

Reinvestment

of

Distributions

Paid

.........

—‌

14,733‌

—‌

22,599‌

—‌

16,414‌

Shares

Redeemed

..................................

(

17,260‌

)

(

30,488‌

)

(

17,953‌

)

(

29,716‌

)

(

31,801‌

)

(

69,164‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

3,137‌

19,485‌

(

13,630‌

)

5,594‌

(

13,933‌

)

(

14,295‌

)

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

161

Statements

of

Changes

in

Net

Assets

Research

International

Core

Portfolio

International

Equity

Portfolio

Emerging

Markets

Equity

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

11,325‌

$

14,683‌

$

38,993‌

$

47,737‌

$

13,345‌

$

16,706‌

Net

Realized

Gain

(Loss)

on

Investments

(

11,372‌

)

5,645‌

34,713‌

(

6,228‌

)

(

21,331‌

)

(

24,775‌

)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

41,466‌

76,053‌

(

12,051‌

)

228,674‌

54,614‌

67,094‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

41,419‌

96,381‌

61,655‌

270,183‌

46,628‌

59,025‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

28,569‌

)

—‌

(

54,274‌

)

—‌

(

19,064‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

28,569‌

)

—‌

(

54,274‌

)

—‌

(

19,064‌

)

Capital

Transactions:

Shares

Sold

............................................

44,727‌

75,096‌

55,386‌

80,865‌

139,376‌

100,737‌

Reinvestment

of

Distributions

Paid

..........

—‌

28,569‌

—‌

54,274‌

—‌

19,064‌

Shares

Redeemed

..................................

(

51,799‌

)

(

86,899‌

)

(

92,909‌

)

(

199,969‌

)

(

50,448‌

)

(

92,183‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

7,072‌

)

16,766‌

(

37,523‌

)

(

64,830‌

)

88,928‌

27,618‌

Total

Increase

(Decrease)

in

Net

Assets

.....

34,347‌

84,578‌

24,132‌

151,079‌

135,556‌

67,579‌

Net

Assets

Beginning

of

Period

...................................

828,651‌

744,073‌

1,877,275‌

1,726,196‌

921,817‌

854,238‌

End

of

Period

.............................................

$

862,998‌

$

828,651‌

$

1,901,407‌

$

1,877,275‌

$

1,057,373‌

$

921,817‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

40,735‌

72,218‌

34,704‌

53,847‌

148,810‌

109,838‌

Reinvestment

of

Distributions

Paid

.........

—‌

28,008‌

—‌

36,038‌

—‌

21,229‌

Shares

Redeemed

..................................

(

46,969‌

)

(

83,330‌

)

(

57,578‌

)

(

133,003‌

)

(

53,675‌

)

(

100,009‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

6,234‌

)

16,896‌

(

22,874‌

)

(

43,118‌

)

95,135‌

31,058‌

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

162

Statements

of

Changes

in

Net

Assets

Government

Money

Market

Portfolio

Short-Term

Bond

Portfolio

Select

Bond

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

12,926‌

$

25,157‌

$

7,811‌

$

13,009‌

$

62,252‌

$

108,614‌

Net

Realized

Gain

(Loss)

on

Investments

5‌

6‌

(

2,474‌

)

(

5,449‌

)

(

48,946‌

)

(

135,060‌

)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

—‌

—‌

1,995‌

11,851‌

(

20,222‌

)

197,145‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

12,931‌

25,163‌

7,332‌

19,411‌

(

6,916‌

)

170,699‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

(

12,936‌

)

(

25,161‌

)

—‌

(

7,807‌

)

—‌

(

73,967‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

(

12,936‌

)

(

25,161‌

)

—‌

(

7,807‌

)

—‌

(

73,967‌

)

Capital

Transactions:

Shares

Sold

............................................

146,047‌

243,145‌

24,033‌

38,609‌

138,134‌

187,783‌

Reinvestment

of

Distributions

Paid

..........

12,936‌

25,161‌

—‌

7,807‌

—‌

73,967‌

Shares

Redeemed

..................................

(

164,032‌

)

(

284,441‌

)

(

33,462‌

)

(

55,526‌

)

(

228,124‌

)

(

241,401‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

5,049‌

)

(

16,135‌

)

(

9,429‌

)

(

9,110‌

)

(

89,990‌

)

20,349‌

Total

Increase

(Decrease)

in

Net

Assets

.....

(

5,054‌

)

(

16,133‌

)

(

2,097‌

)

2,494‌

(

96,906‌

)

117,081‌

Net

Assets

Beginning

of

Period

...................................

526,384‌

542,517‌

385,232‌

382,738‌

2,903,697‌

2,786,616‌

End

of

Period

.............................................

$

521,330‌

$

526,384‌

$

383,135‌

$

385,232‌

$

2,806,791‌

$

2,903,697‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

146,047‌

243,145‌

23,372‌

38,413‌

126,825‌

173,529‌

Reinvestment

of

Distributions

Paid

.........

12,936‌

25,161‌

—‌

7,862‌

—‌

70,445‌

Shares

Redeemed

..................................

(

164,032‌

)

(

284,441‌

)

(

32,549‌

)

(

55,337‌

)

(

207,666‌

)

(

223,248‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

5,049‌

)

(

16,135‌

)

(

9,177‌

)

(

9,062‌

)

(

80,841‌

)

20,726‌

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

163

Statements

of

Changes

in

Net

Assets

Long-Term

U.S.

Government

Bond

Portfolio

Inflation

Protection

Portfolio

High

Yield

Bond

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

1,724‌

$

2,983‌

$

8,021‌

$

12,871‌

$

21,523‌

$

43,691‌

Net

Realized

Gain

(Loss)

on

Investments

(

4,263‌

)

(

25,340‌

)

(

133‌

)

(

8,219‌

)

(

11,762‌

)

(

15,561‌

)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

(

2,679‌

)

26,557‌

(

4,408‌

)

11,085‌

2,917‌

60,484‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

(

5,218‌

)

4,200‌

3,480‌

15,737‌

12,678‌

88,614‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

2,679‌

)

—‌

(

20,508‌

)

—‌

(

40,679‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

2,679‌

)

—‌

(

20,508‌

)

—‌

(

40,679‌

)

Capital

Transactions:

Shares

Sold

............................................

9,520‌

32,371‌

22,187‌

33,814‌

29,153‌

49,592‌

Reinvestment

of

Distributions

Paid

..........

—‌

2,679‌

—‌

20,508‌

—‌

40,679‌

Shares

Redeemed

..................................

(

9,899‌

)

(

15,679‌

)

(

30,981‌

)

(

55,810‌

)

(

109,027‌

)

(

83,267‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

(

379‌

)

19,371‌

(

8,794‌

)

(

1,488‌

)

(

79,874‌

)

7,004‌

Total

Increase

(Decrease)

in

Net

Assets

.....

(

5,597‌

)

20,892‌

(

5,314‌

)

(

6,259‌

)

(

67,196‌

)

54,939‌

Net

Assets

Beginning

of

Period

...................................

121,049‌

100,157‌

417,289‌

423,548‌

744,344‌

689,405‌

End

of

Period

.............................................

$

115,452‌

$

121,049‌

$

411,975‌

$

417,289‌

$

677,148‌

$

744,344‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

15,341‌

50,464‌

21,544‌

32,100‌

43,398‌

76,343‌

Reinvestment

of

Distributions

Paid

.........

—‌

4,349‌

—‌

20,406‌

—‌

64,163‌

Shares

Redeemed

..................................

(

15,781‌

)

(

24,015‌

)

(

30,030‌

)

(

53,249‌

)

(

162,679‌

)

(

128,893‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

(

440‌

)

30,798‌

(

8,486‌

)

(

743‌

)

(

119,281‌

)

11,613‌

Northwestern

Mutual

Series

Fund,

Inc.

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

164

Statements

of

Changes

in

Net

Assets

Multi-Sector

Bond

Portfolio

Balanced

Portfolio

Asset

Allocation

Portfolio

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

For

the

Year

Ended

December

31,

2023

Change

in

Net

Assets

Operations

Net

Investment

Income

(Loss)

................

$

30,345‌

$

51,520‌

$

6,208‌

$

40,965‌

$

958‌

$

5,161‌

Net

Realized

Gain

(Loss)

on

Investments

(

14,000‌

)

(

34,031‌

)

14,524‌

40,097‌

433‌

8,417‌

Net

Change

in

Unrealized

Appreciation

(Depreciation)

of

Investments

..............

5,915‌

89,915‌

52,755‌

154,193‌

12,953‌

24,028‌

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

................

22,260‌

107,404‌

73,487‌

235,255‌

14,344‌

37,606‌

Distributions

to

Shareholders

from:

Net

Investment

Income

&

Net

Realized

Gain

on

Investments

............................

—‌

(

29,062‌

)

—‌

(

111,419‌

)

—‌

(

21,214‌

)

Net

Decrease

in

Net

Assets

Resulting

from

Distributions

to

Shareholders

....

—‌

(

29,062‌

)

—‌

(

111,419‌

)

—‌

(

21,214‌

)

Capital

Transactions:

Shares

Sold

............................................

101,750‌

94,136‌

35,882‌

60,580‌

10,510‌

12,637‌

Reinvestment

of

Distributions

Paid

..........

—‌

29,062‌

—‌

111,419‌

—‌

21,214‌

Shares

Redeemed

..................................

(

65,708‌

)

(

114,440‌

)

(

133,491‌

)

(

216,520‌

)

(

24,244‌

)

(

34,119‌

)

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Capital

Transactions

..

36,042‌

8,758‌

(

97,609‌

)

(

44,521‌

)

(

13,734‌

)

(

268‌

)

Total

Increase

(Decrease)

in

Net

Assets

.....

58,302‌

87,100‌

(

24,122‌

)

79,315‌

610‌

16,124‌

Net

Assets

Beginning

of

Period

...................................

1,199,679‌

1,112,579‌

1,962,442‌

1,883,127‌

273,823‌

257,699‌

End

of

Period

.............................................

$

1,257,981‌

$

1,199,679‌

$

1,938,320‌

$

1,962,442‌

$

274,433‌

$

273,823‌

Portfolio

Share

Transactions:

Shares

Sold

............................................

104,434‌

100,853‌

27,411‌

48,196‌

9,467‌

11,941‌

Reinvestment

of

Distributions

Paid

.........

—‌

31,692‌

—‌

91,778‌

—‌

20,984‌

Shares

Redeemed

..................................

(

67,194‌

)

(

122,889‌

)

(

101,902‌

)

(

173,156‌

)

(

21,815‌

)

(

32,410‌

)

Net

Increase

(Decrease)

in

Shares

Resulting

from

Portfolio

Share

Transactions

....................................

37,240‌

9,656‌

(

74,491‌

)

(

33,182‌

)

(

12,348‌

)

515‌

Northwestern

Mutual

Series

Fund,

Inc.

For

the

Six

Months

Ended

June

30,

2024

(unaudited)

(in

thousands)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

165

Statement

of

Cash

Flows

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:

Interest

paid

was

$1,089

for

the

period

ended

June

30,

2024.

Long-Term

U.S.

Government

Bond

Portfolio

Cash

Flows

from

Operating

Activities

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

.....................

$

(5,218)

Adjustments

to

Reconcile

Net

Increase

(Decrease)

in

Net

Assets

Resulting

from

Operations

to

Net

Cash

from

Operating

Activities

Purchase

of

Investment

Securities

.................................................................

(74,455)

Proceeds

from

Disposition

of

Investment

Securities

.......................................

102,328

(Purchase)

or

Sale

of

Short-Term

Investment

Securities,

Net………………….

(41,200)

Proceeds

from

(Payments

for)

Closed

Futures

Contracts

and

Cleared

Swaps

1,598

Cash

Paid

for

Terminated

Options

Written

........................................................

(10)

Premiums

Received

on

Options

Written

...........................................................

68

Amortization

(Accretion)

of

Premium/Discount,

net

.........................................

(461)

(Increase)

Decrease

in:

Receivable

for

Investment

Securities

Sold

..................................................

(2,284)

Prepaid

Expenses

and

Other

Assets

...........................................................

(11)

Dividends

and

Interest

Receivable

..............................................................

(117)

Increase

(Decrease)

in:

Collateral

from

counterparty

..........................................................................

(2,041)

Payable

for

investment

advisory

fees

............................................................

(4)

Accrued

Expenses

.........................................................................................

10

Change

in

Net

Unrealized

(Appreciation)

Depreciation

of:

Investment

Securities

.................................................................................

4,447

Futures

Contracts

.......................................................................................

(1,703)

Options

Written

..............................................................................................

1

Swap

Contracts

..........................................................................................

(66)

Net

Realized

(Gain)

Loss

from:

Investment

Securities

.................................................................................

4,345

Futures

Contracts

.......................................................................................

(170)

Options

Written

..............................................................................................

(65)

Paydowns

..................................................................................................

1

Swap

Contracts

..........................................................................................

153

Total

Adjustments

..........................................................................................

(9,636)

Net

Cash

(Used

in)

Provided

by

Operating

Activities

.........................................

(14,854)

Cash

Flows

from

Financing

Activities

Cash

Received

from

Financing

Transactions

.....................................................

908,671

Cash

(Used

for)

Financing

Transactions

............................................................

(893,652)

Proceeds

from

Portfolio

Shares

Sold

.................................................................

9,546

Payment

on

Portfolio

Shares

Redeemed

...........................................................

(9,888)

Net

Cash

(Used

in)

Provided

by

Financing

Activities

..........................................

14,677

Net

Increase

(Decrease)

in

Cash

and

Cash

Equivalents

.......................................

(177)

Cash

and

Restricted

Cash,

Beginning

of

Period

...................................................

2,366

Cash

and

Restricted

Cash,

End

of

Period

............................................................

$

2,189

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

166

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

2024

@

 .

.

.

$

3.06‌

$

0.00‌

‡

$

0.79‌

$

0.79‌

$

—‌

$

—‌

$

—‌

$

3.85‌

26.01‌%

$

1,295,455‌

0.43‌%

+

0.42‌%

+

0.11‌%

+

4‌%

2023 .

.

.

.

2.04‌

0.00‌

‡

1.02‌

1.02‌

(0.00‌)

‡

—‌

(0.00‌)

‡

3.06‌

49.69‌

1,067,103‌

0.43‌

0.43‌

0.14‌

9‌

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

Focused

Appreciation

Portfolio

2024

@

 .

.

.

$

3.87‌

$

0.00‌

‡

$

0.65‌

$

0.65‌

$

—‌

$

—‌

$

—‌

$

4.52‌

16.99‌%

$

1,379,557‌

0.74‌%

+

0.61‌%

+

0.09‌%

+

6‌%

2023 .

.

.

.

2.72‌

0.00‌

‡

1.38‌

1.38‌

—‌

(0.23‌)

(0.23‌)

3.87‌

50.99‌

1,279,119‌

0.74‌

0.62‌

(0.10‌)

7‌

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

Large

Cap

Core

Stock

Portfolio

2024

@

 .

.

.

$

1.66‌

$

0.01‌

$

0.23‌

$

0.24‌

$

—‌

$

—‌

$

—‌

$

1.90‌

14.42‌%

$

735,095‌

0.44‌%

+

0.43‌%

+

0.67‌%

+

32‌%

2023 .

.

.

.

1.44‌

0.01‌

0.36‌

0.37‌

(0.02‌)

(0.13‌)

(0.15‌)

1.66‌

25.78‌

668,896‌

0.45‌

0.44‌

0.82‌

63‌

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

Large

Cap

Blend

Portfolio

2024

@

 .

.

.

$

1.19‌

$

0.00‌

‡

$

0.19‌

$

0

.19‌

$

—‌

$

—‌

$

—‌

$

1.38‌

15.84‌%

$

164,518‌

0.82‌%

+

0.74‌%

+

0.59‌%

+

30‌%

2023 .

.

.

.

1.08‌

0.01‌

0.21‌

0.22‌

(0.01‌)

(0.10‌)

(0.11‌)

1.19‌

20.61‌

187,733‌

0.82‌

0.75‌

0.75‌

119‌

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

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

‡

Amount

is

less

than

$0.005.

+

Computed

on

an

annualized

basis.

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

167

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

2024

@

 .

.

.

$

7.88‌

$

0

.05‌

$

1.15‌

$

1.20‌

$

—‌

$

—‌

$

—‌

$

9.08‌

15.16‌%

$

6,191,682‌

0.21‌%

+

0.19‌%

+

1.26‌%

+

1‌%

2023 .

.

.

.

6.38‌

0.11‌

1.54‌

1.65‌

(0.10‌)

(0.05‌)

(0.15‌)

7.88‌

26.04‌

5,485,081‌

0.21‌

0.20‌

1.48‌

2‌

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

Large

Company

Value

Portfolio

2024

@

 .

.

.

$

0.80‌

$

0.01‌

$

0.02‌

$

0.03‌

$

—‌

$

—‌

$

—‌

$

0.83‌

3.12‌%

$

148,378‌

0.79‌%

+

0.74‌%

+

2.15‌%

+

21‌%

2023 .

.

.

.

0.92‌

0.02‌

0.01‌

0.03‌

(0.03‌)

(0.12‌)

(0.15‌)

0.80‌

3.80‌

151,998‌

0.80‌

0.75‌

2.07‌

36‌

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

Domestic

Equity

Portfolio

2024

@

 .

.

.

$

1.58‌

$

0.02‌

$

0.04‌

$

0.06‌

$

—‌

$

—‌

$

—‌

$

1.64‌

3.42‌%

$

1,039,415‌

0.54‌%

+

0.50‌%

+

1.97‌%

+

16‌%

2023 .

.

.

.

1.63‌

0.03‌

0.02‌

0.05‌

(0.03‌)

(0.07‌)

(0.10‌)

1.58‌

3.71‌

1,057,066‌

0.54‌

0.50‌

2.04‌

23‌

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

Equity

Income

Portfolio

2024

@

 .

.

.

$

1.66‌

$

0.02‌

$

0.11‌

$

0.13‌

$

—‌

$

—‌

$

—‌

$

1.79‌

7.92‌%

$

726,329‌

0.66‌%

+

0.57‌%

+

2.14‌%

+

11‌%

2023 .

.

.

.

1.69‌

0.04‌

0.11‌

0.15‌

(0.04‌)

(0.14‌)

(0.18‌)

1.66‌

9.68‌

717,491‌

0.66‌

0.57‌

2.24‌

18‌

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

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

‡

Amount

is

less

than

$0.005.

+

Computed

on

an

annualized

basis.

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

168

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

2024

@

 .

.

.

$

3.11‌

$

0.00‌

‡

$

0.03‌

$

0.03‌

$

—‌

$

—‌

$

—‌

$

3.14‌

0.96‌%

$

1,014,798‌

0.54‌%

+

0.54‌%

+

(0.09‌)%

+

38‌%

2023 .

.

.

.

2.71‌

0.00‌

‡

0.41‌

0.41‌

(0.01‌)

—‌

(0.01‌)

3.11‌

14.96‌

1,081,974‌

0.54‌

0.54‌

0.09‌

39‌

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

Index

400

Stock

Portfolio

2024

@

 .

.

.

$

2.17‌

$

0.02‌

$

0

.11‌

$

0.13‌

$

—‌

$

—‌

$

—‌

$

2.30‌

6.05‌%

$

1,334,984‌

0.28‌%

+

0.25‌%

+

1.37‌%

+

9‌%

2023 .

.

.

.

1.97‌

0.03‌

0.29‌

0.32‌

(0.03‌)

(0.09‌)

(0.12‌)

2.17‌

16.15‌

1,290,814‌

0.28‌

0.25‌

1.42‌

19‌

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

Mid

Cap

Value

Portfolio

2024

@

 .

.

.

$

1.48‌

$

0.02‌

$

(0.01‌)

$

0.01‌

$

—‌

$

—‌

$

—‌

$

1.49‌

0.88‌%

$

623,462‌

0.88‌%

+

0.72‌%

+

2.17‌%

+

29‌%

2023 .

.

.

.

1.64‌

0.03‌

0.06‌

0.09‌

(0.04‌)

(0.21‌)

(0.25‌)

1.48‌

6.26‌

665,543‌

0.88‌

0.72‌

2.17‌

50‌

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

Small

Cap

Growth

Stock

Portfolio

2024

@

 .

.

.

$

2.24‌

$

0.00‌

‡

$

0.14‌

$

0.14‌

$

—‌

$

—‌

$

—‌

$

2.38‌

6.34‌%

$

708,949‌

0.56‌%

+

0.56‌%

+

(0.05‌)%

+

31‌%

2023 .

.

.

.

1.89‌

0.00‌

‡

0.35‌

0.35‌

(0.00‌)

‡

—‌

(0.00‌)

‡

2.24‌

18.36‌

686,669‌

0.56‌

0.56‌

0.17‌

64‌

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

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

‡

Amount

is

less

than

$0.005.

+

Computed

on

an

annualized

basis.

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

169

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

2024

@

 .

.

.

$

1.53‌

$

0.01‌

$

(0.03‌)

$

(0.02‌)

$

—‌

$

—‌

$

—‌

$

1.51‌

(0.85‌)%

$

438,644‌

0.27‌%

+

0

.27‌%

+

1.60‌%

+

9‌%

2023 .

.

.

.

1.39‌

0.02‌

0.20‌

0.22‌

(0.02‌)

(0.06‌)

(0.08‌)

1.53‌

15.76‌

437,546‌

0.28‌

0.28‌

1.45‌

25‌

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

Small

Cap

Value

Portfolio

2024

@

 .

.

.

$

1.91‌

$

0.01‌

$

(0.02‌)

$

(0.01‌)

$

—‌

$

—‌

$

—‌

$

1.90‌

(0.37‌)%

$

547,793‌

0.88‌%

+

0.87‌%

+

0.94‌%

+

17‌%

2023 .

.

.

.

1.81‌

0.02‌

0.22‌

0.24‌

(0.01‌)

(0.13‌)

(0.14‌)

1.91‌

13.85‌

575,849‌

0.88‌

0.87‌

0.82‌

29‌

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

International

Growth

Portfolio

2024

@

 .

.

.

$

1.90‌

$

0.01‌

$

0.12‌

$

0.13‌

$

—‌

$

—‌

$

—‌

$

2.03‌

6.67‌%

$

1,058,591‌

0.62‌%

+

0.61‌%

+

1.31‌%

+

11‌%

2023 .

.

.

.

1.63‌

0.02‌

0.31‌

0.33‌

(0.02‌)

(0.04‌)

(0.06‌)

1.90‌

20.77‌

1,018,872‌

0.62‌

0.62‌

0.99‌

21‌

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

Research

International

Core

Portfolio

2024

@

 .

.

.

$

1.07‌

$

0.01‌

$

0.05‌

$

0.06‌

$

—‌

$

—‌

$

—‌

$

1.13‌

5.04‌%

$

862,998‌

0.79‌%

+

0.73‌%

+

2.68‌%

+

6‌%

2023 .

.

.

.

0.98‌

0.02‌

0.11‌

0.13‌

(0.02‌)

(0.02‌)

(0.04‌)

1

.07‌

12.95‌

828,651‌

0.80‌

0.75‌

1.87‌

15‌

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

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

+

Computed

on

an

annualized

basis.

‡

Amount

is

less

than

$0.005.

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

170

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

2024

@

 .

.

.

$

1.58‌

$

0.03‌

$

0.02‌

$

0.05‌

$

—‌

$

—‌

$

—‌

$

1.63‌

3.30‌%

$

1,901,407‌

0.68‌%

+

0.68‌%

+

4.13‌%

+

12‌%

2023 .

.

.

.

1.40‌

0.04‌

0.19‌

0.23‌

(0.05‌)

—‌

(0.05‌)

1.58‌

16.09‌

1,877,275‌

0.68‌

0.68‌

2.65‌

14‌

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

Emerging

Markets

Equity

Portfolio

2024

@

 .

.

.

$

0.93‌

$

0.01‌

$

0.04‌

$

0.05‌

$

—‌

$

—‌

$

—‌

$

0.98‌

4.60‌%

$

1,057,373‌

1.08‌%

+

0.90‌%

+

2.78‌%

+

18‌%

2023 .

.

.

.

0.89‌

0.02‌

0.04‌

0.06‌

(0.02‌)

—‌

(0.02‌)

0.93‌

6.91‌

921,817‌

1.10‌

0.91‌

1.89‌

24‌

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

Government

Money

Market

Portfolio

2024

@

 .

.

.

$

1.00‌

$

0.02‌

$

—‌

$

0.02‌

$

(0.02‌)

$

—‌

$

(0.02‌)

$

1.00‌

2.51‌%

$

521,330‌

0.33‌%

+

0.33‌%

+

4.98‌%

+

—‌%

2023 .

.

.

.

1.00‌

0.05‌

—‌

0.05‌

(

0.05‌)

(0.00‌)

‡

(0.05‌)

1.00‌

4.83‌

526,384‌

0.33‌

0.33‌

4.72‌

—‌

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

—‌

Short-Term

Bond

Portfolio

2024

@

 .

.

.

$

1.02‌

$

0.02‌

$

—‌

$

0.02‌

$

—‌

$

—‌

$

—‌

$

1.04‌

1.96‌%

$

383,135‌

0.39‌%

+

0.39‌%

+

4.10‌%

+

57‌%

§

2023 .

.

.

.

0.99‌

0.03‌

0.02‌

0.05‌

(0.02‌)

—‌

(0.02‌)

1.02‌

5.26‌

385,232‌

0.38‌

0.38‌

3.38‌

56‌

§

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

§

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

+

Computed

on

an

annualized

basis.

**

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.

‡

Amount

is

less

than

$0.005.

§

Portfolio

Turnover

Rate

excludes

the

impact

of

TBA

transactions.

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

171

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

2024

@

 .

.

.

$

1.10‌

$

0.02‌

$

(0.02‌)

$

0.00‌

‡

$

—‌

$

—‌

$

—‌

$

1.10‌

(0.27‌)%

$

2,806,791‌

0.31‌%

+

0.31‌%

+

4.35‌%

+

128‌%

§

2023 .

.

.

.

1.07‌

0.04‌

0.02‌

0.06‌

(0.03‌)

—‌

(0.03‌)

1.10‌

6.19‌

2,903,697‌

0.31‌

0.31‌

3.86‌

248‌

§

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

§

Long-Term

U.S.

Government

Bond

Portfolio

**

2024

@

 .

.

.

$

0.66‌

$

0.01‌

$

(0.04‌)

$

(0.03‌)

$

—‌

$

—‌

$

—‌

$

0.63‌

(4.43‌)%

$

115,452‌

2.63‌%

**,+

2.60‌%

**,+

2.98‌%

+

10‌%

§

2023 .

.

.

.

0.65‌

0.02‌

0.01‌

0.03‌

(0.02‌)

—‌

(0.02‌)

0.66‌

3.33‌

121,049‌

2.21‌

**

2.16‌

**

2.67‌

32‌

§

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

§

Inflation

Protection

Portfolio

2024

@

 .

.

.

$

1.04‌

$

0.02‌

$

(0.02‌)

$

0.00‌

‡

$

—‌

$

—‌

$

—‌

$

1.04‌

0.77‌%

$

411,975‌

0.59‌%

+

0.45‌%

+

3.93‌%

+

22‌%

2023 .

.

.

.

1.05‌

0.03‌

0.01‌

0.04‌

(0.05‌)

—‌

(0.05‌)

1.04‌

3.90‌

417,289‌

0.58‌

0.52‌

3.06‌

41‌

§

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

High

Yield

Bond

Portfolio

2024

@

 .

.

.

$

0.67‌

$

0.02‌

$

(0.01‌)

$

0.01‌

$

—‌

$

—‌

$

—‌

$

0.68‌

1.94‌%

$

677,148‌

0.46‌%

+

0.46‌%

+

6.04‌%

+

14‌%

2023 .

.

.

.

0.63‌

0.04‌

0.04‌

0.08‌

(0.04‌)

—‌

(0.04‌)

0.67‌

13.24‌

744,344‌

0.45‌

0.45‌

6.12‌

17‌

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

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

‡

Amount

is

less

than

$0.005.

+

Computed

on

an

annualized

basis.

§

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

0.69%

and

0.65%

respectively

for

the

period

ended

June

30,

2024,

0.69%

and

0.65%

respectively

in

2023,

0.68%

and

0.65%

respectively

in

2022,

0.65%

and

0.65%

respectively

in

2021,

0.64%

and

0.64%

respectively

in

2020

and

0.67%

and

0.65%

respectively

in

2019.

Financial

Highlights

Northwestern

Mutual

Series

Fund,

Inc.

(For

a

share

outstanding

through

the

period)

The

Accompanying

Notes

are

an

Integral

Part

of

the

Financial

Statements.

172

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

2024

@

 .

.

.

$

0.97‌

$

0.02‌

$

—‌

$

0.02‌

$

—‌

$

—‌

$

—‌

$

0.99‌

1.85‌%

$

1,257,981‌

0.84‌%

**,+

0.75‌%

**,+

5.01‌%

+

18‌%

§

2023 .

.

.

.

0.91‌

0.04‌

0.04‌

0.08‌

(0.02‌)

—‌

(0.02‌)

0.97‌

9.71‌

1,199,679‌

0.83‌

**

0.73‌

**

4.53‌

26‌

§

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

§

Balanced

Portfolio

2024

@

 .

.

.

$

1.29‌

$

0.00‌

‡

$

0.05‌

$

0.05‌

$

—‌

$

—‌

$

—‌

$

1.34‌

3.81‌%

$

1,938,320‌

0.31‌%

+

0.08‌%

+

0.64‌%

+

22‌%

2023 .

.

.

.

1.21‌

0.03‌

0.13‌

0.16‌

(0.03‌)

(0.05‌)

(0.08‌)

1.29‌

13.07‌

1,962,442‌

0.31‌

0.06‌

2.15‌

9‌

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

Asset

Allocation

Portfolio

2024

@

 .

.

.

$

1.08‌

$

0.00‌

‡

$

0.05‌

$

0.05‌

$

—‌

$

—‌

$

—‌

$

1.13‌

5.40‌%

$

274,433‌

0.58‌%

+

0.12‌%

+

0.70‌%

+

18‌%

2023 .

.

.

.

1.01‌

0.02‌

0.14‌

0.16‌

(0.02‌)

(0.07‌)

(0.09‌)

1.08‌

15.24‌

273,823‌

0.58‌

0.10‌

1.95‌

11‌

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

*

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.

@

For

the

six

months

ended

June

30,

2024.

(Unaudited)

+

Computed

on

an

annualized

basis.

**

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%

respectively

for

the

period

ended

June

30,

2024,

0.83%

and

0.73%

respectively

in

2023,

0.81%

and

0.71%

respectively

in

2022,

0.80%

and

0.71%

respectively

in

2021,

0.81%

and

0.72%

respectively

in

2020,

and

0.82%

and

0.73%

respectively

in

2019.

§

Portfolio

Turnover

Rate

excludes

the

impact

of

TBA

transactions.

‡

Amount

is

less

than

$0.005.

173

Notes

to

Financial

Statements

(unaudited)

Note

1.

Organization

Northwestern

Mutual

Series

Fund,

Inc.

(the

"Series

Fund")

is

registered

as

an

open-end

management

investment

company

under

the

Investment

Company

Act

of

1940,

as

amended

(“1940

Act”).

The

Series

Fund

is

also

considered

an

investment

company

following

the

accounting

and

reporting

guidance

in

Financial

Accounting

Standards

Board

(“FASB”)

Accounting

Standards

Codification

(“ASC”)

Topic

946.

The

Series

Fund

consists

of

the

Growth

Stock

Portfolio,

Focused

Appreciation

Portfolio,

Large

Cap

Core

Stock

Portfolio,

Large

Cap

Blend

Portfolio,

Index

500

Stock

Portfolio,

Large

Company

Value

Portfolio,

Domestic

Equity

Portfolio,

Equity

Income

Portfolio,

Mid

Cap

Growth

Stock

Portfolio,

Index

400

Stock

Portfolio,

Mid

Cap

Value

Portfolio,

Small

Cap

Growth

Stock

Portfolio,

Index

600

Stock

Portfolio,

Small

Cap

Value

Portfolio,

International

Growth

Portfolio,

Research

International

Core

Portfolio,

International

Equity

Portfolio,

Emerging

Markets

Equity

Portfolio,

Government

Money

Market

Portfolio,

Short-Term

Bond

Portfolio,

Select

Bond

Portfolio,

Long-Term

U.S.

Government

Bond

Portfolio,

Inflation

Protection

Portfolio,

High

Yield

Bond

Portfolio,

Multi-Sector

Bond

Portfolio,

Balanced

Portfolio

and

Asset

Allocation

Portfolio

(each,

a

“Portfolio”

or

collectively,

the

“Portfolios”).

All

of

the

outstanding

shares

of

each

Portfolio

are

held

by

an

affiliate,

The

Northwestern

Mutual

Life

Insurance

Company

(“Northwestern

Mutual”),

for

its

segregated

asset

accounts

(either

directly

or

indirectly

through

one

or

more

underlying

Portfolios

operating

as

affiliated

fund

of

funds).

The

Government

Money

Market

Portfolio

is

a

government

money

market

fund

under

Rule

2a-7

of

the

1940

Act.

Note

2.

Significant

Accounting

Policies

The

following

is

a

summary

of

significant

accounting

policies

consistently

followed

by

the

Series

Fund

in

the

preparation

of

its

financial

statements.

A.

Use

of

Estimates

—

The

preparation

of

financial

statements

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“U.S.

GAAP”)

requires

management

to

make

estimates

and

assumptions

that

affect

the

reported

amounts

of

assets

and

liabilities

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

revenues

and

expenses

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates.

B.

Foreign

Income

and

Capital

Gains

Taxes

—

The

Portfolios

may

be

subject

to

income

taxes

imposed

by

certain

countries

in

which

they

invest.

Foreign

withholding

taxes

on

dividends

and

interest

are

netted

against

income

and

separately

disclosed

in

the

Statements

of

Operations.

Some

of

the

Portfolios

may

be

subject

to

capital

gains

taxes

imposed

by

certain

countries

in

which

they

invest.

Any

applicable

foreign

capital

gains

tax

is

accrued

daily

based

upon

net

unrealized

gains,

and

may

be

payable

following

the

sale

of

any

applicable

investments.

C.

Federal

Income

Taxes

—

The

Portfolios’

policy

is

to

continue

to

comply

with

the

requirements

of

the

Internal

Revenue

Code

that

are

applicable

to

regulated

investment

companies

and

to

distribute

all

of

their

taxable

income

to

their

respective

shareholders.

The

Portfolios

also

intend

to

distribute

sufficient

net

investment

income

and

net

capital

gains,

if

any,

so

that

they

will

not

be

subject

to

excise

tax,

as

applicable,

on

distributable

income

and

gains.

In

accordance

with

the

authoritative

guidance

for

uncertainty

in

income

taxes,

management

of

the

Series

Fund

has

reviewed

all

open

tax

years

(2020

to

2023)

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

174

Notes

to

Financial

Statements

(unaudited)

or

more

Portfolios

are

allocated

among

applicable

Portfolios

on

an

equitable

and

consistent

basis

considering

such

things

as

the

nature

and

type

of

expenses

and

the

relative

net

assets

of

the

Portfolios.

The

Portfolios

consider

highly

liquid

temporary

cash

investments

purchased

with

an

original

maturity

of

less

than

three

months

to

be

cash

equivalents.

Cash

equivalents

are

included

in

the

short-term

investments

on

the

Schedule

of

Investments

as

well

as

in

investments

on

the

Statements

of

Assets

and

Liabilities.

Temporary

cash

overdrafts

are

reported

as

a

payable

to

custodian.

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

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

175

Notes

to

Financial

Statements

(unaudited)

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

June

30,

2024

included,

but

were

not

limited

to,

broker

quotes,

liquidity,

prepayment

speed,

duration,

geopolitical

events

and

recoverability.

A

table

summarizing

each

Portfolio’s

investments

under

this

hierarchy

is

included

following

each

Portfolio’s

Schedule

of

Investments.

Transfers

between

investment

levels

may

occur

as

markets

fluctuate

and/or

the

availability

of

data

used

in

investments’

valuation

changes.

For

fair

valuations

using

significant

unobservable

inputs,

U.S.

GAAP

requires

a

reconciliation

of

the

beginning

to

ending

balances

for

reported

fair

values

that

presents

changes

attributable

to

total

realized

and

unrealized

gains

or

losses,

purchases

and

sales,

and

transfers

in

or

out

of

the

Level

3

category

during

the

period.

Additionally,

U.S

GAAP

requires

quantitative

information

regarding

the

significant

unobservable

inputs

used

in

the

determination

of

fair

value

of

assets

categorized

as

Level

3

in

the

fair

value

hierarchy.

In

accordance

with

the

requirements,

a

Level

3

reconciliation

and

details

of

significant

unobservable

inputs

have

been

included

in

the

notes

to

the

Schedule

of

Investments

for

Portfolios

that

have

a

material

amount

of

Level

3

investments.

As

of

June

30,

2024,

there

were

no

Portfolios,

other

than

Multi-Sector

Bond

Portfolio,

that

owned

a

material

amount

of

Level

3

securities.

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

Mason

Street

Advisors,

LLC

(“MSA”).

Securities

for

which

market

quotations

are

readily

available

are

priced

at

market

value

and

all

other

securities

and

assets

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Board

of

Directors

(the

“Board”)

of

the

Series

Fund.

The

Board

has

designated

MSA,

the

Portfolios’

investment

adviser,

as

“valuation

designee”

under

Rule

2a-5

of

the

1940

Act

to

perform

fair

value

determinations

for

the

Portfolios’

investments

that

do

not

have

readily

available

market

quotations,

subject

to

the

176

Notes

to

Financial

Statements

(unaudited)

Board’s

oversight.

MSA

has

adopted

Valuation

Policies

and

Procedures

that

govern

MSA’s

responsibilities

for

executing

the

fair

valuation

process.

While

the

Board

has

designated

MSA

as

valuation

designee,

the

Board

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.

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

177

Notes

to

Financial

Statements

(unaudited)

government

or

government

sponsored

entity

guarantee.

These

issuers

may

provide

credit

enhancements

through

external

entities

such

as

financial

institutions

or

through

the

structuring

of

the

transaction

itself.

There

is

no

guarantee

that

credit

enhancements,

if

any,

will

be

sufficient

to

prevent

losses.

F.

Inflation-Indexed

Bonds

—

Certain

Portfolios

may

invest

in

inflation-indexed

bonds.

Inflation-indexed

bonds

are

fixed

income

securities

whose

principal

value

is

periodically

adjusted

to

the

rate

of

inflation.

The

interest

rate

on

these

bonds

is

generally

fixed

at

issuance

at

a

rate

lower

than

typical

bonds.

Over

the

life

of

an

inflation-indexed

bond,

interest

will

be

paid

based

on

a

principal

value,

which

is

adjusted

for

inflation.

Any

increase

or

decrease

in

the

principal

amount

of

an

inflation-

indexed

bond

will

be

included

as

interest

income

in

the

applicable

Portfolio’s

Statements

of

Operations

even

though

investors

do

not

receive

their

principal

until

maturity.

G.

Short

Sales

—

Certain

Portfolios

may

enter

into

short

sale

transactions.

A

short

sale

is

a

transaction

in

which

a

Portfolio

sells

a

security

it

does

not

own

in

anticipation

of

a

decline

in

the

market

price

of

the

security.

Securities

sold

in

short

sale

transactions

and

the

interest

payable

on

such

securities,

if

any,

are

reflected

as

a

liability

on

the

Statements

of

Assets

and

Liabilities.

A

Portfolio

is

obligated

to

deliver

the

security

at

the

market

price

at

the

time

the

short

position

is

closed.

The

risk

of

loss

on

a

short

sale

transaction

is

theoretically

unlimited,

because

there

is

no

limit

to

the

cost

of

replacing

the

security

sold

short,

whereas

losses

from

purchase

transactions

cannot

exceed

the

total

amount

invested.

H.

Financing

Transactions

—

Certain

Portfolios

may

enter

into

financing

transactions.

In

a

financing

transaction,

the

Portfolio

transfers

a

security

to

a

counterparty

with

a

simultaneous

agreement

to

repurchase

the

same

security

at

an

agreed

upon

price

and

future

settlement

date.

For

U.S.

GAAP

purposes,

a

financing

transaction

is

accounted

for

as

a

secured

borrowing

and

not

as

a

purchase

or

sale.

During

the

term

of

the

borrowing,

the

Portfolio

is

entitled

to

the

interest

on

the

security.

The

difference

between

the

sale

price

and

repurchase

price

is

included

in

net

investment

income

with

the

cost

of

the

secured

borrowing

transaction

being

recorded

in

interest

expense

over

the

term

of

the

borrowing.

The

Portfolio

will

benefit

from

the

transaction

if

the

income

earned

on

the

investment

purchased

with

the

cash

received

in

the

financing

transaction

exceeds

the

interest

expense

incurred

by

the

Portfolio.

If

the

interest

expense

exceeds

the

income

earned,

the

Portfolio’s

net

investment

income

and

dividends

to

shareholders

may

be

adversely

impacted.

Financing

transactions

involve

the

risk

that

the

market

value

of

the

securities

that

the

Portfolio

is

required

to

repurchase

may

decline

below

the

agreed

upon

repurchase

price

of

those

securities.

For

the

period

ended

June

30,

2024,

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

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

178

Notes

to

Financial

Statements

(unaudited)

simultaneous

agreement

to

repurchase

the

same

or

substantially

the

same

security

at

an

agreed

upon

price

and

date.

The

Portfolio

is

entitled

to

receive

principal

and

interest

payments,

if

any,

made

on

the

security

delivered

to

the

counterparty

during

the

term

of

the

agreement.

Cash

received

in

exchange

for

securities

delivered

plus

accrued

interest

payments

to

be

made

by

the

Portfolio

to

counterparties

are

reflected

as

a

liability

on

the

Statements

of

Assets

and

Liabilities.

Interest

payments

made

by

a

Portfolio

to

counterparties

are

recorded

as

a

component

of

interest

expense

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

the

security,

a

Portfolio

may

receive

a

fee

for

use

of

the

security

by

the

counterparty,

which

may

result

in

interest

income

to

the

Portfolio.

When

effecting

reverse

repurchase

transactions,

the

Portfolio

will

hold

securities

of

a

dollar

amount

equal

in

value

to

the

securities

subject

to

the

reverse

repurchase

agreement

in

a

segregated

account.

Note

5.

Derivative

Instruments

The

Portfolios

may

use

derivative

instruments

for

various

purposes,

including

as

a

cash

management

strategy,

to

earn

income

and

enhance

returns,

to

increase

or

decrease

exposure

to

a

particular

market,

to

manage

or

adjust

the

risk

profile

of

the

Portfolio,

to

hedge

exposure

to

a

foreign

currency,

or

as

an

alternative

to

direct

investments.

Because

the

Portfolios

are

required

to

account

for

derivative

instruments

at

fair

value

and

recognize

changes

in

fair

value

through

the

Statements

of

Operations,

the

Portfolios’

derivatives

do

not

qualify

for

hedge

accounting

treatment.

Certain

Portfolios

segregate

cash

to

cover

margin

requirements

for

derivative

positions.

These

amounts

are

denoted

as

“Cash

Collateral

for

Derivative

Positions”

on

the

Statements

of

Assets

and

Liabilities.

A.

Futures

Contracts

—

Certain

Portfolios

invest

in

futures

contracts

as

an

alternative

to

investing

in

individual

securities

and

could

be

exposed

to

market

risk

due

to

changes

in

the

value

of

the

underlying

securities

or

due

to

an

illiquid

secondary

market.

Futures

contracts

are

marked

to

market

daily

based

upon

quoted

settlement

prices.

The

Portfolios

receive

from

or

pay

to

brokers

an

amount

of

cash

equal

to

the

daily

fluctuation

in

the

value

of

the

contracts.

Such

receipts

or

payments,

known

as

the

“variation

margin,”

are

recorded

by

the

Portfolios

as

unrealized

gains

or

losses.

When

a

contract

is

closed,

the

Portfolios

record

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

B.

Forward

Foreign

Currency

Contracts

—

The

Portfolios

may

enter

into

forward

foreign

currency

contracts

to

hedge

against

exchange

rate

risk

arising

from

investments

in

securities

denominated

in

foreign

currencies

or

as

part

of

an

investment

strategy.

Contracts

are

valued

at

the

contractual

forward

rate

and

are

marked

to

market

daily,

with

the

change

in

market

value

recorded

as

an

unrealized

gain

or

loss.

When

the

contracts

are

closed,

a

realized

gain

or

loss

is

recorded.

Risks

may

arise

from

changes

in

market

value

of

the

underlying

instruments

and

from

the

possible

inability

of

counterparties

to

meet

the

terms

of

their

contracts.

C.

Options

—

Certain

Portfolios

may

write

call

and

put

options

on

futures,

swaps,

securities

or

currencies

they

own

or

in

which

they

may

invest.

Writing

put

options

tends

to

increase

a

Portfolio’s

exposure

to

the

underlying

instrument.

Writing

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

179

Notes

to

Financial

Statements

(unaudited)

options

tends

to

decrease

a

Portfolio’s

exposure

to

the

underlying

instrument.

The

Portfolio

pays

a

premium

on

the

purchase

of

a

put

option

but

receives

the

opportunity

to

profit

from

any

increase

in

the

value

of

the

security

above

the

exercise

price

of

the

option.

When

a

Portfolio

purchases

a

call

option,

it

is

exposed

to

a

decline

in

the

price

of

the

underlying

security.

Premiums

paid

are

reflected

in

the

Statements

of

Assets

and

Liabilities

as

an

investment

and

are

subsequently

marked

to

market

to

reflect

the

current

value

of

the

option.

Premiums

paid

from

purchasing

options

which

expire

are

treated

as

realized

losses.

Premiums

paid

for

purchasing

options

which

are

exercised

or

closed

are

added

to

the

amount

paid

or

offset

against

the

proceeds

on

the

underlying

future,

swap,

security

or

currency

transaction

to

determine

realized

gain

or

loss.

The

risk

associated

with

a

Portfolio

purchasing

call

or

put

options

is

limited

to

the

premium

paid.

D.

Swap

Agreements

—

The

Portfolios

may

enter

into

swap

agreements

on

interest

rate,

total

return

and

credit

default

to

manage

their

exposure

to

interest

rates,

foreign

currencies,

investment

style

risk

and

credit

risk

or

as

an

alternative

to

direct

investing.

In

connection

with

these

agreements,

securities

may

be

identified

as

collateral

in

accordance

with

the

terms

of

the

respective

swap

agreements.

Swap

agreements

are

privately

negotiated

in

the

over-the-counter

market

(“OTC

swaps”)

and

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

commodities

exchange

(“centrally

cleared

swaps”).

Swaps

are

marked

to

market

daily

based

upon

quotations

from

market

makers

or

values

from

third

party

vendors,

which

may

include

a

registered

commodities

exchange,

and

the

change

in

value,

if

any,

is

recorded

as

unrealized

gain

or

loss

in

the

Statements

of

Operations.

Daily

changes

in

the

valuation

of

centrally

cleared

swaps,

if

any,

are

recorded

as

a

receivable

or

payable

for

the

change

in

value

as

appropriate

(“variation

margin”)

on

the

Statements

of

Assets

and

Liabilities.

OTC

swap

payments

received

or

made

at

the

beginning

of

the

measurement

period

of

the

swap

are

reflected

on

the

Statements

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

to

realized

gain

or

loss.

Upon

termination

of

the

swap,

unamortized

upfront

payments

are

recorded

as

realized

gain

or

loss

in

the

Statements

of

Operations.

A

liquidation

payment

received

or

made

at

the

termination

of

the

swap

is

recorded

as

realized

gain

or

loss

in

the

Statements

of

Operations.

Net

periodic

payments

received

by

the

Portfolios

are

included

as

part

of

realized

gain

(loss)

on

the

Statements

of

Operations.

Entering

into

these

agreements

involves,

to

varying

degrees,

elements

of

credit

and

market

risk

in

excess

of

the

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Such

risks

involve

the

possibility

that

there

will

be

no

liquid

market

for

these

agreements,

that

the

counterparty

to

the

agreements

may

default

on

its

obligation

to

perform

and

that

there

may

be

unfavorable

changes

in

interest

rates.

Interest

Rate

Swaps

—

Interest

rate

swap

agreements

involve

the

exchange

by

a

Portfolio

with

another

party

to

pay

or

receive

a

set

of

cash

flows,

e.g.,

an

exchange

of

floating

rate

payments

for

fixed

rate

payments

based

on

a

notional

amount

of

principal.

Total

Return

Swaps

—

Total

return

swap

agreements

involve

commitments

to

pay

or

receive

a

financing

rate

in

exchange

for

the

total

return

of

an

underlying

reference

entity,

both

based

on

notional

amounts.

To

the

extent

the

total

return

of

the

security

or

index

underlying

the

transaction

exceeds

or

falls

short

of

the

offsetting

interest

rate

obligation,

a

Portfolio

will

receive

a

payment

from

or

make

a

payment

to

the

counterparty.

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

180

Notes

to

Financial

Statements

(unaudited)

of

a

particular

referenced

entity

reflects

the

cost

of

selling

protection

and

may

include

upfront

payments

required

to

be

made

to

enter

into

the

agreement.

For

credit

default

swap

agreements

on

credit

indices,

the

quoted

market

prices

and

resulting

values

serve

as

the

indicator

of

the

current

status

of

the

payment/performance

risk.

Wider

credit

spreads

and

increasing

market

values,

in

absolute

terms

when

compared

to

the

notional

amount

of

the

swap,

represent

a

deterioration

of

the

referenced

entity’s

credit

soundness

and

indicate

a

greater

likelihood

a

credit

event

could

occur

as

defined

under

the

terms

of

the

agreement.

Open

credit

default

swaps

on

corporate

or

sovereign

issues

and

credit

indices

are

disclosed

in

the

Schedules

of

Investments.

If

the

Portfolio

is

a

seller

of

protection

and

a

credit

event

occurs,

the

Portfolio

will

either

pay

to

the

buyer

of

the

protection

an

amount

equal

to

the

notional

value

of

the

swap

and

may

take

delivery

of

the

obligation

or

pay

a

net

settlement

amount

in

the

form

of

cash

or

securities

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

referenced

obligation.

The

maximum

potential

amount

of

future

payments

(undiscounted)

that

a

Portfolio

as

a

seller

of

protection

could

be

required

to

make

under

a

credit

default

swap

agreement

would

be

equal

to

the

notional

amount

of

the

agreement.

Notional

amounts

and

fair

market

value

of

all

credit

default

swap

agreements

outstanding

for

each

Portfolio

are

disclosed

in

the

Schedules

of

Investments.

These

maximum

potential

amounts

would

be

partially

offset

by

any

recovery

values

of

the

referenced

obligations,

upfront

payments

received

upon

entering

into

the

agreement,

or

net

amounts

received

by

the

Portfolio

from

the

settlement

of

credit

default

swap

agreements

purchasing

protection

for

the

same

referenced

obligation.

E.

Derivative

Disclosures

—

Derivative

positions

held

by

the

Portfolios

by

contract

type

and

primary

risk

exposure,

including

location

on

the

Statement

of

Assets

and

Liabilities

and

value

as

of

June

30,

2024,

are

(amounts

in

thousands):

Asset

Derivatives

Liability

Derivatives

Portfolio

Statement

of

Assets

and

Liabilities

Location

Value

Statement

of

Assets

and

Liabilities

Location

Value

Index

500

Stock

Portfolio

Equity

contracts

Receivables

–

Variation

Margin

(Futures)

$

-

Payables

–

Variation

Margin

(Futures)

$

278

Large

Company

Value

Portfolio

Forward

foreign

currency

contracts

Receivables

–

Foreign

Currency

29

Payables

–

Foreign

Currency

-

Index

400

Stock

Portfolio

Equity

contracts

Receivables

–

Variation

Margin

(Futures)

16

Payables

–

Variation

Margin

(Futures)

-

Mid

Cap

Value

Portfolio

Forward

foreign

currency

contracts

Receivables

–

Foreign

Currency

94

Payables

–

Foreign

Currency

1

Index

600

Portfolio

Equity

contracts

Receivables

–

Variation

Margin

(Futures)

5

Payables

–

Variation

Margin

(Futures)

-

Research

International

Core

Portfolio

Forward

foreign

currency

contracts

Receivables

–

Foreign

Currency

1

Payables

–

Foreign

Currency

-

International

Equity

Portfolio

Forward

foreign

currency

contracts

Receivables

–

Foreign

Currency

1,836

Payables

–

Foreign

Currency

73

Short-Term

Bond

Portfolio

Interest

rate

contracts

Receivables

–

Variation

Margin

(Futures)

56

Payables

–

Variation

Margin

(Futures)

11

Credit

contracts

Receivables

–

Variation

Margin

(Cleared

Swap)

−π

Payables

–

Variation

Margin

(Cleared

Swap)

-

181

Notes

to

Financial

Statements

(unaudited)

Realized

gains

and

losses

on

derivative

instruments,

by

contract

type

and

primary

risk

exposure,

for

the

period

ended

June

30,

2024

are

(amounts

in

thousands):

Asset

Derivatives

Liability

Derivatives

Portfolio

Statement

of

Assets

and

Liabilities

Location

Value

Statement

of

Assets

and

Liabilities

Location

Value

Long-Term

U.S.

Government

Bond

Portfolio

Interest

rate

contracts

Receivables

–

Variation

Margin

(Futures)

$

205

Payables

–

Variation

Margin

(Futures)

$

28

Interest

rate

contracts

Receivables

–

Variation

Margin

(Cleared

Swap)

38

Payables

–

Variation

Margin

(Cleared

Swap)

10

Interest

rate

contracts

Receivables

–

Outstanding

Options

Written,

at

Value

-

Payables

–

Outstanding

Options

Written,

at

Value

4

Inflation

Protection

Portfolio

Forward

foreign

currency

contracts

Receivables

–

Foreign

Currency

42

Payables

–

Foreign

Currency

140

Interest

Rate

contracts

Receivables

–

Variation

Margin

(Futures)

-

Payables

–

Variation

Margin

(Futures)

37

Inflation

contracts

Receivables

–

Variation

Margin

(Cleared

Swap)

152

Payables

–

Variation

Margin

(Cleared

Swap)

-

Inflation

contracts

Receivables

–

Outstanding

Swaps

Contracts,

at

Value

6,672

Payables

–

Outstanding

Swaps

Contracts,

at

Value

270

Multi-Sector

Bond

Portfolio

Credit

contracts

Receivables

–

Outstanding

Swaps

Contracts,

at

Value

33

Payables

–

Outstanding

Swaps

Contracts,

at

Value

193

Credit

contracts

Receivables

–

Variation

Margin

(Cleared

Swap)

12

Payables

–

Variation

Margin

(Cleared

Swap)

44

Forward

foreign

currency

contracts

Receivables

–

Foreign

Currency

3,204

Payables

–

Foreign

Currency

816

Interest

rate

contracts

Receivables

–

Variation

Margin

(Futures)

53

Payables

–

Variation

Margin

(Futures)

143

Interest

rate

contracts

Receivables

–

Variation

Margin

(Cleared

Swap)

247

Payables

–

Variation

Margin

(Cleared

Swap)

193

Interest

rate

contracts

Receivables

–

Outstanding

Options

Written,

at

Value

-

Payables

–

Outstanding

Options

Written,

at

Value

75

Balanced

Portfolio

Commodity

contracts

Receivables

–

Outstanding

Swaps

Contracts,

at

Value

-

Payables

–

Outstanding

Swaps

Contracts,

at

Value

-

Asset

Allocation

Portfolio

Commodity

contracts

Receivables

–

Outstanding

Swaps

Contracts,

at

Value

-

Payables

–

Outstanding

Swaps

Contracts,

at

Value

-

Realized

Gain

(Loss)

on

Derivatives

Instruments

Portfolio

Options

Written

Futures

Forward

Foreign

Currency

Contracts

Swaps

Total

Index

500

Stock

Portfolio

Equity

contracts

$

−

$

5,438

$

−

$

−

$

5,438

Large

Company

Value

Portfolio

Forward

foreign

currency

contracts

−

−

239

−

239

Equity

Income

Portfolio

Forward

foreign

currency

contracts

−

−

(5)

−

(5)

Index

400

Stock

Portfolio

Equity

contracts

−

816

−

−

816

Mid

Cap

Value

Portfolio

Forward

foreign

currency

contracts

−

−

1,157

−

1,157

Index

600

Stock

Portfolio

Equity

contracts

−

100

−

−

100

International

Growth

Portfolio

Forward

foreign

currency

contracts

−

−

(86)

−

(86)

182

Notes

to

Financial

Statements

(unaudited)

Change

in

unrealized

appreciation

and

depreciation

on

derivative

instruments,

by

contract

type

and

primary

risk

exposure

for

the

period

ended

June

30,

2024

are

(amounts

in

thousands):

Realized

Gain

(Loss)

on

Derivatives

Instruments

Portfolio

Options

Written

Futures

Forward

Foreign

Currency

Contracts

Swaps

Total

Research

International

Core

Portfolio

Forward

foreign

currency

contracts

$

−

$

−

$

(117)

$

−

$

(117)

International

Equity

Portfolio

Forward

foreign

currency

contracts

−

−

2,304

−

2,304

Emerging

Markets

Equity

Portfolio

Forward

foreign

currency

contracts

−

−

(646)

−

(646)

Short-Term

Bond

Portfolio

Credit

contracts

−

−

−

11

11

Interest

rate

contracts

−

(861)

−

−

(861)

Long-Term

U.S.

Government

Bond

Portfolio

Interest

rate

contracts

65

170

−

(153)

82

Inflation

Protection

Portfolio

Forward

foreign

currency

contracts

−

−

370

−

370

Interest

rate

contracts

−

1

−

−

1

Inflation

contracts

−

−

−

3,757

3,757

Multi-Sector

Bond

Portfolio

Credit

contracts

−

−

−

6,474

6,474

Forward

foreign

currency

contracts

−

−

5,023

−

5,023

Interest

rate

contracts

76

977

−

(57)

996

Balanced

Portfolio

Commodity

contracts

−

−

−

(139)

(139)

Asset

Allocation

Portfolio

Commodity

contracts

−

−

−

(27)

(27)

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivative

Instruments

Portfolio

Options

Written

Futures

Forward

Foreign

Currency

Contracts

Swaps

Total

Index

500

Stock

Portfolio

Equity

contracts

$

−

$

(1,427)

$

−

$

−

$

(1,427)

Large

Company

Value

Portfolio

Forward

foreign

currency

contracts

−

−

144

−

144

Index

400

Stock

Portfolio

Equity

contracts

−

(441)

−

−

(441)

Mid

Cap

Value

Portfolio

Forward

foreign

currency

contracts

−

−

583

−

583

Index

600

Stock

Portfolio

Equity

Contracts

−

(24)

−

−

(24)

International

Growth

Portfolio

Forward

foreign

currency

contracts

−

−

(126)

−

(126)

Research

International

Core

Portfolio

Forward

foreign

currency

contracts

−

−

(207)

−

(207)

International

Equity

Portfolio

Forward

foreign

currency

contracts

−

−

114

−

114

Emerging

Markets

Equity

Portfolio

Forward

foreign

currency

contracts

−

−

(28)

−

(28)

Short-Term

Bond

Portfolio

Credit

contracts

−

−

−

9

9

Interest

rate

contracts

−

111

−

−

111

183

Notes

to

Financial

Statements

(unaudited)

Volumes

on

derivative

instruments

by

contract

type

and

primary

risk

exposure,

for

the

period

ended

June

30,

2024

are:

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivative

Instruments

Portfolio

Options

Written

Futures

Forward

Foreign

Currency

Contracts

Swaps

Total

Long-Term

U.S.

Government

Bond

Portfolio

Interest

rate

contracts

$

(1)

$

1,703

$

−

$

66

$

1,768

Inflation

Protection

Portfolio

Forward

foreign

currency

contracts

−

−

412

−

412

Interest

rate

contracts

−

(749)

−

−

(749)

Inflation

contracts

−

−

−

(1,292)

(1,292)

Multi-Sector

Bond

Portfolio

Credit

contracts

−

−

−

(3,733)

(3,733)

Forward

foreign

currency

contracts

−

−

3,315

−

3,315

Interest

rate

contracts

13

(7,370)

−

(2,453)

(9,810)

Balanced

Portfolio

Commodity

contracts

−

−

−

−

−

Asset

Allocation

Portfolio

Commodity

contracts

−

−

−

−

−

Volume

of

Derivative

Instruments

Held

Average

Number

of

Contracts

Average

Notional

(

Amounts

in

Thousands

)

Portfolio

Exchange

Traded

Options

Futures

Forward

Foreign

Currency

Contracts

Swaps

Over

the

Counter

Options

Index

500

Stock

Portfolio

Equity

contracts

−

171

−

−

−

Large

Company

Value

Portfolio

Forward

foreign

currency

contracts

−

−

12,659

−

−

Equity

Income

Portfolio

Forward

foreign

currency

contracts

−

−

−

−

−

Index

400

Stock

Portfolio

Equity

contracts

−

32

−

−

−

Mid

Cap

Value

Portfolio

Forward

foreign

currency

contracts

−

−

57,002

−

−

Index

600

Stock

Portfolio

Equity

contracts

−

21

−

−

−

International

Growth

Portfolio

Forward

foreign

currency

contracts

−

−

−

−

−

Research

International

Core

Portfolio

Forward

foreign

currency

contracts

−

−

−

−

−

International

Equity

Portfolio

Forward

foreign

currency

contracts

−

−

121,956

−

−

Emerging

Markets

Equity

Portfolio

Forward

foreign

currency

contracts

−

−

168

−

−

Short-Term

Bond

Portfolio

Credit

contracts

−

−

−

2,557

−

Interest

rate

contracts

−

612

−

−

−

Long-Term

U.S.

Government

Bond

Portfolio

Interest

rate

contracts

24

524

−

16,780

743

Inflation

Protection

Portfolio

Forward

foreign

currency

contracts

−

−

25,729

−

−

Interest

rate

contracts

−

109

−

−

−

Inflation

contracts

−

−

−

173,883

−

184

Notes

to

Financial

Statements

(unaudited)

Note

6.

Portfolio

Risk

In

the

normal

course

of

business,

the

Portfolios

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists.

Security

values

fluctuate

(market

risk)

and

may

decline

due

to

factors

affecting

securities

markets

in

general,

particular

industries

represented

in

the

securities

markets

or

conditions

specifically

related

to

a

particular

company.

Failure

of

the

other

party

to

a

transaction

to

perform

(credit

risk),

for

example

by

not

making

principal

and

interest

payments

when

due,

reduces

the

value

of

the

issuer’s

debt

and

could

reduce

the

Portfolios’

income.

Similar

to

credit

risk,

the

Portfolios

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Portfolios

have

unsettled

or

open

transactions

will

fail

to

make

required

payments

or

otherwise

comply

with

the

terms

of

the

instrument,

transaction

or

contract.

The

potential

loss

could

exceed

the

value

of

the

financial

assets

recorded

in

the

financial

statements.

Some

of

the

Portfolios’

investments

may

be

illiquid

and

the

Portfolios

may

not

be

able

to

vary

the

portfolio

investments

in

response

to

changes

in

economic

and

other

conditions.

If

a

Portfolio

is

required

to

liquidate

all

or

a

portion

of

its

investments

quickly,

the

Portfolio

may

realize

significantly

less

than

the

value

at

which

it

previously

recorded

those

investments.

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

certain

Portfolios

of

the

Series

Fund

invests

may,

pursuant

to

their

original

terms,

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.

Volume

of

Derivative

Instruments

Held

Average

Number

of

Contracts

Average

Notional

(

Amounts

in

Thousands

)

Portfolio

Exchange

Traded

Options

Futures

Forward

Foreign

Currency

Contracts

Swaps

Over

the

Counter

Options

Multi-Sector

Bond

Portfolio

Credit

contracts

−

−

−

258,397

−

Forward

foreign

currency

contracts

−

−

708,354

−

−

Interest

rate

contracts

15

1,300

−

2,007,933

5,343

Balanced

Portfolio

Commodity

contracts

−

−

−

9,891

−

Asset

Allocation

Portfolio

Commodity

contracts

−

−

−

1,978

−

185

Notes

to

Financial

Statements

(unaudited)

The

maintenance

of

LIBOR

reference

rates,

including

rates

for

all

U.S.

dollar

LIBOR

settings,

was

discontinued

in

2023.

(U.S.

dollar

LIBOR

1-,

3-

and

6-month

settings

continue

to

be

published

under

an

unrepresentative

synthetic

methodology

until

September

30,

2024,

following

which

date

the

publication

of

all

U.S.

dollar

settings

will

cease

permanently.)

Replacement

reference

rates

for

all

LIBOR

currencies

have

been

established

and

are

being

employed

with

respect

to

new

issuances.

In

cases

where

existing

instruments

held

in

the

Portfolios

rely

upon

LIBOR

interest

rates,

such

instruments

may

contain

an

explicit

designation

of

an

alternative

“fall-back”

reference

rate

or

procedures

for

the

determination

of

a

replacement

rate,

in

the

event

of

the

discontinuation

of

LIBOR.

In

instances

where

such

instruments

do

not

provide

for

the

determination

of

a

replacement

reference

rate,

uncertainty

may

exist

as

the

designation

of

an

applicable

rate

will

be

contingent

upon

the

agreement

of

the

parties

to

the

instrument.

Master

Netting

Arrangements

The

Portfolios

are

subject

to

various

Master

Agreements

that

govern

the

terms

of

certain

transactions.

Master

Repurchase

Agreements

and

Global

Master

Repurchase

Agreements

are

in

place

that

governs

repurchase,

reverse

repurchase,

and

sale-

buyback

financing

transactions.

Master

Securities

Forward

Transaction

Agreements

are

in

place

that

govern

the

settlement

of

certain

forward

settling

transactions

including

to-be-announced

securities,

delayed-delivery

or

sale-buyback

financing

transactions.

Customer

Account

Agreements

and

related

addenda

are

in

place

that

govern

certain

cleared

derivative

transactions

including

futures

and

cleared

OTC

derivatives.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

agreements”)

are

in

place

that

governs

certain

OTC

financial

derivative

transactions.

ISDA

agreements

maintain

provisions

for

general

obligations,

representations,

agreements,

collateral

and

events

of

default

or

termination.

Events

of

termination

include

conditions

that

may

entitle

counterparties

to

elect

to

terminate

early

and

cause

settlement

of

all

outstanding

transactions

under

the

applicable

ISDA

agreement.

The

terms

of

Master

Agreements

may

reduce

counterparty

risk

with

respect

to

transactions

governed

by

the

Master

Agreement

under

certain

circumstances.

Certain

Portfolios

have

agreements

with

counterparties

that

contain

provisions,

or

contingency

features,

that

allow

net

settlement

in

the

event

of

contract

termination

and

permit

termination

by

either

party

prior

to

maturity

upon

the

occurrence

of

certain

stated

events,

such

as

failure

to

pay

or

bankruptcy.

In

addition,

certain

agreements

specify

other

events,

the

occurrence

of

which

would

allow

one

of

the

parties

to

terminate.

For

example,

a

downgrade

in

credit

rating

of

a

counterparty

would

allow

the

Portfolio

to

terminate

while

a

decline

in

the

Portfolio’s

net

assets

of

more

than

a

certain

percentage

would

allow

the

counterparty

to

terminate.

In

such

a

situation,

the

counterparty

involved

would

have

the

option

to

waive

the

triggering

event

or

liquidate

the

affected

positions

pursuant

to

the

terms

of

the

related

agreement.

The

aggregate

amount

of

derivatives

in

a

liability

position

is

disclosed

in

Note

5.

Offsetting

Assets

and

Liabilities

Certain

Portfolios

are

parties

to

enforceable

master

netting

or

similar

agreements

which

provide

for

the

right

of

offset

under

certain

circumstances.

The

Portfolios

have

made

an

accounting

policy

election

not

to

offset

qualifying

financial

and

derivative

instruments

on

the

Statements

of

Assets

and

Liabilities.

As

such,

all

financial

and

derivative

instruments

are

presented

on

a

gross

basis

on

the

Statements

of

Assets

and

Liabilities.

The

impacts

of

netting

arrangements

that

provide

the

right

to

offset

are

detailed

below

(amounts

in

thousands).

The

net

amount

represents

the

net

receivable

or

payable

that

would

be

due

from

or

to

the

counterparty

in

the

event

of

default.

Exposure

from

borrowings

and

other

financing

transactions

such

as

repurchase

agreements

and

certain

forward

settling

transactions

can

only

be

netted

across

transactions

governed

under

the

same

Master

Agreement

with

the

same

legal

entity.

For

certain

Portfolios,

derivative

amounts

do

not

reconcile

to

the

Statements

of

Assets

and

Liabilities

due

to

the

Statements

of

Assets

and

Liabilities

including

derivatives

that

are

not

covered

under

master

netting

or

similar

agreements.

The

amount

of

collateral,

for

the

period

ended

June

30,

2024,

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:

186

Notes

to

Financial

Statements

(unaudited)

Large

Company

Value

Portfolio

Derivative

Assets

(000's)

Derivative

Liabilities

(000's)

Counterparty

Forward

Foreign

Currency

Contacts

Swaps

Total

Assets

Forward

Foreign

Currency

Contacts

Swaps

Total

Liabilities

Net

Market

Value

Collateral

Pledged/

(Received)

Net

Exposure

Bank

of

America

NA

$

29

$

-

$

29

$

-

$

-

$

-

$

29

$

-

$

29

Morgan

Stanley

Capital

Services

LLC

-

-

-

−π

-

−π

−π

-

−π

Total

$

29

$

-

$

29

$

−π

$

-

$

−π

$

29

$

-

$

29

Mid

Cap

Value

Portfolio

Derivative

Assets

(000's)

Derivative

Liabilities

(000's)

Counterparty

Forward

Foreign

Currency

Contacts

Swaps

Total

Assets

Forward

Foreign

Currency

Contacts

Swaps

Total

Liabilities

Net

Market

Value

Collateral

Pledged/

(Received)

Net

Exposure

Bank

of

America

NA

$

94

$

-

$

94

$

(1)

$

-

$

(1)

$

93

$

(93)

$

-

Total

$

94

$

-

$

94

$

(1)

$

-

$

(1)

$

93

$

(93)

$

-

International

Equity

Portfolio

Derivative

Assets

(000's)

Derivative

Liabilities

(000's)

Counterparty

Forward

Foreign

Currency

Contacts

Swaps

Total

Assets

Forward

Foreign

Currency

Contacts

Swaps

Total

Liabilities

Net

Market

Value

Collateral

Pledged/

(Received)

Net

Exposure

Bank

of

America

NA

$

44

$

-

$

44

$

(8)

$

-

$

(8)

$

36

$

(36)

$

-

Barclays

Bank

PLC

41

-

41

(3)

-

(3)

38

-

38

Citibank

NA

5

-

5

(16)

-

(16)

(11)

-

(11)

HSBC

Bank

USA

740

-

740

(13)

-

(13)

727

(727)

-

JP

Morgan

Chase

Bank

NA

332

-

332

(9)

-

(9)

323

(290)

33

State

Street

Bank

And

Trust

Company

49

-

49

(20)

-

(20)

29

-

29

UBS

AG

625

-

625

(4)

-

(4)

621

(430)

191

Total

$

1,836

$

-

$

1,836

$

(73)

$

-

$

(73)

$

1,763

$

(1,483)

$

280

Inflation

Protection

Portfolio

Derivative

Assets

(000's)

Derivative

Liabilities

(000's)

Counterparty

Forward

Foreign

Currency

Contacts

Swaps

Total

Assets

Forward

Foreign

Currency

Contacts

Swaps

Total

Liabilities

Net

Market

Value

Collateral

Pledged/

(Received)

Net

Exposure

Bank

of

America

NA

$

16

$

2,058

$

2,074

$

(140)

$

-

$

(140)

$

1,934

$

(1,934)

$

-

Barclays

Bank

PLC

-

41

41

-

(270)

(270)

(229)

-

(229)

Goldman

Sachs

International

26

4,573

4,599

-

-

-

4,599

(4,599)

-

Total

$

42

$

6,672

$

6,714

$

(140)

$

(270)

$

(410)

$

6,304

$

(6,533)

$

(229)

187

Notes

to

Financial

Statements

(unaudited)

The

following

is

a

summary

by

counterparty

of

the

market

value

of

repurchase

agreements,

financing

transactions,

collateral

and

net

exposure

as

of

period

end:

The

Long-Term

U.S.

Government

Bond

Portfolio

average

amount

of

borrowings

outstanding

during

the

period

ended

June

30,

2024

was

$56,542

(amount

in

thousands)

at

a

weighted

average

interest

rate

of

5.469%.

Average

borrowings

include

reverse

repurchase

agreements

and

financing

transactions,

if

held

during

the

period.

Multi-Sector

Bond

Portfolio

Derivative

Assets

(000's)

Derivative

Liabilities

(000's)

Counterparty

Forward

Foreign

Currency

Contacts

Swaps

Total

Assets

Forward

Foreign

Currency

Contacts

Written

Options

Swaps

Total

Liabilities

Net

Market

Value

Collateral

Pledged/

(Received)

Net

Exposure

Bank

of

America

NA

$

1,909

$

-

$

1,909

$

(15)

$

-

$

-

$

(15)

$

1,894

$

(1,820)

$

74

Barclays

Bank

PLC

75

-

75

(233)

-

(9)

(242)

(167)

-

(167)

BNP

Paribas

SA

306

-

306

(28)

-

-

(28)

278

-

278

Goldman

Sachs

Bank

USA

5

-

5

(10)

(48)

-

(58)

(53)

-

(53)

HSBC

Bank

PLC

340

-

340

(299)

-

-

(299)

41

(41)

-

JP

Morgan

Chase

Bank

NA

335

29

364

(115)

(9)

-

(124)

240

(240)

-

Morgan

Stanley

Capital

Services

LLC

-

4

4

-

(17)

(184)

(201)

(197)

197

-

Royal

Bank

of

Canada

222

-

222

(67)

-

-

(67)

155

-

155

UBS

AG

12

-

12

(49)

-

-

(49)

(37)

37

-

Total

$

3,204

$

33

$

3,237

$

(816)

$

(74)

$

(193)

$

(1,083)

$

2,154

$

(1,867)

$

287

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

$

25,000

$

-

$

-

$

25,000

$

(25,000)

$

-

Bank

of

Nova

Scotia

20,000

-

-

20,000

(20,000)

-

BNP

Paribas

21,500

-

-

21,500

(21,500)

-

Citigroup

Global

Markets,

Inc.

10,000

-

-

10,000

(10,000)

-

Goldman

Sachs

Group

LP

30,000

-

-

30,000

(30,000)

-

Mitsubishi

UFJ

30,000

-

-

30,000

(30,000)

-

Mizuho

Securities

37,000

-

-

37,000

(37,000)

-

Morgan

Stanley

24,000

-

-

24,000

(24,000)

-

Natixis

S.A.

15,000

-

-

15,000

(15,000)

-

TD

Securities

15,000

-

-

15,000

(15,000)

-

Total

$

227,500

$

-

$

-

$

227,500

$

(227,500)

$

-

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

BNP

Paribas

SA

$

11,500

$

-

$

-

$

11,500

$

(11,500)

$

-

Citigroup

Global

Markets,

Inc.

20,500

-

-

20,500

(20,500)

-

Deutsche

Bank

AG

9,200

-

-

9,200

(9,200)

-

Goldman

Sachs

International

-

-

(48,462)

(48,462)

48,409

(53)

Morgan

Stanley

Capital

Services

-

-

(139,126)

(139,126)

139,105

(21)

Total

$

41,200

$

-

$

(187,588)

$

(146,388)

$

146,314

$

(74)

188

Notes

to

Financial

Statements

(unaudited)

The

Multi-Sector

Bond

Portfolio

average

amount

of

borrowings

outstanding

during

the

period

ended

June

30,

2024

was

$4,435

(amount

in

thousands)

at

a

weighted

average

interest

rate

of

3.908%.

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.

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:

Multi-Sector

Bond

Portfolio

Counterparty

Investment

in

Repurchase

Agreements

Payable

for

Reverse

Repurchase

Agreements

Payable

for

Financing

Transactions

Net

Market

Value

Collateral

Pledged/

(Received)

Net

Exposure

Barclays

Bank

PLC

$

-

$

(2,567)

$

-

$

(2,567)

$

2,533

$

(34)

BNP

Paribas

SA

72,000

-

-

72,000

(72,000)

-

Canadian

Imperial

Bank

of

Commerce

51,168

-

-

51,168

(51,168)

-

Citigroup

Global

Markets,

Inc.

77,200

-

-

77,200

(77,200)

-

JP

Morgan

Securities

LLC

100

-

-

100

(100)

-

JP

Morgan

Securities

PLC

-

(585)

-

(585)

580

(5)

Morgan

Stanley

&

Co.

International

PLC

-

(1,001)

-

(1,001)

990

(11)

Total

$

200,468

$

(4,153)

$

-

$

196,315

$

(196,365)

$

(50)

Portfolio

Fee

Index

500

Stock

Portfolio

...............................

0.20%

Index

400

Stock

Portfolio

...............................

0.25%

Mid

Cap

Value

Portfolio

.................................

0.85%

Small

Cap

Value

Portfolio

..............................

0.85%

Government

Money

Market

Portfolio

.............

0.30%

Select

Bond

Portfolio

.....................................

0.30%

Balanced

Portfolio

.........................................

0.30%

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%

189

Notes

to

Financial

Statements

(unaudited)

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:

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,

2025.

Focused

Appreciation

Portfolio

–

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

Portfolio

First

$100

Million

Next

$150

Million

Excess

Over

$250

Million

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%

Portfolio

Expiration

Focused

Appreciation

Portfolio

......................

0.90%

April

30,

2025

Large

Cap

Blend

Portfolio

.............................

0.85%

April

30,

2025

Large

Company

Value

Portfolio

.....................

0.80%

April

30,

2025

Domestic

Equity

Portfolio

..............................

0.75%

April

30,

2025

Equity

Income

Portfolio

..................................

0.75%

April

30,

2025

Mid

Cap

Value

Portfolio

.................................

1.00%

April

30,

2025

Index

600

Stock

Portfolio

...............................

0.35%

April

30,

2025

Small

Cap

Value

Portfolio

..............................

1.00%

April

30,

2025

International

Growth

Portfolio

........................

1.10%

April

30,

2025

Research

International

Core

Portfolio

...........

1.15%

April

30,

2025

Emerging

Markets

Equity

Portfolio

................

1.50%

April

30,

2025

Short-Term

Bond

Portfolio

.............................

0.45%

April

30,

2025

Long-Term

U.S.

Government

Bond

Portfolio

.

0.65%

April

30,

2025

Inflation

Protection

Portfolio

...........................

0.65%

April

30,

2025

Multi-Sector

Bond

Portfolio

............................

0.90%

April

30,

2025

Asset

Allocation

Portfolio

...............................

0.75%

April

30,

2025

190

Notes

to

Financial

Statements

(unaudited)

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,

2025.

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,

2025.

Large

Cap

Blend

Portfolio

–

For

the

period

from

January

1,

2024

through

April

30,

2024,

MSA

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

was

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.

Effective

May

1,

2024,

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.65%

on

the

Portfolio’s

first

$150

million

of

average

net

assets,

0.60%

on

the

next

$350

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,

2025.

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,

2025.

Large

Company

Value

Portfolio

–

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,

2025.

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,

2025.

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,

2025.

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,

2025.

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,

2025.

Mid

Cap

Value

Portfolio

–

For

the

period

from

January

1,

2024

through

April

30,

2024,

MSA

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

was

0.79%

on

the

Portfolio’s

first

$150

million

of

average

net

assets,

0.67%

on

the

next

$350

million,

and

0.64%

on

the

average

net

assets

in

excess

of

$500

million.

Effective

May

1,

2024,

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.78%

on

the

Portfolio’s

first

$150

million

of

average

net

assets,

0.66%

on

the

next

$350

million,

and

0.63%

on

the

average

net

assets

in

excess

of

$500

million.

MSA

may

terminate

this

fee

waiver

agreement

at

any

time

after

April

30,

2025.

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,

2025.

International

Growth

Portfolio

–

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

191

Notes

to

Financial

Statements

(unaudited)

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,

2025.

Research

International

Core

Portfolio

–

For

the

period

from

January

1,

2024

through

April

30,

2024,

MSA

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

was

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.

Effective

May

1,

2024,

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.80%

on

the

Portfolio’s

first

$150

million

of

average

net

assets,

0.74%

on

the

next

$150

million,

0.67%

on

the

next

$200

million,

and

0.60%

on

average

net

assets

in

excess

of

$500

million.

MSA

may

terminate

this

fee

waiver

agreement

at

any

time

after

April

30,

2025.

International

Equity

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

$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,

2025.

Emerging

Markets

Equity

Portfolio

–

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

its

management

fee

is

0.95%

on

the

Portfolio’s

first

$250

million

of

average

net

assets,

0.87%

on

the

next

$250

million,

0.78%

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,

2025.

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,

2025.

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,

2025.

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,

2025.

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,

2025.

Inflation

Protection

Portfolio

–

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.42%

on

the

Portfolio’s

first

$100

million

of

average

net

assets,

0.40%

on

the

next

$150

million,

and

0.38%

on

average

net

assets

in

excess

of

$250

million.

MSA

may

terminate

this

fee

waiver

agreement

at

any

time

after

April

30,

2025.

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,

2025.

Multi-Sector

Bond

Portfolio

–

For

the

period

from

January

1,

2024

through

April

30,

2024,

MSA

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

was

0.74%

on

the

Portfolio’s

first

$100

million

of

average

net

assets,

0.73%

on

the

next

$150

million,

0.70%

on

the

next

$250

million,

and

0.65%

on

average

net

assets

in

excess

of

$500

million.

Effective

May

1,

2024,

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.73%

on

the

Portfolio’s

first

$100

million

of

average

net

assets,

0.72%

on

the

next

$150

million,

0.69%

on

the

next

$250

million,

and

0.64%

on

average

net

assets

in

excess

of

$500

million.

MSA

may

terminate

this

fee

waiver

agreement

at

any

time

after

April

192

Notes

to

Financial

Statements

(unaudited)

30,

2025.

Balanced

Portfolio

–

For

the

period

from

January

1,

2024

through

April

30,

2024,

MSA

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

was

0.05%

on

all

average

net

assets.

Effective

May

1,

2024,

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.10%

on

all

average

net

assets.

MSA

may

terminate

this

fee

waiver

agreement

at

any

time

after

April

30,

2025.

Asset

Allocation

Portfolio

–

For

the

period

from

January

1,

2024

through

April

30,

2024,

MSA

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

was

0.05%

on

all

average

net

assets.

Effective

May

1,

2024,

MSA

has

agreed

to

waive

a

portion

of

its

management

fee

such

that

the

management

fee

is

0.10%

on

all

average

net

assets.

MSA

may

terminate

this

fee

waiver

agreement

at

any

time

after

April

30,

2025.

Waivers

are

not

recoupable

in

future

periods.

With

respect

to

certain

Portfolios,

MSA

has

engaged

and

oversees

unaffiliated

sub-advisers

who

manage

the

day-to-day

investment

operations

of

such

Portfolios.

MSA

pays

each

sub-adviser

a

fee

based

on

the

average

daily

net

assets

of

each

such

Portfolio

out

of

its

investment

management

fee.

Compliance

fees

are

paid

to

Northwestern

Mutual,

an

affiliate

of

the

Series

Fund.

The

compliance

fees

paid

are

for

the

compensation,

benefits

and

expenses

of

the

Chief

Compliance

Officer

and

compliance

staff.

The

amounts

paid

relate

only

to

the

Chief

Compliance

Officer

and

compliance

staffs’

duties

and

functions

performed

for

the

Series

Fund.

Note

8.

Federal

Income

Tax

Matters

Taxable

distributions

from

net

investment

income

and

realized

capital

gains

in

the

Portfolios

may

differ

from

book

amounts

earned

during

the

period

due

to

differences

in

the

timing

of

capital

gains

recognition

and

due

to

the

reclassification

of

certain

gains

or

losses

between

capital

and

income.

The

differences

between

cost

amounts

for

book

purposes

and

tax

purposes

are

primarily

due

to

the

tax

treatment

of

deferred

losses,

passive

foreign

investment

companies,

and

financing

transactions.

It

is

the

policy

of

the

Portfolios

to

reclassify

the

net

effect

of

permanent

differences

between

book

and

taxable

income

to

capital

accounts

on

the

Statements

of

Assets

and

Liabilities.

Permanent

differences

primarily

relate

to

character

differences

with

respect

to

income

on

swaps,

foreign

currency

transactions,

foreign

bond

sales,

passive

foreign

investment

companies

and

paydowns

on

structured

product

investments.

A

summary

of

the

Portfolios’

capital

loss

carryovers

as

of

December

31,

2023

is

provided

below:

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.

Short-

Term

Loss

Carryover

Long-

Term

Loss

Carryover

Losses

Utilized

(Amounts

in

thousands)                                       

Growth

Stock

Portfolio

..............................

$

31,267‌

$

3,430‌

$

19,875‌

Mid

Cap

Growth

Stock

Portfolio

..................

8,931‌

30,596‌

6,916‌

Small

Cap

Growth

Stock

Portfolio

...............

34,846‌

5,658‌

34,731‌

International

Equity

Portfolio

......................

847‌

14,870‌

181‌

Emerging

Markets

Equity

Portfolio

..............

41,440‌

10,165‌

–‌

Short-Term

Bond

Portfolio

.........................

6,934‌

5,911‌

–‌

Select

Bond

Portfolio

................................

253,310‌

169,562‌

–‌

Long-Term

U.S.

Government

Bond

Portfolio

..

–‌

16,860‌

–‌

Inflation

Protection

Portfolio

.......................

10,133‌

11,292‌

–‌

High

Yield

Bond

Portfolio

..........................

1,229‌

23,390‌

–‌

Multi-Sector

Bond

Portfolio

........................

45,944‌

45,169‌

–‌

193

Notes

to

Financial

Statements

(unaudited)

When

applicable,

each

of

the

Portfolios

made

distributions

during

the

year

of

ordinary

income

and

long-term

capital

gains.

The

tax

character

of

distributions

paid

for

the

year

ended

December

31,

2023

was

as

follows:

As

of

December

31,

2023,

the

components

of

distributable

earnings

on

a

tax

basis

were

as

follows:

2023 Distributions

Paid

From:

Portfolio

Ordinary

Income

Long-term

Capital

Gain

                                                             (Amounts

in

thousands)

Growth

Stock

Portfolio

.................................

$

392‌

$

—‌

Focused

Appreciation

Portfolio

...........................

2,059‌

71,643‌

Large

Cap

Core

Stock

Portfolio

...........................

6,286‌

48,913‌

Large

Cap

Blend

Portfolio

...............................

1,503‌

14,830‌

Index

500

Stock

Portfolio

...............................

67,110‌

35,856‌

Large

Company

Value

Portfolio

...........................

5,077‌

19,079‌

Domestic

Equity

Portfolio

...............................

19,196‌

46,554‌

Equity

Income

Portfolio

.................................

18,100‌

55,166‌

Mid

Cap

Growth

Stock

Portfolio

...........................

2,521‌

—‌

Index

400

Stock

Portfolio

...............................

15,588‌

49,435‌

Mid

Cap

Value

Portfolio

.................................

22,489‌

72,306‌

Small

Cap

Growth

Stock

Portfolio

.........................

192‌

—‌

Index

600

Stock

Portfolio

...............................

4,166‌

15,944‌

Small

Cap

Value

Portfolio

...............................

2,800‌

36,433‌

International

Growth

Portfolio

............................

8,162‌

20,348‌

Research

International

Core

Portfolio

......................

13,421‌

15,148‌

International

Equity

Portfolio

.............................

54,274‌

—‌

Emerging

Markets

Equity

Portfolio

.........................

19,064‌

—‌

Government

Money

Market

Portfolio

.......................

25,157‌

5‌

Short-Term

Bond

Portfolio

...............................

7,807‌

—‌

Select

Bond

Portfolio

...................................

73,967‌

—‌

Long-Term

U.S.

Government

Bond

Portfolio

.................

2,679‌

—‌

Inflation

Protection

Portfolio

..............................

20,508‌

—‌

High

Yield

Bond

Portfolio

................................

40,679‌

—‌

Multi-Sector

Bond

Portfolio

..............................

29,062‌

—‌

Balanced

Portfolio

.....................................

38,818‌

72,601‌

Asset

Allocation

Portfolio

................................

5,321‌

15,893‌

Portfolio

Undistributed

Ordinary

Income

Undistributed

Long-Term

Gains

Accumulated

Losses

Unrealized

Appreciation

(Depreciation)

(Amounts

in

thousands)

Growth

Stock

Portfolio

.............................................................

$

1,260‌

$

–‌

$

(34,697‌)

$

411,798‌

Focused

Appreciation

Portfolio

..................................................

–‌

121,060‌

–‌

565,419‌

Large

Cap

Core

Stock

Portfolio

.................................................

5,581‌

34,308‌

–‌

136,449‌

Large

Cap

Blend

Portfolio

........................................................

6,985‌

32,889‌

–‌

13,332‌

Index

500

Stock

Portfolio

.........................................................

76,400‌

102,494‌

–‌

3,614,917‌

Large

Company

Value

Portfolio

.................................................

3,951‌

4,950‌

–‌

2,758‌

Domestic

Equity

Portfolio

.........................................................

21,990‌

80,191‌

–‌

142,782‌

Equity

Income

Portfolio

............................................................

18,569‌

23,224‌

–‌

153,556‌

Mid

Cap

Growth

Stock

Portfolio

.................................................

944‌

–‌

(39,527‌)

169,541‌

Index

400

Stock

Portfolio

.........................................................

18,319‌

44,002‌

–‌

337,717‌

Mid

Cap

Value

Portfolio

...........................................................

19,072‌

13,789‌

–‌

2,834‌

Small

Cap

Growth

Stock

Portfolio

..............................................

2,635‌

–‌

(40,505‌)

108,801‌

Index

600

Stock

Portfolio

.........................................................

5,645‌

9,994‌

–‌

74,728‌

Small

Cap

Value

Portfolio

.........................................................

5,076‌

19,521‌

–‌

120,534‌

International

Growth

Portfolio

....................................................

9,209‌

26,315‌

–‌

250,446‌

Research

International

Core

Portfolio

.........................................

15,799‌

5,020‌

–‌

136,835‌

International

Equity

Portfolio

.....................................................

55,095‌

–‌

(15,718‌)

15,277‌

Emerging

Markets

Equity

Portfolio

.............................................

15,666‌

–‌

(51,606‌)

27,165‌

Government

Money

Market

Portfolio

..........................................

1‌

–‌

–‌

–‌

Short-Term

Bond

Portfolio

........................................................

13,119‌

–‌

(12,845‌)

(7,010‌)

Select

Bond

Portfolio

...............................................................

110,410‌

–‌

(422,872‌)

(65,458‌)

194

Notes

to

Financial

Statements

(unaudited)

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,

included

in

Unaffiliated

Dividends

on

the

Statements

of

Operations,

are

recorded

when

foreign

dividend

taxes

are

accrued.

Voluntary

reimbursements

for

the

period

ended

June

30,

2024

are

summarized

below

(amounts

in

thousands):

Note

10.

Guarantees

In

the

normal

course

of

business,

the

Portfolios

enter

into

contracts

that

contain

a

variety

of

representations

which

provide

general

indemnifications.

The

Portfolios’

maximum

exposure

under

these

arrangements

is

unknown

as

this

would

involve

future

claims

that

may

be

made

against

the

Portfolios

that

have

not

yet

occurred.

However,

the

Portfolios

expect

the

risk

of

material

loss

to

be

remote.

Note

11.

Investment

Income

and

Securities

Transactions

For

the

period

ended

June

30,

2024,

transactions

in

securities

other

than

short

term

investments

were:

Portfolio

Undistributed

Ordinary

Income

Undistributed

Long-Term

Gains

Accumulated

Losses

Unrealized

Appreciation

(Depreciation)

(Amounts

in

thousands)

Long-Term

U.S.

Government

Bond

Portfolio

.................................

$

3,761‌

$

–‌

$

(16,860‌)

$

(48,944‌)

Inflation

Protection

Portfolio

......................................................

12,928‌

–‌

(21,425‌)

(27,408‌)

High

Yield

Bond

Portfolio

.........................................................

43,835‌

–‌

(24,619‌)

(48,774‌)

Multi-Sector

Bond

Portfolio

.......................................................

65,432‌

–‌

(91,113‌)

(99,731‌)

Balanced

Portfolio

..................................................................

42,536‌

38,644‌

–‌

(63,479‌)

Asset

Allocation

Portfolio

..........................................................

5,504‌

8,203‌

–‌

(2,062‌)

Portfolio

2024

Reimbursements

International

Growth

Portfolio

............................

$

776‌

International

Equity

Portfolio

.............................

3,100‌

Research

International

Core

Portfolio

......................

1,106‌

Emerging

Markets

Equity

Portfolio

.........................

1,206‌

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

............................................................

$

48,551‌

$

—‌

$

97,157‌

$

—‌

Focused

Appreciation

Portfolio

.................................................

76,296‌

—‌

205,627‌

—‌

Large

Cap

Core

Stock

Portfolio

................................................

227,640‌

—‌

253,824‌

—‌

Large

Cap

Blend

Portfolio

.......................................................

54,027‌

—‌

102,097‌

—‌

Index

500

Stock

Portfolio

........................................................

43,477‌

—‌

123,235‌

—‌

Large

Company

Value

Portfolio

................................................

31,008‌

—‌

36,853‌

—‌

Domestic

Equity

Portfolio

........................................................

171,752‌

—‌

215,452‌

—‌

Equity

Income

Portfolio

...........................................................

79,485‌

—‌

118,661‌

—‌

Mid

Cap

Growth

Stock

Portfolio

................................................

405,013‌

—‌

483,194‌

—‌

Index

400

Stock

Portfolio

........................................................

124,687‌

—‌

147,499‌

—‌

Mid

Cap

Value

Portfolio

..........................................................

183,280‌

—‌

221,099‌

—‌

Small

Cap

Growth

Stock

Portfolio

.............................................

216,223‌

—‌

239,602‌

—‌

Index

600

Stock

Portfolio

........................................................

43,996‌

—‌

37,290‌

—‌

Small

Cap

Value

Portfolio

........................................................

92,290‌

—‌

115,833‌

—‌

International

Growth

Portfolio

...................................................

115,133‌

—‌

141,619‌

—‌

Research

International

Core

Portfolio

........................................

48,739‌

—‌

47,777‌

—‌

195

Notes

to

Financial

Statements

(unaudited)

Transactions

with

Affiliated

Companies

An

affiliated

company

is

a

company

in

which

a

Portfolio

has

ownership

of

at

least

5%

of

the

voting

securities

or

which

the

Portfolio

controls,

is

controlled

by

or

with

which

the

Portfolio

is

under

common

control.

Transactions

with

affiliated

companies

during

the

period

ended

June

30,

2024

are

as

follows:

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)

International

Equity

Portfolio

....................................................

$

222,908‌

$

—‌

$

221,958‌

$

—‌

Emerging

Markets

Equity

Portfolio

............................................

283,315‌

—‌

174,069‌

—‌

Short-Term

Bond

Portfolio

.......................................................

58,638‌

162,738‌

71,018‌

143,145‌

Select

Bond

Portfolio

..............................................................

974,618‌

2,726,476‌

735,621‌

2,890,209‌

Long-Term

U.S.

Government

Bond

Portfolio

................................

206‌

29,958‌

90‌

15,894‌

Inflation

Protection

Portfolio

.....................................................

52,680‌

29,606‌

49,478‌

33,070‌

High

Yield

Bond

Portfolio

........................................................

92,393‌

—‌

144,814‌

—‌

Multi-Sector

Bond

Portfolio

......................................................

376,202‌

31,866‌

165,979‌

23,315‌

Balanced

Portfolio

.................................................................

416,229‌

—‌

518,187‌

—‌

Asset

Allocation

Portfolio

.........................................................

48,287‌

—‌

63,816‌

—‌

Balanced

Portfolio

Portfolio

Value

at

12/31/2023

Purchases

Sales

Value

at

6/30/2024

Change

in

Unrealized

Appreciation/

(Depreciation)

Realized

Gain

(Loss)

Income

Dividends

Capital

Gain

Distributions

%

Ownership,

6/30/2024

(amount

in

thousands)

Domestic

Equity

$

84,676‌

$

–‌

$

33,810‌

$

53,900‌

$

4,154‌

$

(1,120‌)

$

–‌

$

–‌

5.2‌%

Emerging

Markets

5,669‌

65,870‌

–‌

74,390‌

2,851‌

–‌

–‌

–‌

7.0‌%

Focused

Appreciation

84,064‌

–‌

40,450‌

54,619‌

10,248‌

757‌

–‌

–‌

4.0‌%

High

Yield

Bond

52,658‌

–‌

52,580‌

–‌

3,457‌

(3,535‌)

–‌

–‌

–‌%

International

Equity

70,049‌

–‌

–‌

72,358‌

2,309‌

–‌

–‌

–‌

3.8‌%

International

Growth

70,476‌

–‌

–‌

75,176‌

4,700‌

–‌

–‌

–‌

7.1‌%

Large

Cap

Blend

84,360‌

–‌

39,940‌

54,936‌

6,706‌

3,810‌

–‌

–‌

33.4‌%

Mid

Cap

Growth

Stock

81,861‌

–‌

35,070‌

47,718‌

51‌

875‌

–‌

–‌

4.7‌%

Mid

Cap

Value

82,620‌

–‌

34,940‌

48,475‌

4,246‌

(3,451‌)

–‌

–‌

7.8‌%

Multi-Sector

Bond

111,320‌

33,070‌

980‌

146,254‌

3,002‌

(158‌)

–‌

–‌

11.6‌%

Select

Bond

656,184‌

–‌

107,150‌

547,857‌

14,126‌

(15,303‌)

–‌

–‌

19.5‌%

Short-Term

Bond

24,026‌

–‌

–‌

24,497‌

471‌

–‌

–‌

–‌

6.4‌%

Small

Cap

Growth

Stock

20,072‌

–‌

–‌

21,344‌

1,272‌

–‌

–‌

–‌

3.0‌%

Small

Cap

Value

23,628‌

–‌

–‌

23,541‌

(87‌)

–‌

–‌

–‌

4.3‌%

$

1,451,663‌

$

98,940‌

$

344,920‌

$

1,245,065‌

$

57,506‌

$

(18,125‌)

$

–‌

$

–‌

Asset

Allocation

Portfolio

Portfolio

Value

at

12/31/2023

Purchases

Sales

Value

at

6/30/2024

Change

in

Unrealized

Appreciation/

(Depreciation)

Realized

Gain

(Loss)

Income

Dividends

Capital

Gain

Distributions

%

Ownership,

6/30/2024

(amount

in

thousands)

Domestic

Equity

$

16,522‌

$

–‌

$

4,430‌

$

12,684‌

$

619‌

$

(27‌)

$

–‌

$

–‌

1.2‌%

Emerging

Markets

2,749‌

8,830‌

–‌

12,053‌

474‌

–‌

–‌

–‌

1.1‌%

Focused

Appreciation

16,453‌

–‌

6,050‌

12,751‌

2,518‌

(170‌)

–‌

–‌

0.9‌%

High

Yield

Bond

12,832‌

–‌

12,812‌

–‌

830‌

(850‌)

–‌

–‌

–‌%

196

Notes

to

Financial

Statements

(unaudited)

The

Series

Fund

and

its

Portfolios

are

permitted

to

purchase

securities

from,

and

sell

securities

to

(so

called

“cross-trades”),

(i)

other

Portfolios,

(ii)

any

registered

investment

company

which

is

an

affiliate,

or

an

affiliate

of

an

affiliate,

or

(iii)

any

person

which

is

an

affiliate,

or

an

affiliate

of

an

affiliate,

of

the

Series

Fund

or

the

Portfolio

solely

by

reason

of

having

a

common

investment

adviser

or

sub-adviser

(or

affiliated

investment

advisers)

or

common

directors

and/or

officers,

pursuant

to

procedures

adopted

by

the

Board

under

Rule

17a-7

of

the

1940

Act

(“Procedures”).

These

Procedures

have

been

designed

to

ensure

that

any

cross-trade

of

securities

by

a

Portfolio

complies

with

Rule

17a-7

of

the

1940

Act.

Each

cross-trade

is

effected

at

the

current

market

price

as

defined

under

the

Procedures.

Pursuant

to

the

Procedures,

for

the

period

ended

June

30,

2024,

the

Series

Fund

Portfolios

engaged

in

the

following

cross-trades

(amounts

in

thousands):

Portfolio

Value

at

12/31/2023

Purchases

Sales

Value

at

6/30/2024

Change

in

Unrealized

Appreciation/

(Depreciation)

Realized

Gain

(Loss)

Income

Dividends

Capital

Gain

Distributions

%

Ownership,

6/30/2024

(amount

in

thousands)

International

Equity

$

14,259‌

$

–‌

$

–‌

$

14,729‌

$

470‌

$

–‌

$

–‌

$

–‌

0.8‌%

International

Growth

14,383‌

–‌

–‌

15,343‌

960‌

–‌

–‌

–‌

1.5‌%

Large

Cap

Blend

16,091‌

–‌

5,500‌

12,777‌

1,570‌

616‌

–‌

–‌

7.8‌%

Mid

Cap

Growth

Stock

14,255‌

–‌

4,440‌

9,953‌

166‌

(28‌)

–‌

–‌

1.0‌%

Mid

Cap

Value

14,325‌

–‌

4,380‌

10,080‌

509‌

(374‌)

–‌

–‌

1.6‌%

Multi-Sector

Bond

14,888‌

–‌

1,310‌

13,857‌

489‌

(210‌)

–‌

–‌

1.1‌%

Select

Bond

45,455‌

–‌

–‌

45,332‌

(123‌)

–‌

–‌

–‌

1.6‌%

Short-Term

Bond

3,284‌

–‌

560‌

2,787‌

54‌

9‌

–‌

–‌

0.7‌%

Small

Cap

Growth

Stock

5,953‌

–‌

2,600‌

3,560‌

433‌

(226‌)

–‌

–‌

0.5‌%

Small

Cap

Value

6,280‌

–‌

2,750‌

3,426‌

523‌

(627‌)

–‌

–‌

0.6‌%

$

197,729‌

$

8,830‌

$

44,832‌

$

169,332‌

$

9,492‌

$

(1,887‌)

$

–‌

$

–‌

Cross

Trade

Sales

Portfolio

Cross

Trade

Purchases

Portfolio

Proceeds

Net

Realized

Gain

(Loss)

on

Sales

International

Growth

Portfolio

$

3,868

International

Growth

Portfolio

$

2,211

1,040

Large

Cap

Core

Stock

Portfolio

2,143

Large

Cap

Core

Stock

Portfolio

901

326

Small

Cap

Growth

Stock

Portfolio

893

Mid

Cap

Value

Portfolio

74

(6)

Small

Cap

Growth

Stock

Portfolio

608

149

197

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.

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

IBOR

Interbank

Offered

Rate

LIBOR

London

Interbank

Offered

Rate

SOFR

Secured

Overnight

Financing

Rate

ICE

Intercontinental

Exchange

FTSE

Financial

Times

Stock

Exchange

SONIA

Sterling

Overnight

Index

Average

Rate

SONIO

Sterling

Overnight

Interbank

Average

Rate

MUTKCALM

Bank

of

Japan

Unsecured

Overnight

Call

Rate

DAC

Designated

Activity

Company

TBA

To

Be

Announced

CMT

Constant

Maturity

Treasury

OIS

Overnight

Index

Swaps

BBR

Bank

Bill

Rate

BBSW

Bank

Bill

Swap

Reference

Rate

DIFC

Dubai

International

Financial

Centre

EURIBOR

Euro

Interbank

Offered

Rate

BRL-CDI

Brazil

Interbank

Deposit

Rate

SDR

Swedish

Depository

Receipt

ETF

Exchange

Traded

Fund

Currency

Abbreviations

AED

United

Arab

Emirates

Dirham

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CHF

Swiss

Franc

CNH

Chinese

Yuan

Renminbi

-

Offshore

CNY

Chinese

Yuan

Renminbi

DKK

Danish

Krone

EUR

Euro

GBP

British

Pound

HKD

Hong

Kong

Dollar

IDR

Indonesian

Rupiah

ILS

Israeli

Shekel

INR

Indian

Rupee

JPY

Japanese

Yen

KRW

South

Korean

Won

MXN

Mexican

New

Peso

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

PEN

Peruvian

Sol

PLN

Polish

Zloty

RUB

Russian

Ruble

SAR

Saudi

Riyal

SEK

Swedish

Krona

SGD

Singapore

Dollar

THB

Thai

Baht

TRY

Turkish

Lira

TWD

Taiwan

Dollar

USD

United

States

Dollar

ZAR

South

African

Rand

198

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

on

Form

N-CSR

the

material

factors

and

conclusions

that

formed

the

basis

for

the

board’s

approval

or

renewal

of

any

investment

advisory

agreements

within

the

investment

company’s

most

recently

completed

fiscal

half-year

period.

At

least

annually,

the

Board

of

Directors

(the

“Board”)

of

Northwestern

Mutual

Series

Fund,

Inc.

(the

“Series

Fund”)

considers

and

votes

upon

the

renewal

of

the

investment

advisory

agreement

between

Mason

Street

Advisors,

LLC

(“Mason

Street

Advisors”)

and

the

Series

Fund

with

respect

to

the

portfolios

of

the

Series

Fund

(each,

a

“Portfolio”

and

collectively,

the

“Portfolios”),

as

well

as

the

investment

sub-advisory

agreements

between

Mason

Street

Advisors

and

each

of

the

sub-advisers

of

those

Portfolios

for

which

Mason

Street

Advisors

and

the

Board

have

appointed

a

sub-adviser.

In

order

to

afford

the

opportunity

to

focus

on

a

smaller

number

of

relationships

at

any

one

meeting,

the

Board

considers

the

annual

continuation

of

the

sub-advisory

agreements

on

a

staggered

basis

during

the

course

of

the

year.

Board

Approvals

During

the

Six-Month

Period

Ended

June

30,

2024

At

its

February

28,

2024

meeting,

the

Board,

including

the

directors

who

are

not

“interested

persons”

(as

that

term

is

defined

in

the

1940

Act)

of

the

Series

Fund

or

Mason

Street

Advisors

(the

“Independent

Directors”),

unanimously

approved

the

continuance

of

the

Amended

and

Restated

Advisory

Agreement

between

the

Series

Fund

and

Mason

Street

Advisors

with

respect

to

each

of

the

Series

Fund’s

Portfolios

(the

“Advisory

Agreement”).

Also

at

its

February

28,

2024

meeting,

the

Board,

including

the

Independent

Directors,

unanimously

approved

the

continuance

of

(1)

a

Third

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

Mason

Street

Advisors

and

Wellington

Management

Company

LLP

(“Wellington”),

along

with

an

amendment

thereto,

relating

to

the

Series

Fund’s

Small

Cap

Growth

Stock,

Large

Cap

Core

Stock

and

Mid

Cap

Growth

Stock

Portfolios

and

(2)

two

Amended

and

Restated

Investment

Sub-

Advisory

Agreements

between

Mason

Street

Advisors

and

Northern

Trust

Investments,

Inc.

(“Northern

Trust”),

along

with

an

amendment

thereto,

relating

to

the

Series

Fund’s

Index

400

Stock

Portfolio

and

Index

600

Stock

Portfolio.

At

its

June

6,

2024

meeting,

the

Board,

including

the

Independent

Directors,

unanimously

approved

the

continuance

of

(1)

a

Fourth

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

Mason

Street

Advisors

and

Massachusetts

Financial

Services

Company

(“MFS”)

relating

to

the

Series

Fund’s

Research

International

Core

Portfolio,

(2)

a

Third

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

Mason

Street

Advisors

and

FIAM

LLC

(“FIAM”),

along

with

an

amendment

thereto,

relating

to

the

Series

Fund’s

International

Growth

Portfolio,

(3)

a

Second

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

Mason

Street

Advisors

and

abrdn

Asset

Managers

Limited

(“abrdn”)

relating

to

the

Series

Fund’s

Emerging

Markets

Equity

Portfolio,

and

(4)

an

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

Mason

Street

Advisors

and

Dodge

&

Cox

relating

to

the

Series

Fund’s

International

Equity

Portfolio.

Wellington,

Northern

Trust,

MFS,

FIAM,

abrdn,

and

Dodge

&

Cox

are

sometimes

collectively

referred

to

herein

as

the

“Sub-

Advisers,”

and

their

respective

sub-advised

Portfolios

are

collectively

referred

to

herein

as

the

“Sub-Advised

Portfolios.”

The

Investment

Sub-Advisory

Agreements

with

Wellington,

Northern

Trust,

MFS,

FIAM,

abrdn,

and

Dodge

&

Cox

are

collectively

referred

to

herein

as

the

“Sub-Advisory

Agreements.”

In

determining

whether

to

approve

the

continuance

of

the

Sub-Advisory

Agreements

on

behalf

of

the

Series

Fund,

the

Board

requested

and

received

detailed

information

from

Mason

Street

Advisors

and

the

Sub-Advisers

in

advance

of

each

meeting

to

assist

them

in

their

evaluation,

including

information

compiled

by

certain

independent

providers

of

evaluative

data.

While

particular

focus

was

given

to

an

evaluation

of

the

services,

performance,

fees,

costs,

and

certain

other

relevant

information

under

such

Agreements

at

the

meeting

at

which

their

continuation

is

formally

considered,

the

evaluation

process

with

199

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

respect

to

Mason

Street

Advisors

and

the

Sub-Advisers

and

the

nature,

extent

and

quality

of

the

services

they

provide

to

the

Portfolios

pursuant

to

the

terms

of

the

Sub-Advisory

Agreements

is

an

ongoing

one.

As

a

result,

the

Board’s

consideration

of

such

services,

and

the

performance,

fees,

costs

and

other

relevant

factors

was

also

based

upon

information

provided

and

deliberations

that

occurred

at

other

meetings

throughout

the

year.

The

Independent

Directors

received

a

memorandum

from

their

counsel

advising

them

of

their

responsibilities

in

connection

with

the

review

and

approval

of

the

Sub-Advisory

Agreements,

and

summarizing

the

legal

standards

governing

the

review

and

approval

of

these

Agreements.

The

Independent

Directors

reviewed

these

standards

with

their

counsel

during

the

course

of

the

meetings,

including

how

these

standards

should

be

applied

to

the

review

of

information

relating

to

sub-advisers

under

the

Series

Fund’s

manager-of-managers

structure.

During

the

course

of

their

deliberations,

the

Independent

Directors

had

the

opportunity

to

meet

privately

without

representatives

of

Mason

Street

Advisors

and

the

Sub-Advisers,

and

were

represented

throughout

the

process

by

legal

counsel.

Continuation

of

the

Advisory

Agreement

between

the

Series

Fund

and

Mason

Street

Advisors

At

its

February

28,

2024

meeting,

the

Board,

including

the

Independent

Directors,

unanimously

approved

the

continuance

of

the

Advisory

Agreement

with

respect

to

each

Series

Fund

Portfolio.

In

addition

to

the

information

presented

by

and

about

Mason

Street

Advisors

during

the

course

of

that

meeting,

the

materials

provided

to

the

directors

in

advance

of

the

meeting

included

Mason

Street

Advisor’s

Section

15(c)

Report,

which

contained

responses

to

the

information

request

letter

prepared

by

counsel

to

the

Independent

Directors

requesting

certain

information

from

Mason

Street

Advisors

designed

to

assist

the

directors

in

fulfilling

their

responsibilities

when

considering

the

continuation

of

the

Advisory

Agreement.

Those

materials

also

included

an

independent

report

prepared

by

Broadridge

(“Broadridge

Report”)

for

each

of

the

Portfolios.

The

Broadridge

Report

provided

details

regarding

the

fees,

expenses,

and

performance

returns

captured

over

a

variety

of

measurement

periods,

as

well

as

comparative

information

associated

with

a

peer

group

for

each

Portfolio

as

selected

by

Broadridge

based

on

the

Portfolio’s

investment

style,

characteristics

and

asset

levels,

and

further

customized

to

filter

out

funds

with

different

share

class

characteristics

and

fund

structures.

(The

Broadridge

Report

utilizes

Morningstar

fund

classifications

and

data.)

The

Broadridge

Report

included

an

executive

summary

of

the

performance

and

expense

information

compiled

by

Broadridge

to

facilitate

the

directors’

review.

The

materials

provided

to

the

Independent

Directors

included

a

summary

from

the

Mason

Street

Advisors’

Chief

Compliance

Officer

(“CCO”)

of

Mason

Street

Advisors’

compliance

program,

as

well

as

the

CCO’s

Annual

Compliance

Report

summarizing

the

results

of

his

review

and

assessment

of

the

adequacy

of

Mason

Street

Advisors’

compliance

program.

In

addition

to

the

information

presented

at

the

February

28,

2024

meeting,

the

directors’

considerations

were

informed

by

the

information

regularly

provided

to

them

throughout

the

year

regarding

the

Portfolios

and

Mason

Street

Advisors,

their

experience

with

and

knowledge

of

the

nature

and

quality

of

services

provided

by

Mason

Street

Advisors

to

the

Portfolios

and

their

interactions

with

representatives

of

Mason

Street

Advisors

and

its

affiliates.

The

material

factors

and

conclusions

that

formed

the

basis

for

the

Board’s

approval

of

the

continuance

of

the

Advisory

Agreement

include

those

discussed

below.

The

directors

evaluated

the

information

they

deemed

relevant

on

a

Portfolio-by-

Portfolio

basis.

No

one

particular

factor

was

identified

as

determinative,

but

rather

it

was

a

combination

of

all

the

factors

and

conclusions

that

formed

the

basis

for

the

determinations

made

by

the

directors.

Further,

different

directors

may

have

placed

greater

weight

on

certain

factors

than

did

other

directors.

Nature,

Extent

and

Quality

of

Services

.

In

considering

the

nature,

extent

and

quality

of

Mason

Street

Advisors’

services,

factors

considered

by

the

directors

included

Mason

Street

Advisors’

overall

business,

organization

and

management

structure,

and

the

tenure

and

experience

of

Mason

Street

Advisors’

investment

personnel.

The

directors

considered

the

performance

of

each

Portfolio

over

various

time

periods

as

presented

at

the

February

28,

2024

meeting

and

at

each

of

the

quarterly

meetings

prior

thereto.

Included

as

part

of

their

review

were

the

presentations

and

information

provided

by

Mason

Street

Advisors

regarding

the

services

provided

by

Mason

Street

Advisors

to

the

Portfolios.

These

services

include

the

investment

management

services

rendered

by

Mason

Street

Advisors’

portfolio

managers

in

providing

day-to-day

portfolio

management

services

for

the

Asset

Allocation

Portfolio

and

Balanced

Portfolio.

The

directors

considered

the

effectiveness

of

Mason

Street

Advisors’

portfolio

200

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

managers

in

providing

day-to-day

portfolio

management

services

for

the

foregoing

Portfolios.

The

directors

also

considered

the

investment

management,

administrative

and

supervisory

services

related

to

Mason

Street

Advisors’

oversight,

evaluation

and

ongoing

monitoring

of

the

various

sub-advisers

appointed

to

manage

the

majority

of

the

Series

Fund’s

Portfolios.

The

directors

considered

the

effectiveness

and

coverage

of

Mason

Street

Advisors

supervisory

oversight

of

the

appointed

sub-

advisors,

including

its

monitoring

and

assessment

of

sub-advisory

investment

performance,

sub-advisory

organizational

and

personnel

developments,

sub-advisory

investment

strategies

and

execution

as

well

as

Mason

Street

Advisors’

overall

level

of

engagement

with

the

sub-advisory

investment

teams.

The

directors

received

and

considered

information

about

the

functional

realignment

of

MSA

under

Northwestern

Mutual’s

retail

investment

function

that

occurred

in

2021

(the

“Reorganization”),

and

the

subsequent

impacts

of

the

Reorganization

to

MSA’s

operations

and

personnel

through

2022.

The

directors

also

considered

MSA’s

addition

of

a

second

investment

advisory

client,

the

Column

Funds,

currently

consisting

of

four

multi-managed

sub-advised

funds

offered

exclusively

in

Northwestern

Mutual

Wealth

Management

Company’s

advisory

programs.

The

directors

evaluated

the

impact

of

the

Reorganization

and

the

addition

of

a

second

client

to

the

investment

advisory

services

provided

by

MSA.

The

directors

appreciated

that

additional

personnel

had

been

hired

by

MSA,

as

well

as

other

Northwestern

Mutual

departments,

to

ensure

adequate

resources

were

available

for

the

Column

Funds

and

the

Series

Fund.

The

directors

also

considered

information

concerning

certain

benefits

to

the

Series

Fund

resulting

from

the

Reorganization

and

the

addition

of

a

second

investment

advisory

client,

including

economies

of

scale

from

allocating

its

expenses

across

a

broader

client

base,

additional

staff

that

would

support

both

the

Column

Funds

and

the

Series

Fund,

and

reduced

sub-advisory

management

fee

rates

for

certain

sub-advisers,

to

name

a

few.

The

directors

recognized

that

in

addition

to

the

investment

advisory

services

provided,

Mason

Street

Advisors

and

its

affiliates

provided

administrative

services

critical

to

the

operation

of

the

Portfolios

and

the

servicing

of

the

Series

Fund’s

investors.

The

risk

management

infrastructure

implemented

by

Mason

Street

Advisors,

the

Series

Fund’s

compliance

program

and

compliance

infrastructure,

and

its

various

compliance

policies

and

procedures,

oversight

of

brokerage

and

trading,

and

succession

planning

were

also

considered

by

the

directors.

The

directors

appreciated

that

the

scope

of

administrative

services

provided

by

Northwestern

Mutual

for

the

Series

Fund

did

not

change

in

2023,

nor

have

MSA

or

Northwestern

Mutual

experienced

an

material

issues

furnishing

such

administrative

services.

Based

on

their

review

of

these

factors,

and

reflecting

upon

their

experience

with

Mason

Street

Advisors’

services

provided

to

the

Portfolios,

the

Board

concluded,

as

part

of

their

overall

evaluation

of

the

Advisory

Agreement,

that

they

were

satisfied

with

the

nature,

extent

and

quality

of

services

provided

by

Mason

Street

Advisors

with

respect

to

each

Portfolio,

including

the

resources

committed

by

Mason

Street

Advisors

and

its

affiliates

in

providing

those

services,

and

the

experience

and

capabilities

of

the

personnel

rendering

such

services.

Investment

Performance

.

The

directors

considered

the

investment

performance

of

each

of

the

Portfolios

over

a

variety

of

periods.

The

Broadridge

Report

assisted

the

Board

in

its

evaluation

of

the

performance

of

the

Portfolios.

In

addition

to

considering

performance

for

each

Portfolio

for

both

short-

and

long-term

periods,

the

directors

considered:

(i)

a

comparison

of

each

Portfolio’s

one-,

three-,

and

five-year

performance

to

the

returns

of

appropriate

index

benchmarks,

and

to

the

performance

averages

of

each

Portfolio’s

respective

Broadridge

fund

group

categories

for

the

same

periods;

(ii)

the

Broadridge

overall

star

rating

and

for

each

Portfolio;

and

(iii)

the

Broadridge

and

performance

rankings

for

each

Portfolio

for

the

one-,

three-

and

five-

year

time

periods.

The

directors

evaluated

each

Portfolio’s

performance

against

these

peer

categories,

industry

benchmarks

and

indices.

They

viewed

this

information

as

providing

an

objective

comparative

measure

against

which

they

could

assess

the

performance

of

the

Portfolios.

The

directors

were

also

presented

with

information

from

Mason

Street

Advisors

regarding

the

relevant

market

conditions

and

other

factors

affecting

the

performance

of

each

Portfolio.

The

directors

evaluated

a

chart

provided

by

Broadridge

regarding

each

Portfolio’s

net

returns

relative

to

net

expenses

for

the

five-year

period

ended

December

31,

2023,

which

permitted

the

identification

of

those

Portfolios

scoring

in

the

bottom

half

for

performance

returns

on

a

comparative

basis.

The

directors

considered

MSA’s

views

with

respect

to

performance

challenges

and

expectations

for

the

portfolios

in

the

bottom

half

of

the

chart.

The

directors

observed

that

the

performance

of

a

number

of

such

underperforming

Portfolios

had

recently

improved.

201

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

In

addition

to

performance

information

presented

at

the

meeting,

the

directors

considered

the

detailed

performance

information,

market

commentary,

portfolio

analysis

and

portfolio

manager

presentations

they

received

periodically

throughout

the

year.

The

directors

gave

weight

to

their

ongoing

discussions

with

senior

management

at

Mason

Street

Advisors

concerning

Portfolio

performance,

as

well

as

discussions

among

the

Board,

the

Sub-Advisers

and

the

portfolio

managers

of

the

Portfolios

regarding

investment

strategies

and

Portfolio

performance

that

occurred

at

meetings

from

time

to

time.

While

attentive

to

short-term

performance

and

what

it

might

indicate

in

the

context

of

current

developments

in

the

economy

and

financial

markets,

the

directors

generally

placed

greater

emphasis

on

longer-term

performance.

In

particular,

the

directors

noted

the

longer-term

performance

returns

of

the

Portfolios

as

reported

by

Broadridge,

which

indicated

that

13

of

the

27

Portfolios

were

ranked

in

the

first

or

second

quartile

of

their

respective

Broadridge

category

peer

groups

for

the

three-

and

five-year

periods

ended

December

31,

2023.

Based

on

the

Board’s

review

of

investment

performance

over

various

periods,

an

analysis

of

the

factors

resulting

in

the

performance

of

certain

of

the

Portfolios,

the

Board

concluded

that,

considering

investment

performance

within

the

context

of

its

overall

determinations

regarding

the

Advisory

Agreement,

it

was

satisfied

with

the

relative

investment

performance

of

each

Portfolio

over

time.

Management

Fees

and

Other

Expenses

.

The

Broadridge

Report

assisted

the

Board

in

the

evaluation

of

the

relative

expenses

of

the

Portfolios.

The

directors

reviewed

a

comparison

of

the

management

fees

of

the

Portfolios

and

those

of

an

independently

selected

peer

group

of

mutual

funds

for

each

of

the

Portfolios.

The

directors

further

considered

the

expenses

of

each

Portfolio

and

a

comparison

of

those

expenses

with

each

Portfolio’s

respective

peer

group

and

fund

category

group

as

a

guide

to

help

assess

the

reasonableness

of

each

Portfolio’s

advisory

fees

and

net

and

total

expense

ratios.

The

Broadridge

Report

also

included

additional

comparative

information

relating

to

other

fee

components,

including

costs

relating

to

custodial

services,

shareholder

reporting,

audit

expenses

and

advisory

fees.

The

directors

used

the

comparative

data

to

help

assess

the

reasonableness

of

each

Portfolio’s

advisory

fee,

although

they

acknowledged

that

it

was

difficult

to

make

precise

comparisons

with

other

funds

because

of

the

differing

manner

in

which

service

providers

bundle

the

services

they

provide

and

the

fees

they

charge.

In

evaluating

the

level

of

management

fees

paid

by

each

Portfolio,

the

directors

considered

the

structure

and

size

of

the

Portfolios,

the

fees

paid

by

each

Portfolio

under

the

Advisory

Agreement,

the

expense

cap

and

fee

waiver

agreements

in

place

for

certain

Portfolios,

and

the

amounts

waived

or

reimbursed

by

Mason

Street

Advisors

under

such

agreements.

In

considering

Mason

Street

Advisors’

management

fees

on

a

stand-alone

basis,

the

directors

took

into

consideration

that

the

management

fees

compensated

Mason

Street

Advisors

for

a

broader

range

of

services

(both

investment

management

and

administrative

services)

than

may

be

included

under

a

typical

investment

management

contract,

and

concluded

that

as

a

result

of

these

additional

services,

viewing

Mason

Street

Advisors’

management

fees

in

light

of

Broadridge-reported

averages

might

not

provide

the

most

accurate

frame

of

reference

for

comparative

purposes.

The

directors

also

evaluated

each

Portfolio’s

total

operating

expenses

over

various

periods.

The

directors

observed

favorably

that

all

of

the

Portfolios

were

ranked

in

Broadridge’s

first

or

second

quartile

(meaning

lowest

expenses)

for

net

total

expenses

within

their

respective

category

groups

at

December

31,

2023,

with

20

of

the

Portfolios

ranking

in

the

first

quartile.

Based

on

their

review

of

the

management

fees

and

other

expenses,

the

comparative

data,

the

performance

of

each

Portfolio,

and

other

factors

deemed

relevant

by

the

directors,

the

Board

concluded

that

the

management

fees

and

total

operating

expenses

of

each

of

the

Portfolios

(as

modified

by

the

applicable

expense

waivers

and

fee

caps)

were

reasonable

in

relation

to

the

nature,

scope

and

quality

of

advisory

services

provided

by

Mason

Street

Advisors

and

the

performance

of

the

Portfolios.

Costs

and

Profitability

.

The

directors

reviewed

information

provided

by

Mason

Street

Advisors

regarding

the

profitability

realized

by

Mason

Street

Advisors

based

upon

its

relationship

with

the

Portfolios.

The

directors

considered

Mason

Street

Advisors’

pricing

methodology

for

its

services

as

investment

adviser.

The

directors

considered

Mason

Street

Advisors’

presentation

to

the

directors

regarding

Mason

Street

Advisors’

revenues,

expenses,

income

and

profit

margins

allocable

to

its

services

to

the

Portfolios

on

an

aggregate

and

a

per

Portfolio

basis,

and

reviewed

Mason

Street

Advisors’

allocation

methodology

with

respect

202

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

to

its

revenues

and

expenses.

The

profitability

information

presented

for

the

directors’

consideration

was

supplemented

by

information

regarding

the

range

of

expenses

in

each

Portfolio’s

respective

Broadridge

peer

group

and

fund

group

category

and

the

ranking

of

each

Portfolio

within

the

applicable

peer

group

and

fund

group

category.

In

connection

with

its

review

of

the

profitability

of

Mason

Street

Advisors’

services

to

the

Portfolios,

the

directors

considered

services

provided

by

affiliates

of

Mason

Street

Advisors.

The

directors

considered

the

allocation

of

fees

as

between

Mason

Street

Advisors

and

each

sub-adviser

as

well

as

applicable

asset

levels,

breakpoints,

total

expenses

and

management

fee

waivers

that

are

in

place

for

those

Portfolios.

As

part

of

the

allocation

of

fees,

the

Board

considered

Mason

Street

Advisors’

increase

in

the

advisory

fee

waiver

for

the

Inflation

Protection

Portfolio

during

2023.

The

directors

noted

further

MSA’s

decision

to

retain

all

other

existing

advisory

fee

waivers

and

expense

caps

for

an

additional

one

year

period.

The

directors

also

received

information

on

soft

dollar

arrangements

and

any

other

benefits

to

Mason

Street

Advisors

or

its

affiliates

arising

from

its

relationship

with

the

Portfolios,

including

(as

applicable)

the

participation

of

fund

families

advised

by

certain

sub-advisers

to

the

Portfolios

on

the

retail

brokerage

platform

maintained

by

a

brokerage

affiliate

of

Mason

Street

Advisors,

the

participation

of

such

fund

families

in

a

mutual

fund

partner

program

offered

by

such

brokerage

affiliate

of

Mason

Street

Advisors,

and

the

payment

of

fees

by

the

fund

families

based

upon

participation

on

the

brokerage

platform

and

the

mutual

fund

partner

program

maintained

by

the

brokerage

affiliate

of

Mason

Street

Advisors.

The

directors

received

information

about

MSA’s

ongoing

reliance

on

Rule

12d1-4

under

the

Investment

Company

Act

of

1940,

as

amended,

to

operate

each

of

the

Asset

Allocation

and

Balanced

Portfolios

as

fund

of

funds

on

a

going

forward

basis.

The

directors

considered

the

full

scope

of

services

provided

by

MSA

to

the

Asset

Allocation

and

Balanced

Portfolios

(the

“Allocation

Portfolios”),

and

MSA’s

view

that

the

fees

it

received

under

the

Advisory

Agreement

relating

to

the

Allocation

Portfolios

were

based

on

services

that

were

in

addition

to

and

not

duplicative

of

the

services

provided

by

any

funds

acquired

by

the

Allocation

Portfolios

in

reliance

on

Rule

12d1-4

(“acquired

funds”).

The

directors

considered

that

MSA

has

in

place

an

advisory

fee

waiver

agreement

with

respect

to

each

of

the

Allocation

Portfolios

that

results

in

an

advisory

fee

that

compensates

MSA

appropriately

for

the

services

provided

to

the

Portfolios.

Moreover,

the

directors

were

apprised

that

MSA

had

evaluated

the

complexity

of

the

structure

and

fees

and

expenses

associated

with

the

Allocation

Portfolios’

investments

in

acquired

funds

and

had

found

that

the

Allocation

Portfolios’

fees

and

expenses

did

not

duplicate

the

fees

and

expenses

of

any

acquired

fund,

as

required

by

Rule

12d1-4.

The

directors

recognized

the

difficulty

in

obtaining

reliable

comparative

data

about

mutual

fund

managers’

profitability,

since

such

information

generally

is

not

publicly

available

and

may

be

impacted

by

numerous

factors

specific

to

the

investment

adviser

and

its

method

of

allocating

revenues

and

expenses.

Based

on

their

review

of

the

profitability

provided

for

each

Portfolio,

the

Board

concluded

that

they

were

satisfied

that

Mason

Street

Advisors’

level

of

profitability

arising

from

each

Portfolio

was

not

excessive.

Economies

of

Scale

.

The

directors

also

considered

whether

each

Portfolio’s

expense

structure

permitted

economies

of

scale

to

be

shared

with

Portfolio

investors.

The

directors

considered

that

breakpoints

are

contained

in

the

advisory

fee

schedules

for

20

of

the

27

Portfolios

and

further

considered

the

extent

to

which

the

Portfolios

may

benefit

from

economies

of

scale

through

those

breakpoints.

The

directors

also

considered

Mason

Street

Advisors’

explanation

of

why

breakpoints

for

the

remaining

Portfolios

had

not

been

established,

including

that

those

Portfolios

were

ranked

the

lowest

or

close

to

the

lowest

in

terms

of

total

expenses

of

each

Portfolio’s

respective

peer

group

as

determined

by

Broadridge

or

benefited

from

advisory

fee

waivers

and/or

expense

limitation

agreements

put

in

place

by

Mason

Street

Advisors.

Also

considered

was

Mason

Street

Advisors’

commitment

to

continue

to

regularly

work

with

the

Board

to

evaluate

the

need

for

additional

breakpoints

or

fee

waivers

as

each

Portfolio’s

assets

grow

over

time.

The

Board

also

considered

that

Mason

Street

Advisors

was

able

to

obtain

sub-advisory

fee

reductions

with

a

number

of

sub-advisers

throughout

2023

and

the

first

two

quarters

of

2024.

Based

on

this

information,

the

Board

concluded

that,

within

the

context

of

its

overall

determinations

regarding

the

Advisory

Agreement,

each

Portfolio’s

fee

structure

reflected

appropriate

economies

of

scale

for

the

benefit

of

Portfolio

investors.

203

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

Continuation

of

the

Sub-Advisory

Agreements

between

Mason

Street

Advisors

and

Certain

Sub-Advisers

At

its

February

28,

2024

and

June

6,

2024

meetings,

the

Board,

including

the

Independent

Directors,

unanimously

approved

the

continuance

of

the

Sub-Advisory

Agreements

with

respect

to

the

related

Sub-Advised

Portfolios.

At

those

meetings,

the

directors

received

a

presentation

from

representatives

of

each

Sub-Adviser

involved

in

the

management

of

the

respective

Sub-Advised

Portfolios.

In

addition

to

the

information

presented

by

and

about

such

Sub-Advisers

during

the

course

of

those

meetings,

the

directors

also

had

each

Sub-Adviser’s

Section

15(c)

Report,

which

contained

responses

to

the

information

request

letter

prepared

by

counsel

to

the

Independent

Directors

requesting

certain

information

from

the

Sub-Advisers

designed

to

assist

the

directors

in

fulfilling

their

responsibilities

when

considering

the

continuation

of

the

Sub-Advisory

Agreements.

The

directors

also

had

Mason

Street

Advisors’

Executive

Summary

and

Overview

of

each

Sub-Adviser

and

other

materials

prepared

by

Mason

Street

Advisors.

The

materials

contained

detailed

information

on

organizational

and

management

structures,

client

base,

performance

over

multiple

time

periods,

expenses,

brokerage

commissions,

portfolio

turnover,

style

consistency,

key

portfolio

statistics

and

metrics,

and

other

factors

with

respect

to

each

of

the

Sub-Advised

Portfolios.

The

materials

also

contained

an

analysis

of

the

Sub-Advisers’

responses

to

the

compliance

questions

contained

in

the

Section

15(c)

Report

and

the

observations

of

the

Series

Fund’s

Chief

Compliance

Officer

regarding

the

compliance

structure

and

practices

of

each

Sub-

Adviser.

The

directors

also

considered

their

experience

with

and

knowledge

of

the

nature

and

quality

of

the

services

provided

by

the

Sub-Advisers

and

their

ongoing

discussions

with

representatives

of

Mason

Street

Advisors,

its

affiliates

and

each

Sub-

Adviser.

The

material

factors

and

conclusions

that

formed

the

basis

for

the

Board’s

approval

of

the

continuance

of

each

of

the

Sub-

Advisory

Agreements

include

those

discussed

below.

The

directors

evaluated

a

variety

of

information

they

deemed

relevant

on

a

Portfolio-by-Portfolio

basis.

No

one

particular

factor

was

identified

as

determinative,

but

rather

it

was

a

combination

of

all

the

factors

and

conclusions

that

formed

the

basis

for

the

determinations

made

by

the

Board.

Further,

different

directors

may

have

placed

greater

weight

on

certain

factors

than

did

other

directors.

Nature,

Extent

and

Quality

of

Services

.

In

considering

the

nature,

extent

and

quality

of

each

Sub-Adviser’s

services,

the

directors

reviewed

each

Sub-Adviser’s

financial

strength

and

stability,

assets

under

management

and

overall

reputation.

The

directors

evaluated

the

investment

strategies

employed

by

each

Sub-Adviser,

as

well

as

the

personnel

providing

such

services

with

respect

to

the

Sub-Advised

Portfolio.

In

particular,

the

directors

considered

presentations

given

by

the

portfolio

managers

and

how

the

Sub-Advised

Portfolios

were

being

positioned

in

the

current

market

environment.

The

directors

also

considered

Mason

Street

Advisors’

reports

on

due

diligence

visits

and

conference

calls

that

had

been

conducted

with

the

Sub-Advisers.

With

respect

to

the

Sub-Advisory

Agreements

reviewed

in

February,

the

directors

expressed

continued

confidence

in

Wellington’s

ability

as

a

sub-adviser.

The

directors

considered

the

performance

of

the

Mid

Cap

Growth,

Small

Cap

Growth,

and

Large

Cap

Core

Stock

Portfolios.

The

directors

additionally

considered

the

personnel

changes

that

had

occurred

to

the

Mid

Cap

Growth

Stock

Portfolio

team.

The

directors

noted

that

Wellington

was

a

strong,

high-quality

investment

firm

and

had

performed

well

over

time.

With

respect

to

Northern

Trust,

the

directors

were

satisfied

with

the

performance

of

Northern

Trust

as

sub-adviser

for

the

Index

400

Stock

and

Index

600

Stock

Portfolios.

The

directors

expressed

no

concerns

with

either

Sub-

Adviser’s

financial

stability,

financial

strength

or

other

firm

level

matters.

With

respect

to

the

Sub-Advisory

Agreements

considered

for

continuance

in

June,

the

directors

noted

no

concerns

with

overall

financial

strength

or

stability

of

any

of

the

Sub-Advisers.

The

directors

noted

that

the

performance

of

the

Emerging

Markets

Equity

Portfolio

had

improved

over

the

one-year

period.

The

directors

considered

information

from

each

of

the

Sub-Advisers

concerning

various

organizational

changes

at

the

firm,

including

certain

retirements

and

personnel

transitions,

and

any

impact

those

changes

might

cause

to

the

management

of

the

relevant

Portfolios,

if

any.

The

directors

also

considered

each

Sub-Adviser’s

investment

philosophy

and

process

and

the

scope

of

services

provided

by

the

Sub-Advisers.

With

respect

to

abrdn,

Dodge

&

Cox,

FIAM,

and

MFS,

the

directors

considered

the

role

that

ESG

factors

played

in

the

respective

investment

processes

for

the

Emerging

Markets

Equity,

International

Equity,

International

Growth,

and

Research

International

Core

Portfolios.

Consideration

was

also

given

to

the

Sub-Advisers’

respective

reputations

and

experience

in

providing

investment

management

services

and

the

performance

of

each

Sub-Advised

Portfolio.

Based

on

their

204

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

review

of

these

factors,

their

discussions

with

the

Sub-Advisers,

and

their

experience

with

the

services

provided

by

the

Sub-

Advisers

for

the

respective

Sub-Advised

Portfolios,

the

Board

concluded,

within

the

context

of

their

overall

determinations

regarding

the

Sub-Advisory

Agreements,

that

they

were

satisfied

with

the

nature,

extent

and

quality

of

services,

and

the

resources

committed

by

each

Sub-Adviser

in

providing

those

services,

and

were

satisfied

with

the

experience

and

capabilities

of

the

Sub-Advisers

and

the

personnel

associated

with

the

Sub-Advised

Portfolios.

Investment

Performance

.

The

directors

reviewed

the

investment

performance

of

each

of

the

Sub-Advised

Portfolios

over

multiple

time

periods.

In

addition

to

considering

performance

for

each

Sub-Advised

Portfolio

for

both

short-

and

long-term

periods,

the

directors

considered:

(i)

a

comparison

of

each

Sub-Advised

Portfolio’s

one-,

three-,

and

five-year

(as

applicable)

performance

to

the

returns

of

appropriate

industry

benchmarks

and

indices,

and

to

the

performance

averages

of

each

Sub-

Advised

Portfolio’s

respective

Broadridge

fund

group

categories

for

the

same

periods;

(ii)

the

Broadridge

overall

star

rating

for

each

Sub-Advised

Portfolio;

and

(iii)

the

Broadridge

performance

rankings

for

each

Sub-Advised

Portfolio

for

the

one-,

three-

and

five-year

time

periods

(as

applicable).

The

directors

evaluated

each

Sub-Advised

Portfolio’s

performance

against

these

peer

groups

and

industry

benchmarks

and

indices

and

viewed

this

information

as

providing

an

objective

comparative

measure

against

which

they

could

assess

the

performance

of

the

Sub-Advised

Portfolios.

The

directors

also

considered

the

performance

of

accounts

managed

in

a

similar

manner

by

each

of

the

Sub-Advisers

and

information

from

the

Sub-Advisers

regarding

any

significant

differences

in

the

performance

of

those

accounts

from

that

of

the

Sub-Advised

Portfolios.

With

respect

to

the

Portfolios

managed

by

Wellington,

the

directors

considered

information

provided

by

Wellington

concerning

certain

upcoming

personnel

changes.

In

that

regard,

the

directors

considered

that

Wellington

provided

positive

comments

regarding

the

changes.

The

directors

additionally

considered

information

concerning

Wellington’s

dedicated

health

care

team

and

the

performance

of

the

health

care

holdings

in

the

Small

Cap

Growth

Stock

and

Mid

Cap

Growth

Stock

Portfolios.

The

directors

noted

the

recent

positive

performance

of

the

Small

Cap

Growth

Stock

in

the

three-

and

five-year

periods.

The

directors

additionally

discussed

the

performance

of

the

Mid

Cap

Growth

Stock

and

Large

Cap

Core

Stock

Portfolios,

noting

that

historically

the

Portfolios

had

performed

well

over

a

market

cycle,

but

that

they

had

increasing

concerns

with

the

performance

of

the

Mid

Cap

Growth

Stock

Portfolio

over

recent

periods.

With

respect

to

Northern

Trust,

the

directors

noted

that

the

performance

achieved

by

Northern

Trust

for

the

Index

400

Stock

and

Index

600

Stock

Portfolios

had

been

consistent

with

the

underlying

indices.

The

directors

identified

no

material

concerns

with

respect

to

the

overall

performance

of

Portfolios

sub-advised

by

abrdn,

MFS

or

FIAM.

The

directors

did

raise

questions,

however,

regarding

the

performance

of

the

Emerging

Markets

Equity

Portfolio

over

the

one-

and

three-year

periods

relative

to

its

benchmark.

The

directors

considered

information

concerning

the

Portfolio’s

positioning

in

Russia

and

China

and

the

impact

of

those

holdings

on

the

Portfolio’s

performance.

With

respect

to

the

International

Equity

Portfolio

managed

by

Dodge

&

Cox,

the

directors

discussed

the

Portfolio’s

recent

positive

performance.

In

addition

to

performance

information

presented

at

the

meeting,

the

directors

considered

the

detailed

performance

information,

market

commentary,

portfolio

analysis

and

portfolio

manager

presentations

they

received

periodically

throughout

the

year.

While

attentive

to

short-term

performance

and

what

it

might

indicate,

the

directors

generally

placed

greater

emphasis

on

longer-term

performance.

For

the

reasons

set

forth

above,

the

Board

concluded

that,

considering

investment

performance

within

the

context

of

its

overall

determinations

regarding

the

Sub-Advisory

Agreements,

it

was

satisfied

with

the

relative

investment

performance

of

the

Sub-Advised

Portfolios.

Management

Fees

and

Other

Expenses

.

The

directors

evaluated

the

reasonableness

of

the

management

fees

and

total

expenses

paid

by

the

Sub-Advised

Portfolios

under

the

Sub-Advisory

Agreements.

The

directors

considered

the

fees

paid

by

each

Sub-Advised

Portfolio.

The

directors

also

considered

the

sub-advisory

fees

paid

by

Mason

Street

Advisors

out

of

its

management

fee,

including

a

comparison

of

those

fees

with

fees

charged

by

the

respective

Sub-Advisers

for

similarly-managed

accounts.

In

considering

the

level

of

management

fees,

the

directors

evaluated

the

size

of

the

Sub-Advised

Portfolios,

expenses

assumed

by

Mason

Street

Advisors,

and

the

existing

expense

limitation

and/or

fee

waiver

arrangements

agreed

to

by

Mason

Street

Advisors

with

respect

to

each

Sub-Advised

Portfolio

(as

applicable).

205

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

As

part

of

their

evaluation,

the

directors

reviewed

an

independent

analysis

prepared

by

Broadridge

of

comparative

expense

data

for

each

Sub-Advised

Portfolio.

Broadridge

provided

data

as

of

December

31,

2023

comparing

each

Sub-Advised

Portfolio’s

net

and

total

expenses

with

those

of

a

peer

group

of

funds

utilized

in

connection

with

variable

insurance

products

sharing

a

similar

investment

classification,

objective

and

asset

allocation,

each

as

selected

by

Broadridge.

The

directors

considered

the

comparative

data

as

a

guide

to

help

assess

the

reasonableness

of

each

Sub-Advised

Portfolio’s

net

and

total

expense

ratios.

The

directors

considered

that

each

of

the

9

Sub-Advised

Portfolios

whose

sub-advisory

agreements

were

approved

for

renewal

at

the

February

and

June

meetings

were

ranked

in

Broadridge’s

first,

most

favorable,

quartile

for

total

expenses

for

the

period

ended

December

31,

2023.

The

directors

also

reviewed

the

breakpoints

contained

in

the

advisory

fee

schedules

for

the

Sub-Advised

Portfolios.

The

directors

took

into

consideration

the

advisory

fee

waiver

and/or

expense

limitation

agreements

that

were

in

place

with

respect

to

each

of

the

Sub-Advised

Portfolios

whose

sub-advisory

agreement

was

approved

for

renewal,

except

for

the

Small

Cap

Growth

Stock

Portfolio,

which

ranked

in

the

first

quartile

of

its

peer

group

for

both

net

and

total

expenses

(meaning

lowest

expenses).

Based

on

their

review

of

the

above

information

and

other

factors

deemed

relevant

by

the

directors,

the

Board

concluded

that

the

management

fees

and

total

operating

expenses

of

each

of

the

Sub-Advised

Portfolios

were

reasonable

in

relation

to

the

nature,

scope

and

quality

of

services

provided

and

the

performance

of

the

Sub-Advised

Portfolios.

Costs

and

Profitability

.

The

directors

reviewed

information

provided

by

Mason

Street

Advisors

regarding

the

profitability

realized

by

Mason

Street

Advisors

from

the

Sub-Advised

Portfolios.

The

directors

considered

Mason

Street

Advisors’

presentations

to

the

directors

regarding

Mason

Street

Advisors’

revenues,

expenses,

income

and

profit

margins

allocable

to

its

services

to

the

Sub-Advised

Portfolios

on

an

aggregate

and

a

per

Portfolio

basis,

and

Mason

Street

Advisors’

allocation

methodology

with

respect

to

revenues

and

expenses.

The

profitability

information

presented

for

the

directors’

consideration

was

supplemented

by

the

aforementioned

information

regarding

the

expense-based

rankings

of

each

Sub-Advised

Portfolio

within

the

Portfolio’s

respective

Broadridge

peer

group

category.

The

directors

also

considered

the

profitability

information

related

to

certain

of

the

Sub-Advised

Portfolios

where

such

information

had

been

provided.

The

directors

recognized

that

sub-advisory

fees

were

the

result

of

arm’s-length

negotiations

between

Mason

Street

Advisors

and

each

Sub-Adviser.

The

directors

also

recognized

that

there

are

limitations

inherent

in

allocating

costs

and

calculating

profitability

for

organizations

such

as

the

Sub-Advisers,

and

that

it

is

difficult

to

make

comparisons

of

profitability

among

investment

advisers

because

comparative

information

is

not

generally

publicly

available

and,

when

available,

such

information

is

developed

using

a

variety

of

assumptions

and

factors.

The

directors

concluded

that

they

had

received

sufficient

information

to

evaluate

the

Sub-Advisers’

costs

and

profitability.

The

directors

considered

certain

fall-out

benefits

that

may

be

realized

by

Mason

Street

Advisors

and

its

affiliates

due

to

their

relationship

with

the

Sub-Advised

Portfolios,

including

(as

applicable)

the

participation

of

fund

families

advised

by

certain

Sub-Advisers

to

the

Sub-Advised

Portfolios

on

the

retail

brokerage

platform

maintained

by

a

brokerage

affiliate

of

Mason

Street

Advisors,

the

participation

of

such

fund

families

in

a

certain

mutual

fund

partner

program

offered

by

such

brokerage

affiliate,

and

the

payment

of

fees

by

the

fund

families

based

upon

participation

on

the

brokerage

platform

and

the

mutual

fund

partner

program

maintained

by

the

brokerage

affiliate

of

Mason

Street

Advisors.

The

directors

also

reviewed

information

concerning

certain

of

the

Sub-Advisers’

soft

dollar

arrangements

and

any

other

benefits

to

the

Sub-Advisers

arising

from

their

relationships

with

the

Sub-Advised

Portfolios.

Based

on

their

review,

the

Board

concluded,

within

the

context

of

their

overall

determinations

regarding

the

Sub-Advisory

Agreements,

that

they

were

satisfied

that

the

fees

paid

by

each

of

the

Sub-Advised

Portfolios,

and

the

profits

realized

by

Mason

Street

Advisors

and

the

Sub-Advisers

due

to

their

relationship

with

the

Sub-

Advised

Portfolios,

were

not

excessive.

Economies

of

Scale

.

The

directors

also

considered

whether

each

Sub-Advised

Portfolio’s

expense

structure

permitted

economies

of

scale

to

be

shared

with

such

Portfolio’s

investors.

The

directors

considered

the

breakpoints

contained

in

the

advisory

fee

schedules

for

the

Sub-Advised

Portfolios

and

the

extent

to

which

the

Sub-Advised

Portfolios

may

benefit

from

economies

of

scale

through

those

breakpoints.

The

directors

also

took

into

account

the

expense

limitation

arrangements

in

place

for

the

International

Growth,

Research

International

Core,

Emerging

Markets

Equity

and

Index

600

Stock

Portfolios,

and

the

fee

waiver

arrangements

in

place

with

respect

to

the

Large

Cap

Core

Stock,

Mid

Cap

Growth

Stock,

International

Equity,

206

Approval

and

Continuance

of

Investment

Advisory

and

Sub-Advisory

Agreements

(unaudited)

International

Growth,

Research

International

Core,

Emerging

Markets

Equity

and

Index

400

Stock

Portfolios.

The

directors

also

considered

the

total

assets

and

expense

ratio

of

each

Sub-Advised

Portfolio.

Based

on

this

information,

the

Board

concluded,

within

the

context

of

its

overall

determinations

regarding

the

Sub-Advisory

Agreements,

that

each

Sub-Advised

Portfolio’s

fee

structure

reflected

appropriate

economies

of

scale

for

the

benefit

of

such

Portfolio’s

investors.

Other

Information

.

The

directors

were

presented

with

other

information

to

assist

them

in

their

consideration

of

the

continuation

of

the

Advisory

Agreement

and

the

Sub-Advisory

Agreements,

including

information

about

the

services

provided

by

affiliates

of

Mason

Street

Advisors

to

the

Portfolios

and

information

regarding

Mason

Street

Advisors’

and

the

Sub-Advisers’

brokerage

practices

and

commissions.

The

directors

took

into

consideration

reports

from

Mason

Street

Advisors

on

its

review

of

the

respective

compliance

programs

of

the

Sub-Advisers,

including

any

recent

compliance

exceptions

noted

and

the

applicable

Sub-Adviser’s

response.

Also

considered

were

key

affiliations

and

business

relationships

between

the

Sub-Advisers

and

their

affiliates

and

Mason

Street

Advisors’

parent

company

and

affiliates.

Their

review

further

included

information

relating

to

each

Sub-Adviser’s

risk

management

infrastructure,

pending

or

recent

litigation

or

regulatory

actions

to

which

a

Sub-Adviser

or

its

affiliates

may

have

been

a

party,

and

the

applicable

Sub-Adviser’s

responses

to

those

actions.

The

directors

also

considered

information

regarding

each

Sub-Adviser’s

code

of

ethics,

approach

to

portfolio

manager

compensation,

and

succession

planning,

as

well

as

information

supplied

by

the

Sub-Advisers

related

to

their

cybersecurity

programs

and

business

continuity

plans,

and

other

matters

they

deemed

relevant.

Conclusions

of

the

Directors

.

Based

on

a

consideration

of

the

foregoing,

the

Board,

including

the

Independent

Directors,

and

assisted

by

the

advice

of

legal

counsel

independent

of

Mason

Street

Advisors,

in

the

exercise

of

their

reasonable

business

judgment,

concluded

that

the

terms

of

the

Advisory

Agreement

and

the

Sub-Advisory

Agreements

were

fair

and

reasonable

and

approved

the

continuation

of

each

Agreement

for

another

year

as

being

in

the

best

interests

of

each

Portfolio.

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

(b) Financial Highlights are included within the financial statements filed under Item 7 of this Form.

Item 8.            Changes in and Disagreements with Accountants for Open-End Management Investment Companies.

                        None.

Item 9.            Proxy Disclosures for Open-End Management Investment Companies.

None.

Item 10.          Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.

Directors’ fees paid by the fund are included within the financial statements filed under Item 7 of this Form.

Item 11.          Statement Regarding Basis for Approval of Investment Advisory Contract.

Full list of the approved investment advisory contracts are included in Item 7.

Item 12.          Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

                        Not applicable.

Item 13.          Portfolio Managers of Closed-End Management Investment Companies.

                        Not applicable.

Item 14.          Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

                        Not applicable.

Item 15.          Submission of Matters to a Vote of Security Holders.

                        Not applicable.

Item 16.          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 17.          Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

                        Not applicable.

Item 18.          Recovery of Erroneously Awarded Compensation.

(a) Not applicable. 

(b) Not applicable.

Item 19.          Exhibits.

(a)(1) Not applicable.

(a)(2) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as exhibit EX-99.CERT.

(b) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached as exhibit EX-99.906CERT. The certifications furnished pursuant to this paragraph are not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

NORTHWESTERN MUTUAL SERIES FUND, INC.

By:      /s/ Paul A. Mikelson                               

Paul A. Mikelson, President

Date:   August 13, 2024         

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:      /s/ Paul A. Mikelson                               

Paul A. Mikelson, President

Date:   August 13, 2024         

By:      /s/ Matthew P. Sullivan                               

Matthew P. Sullivan, Vice President,

Chief Financial Officer and Treasurer

Date:   August 13, 2024