UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3990

Northwestern Mutual Series Fund, Inc.

(Exact name of registrant as specified in charter)

720 East Wisconsin Avenue,

Milwaukee Wisconsin 53202

(Address of principal executive offices) (Zip code)

Barbara E. Courtney, Controller and Chief Accounting Officer Northwestern Mutual Series Fund, Inc.

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2018

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders

Semi-Annual Report June 30, 2018

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

Series Fund Overviews and Schedules of Investments:
Growth Stock Portfolio	1
Focused Appreciation Portfolio	4
Large Cap Core Stock Portfolio	6
Large Cap Blend Portfolio	9
Index 500 Stock Portfolio	11
Large Company Value Portfolio	18
Domestic Equity Portfolio	21
Equity Income Portfolio	23
Mid Cap Growth Stock Portfolio	26
Index 400 Stock Portfolio	29
Mid Cap Value Portfolio	35
Small Cap Growth Stock Portfolio	39
Index 600 Stock Portfolio	43
Small Cap Value Portfolio	50
International Growth Portfolio	54
Research International Core Portfolio	58
International Equity Portfolio	62
Emerging Markets Equity Portfolio	66
Government Money Market Portfolio	69
Short-Term Bond Portfolio	73
Select Bond Portfolio	88
Long-Term U.S. Government Bond Portfolio	104
Inflation Protection Portfolio	110
High Yield Bond Portfolio	120
Multi-Sector Bond Portfolio	128
Balanced Portfolio	147
Asset Allocation Portfolio	151
Statements of Assets and Liabilities	156
Statements of Operations	160
Statements of Changes in Net Assets	164
Statement of Cash Flows	171
Financial Highlights	172
Notes to Financial Statements	180
Proxy Voting and Portfolio Holdings	204
Approval and Continuance of Investment Advisory and Sub-Advisory Agreements	205

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.

Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018			Ending Account Value June 30, 2018			Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$	1,000.00		$	1,102.50		$	2.19
Hypothetical (5% return before expenses)		$	1,000.00		$	1,022.71		$	2.11

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.42%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Growth Stock Portfolio

1

Growth Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (99.0%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (16.4%)
Amazon.com, Inc.*		39,690		67,465
Aptiv PLC		96,910		8,880
Chipotle Mexican Grill, Inc.*		16,516		7,124
The Home Depot, Inc.		120,777		23,564
Las Vegas Sands Corp.		192,775		14,720
O’Reilly Automotive, Inc.*		53,980		14,767
PVH Corp.		51,868		7,766
Tesla Motors, Inc.*		33,132		11,363
Wayfair, Inc. - Class A*		96,269		11,433
Total				167,082
Consumer Staples (3.5%)
Costco Wholesale Corp.		53,804		11,244
The Kraft Heinz Co.		99,447		6,247
Monster Beverage Corp.*		90,791		5,202
PepsiCo, Inc.		122,923		13,383
Total				36,076
Energy (1.1%)
Andeavor		81,484		10,689
Total				10,689
Financials (2.9%)
Ameriprise Financial, Inc.		88,654		12,401
The Progressive Corp.		283,706		16,781
Total				29,182
Health Care (15.7%)
ABIOMED, Inc.*		28,011		11,458
Becton Dickinson and Co.		75,193		18,013
Biogen, Inc.*		23,225		6,741
BioMarin Pharmaceutical, Inc.*		61,585		5,801
Boston Scientific Corp.*		508,648		16,633
Edwards Lifesciences Corp.*		72,793		10,597
IDEXX Laboratories, Inc.*		58,664		12,785

Common Stocks (99.0%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Neurocrine Biosciences, Inc.*		95,294		9,362
UnitedHealth Group, Inc.		123,980		30,417
Vertex Pharmaceuticals, Inc.*		62,557		10,632
WellCare Health Plans, Inc.*		55,707		13,717
Zoetis, Inc.		155,664		13,261
Total				159,417
Industrials (11.8%)
Cintas Corp.		58,460		10,819
CoStar Group, Inc.*		26,423		10,903
Fortive Corp.		197,336		15,217
Honeywell International, Inc.		129,313		18,628
PACCAR, Inc.		160,658		9,954
Quanta Services, Inc.*		226,940		7,580
Raytheon Co.		75,568		14,598
Union Pacific Corp.		137,989		19,550
United Technologies Corp.		102,431		12,807
Total				120,056
Information Technology (41.9%)
Activision Blizzard, Inc.		209,493		15,989
Alphabet, Inc. - Class C*		30,141		33,627
Apple, Inc.		339,393		62,825
Broadcom, Inc.		94,238		22,866
Facebook, Inc. - Class A*		260,676		50,655
FleetCor Technologies, Inc.*		47,728		10,054
Fortinet, Inc.*		124,213		7,755
HubSpot, Inc.*		52,666		6,604
International Business Machines Corp.		139,719		19,519
Microsoft Corp.		494,019		48,715
NVIDIA Corp.		86,447		20,479
Palo Alto Networks, Inc.*		56,869		11,685
PayPal Holdings, Inc.*		208,946		17,399
salesforce.com, Inc.*		128,563		17,536

Common Stocks (99.0%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
ServiceNow, Inc.*		63,032		10,871
Splunk, Inc.*		75,618		7,494
Square, Inc. - Class A*		145,709		8,981
Teradata Corp.*		193,761		7,779
Texas Instruments, Inc.		127,177		14,021
Twilio, Inc. - Class A*		126,722		7,099
Visa, Inc. - Class A		183,606		24,319
Total				426,272
Materials (2.7%)
Freeport-McMoRan, Inc.		623,890		10,769
Praxair, Inc.		108,430		17,148
Total				27,917
Telecommunication Services (3.0%)
T-Mobile US, Inc.*		200,086		11,955
Verizon Communications, Inc.		366,110		18,419
Total				30,374
Total Common Stocks (Cost: $742,504)				1,007,065
Short-Term Investments (0.9%)
Money Market Funds (0.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		9,618,356		9,618
Total Short-Term Investments (Cost: $9,618)				9,618
Total Investments (99.9%) (Cost: $752,122)(a)				1,016,683
Other Assets, Less Liabilities (0.1%)				948
Net Assets (100.0%)				1,017,631

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

Growth Stock Portfolio

2

Growth Stock Portfolio

# 7-day yield as of June 30, 2018.

* Non-Income Producing

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $752,122 and the net unrealized appreciation of investments based on that cost was $264,561 which is comprised of $272,336 aggregate gross unrealized appreciation and $7,775 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	1,007,065	$	—	$	—
Short-Term Investments		9,618		—		—
Total Assets:	$	1,016,683	$	—	$	—

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

Growth Stock Portfolio

3

Focused Appreciation Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

As a non-diversified portfolio, the Portfolio may hold fewer securities because of its focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount

you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$1,000.00		$1,035.41		$  3.18
Hypothetical (5% return before expenses)		$1,000.00		$1,021.67		$  3.16

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Focused Appreciation Portfolio

4

Focused Appreciation Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (99.4%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (13.0%)
Amazon.com, Inc.*		42,645		72,488
Starbucks Corp.		444,770		21,727
Yum China Holdings, Inc.		334,790		12,876
Yum! Brands, Inc.		197,471		15,446
Total				122,537
Consumer Staples (13.3%)
The Coca-Cola Co.		529,378		23,218
Colgate-Palmolive Co.		292,238		18,940
Danone SA, ADR		1,766,916		25,762
Monster Beverage Corp.*		579,638		33,213
The Procter & Gamble Co.		298,855		23,329
Total				124,462
Energy (3.0%)
Schlumberger, Ltd.		422,997		28,354
Total				28,354
Financials (5.5%)
American Express Co.		107,277		10,513
FactSet Research Systems, Inc.		77,878		15,428
SEI Investments Co.		404,940		25,317
Total				51,258
Health Care (14.1%)
Amgen, Inc.		88,639		16,362

Common Stocks (99.4%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Cerner Corp.*		338,120		20,216
Merck & Co., Inc.		152,612		9,263
Novartis AG, ADR		187,683		14,178
Novo Nordisk A/S, ADR		578,487		26,680
Regeneron Pharmaceuticals, Inc.*		88,196		30,427
Varian Medical Systems, Inc.*		138,563		15,757
Total				132,883
Industrials (6.6%)
Deere & Co.		172,844		24,164
Expeditors International of Washington, Inc.		390,236		28,526
United Parcel Service, Inc. - Class B		86,543		9,193
Total				61,883
Information Technology (43.9%)
Alibaba Group Holding, Ltd., ADR*		333,393		61,854
Alphabet, Inc. - Class A*		25,208		28,465
Alphabet, Inc. - Class C*		25,262		28,184
Autodesk, Inc.*		276,908		36,300
Automatic Data Processing, Inc.		64,057		8,593
Cisco Systems, Inc.		610,959		26,290

Common Stocks (99.4%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Facebook, Inc. - Class A*		338,964		65,867
Microsoft Corp.		298,056		29,391
Oracle Corp.		1,005,491		44,302
QUALCOMM, Inc.		456,099		25,596
Visa, Inc. - Class A		431,732		57,183
Total				412,025
Total Common Stocks (Cost: $684,549)				933,402
Short-Term Investments (0.6%)
Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		5,890,474		5,890
Total Short-Term Investments (Cost: $5,890)				5,890
Total Investments (100.0%) (Cost: $690,439)(a)				939,292
Other Assets, Less Liabilities (0.0%)				251
Net Assets (100.0%)				939,543

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $690,439 and the net unrealized appreciation of investments based on that cost was $248,853 which is comprised of $273,082 aggregate gross unrealized appreciation and $24,229 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	933,402	$	—	$	—
Short-Term Investments		5,890		—		—
Total Assets:	$	939,292	$	—	$	—

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

Focused Appreciation Portfolio

5

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),

then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$1,000.00		$1,020.44		$  2.20
Hypothetical (5% return before expenses)		$1,000.00		$1,022.61		$  2.21

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.44%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Large Cap Core Stock Portfolio

6

Large Cap Core Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (99.3%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (11.4%)
Amazon.com, Inc.*		12,929		21,977
Charter Communications, Inc. - Class A*		11,707		3,433
Comcast Corp. - Class A		264,323		8,672
Dollar Tree, Inc.*		16,589		1,410
Hilton Worldwide Holdings, Inc.		28,925		2,290
The Interpublic Group of Cos., Inc.		66,335		1,555
Lennar Corp. - Class A		42,807		2,247
Liberty Media Corp. - Liberty Formula One - Class C*		32,370		1,202
McDonald’s Corp.		26,068		4,084
MGM Resorts International		28,651		832
Netflix, Inc.*		10,849		4,247
NIKE, Inc. - Class B		44,779		3,568
Tapestry, Inc.		29,544		1,380
The TJX Cos., Inc.		59,746		5,687
Twenty-First Century Fox, Inc. - Class A		36,853		1,831
Viacom, Inc. - Class B		29,905		902
The Walt Disney Co.		10,060		1,054
Total				66,371
Consumer Staples (7.7%)
Altria Group, Inc.		93,508		5,310
Archer-Daniels-Midland Co.		33,430		1,532
British American Tobacco PLC, ADR		121,635		6,137
The Coca-Cola Co.		118,478		5,196
Constellation Brands, Inc. - Class A		13,636		2,985
Costco Wholesale Corp.		15,582		3,256
Coty, Inc. - Class A		218,924		3,087
Hormel Foods Corp.		32,737		1,218
McCormick & Co., Inc.		13,322		1,547
Monster Beverage Corp.*		55,418		3,175
Philip Morris International, Inc.		14,499		1,171
Sysco Corp.		51,592		3,523
Unilever NV		124,368		6,930
Total				45,067
Energy (5.8%)
Andeavor		15,582		2,044
Baker Hughes		62,582		2,067
BP PLC, ADR		47,161		2,153
Chevron Corp.		72,750		9,198
Concho Resources, Inc.*		10,454		1,446
Encana Corp.		47,838		624
EOG Resources, Inc.		16,839		2,095

Common Stocks (99.3%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Exxon Mobil Corp.		64,933		5,372
Halliburton Co.		59,802		2,695
Marathon Petroleum Corp.		25,990		1,824
Newfield Exploration Co.*		11,271		341
Noble Energy, Inc.		13,478		476
Pioneer Natural Resources Co.		5,703		1,079
TransCanada Corp.		51,721		2,234
Total				33,648
Financials (11.7%)
The Allstate Corp.		7,886		720
American Express Co.		27,486		2,693
American International Group, Inc.		96,675		5,126
Athene Holding, Ltd. - Class A*		50,126		2,197
AXA Equitable Holdings, Inc.*		59,900		1,234
Bank of America Corp.		636,454		17,942
Capital One Financial Corp.		21,914		2,014
The Hartford Financial Services Group, Inc.		35,310		1,805
Host Hotels & Resorts, Inc.		48,702		1,026
KeyCorp		185,372		3,622
Marsh & McLennan Cos., Inc.		47,412		3,886
MetLife, Inc.		58,806		2,564
Northern Trust Corp.		39,527		4,067
Prudential Financial, Inc.		20,029		1,873
Public Storage		11,367		2,579
Raymond James Financial, Inc.		50,719		4,532
Simon Property Group, Inc.		12,290		2,092
TD Ameritrade Holding Corp.		92,948		5,091
Zions Bancorporation		58,810		3,099
Total				68,162
Health Care (14.4%)
Abbott Laboratories		71,388		4,354
Allergan PLC		43,775		7,298
Alnylam Pharmaceuticals, Inc.*		7,069		696
AstraZeneca PLC, ADR		160,812		5,646
Baxter International, Inc.		32,196		2,377
Biogen, Inc.*		2,771		804
Boston Scientific Corp.*		191,710		6,269
Bristol-Myers Squibb Co.		135,290		7,487
Cardinal Health, Inc.		37,780		1,845
Celgene Corp.*		30,882		2,453
Danaher Corp.		34,794		3,434
Eli Lilly & Co.		10,540		899

Common Stocks (99.3%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
HCA Healthcare, Inc.		20,853		2,140
Incyte Corp.*		10,894		730
McKesson Corp.		19,347		2,581
Medtronic PLC		87,909		7,526
Mylan NV*		79,640		2,878
Regeneron Pharmaceuticals, Inc.*		2,562		884
Teva Pharmaceutical Industries, Ltd., ADR		96,631		2,350
Thermo Fisher Scientific, Inc.		25,125		5,204
UnitedHealth Group, Inc.		52,799		12,954
Vertex Pharmaceuticals, Inc.*		18,247		3,101
Total				83,910
Industrials (11.2%)
3M Co.		14,217		2,797
AMETEK, Inc.		16,366		1,181
The Boeing Co.		31,271		10,492
Caterpillar, Inc.		15,589		2,115
Deere & Co.		10,376		1,450
Eaton Corp. PLC		23,280		1,740
Equifax, Inc.		16,670		2,086
FedEx Corp.		6,948		1,578
Fortive Corp.		20,022		1,544
General Electric Co.		227,871		3,101
Harris Corp.		18,223		2,634
IHS Markit, Ltd.*		77,701		4,009
Illinois Tool Works, Inc.		11,492		1,592
J.B. Hunt Transport Services, Inc.		10,842		1,318
Lockheed Martin Corp.		25,855		7,638
Norfolk Southern Corp.		37,769		5,698
Northrop Grumman Corp.		20,843		6,413
Pentair PLC		26,388		1,110
Southwest Airlines Co.		57,128		2,907
Union Pacific Corp.		27,539		3,902
Total				65,305
Information Technology (25.7%)
Accenture PLC - Class A		6,653		1,088
Adobe Systems, Inc.*		13,043		3,180
Advanced Micro Devices, Inc.*		265,847		3,985
Alliance Data Systems Corp.		7,220		1,684
Alphabet, Inc. - Class A*		17,874		20,183
Apple, Inc.		81,185		15,028
ASML Holding NV		2,625		520
Autodesk, Inc.*		10,797		1,415
Broadcom, Inc.		13,473		3,269

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

Large Cap Core Stock Portfolio

7

Large Cap Core Stock Portfolio

Common Stocks (99.3%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
eBay, Inc.*		85,798		3,111
Facebook, Inc. - Class A*		76,188		14,805
FleetCor Technologies, Inc.*		16,075		3,386
Flex, Ltd.*		298,195		4,208
Global Payments, Inc.		43,276		4,825
GoDaddy, Inc.*		29,194		2,061
Intel Corp.		63,400		3,152
IPG Photonics Corp.*		3,032		669
KLA-Tencor Corp.		11,800		1,210
Marvell Technology Group, Ltd.		50,019		1,072
Microchip Technology, Inc.		19,316		1,757
Micron Technology, Inc.*		56,683		2,973
Microsoft Corp.		155,250		15,309
NVIDIA Corp.		11,735		2,780
PayPal Holdings, Inc.*		48,109		4,006
salesforce.com, Inc.*		51,053		6,964
ServiceNow, Inc.*		20,145		3,474
Spotify Technology SA*		4,781		804
SS&C Technologies Holdings, Inc.		132,934		6,899
Texas Instruments, Inc.		23,608		2,603
Total System Services, Inc.		9,587		810
Visa, Inc. - Class A		66,582		8,819
Workday, Inc. - Class A*		28,824		3,491
Total				149,540
Materials (3.4%)
Alcoa Corp.*		4,353		204
ArcelorMittal		21,938		631
Ball Corp.		43,284		1,539

Common Stocks (99.3%)	Shares/ $ Par		Value $ (000’s)
Materials continued
Celanese Corp. - Class A		26,910		2,989
Crown Holdings, Inc.*		27,718		1,241
DowDuPont, Inc.		79,856		5,264
FMC Corp.		16,409		1,464
International Paper Co.		37,353		1,945
Martin Marietta Materials, Inc.		917		205
Nucor Corp.		3,649		228
PPG Industries, Inc.		17,703		1,836
Praxair, Inc.		10,529		1,665
Southern Copper Corp.		7,939		372
Vulcan Materials Co.		3,377		436
Total				20,019
Real Estate (2.1%)
Alexandria Real Estate Equities, Inc.		20,808		2,625
American Tower Corp.		41,111		5,927
Equinix, Inc.		3,761		1,617
Invitation Homes, Inc.		85,967		1,982
Total				12,151
Telecommunication Services (1.7%)
Verizon Communications, Inc.		196,851		9,904
Total				9,904
Utilities (4.2%)
Edison International		93,826		5,937
Exelon Corp.		77,450		3,299
NextEra Energy, Inc.		27,781		4,640
NRG Energy, Inc.		125,734		3,860
ONEOK, Inc.		21,908		1,530

Common Stocks (99.3%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
Sempra Energy		42,453		4,929
Total				24,195
Total Common Stocks (Cost: $537,359)				578,272
Investment Companies (0.5%)
Investment Companies (0.5%)
SPDR S&P 500 ETF Trust		10,778		2,924
Total Investment Companies (Cost: $3,007)				2,924
Short-Term Investments (0.5%)
Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		2,943,447		2,943
Total Short-Term     Investments     (Cost: $2,943)				2,943
Total Investments (100.3%)     (Cost: $543,309)(a)				584,139
Other Assets, Less     Liabilities (-0.3%)				(1,718	)
Net Assets (100.0%)				582,421

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $543,309 and the net unrealized appreciation of investments based on that cost was $40,830 which is comprised of $59,935 aggregate gross unrealized appreciation and $19,105 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	578,272	$	—	$	—
Investment Companies		2,924		—		—
Short-Term Investments		2,943		—		—
Total Assets:	$	584,139	$	—	$	—

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

Large Cap Core Stock Portfolio

8

Large Cap Blend Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),

then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$1,000.00		$1,019.92		$  4.11
Hypothetical (5% return before expenses)		$1,000.00		$1,020.73		$  4.11

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.82%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Large Cap Blend Portfolio

9

Large Cap Blend Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (91.9%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (17.1%)
Dollar General Corp.		81,150		8,001
Omnicom Group, Inc.		62,425		4,761
The TJX Cos., Inc.		96,350		9,171
Twenty-First Century Fox, Inc. - Class B		142,675		7,030
Total				28,963
Consumer Staples (8.5%)
Nestle SA, ADR		64,425		4,988
PepsiCo, Inc.		41,850		4,556
Unilever PLC, ADR		88,475		4,891
Total				14,435
Energy (3.2%)
Schlumberger, Ltd.		79,825		5,351
Total				5,351
Financials (15.2%)
The Bank of New York Mellon Corp.		99,975		5,392
Berkshire Hathaway, Inc. - Class B*		43,950		8,203
JPMorgan Chase & Co.		64,175		6,687
The Progressive Corp.		92,100		5,448
Total				25,730

Common Stocks (91.9%)	Shares/ $ Par		Value $ (000’s)
Health Care (15.8%)
Aetna, Inc.		19,715		3,618
Cerner Corp.*		84,775		5,069
Quest Diagnostics, Inc.		54,275		5,967
Smith & Nephew PLC, ADR		112,350		4,216
UnitedHealth Group, Inc.		32,205		7,901
Total				26,771
Industrials (14.2%)
Expeditors International of Washington, Inc.		66,675		4,874
Honeywell International, Inc.		50,625		7,293
Masco Corp.		89,800		3,360
PACCAR, Inc.		58,850		3,646
Stanley Black & Decker, Inc.		37,275		4,951
Total				24,124
Information Technology (12.1%)
Accenture PLC - Class A		40,055		6,552
eBay, Inc.*		173,775		6,301
Oracle Corp.		96,950		4,272
TE Connectivity, Ltd.		36,950		3,328
Total				20,453

Common Stocks (91.9%)	Shares/ $ Par		Value $ (000’s)
Materials (3.4%)
Nutrien, Ltd.		104,820		5,700
Total				5,700
Telecommunication Services (2.4%)
CenturyLink, Inc.		219,984		4,100
Total				4,100
Total Common Stocks (Cost: $119,540)				155,627
Short-Term Investments (8.2%)
Money Market Funds (8.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		13,827,180		13,827
Total Short-Term Investments (Cost: $13,827)				13,827
Total Investments (100.1%) (Cost: $133,367)(a)				169,454
Other Assets, Less Liabilities (-0.1%)				(142	)
Net Assets (100.0%)				169,312

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $133,367 and the net unrealized appreciation of investments based on that cost was $36,087 which is comprised of $39,450 aggregate gross unrealized appreciation and $3,363 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	155,627	$	—	$	—
Short-Term Investments		13,827		—		—
Total Assets:	$	169,454	$	—	$	—

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

Large Cap Blend Portfolio

10

Index 500 Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

“Standard & Poor’s^®”, “S&P^®”, “S&P 500” and “Standard & Poor’s 500” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,025.37	$ 1.05
Hypothetical (5% return before expenses)	$1,000.00	$1,023.75	$ 1.05

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.21%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Index 500 Stock Portfolio

11

Index 500 Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (12.7%)
Advance Auto Parts, Inc.		10,387		1,410
Amazon.com, Inc.*		56,505		96,047
Aptiv PLC		37,148		3,404
AutoZone, Inc.*		3,741		2,510
Best Buy Co., Inc.		34,410		2,566
Booking Holdings, Inc.*		6,759		13,701
BorgWarner, Inc.		27,709		1,196
CarMax, Inc.*		24,984		1,821
Carnival Corp.		56,959		3,264
CBS Corp. - Class B		47,911		2,694
Charter Communications, Inc. - Class A*		25,987		7,620
Chipotle Mexican Grill, Inc.*		3,432		1,480
Comcast Corp. - Class A		644,297		21,139
D.R. Horton, Inc.		48,187		1,976
Darden Restaurants, Inc.		17,368		1,859
Discovery Communications, Inc. - Class A*		21,895		602
Discovery Communications, Inc. - Class C*		47,927		1,222
DISH Network Corp. - Class A*		32,121		1,080
Dollar General Corp.		35,662		3,516
Dollar Tree, Inc.*		33,360		2,836
Expedia, Inc.		16,958		2,038
Foot Locker, Inc.		16,572		872
Ford Motor Co.		549,159		6,079
The Gap, Inc.		30,444		986
Garmin, Ltd.		15,606		952
General Motors Co.		177,973		7,012
Genuine Parts Co.		20,588		1,890
The Goodyear Tire & Rubber Co.		33,649		784
H&R Block, Inc.		29,351		669
Hanesbrands, Inc.		50,561		1,113
Harley-Davidson, Inc.		23,352		983
Hasbro, Inc.		15,951		1,472
Hilton Worldwide Holdings, Inc.		39,199		3,103
The Home Depot, Inc.		161,845		31,576
The Interpublic Group of Cos., Inc.		54,090		1,268
Kohl’s Corp.		23,604		1,721
L Brands, Inc.		34,031		1,255
Leggett & Platt, Inc.		18,418		822
Lennar Corp. - Class A		38,387		2,015
LKQ Corp.*		43,453		1,386
Lowe’s Companies, Inc.		115,329		11,022
Macy’s, Inc.		42,984		1,609

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary continued
Marriott International, Inc. - Class A		41,644		5,272
Mattel, Inc.		48,267		793
McDonald’s Corp.		110,162		17,261
MGM Resorts International		70,307		2,041
Michael Kors Holdings, Ltd.*		21,030		1,401
Mohawk Industries, Inc.*		8,896		1,906
Netflix, Inc.*		60,989		23,873
Newell Brands, Inc.		68,145		1,757
News Corp. - Class A		53,773		833
News Corp. - Class B		17,085		271
NIKE, Inc. - Class B		179,965		14,340
Nordstrom, Inc.		16,480		853
Norwegian Cruise Line Holdings, Ltd.*		29,002		1,370
Omnicom Group, Inc.		31,889		2,432
O’Reilly Automotive, Inc.*		11,492		3,144
PulteGroup, Inc.		36,856		1,060
PVH Corp.		10,811		1,619
Ralph Lauren Corp.		7,811		982
Ross Stores, Inc.		53,123		4,502
Royal Caribbean Cruises, Ltd.		23,767		2,462
Starbucks Corp.		193,617		9,458
Tapestry, Inc.		40,382		1,886
Target Corp.		74,800		5,694
Tiffany & Co.		14,294		1,881
The TJX Cos., Inc.		87,980		8,374
Tractor Supply Co.		17,124		1,310
TripAdvisor, Inc.*		15,035		838
Twenty-First Century Fox, Inc. - Class A		147,884		7,348
Twenty-First Century Fox, Inc. - Class B		61,619		3,036
Ulta Beauty, Inc.*		8,021		1,873
Under Armour, Inc. - Class A*		26,094		587
Under Armour, Inc. - Class C*		26,425		557
VF Corp.		45,935		3,745
Viacom, Inc. - Class B		49,524		1,494
The Walt Disney Co.		208,595		21,863
Whirlpool Corp.		9,053		1,324
Wynn Resorts, Ltd.		11,883		1,988
Yum! Brands, Inc.		45,348		3,547
Total				417,545
Consumer Staples (6.8%)
Altria Group, Inc.		265,544		15,080
Archer-Daniels-Midland Co.		78,455		3,596

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Consumer Staples continued
Brown-Forman Corp. - Class B		36,750		1,801
Campbell Soup Co.		26,995		1,094
Church & Dwight Co., Inc.		34,333		1,825
The Clorox Co.		18,170		2,458
The Coca-Cola Co.		537,322		23,567
Colgate-Palmolive Co.		122,389		7,932
Conagra Brands, Inc.		55,212		1,973
Constellation Brands, Inc. - Class A		23,572		5,159
Costco Wholesale Corp.		61,537		12,860
Coty, Inc. - Class A		66,340		935
The Estee Lauder Cos., Inc. - Class A		31,426		4,484
General Mills, Inc.		83,184		3,682
The Hershey Co.		19,604		1,824
Hormel Foods Corp.		37,890		1,410
The J.M. Smucker Co.		15,938		1,713
Kellogg Co.		35,038		2,448
Kimberly-Clark Corp.		49,012		5,163
The Kraft Heinz Co.		83,816		5,265
The Kroger Co.		114,044		3,245
McCormick & Co., Inc.		17,017		1,976
Molson Coors Brewing Co. - Class B		25,962		1,767
Mondelez International, Inc.		206,956		8,485
Monster Beverage Corp.*		57,631		3,302
PepsiCo, Inc.		198,928		21,657
Philip Morris International, Inc.		218,097		17,609
The Procter & Gamble Co.		352,805		27,540
Sysco Corp.		67,248		4,592
Tyson Foods, Inc. - Class A		41,754		2,875
Walgreens Boots Alliance, Inc.		119,655		7,181
Walmart, Inc.		202,978		17,385
Total				221,883
Energy (6.2%)
Anadarko Petroleum Corp.		72,268		5,294
Andeavor		19,507		2,559
Apache Corp.		53,617		2,507
Baker Hughes		58,423		1,930
Cabot Oil & Gas Corp.		63,345		1,508
Chevron Corp.		268,112		33,897
Cimarex Energy Co.		13,389		1,362
Concho Resources, Inc.*		20,915		2,894
ConocoPhillips		164,163		11,429
Devon Energy Corp.		73,434		3,228
EOG Resources, Inc.		81,216		10,106

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

Index 500 Stock Portfolio

12

Index 500 Stock Portfolio

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Energy continued
EQT Corp.		35,387		1,953
Exxon Mobil Corp.		594,018		49,143
Halliburton Co.		122,901		5,538
Helmerich & Payne, Inc.		15,277		974
Hess Corp.		36,738		2,457
HollyFrontier Corp.		24,769		1,695
Kinder Morgan, Inc.		266,185		4,703
Marathon Oil Corp.		119,705		2,497
Marathon Petroleum Corp.		64,803		4,546
National Oilwell Varco, Inc.		53,598		2,326
Newfield Exploration Co.*		28,022		848
Noble Energy, Inc.		67,968		2,398
Occidental Petroleum Corp.		107,440		8,991
ONEOK, Inc.		57,675		4,027
Phillips 66		58,884		6,613
Pioneer Natural Resources Co.		23,911		4,525
Schlumberger, Ltd.		194,338		13,026
TechnipFMC PLC		60,893		1,933
Valero Energy Corp.		60,460		6,701
The Williams Companies, Inc.		116,127		3,148
Total				204,756
Financials (13.7%)
Affiliated Managers Group, Inc.		7,621		1,133
AFLAC, Inc.		108,618		4,673
The Allstate Corp.		49,315		4,501
American Express Co.		100,190		9,819
American International Group, Inc.		125,947		6,678
Ameriprise Financial, Inc.		20,290		2,838
Aon PLC		34,306		4,706
Arthur J. Gallagher & Co.		25,573		1,669
Assurant, Inc.		7,393		765
Bank of America Corp.		1,322,996		37,295
The Bank of New York Mellon Corp.		141,800		7,647
BB&T Corp.		109,401		5,518
Berkshire Hathaway, Inc. - Class B*		270,043		50,404
BlackRock, Inc.		17,304		8,635
Brighthouse Financial, Inc.*		17,076		684
Capital One Financial Corp.		68,248		6,272
CBOE Holdings, Inc.		15,783		1,643
The Charles Schwab Corp.		168,472		8,609
Chubb, Ltd.		65,353		8,301
Cincinnati Financial Corp.		20,957		1,401
Citigroup, Inc.		357,762		23,942

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Citizens Financial Group, Inc.		68,008		2,646
CME Group, Inc.		47,774		7,831
Comerica, Inc.		24,123		2,193
Discover Financial Services		48,962		3,447
E*TRADE Financial Corp.*		37,027		2,265
Everest Re Group, Ltd.		5,750		1,325
Fifth Third Bancorp		96,177		2,760
Franklin Resources, Inc.		44,718		1,433
The Goldman Sachs Group, Inc.		49,285		10,871
The Hartford Financial Services Group, Inc.		50,248		2,569
Huntington Bancshares, Inc.		155,033		2,288
Intercontinental Exchange, Inc.		81,267		5,977
Invesco, Ltd.		57,631		1,531
Jefferies Financial Group, Inc.		42,539		967
JPMorgan Chase & Co.		477,699		49,776
KeyCorp		148,953		2,911
Lincoln National Corp.		30,685		1,910
Loews Corp.		36,737		1,774
M&T Bank Corp.		20,377		3,467
Marsh & McLennan Cos., Inc.		71,187		5,835
MetLife, Inc.		142,622		6,218
Moody’s Corp.		23,424		3,995
Morgan Stanley		191,247		9,065
MSCI, Inc.		12,490		2,066
Nasdaq, Inc.		16,398		1,497
Northern Trust Corp.		29,673		3,053
People’s United Financial, Inc.		48,808		883
PNC Financial Services Group, Inc.		65,872		8,899
Principal Financial Group, Inc.		37,368		1,979
The Progressive Corp.		81,709		4,833
Prudential Financial, Inc.		58,927		5,510
Raymond James Financial, Inc.		18,214		1,627
Regions Financial Corp.		157,581		2,802
S&P Global, Inc.		35,258		7,189
State Street Corp.		51,268		4,773
SunTrust Banks, Inc.		65,216		4,306
SVB Financial Group*		7,432		2,146
Synchrony Financial		99,541		3,323
T. Rowe Price Group, Inc.		33,973		3,944
Torchmark Corp.		14,817		1,206
The Travelers Cos., Inc.		37,918		4,639
U.S. Bancorp		218,919		10,950

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Unum Group		31,034		1,148
Wells Fargo & Co.		615,309		34,113
Willis Towers Watson PLC		18,498		2,804
XL Group, Ltd.		36,238		2,028
Zions Bancorporation		27,656		1,457
Total				447,362
Health Care (13.9%)
Abbott Laboratories		245,977		15,002
AbbVie, Inc.		212,626		19,700
ABIOMED, Inc.*		5,928		2,425
Aetna, Inc.		45,893		8,421
Agilent Technologies, Inc.		44,890		2,776
Alexion Pharmaceuticals, Inc.*		31,217		3,876
Align Technology, Inc.*		10,121		3,463
Allergan PLC		47,571		7,931
AmerisourceBergen Corp.		22,821		1,946
Amgen, Inc.		93,442		17,248
Anthem, Inc.		35,805		8,523
Baxter International, Inc.		69,120		5,104
Becton Dickinson and Co.		37,489		8,981
Biogen, Inc.*		29,605		8,592
Boston Scientific Corp.*		193,591		6,330
Bristol-Myers Squibb Co.		229,330		12,691
Cardinal Health, Inc.		43,590		2,128
Celgene Corp.*		99,171		7,876
Centene Corp.*		28,787		3,547
Cerner Corp.*		44,227		2,644
Cigna Corp.		34,131		5,801
The Cooper Cos., Inc.		6,878		1,619
CVS Health Corp.		142,638		9,179
Danaher Corp.		86,250		8,511
DaVita, Inc.*		19,586		1,360
DENTSPLY SIRONA, Inc.		31,910		1,397
Edwards Lifesciences Corp.*		29,573		4,305
Eli Lilly & Co.		134,014		11,435
Envision Healthcare Corp.*		16,995		748
Express Scripts Holding Co.*		78,811		6,085
Gilead Sciences, Inc.		182,430		12,923
HCA Healthcare, Inc.		39,206		4,022
Henry Schein, Inc.*		21,610		1,570
Hologic, Inc.*		38,304		1,523
Humana, Inc.		19,317		5,749
IDEXX Laboratories, Inc.*		12,187		2,656
Illumina, Inc.*		20,624		5,760
Incyte Corp.*		24,684		1,654
Intuitive Surgical, Inc.*		15,896		7,606
IQVIA Holdings, Inc.*		22,596		2,255
Johnson & Johnson		376,313		45,662
Laboratory Corp. of America Holdings*		14,353		2,577
McKesson Corp.		28,348		3,782

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

Index 500 Stock Portfolio

13

Index 500 Stock Portfolio

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Medtronic PLC		190,000		16,266
Merck & Co., Inc.		377,457		22,912
Mettler-Toledo International, Inc.*		3,563		2,062
Mylan NV*		72,322		2,614
Nektar Therapeutics*		22,605		1,104
PerkinElmer, Inc.		15,522		1,137
Perrigo Co. PLC		18,067		1,317
Pfizer, Inc.		820,710		29,775
Quest Diagnostics, Inc.		19,055		2,095
Regeneron Pharmaceuticals, Inc.*		10,852		3,744
ResMed, Inc.		20,026		2,074
Stryker Corp.		45,092		7,614
Thermo Fisher Scientific, Inc.		56,447		11,692
UnitedHealth Group, Inc.		134,828		33,079
Universal Health Services, Inc. - Class B		12,227		1,363
Varian Medical Systems, Inc.*		12,838		1,460
Vertex Pharmaceuticals, Inc.*		35,753		6,077
Waters Corp.*		10,992		2,128
Zimmer Biomet Holdings, Inc.		28,519		3,178
Zoetis, Inc.		67,888		5,783
Total				454,857
Industrials (9.4%)
3M Co.		83,296		16,386
A.O. Smith Corp.		20,355		1,204
Alaska Air Group, Inc.		17,294		1,044
Allegion PLC		13,323		1,031
American Airlines Group, Inc.		58,458		2,219
AMETEK, Inc.		32,491		2,345
Arconic, Inc.		59,614		1,014
The Boeing Co.		76,833		25,778
C.H. Robinson Worldwide, Inc.		19,535		1,634
Caterpillar, Inc.		83,888		11,381
Cintas Corp.		12,128		2,244
Copart, Inc.*		28,196		1,595
CSX Corp.		122,814		7,833
Cummins, Inc.		21,731		2,890
Deere & Co.		45,498		6,361
Delta Air Lines, Inc.		90,545		4,486
Dover Corp.		21,702		1,589
Eaton Corp. PLC		61,354		4,586
Emerson Electric Co.		88,403		6,112
Equifax, Inc.		16,876		2,111
Expeditors International of Washington, Inc.		24,508		1,791
Fastenal Co.		40,358		1,942

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
FedEx Corp.		34,492		7,832
Flowserve Corp.		18,356		742
Fluor Corp.		19,724		962
Fortive Corp.		43,035		3,318
Fortune Brands Home & Security, Inc.		20,473		1,099
General Dynamics Corp.		38,757		7,225
General Electric Co.		1,218,575		16,585
Harris Corp.		16,658		2,408
Honeywell International, Inc.		104,796		15,096
Huntington Ingalls Industries, Inc.		6,243		1,353
IHS Markit, Ltd.*		49,963		2,578
Illinois Tool Works, Inc.		42,776		5,926
Ingersoll-Rand PLC		34,790		3,122
J.B. Hunt Transport Services, Inc.		12,011		1,460
Jacobs Engineering Group, Inc.		16,910		1,074
Johnson Controls International PLC		129,949		4,347
Kansas City Southern		14,395		1,525
L3 Technologies, Inc.		11,011		2,118
Lockheed Martin Corp.		34,853		10,297
Masco Corp.		43,563		1,630
Nielsen Holdings PLC		46,980		1,453
Norfolk Southern Corp.		39,641		5,981
Northrop Grumman Corp.		24,467		7,528
PACCAR, Inc.		49,360		3,058
Parker Hannifin Corp.		18,654		2,907
Pentair PLC		22,775		958
Quanta Services, Inc.*		20,991		701
Raytheon Co.		40,302		7,786
Republic Services, Inc.		31,286		2,139
Robert Half International, Inc.		17,336		1,129
Rockwell Automation, Inc.		17,619		2,929
Rockwell Collins, Inc.		23,042		3,103
Roper Technologies, Inc.		14,474		3,993
Snap-on, Inc.		7,940		1,276
Southwest Airlines Co.		74,840		3,808
Stanley Black & Decker, Inc.		21,650		2,875
Stericycle, Inc.*		12,007		784
Textron, Inc.		35,923		2,368
TransDigm Group, Inc.		6,841		2,361
Union Pacific Corp.		108,816		15,417
United Continental Holdings, Inc.*		33,066		2,306
United Parcel Service, Inc. - Class B		96,747		10,277
United Rentals, Inc.*		11,729		1,731
United Technologies Corp.		104,393		13,052
Verisk Analytics, Inc.*		21,795		2,346

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
W.W. Grainger, Inc.		7,152		2,206
Waste Management, Inc.		55,811		4,540
Xylem, Inc.		25,243		1,701
Total				308,986
Information Technology (25.6%)
Accenture PLC - Class A		90,227		14,760
Activision Blizzard, Inc.		106,799		8,151
Adobe Systems, Inc.*		69,095		16,846
Advanced Micro Devices, Inc.*		115,601		1,733
Akamai Technologies, Inc.*		23,940		1,753
Alliance Data Systems Corp.		6,762		1,577
Alphabet, Inc. - Class A*		41,902		47,315
Alphabet, Inc. - Class C*		42,594		47,520
Amphenol Corp. - Class A		42,292		3,686
Analog Devices, Inc.		52,038		4,992
ANSYS, Inc.*		11,788		2,053
Apple, Inc.		689,607		127,653
Applied Materials, Inc.		141,431		6,533
Autodesk, Inc.*		30,742		4,030
Automatic Data Processing, Inc.		61,806		8,291
Broadcom, Inc.		56,285		13,657
Broadridge Financial Solutions, Inc.		16,545		1,904
CA, Inc.		43,839		1,563
Cadence Design Systems, Inc.*		39,552		1,713
Cisco Systems, Inc.		659,826		28,392
Citrix Systems, Inc.*		18,064		1,894
Cognizant Technology Solutions Corp. - Class A		82,203		6,493
Corning, Inc.		116,500		3,205
DXC Technology Co.		39,957		3,221
eBay, Inc.*		129,696		4,703
Electronic Arts, Inc.*		43,050		6,071
F5 Networks, Inc.*		8,575		1,479
Facebook, Inc. - Class A*		336,531		65,395
Fidelity National Information Services, Inc.		46,442		4,924
Fiserv, Inc.*		57,445		4,256
FleetCor Technologies, Inc.*		12,454		2,624
FLIR Systems, Inc.		19,251		1,001
Gartner, Inc.*		12,801		1,701
Global Payments, Inc.		22,385		2,496
Hewlett Packard Enterprise Co.		214,242		3,130
HP, Inc.		230,288		5,225
Intel Corp.		653,810		32,501
International Business Machines Corp.		119,778		16,733

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

Index 500 Stock Portfolio

14

Index 500 Stock Portfolio

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Intuit, Inc.		34,200		6,987
IPG Photonics Corp.*		5,273		1,163
Juniper Networks, Inc.		48,988		1,343
KLA-Tencor Corp.		21,869		2,242
Lam Research Corp.		23,016		3,978
Mastercard, Inc. - Class A		128,640		25,280
Microchip Technology, Inc.		32,976		2,999
Micron Technology, Inc.*		162,718		8,533
Microsoft Corp.		1,077,972		106,299
Motorola Solutions, Inc.		22,748		2,647
NetApp, Inc.		37,590		2,952
NVIDIA Corp.		85,164		20,175
Oracle Corp.		418,114		18,422
Paychex, Inc.		44,863		3,067
PayPal Holdings, Inc.*		156,598		13,040
Qorvo, Inc.*		17,747		1,423
QUALCOMM, Inc.		208,015		11,674
Red Hat, Inc.*		24,928		3,350
salesforce.com, Inc.*		98,960		13,498
Seagate Technology PLC		40,275		2,274
Skyworks Solutions, Inc.		25,545		2,469
Symantec Corp.		87,203		1,801
Synopsys, Inc.*		20,907		1,789
Take-Two Interactive Software, Inc.*		16,048		1,900
TE Connectivity, Ltd.		49,125		4,424
Texas Instruments, Inc.		137,345		15,142
Total System Services, Inc.		23,276		1,967
Twitter, Inc.*		91,873		4,012
VeriSign, Inc.*		13,470		1,851
Visa, Inc. - Class A		250,603		33,192
Western Digital Corp.		41,985		3,250
Western Union Co.		64,642		1,314
Xerox Corp.		30,016		721
Xilinx, Inc.		35,553		2,320
Total				838,672
Materials (2.6%)
Air Products and Chemicals, Inc.		30,753		4,789
Albemarle Corp.		15,540		1,466
Avery Dennison Corp.		12,351		1,261
Ball Corp.		48,999		1,742
CF Industries Holdings, Inc.		32,741		1,454
DowDuPont, Inc.		325,612		21,464
Eastman Chemical Co.		20,030		2,002
Ecolab, Inc.		36,432		5,112
FMC Corp.		18,873		1,684
Freeport-McMoRan, Inc.		189,040		3,263

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Materials continued
International Flavors & Fragrances, Inc.		11,075		1,373
International Paper Co.		58,098		3,026
LyondellBasell Industries NV - Class A		45,107		4,955
Martin Marietta Materials, Inc.		8,832		1,972
The Mosaic Co.		49,208		1,380
Newmont Mining Corp.		74,849		2,823
Nucor Corp.		44,630		2,789
Packaging Corp. of America		13,237		1,480
PPG Industries, Inc.		34,981		3,629
Praxair, Inc.		40,319		6,376
Sealed Air Corp.		22,611		960
The Sherwin-Williams Co.		11,550		4,707
Vulcan Materials Co.		18,546		2,394
WestRock Co.		35,981		2,052
Total				84,153
Real Estate (2.8%)
Alexandria Real Estate Equities, Inc.		14,449		1,823
American Tower Corp.		61,966		8,934
Apartment Investment & Management Co. - Class A		22,076		934
AvalonBay Communities, Inc.		19,391		3,333
Boston Properties, Inc.		21,658		2,716
CBRE Group, Inc.*		42,423		2,025
Crown Castle International Corp.		58,201		6,275
Digital Realty Trust, Inc.		28,896		3,224
Duke Realty Corp.		50,093		1,454
Equinix, Inc.		11,148		4,792
Equity Residential		51,662		3,290
Essex Property Trust, Inc.		9,266		2,215
Extra Space Storage, Inc.		17,693		1,766
Federal Realty Investment Trust		10,273		1,300
GGP, Inc.		88,747		1,813
HCP, Inc.		65,914		1,702
Host Hotels & Resorts, Inc.		104,011		2,192
Iron Mountain, Inc.		39,486		1,382
Kimco Realty Corp.		59,614		1,013
The Macerich Co.		15,232		866
Mid-America Apartment Communities, Inc.		15,965		1,607
Prologis, Inc.		74,815		4,915
Public Storage		21,023		4,769
Realty Income Corp.		39,900		2,146
Regency Centers Corp.		20,679		1,284

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Real Estate continued
SBA Communications Corp.*		16,161		2,669
Simon Property Group, Inc.		43,450		7,395
SL Green Realty Corp.		12,406		1,247
UDR, Inc.		37,545		1,409
Ventas, Inc.		49,992		2,847
Vornado Realty Trust		24,280		1,795
Welltower, Inc.		52,190		3,272
Weyerhaeuser Co.		106,211		3,873
Total				92,277
Telecommunication Services (2.0%)
AT&T, Inc.		1,011,390		32,476
CenturyLink, Inc.		137,742		2,567
Verizon Communications, Inc.		579,716		29,166
Total				64,209
Utilities (2.9%)
The AES Corp.		92,797		1,244
Alliant Energy Corp.		32,478		1,374
Ameren Corp.		34,185		2,080
American Electric Power Co., Inc.		69,102		4,785
American Water Works Co., Inc.		24,980		2,133
CenterPoint Energy, Inc.		60,537		1,677
CMS Energy Corp.		39,639		1,874
Consolidated Edison, Inc.		43,596		3,400
Dominion Resources, Inc.		91,555		6,242
DTE Energy Co.		25,463		2,639
Duke Energy Corp.		98,353		7,778
Edison International		45,712		2,892
Entergy Corp.		25,370		2,050
Evergy, Inc.		38,052		2,137
Eversource Energy		44,460		2,606
Exelon Corp.		135,445		5,770
FirstEnergy Corp.		62,897		2,259
NextEra Energy, Inc.		66,144		11,048
NiSource, Inc.		47,334		1,244
NRG Energy, Inc.		41,970		1,288
PG&E Corp.		72,456		3,084
Pinnacle West Capital Corp.		15,704		1,265
PPL Corp.		98,080		2,800
Public Service Enterprise Group, Inc.		70,883		3,838
SCANA Corp.		20,011		771
Sempra Energy		37,059		4,303
The Southern Co.		141,934		6,573

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

Index 500 Stock Portfolio

15

Index 500 Stock Portfolio

Common Stocks (98.6%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
WEC Energy Group, Inc.		44,271		2,862
Xcel Energy, Inc.		71,394		3,261
Total				95,277
Total Common Stocks     (Cost: $1,484,097)				3,229,977
Short-Term Investments (1.3%)
Commercial Paper (1.0%)
Apple, Inc., 0.000%, 9/7/18 144A		3,000,000		2,988
General Mills, Inc., 0.000%, 7/2/18 144A		1,300,000		1,300
General Mills, Inc., 0.000%, 7/23/18 144A		1,600,000		1,597
Mondelez International, Inc., 0.000%, 8/9/18 144A		1,500,000		1,496
Mondelez International, Inc., 0.000%, 8/27/18 144A		1,500,000		1,494
Pfizer, Inc., 0.000%, 8/20/18 144A		3,000,000		2,991
Roche Holdings, Inc., 0.000%, 7/9/18 144A		1,500,000		1,499

Short-Term Investments (1.3%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper continued
Roche Holdings, Inc., 0.000%, 7/20/18 144A		1,500,000		1,498
Societe Generale SA, 0.000%, 8/8/18 144A		2,000,000		1,996
Societe Generale SA, 0.000%, 8/29/18 144A		1,000,000		996
United Parcel Service, Inc., 0.000%, 7/2/18 144A		1,000,000		1,000
United Parcel Service, Inc., 0.000%, 7/23/18 144A		2,000,000		1,997
Walgreens Boots Alliance, Inc., 0.000%, 7/12/18 144A		1,500,000		1,499
Walgreens Boots Alliance, Inc., 0.000%, 7/20/18 144A		1,500,000		1,498
Walgreens Boots Alliance, Inc., 0.000%, 8/8/18 144A		1,500,000		1,496
Walmart, Inc., 0.000%, 7/10/18 144A		1,500,000		1,499
Walmart, Inc., 0.000%, 7/16/18 144A		1,500,000		1,499
The Walt Disney Co., 0.000%, 8/27/18 144A		1,500,000		1,495
The Walt Disney Co., 0.000%, 8/28/18 144A		1,500,000		1,495
Total				31,333

Short-Term Investments (1.3%)	Shares/ $ Par		Value $ (000’s)
Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820 % #		3,550,310		3,550
Total				3,550
US Government & Agencies (0.2%)
Federal Home Loan Bank, 0.000%, 7/3/18		3,000,000		3,000
Federal Home Loan Bank, 0.000%, 7/5/18		1,500,000		1,500
Federal Home Loan Bank, 0.000%, 10/18/18 (b)		3,000,000		2,982
Total				7,482
Total Short-Term Investments     (Cost: $42,369)				42,365
Total Investments (99.9%)     (Cost: $1,526,466)(a)				3,272,342
Other Assets, Less     Liabilities (0.1%)				4,283
Net Assets (100.0%)				3,276,625

# 7-day yield as of June 30, 2018.

* Non-Income Producing

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $31,333 representing 1.0% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,526,466 and the net unrealized appreciation of investments based on that cost was $1,744,896 which is comprised of $1,804,108 aggregate gross unrealized appreciation and $59,212 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)	Number of Contracts	Expiration Date	Notional Value (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
E-Mini S&P 500 Future	Long	USD	$  16	320	9/18	$43,546	$	(980	)

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

Index 500 Stock Portfolio

16

Index 500 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	3,229,977		$	—	$	—
Short-Term Investments		—			—		—
Money Market Funds		3,550			—		—
All Others		—			38,815		—
Total Assets:	$	3,233,527		$	38,815	$	—
Liabilities:
Other Financial Instruments^
Futures		(980	)		—		—
Total Liabilities:	$	(980	)	$	—	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

Index 500 Stock Portfolio

17

Large Company Value Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use

the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$984.93	$  3.64
Hypothetical (5% return before expenses)	$1,000.00	$1,021.12	$  3.71

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.74%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period)

Large Company Value Portfolio

18

Large Company Value Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (95.5%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (3.9%)
Advance Auto Parts, Inc.		11,500		1,560
AutoZone, Inc.*		1,550		1,040
Carnival Corp.		11,650		668
Honda Motor Co., Ltd., ADR		65,110		1,906
McDonald’s Corp.		7,290		1,142
Target Corp.		14,450		1,100
Total				7,416
Consumer Staples (11.8%)
Conagra Brands, Inc.		54,360		1,942
Kellogg Co.		15,610		1,091
Mondelez International, Inc.		92,700		3,801
PepsiCo, Inc.		22,300		2,428
The Procter & Gamble Co.		74,640		5,826
Sysco Corp.		27,830		1,900
Unilever NV		26,880		1,500
Walgreens Boots Alliance, Inc.		29,890		1,794
Wal-Mart Stores, Inc.		26,580		2,277
Total				22,559
Energy (13.7%)
Anadarko Petroleum Corp.		26,100		1,912
Baker Hughes		64,250		2,122
Chevron Corp.		36,420		4,604
EQT Corp.		30,530		1,685
Noble Energy, Inc.		38,050		1,342
Occidental Petroleum Corp.		11,420		956
Royal Dutch Shell PLC - Class B, ADR		31,540		2,291
Schlumberger, Ltd.		96,850		6,492
Total SA, ADR		78,220		4,737
Total				26,141
Financials (22.4%)
AFLAC, Inc.		43,690		1,880
Ameriprise Financial, Inc.		15,330		2,144
Bank of America Corp.		165,930		4,678
The Bank of New York Mellon Corp.		66,290		3,575
BB&T Corp.		83,640		4,219
Chubb, Ltd.		35,650		4,528
Invesco, Ltd.		135,870		3,609
JPMorgan Chase & Co.		42,480		4,426

Common Stocks (95.5%)	Shares/ $ Par		Value $ (000’s)
Financials continued
M&T Bank Corp.		7,160		1,218
MetLife, Inc.		10,180		444
PNC Financial Services Group, Inc.		14,370		1,941
U.S. Bancorp		105,620		5,283
Wells Fargo & Co.		85,590		4,745
Total				42,690
Health Care (18.9%)
Abbott Laboratories		19,100		1,165
Allergan PLC		11,000		1,834
Cigna Corp.		7,180		1,220
HCA Healthcare, Inc.		11,250		1,154
Henry Schein, Inc.*		16,210		1,177
Johnson & Johnson		54,160		6,572
McKesson Corp.		14,340		1,913
Medtronic PLC		64,790		5,547
Merck & Co., Inc.		62,510		3,794
Pfizer, Inc.		167,630		6,082
Roche Holding AG		6,630		1,477
Zimmer Biomet Holdings, Inc.		37,320		4,159
Total				36,094
Industrials (8.5%)
Atlas Copco AB		41,470		1,086
Cummins, Inc.		11,420		1,519
Eaton Corp. PLC		24,490		1,830
General Electric Co.		78,900		1,074
Ingersoll-Rand PLC		10,610		952
Johnson Controls International PLC		110,370		3,692
Siemens AG		14,520		1,920
Southwest Airlines Co.		26,510		1,349
Union Pacific Corp.		9,320		1,320
United Parcel Service, Inc. - Class B		13,180		1,400
Total				16,142
Information Technology (8.4%)
Apple, Inc.		3,560		659
Applied Materials, Inc.		39,950		1,845
Cisco Systems, Inc.		90,460		3,892
Intel Corp.		40,630		2,020
Oracle Corp.		90,100		3,970
QUALCOMM, Inc.		31,680		1,778

Common Stocks (95.5%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
TE Connectivity, Ltd.		20,150		1,815
Total				15,979
Materials (1.8%)
DowDuPont, Inc.		34,290		2,261
WestRock Co.		21,630		1,233
Total				3,494
Telecommunication Services (3.2%)
Verizon Communications, Inc.		119,000		5,987
Total				5,987
Utilities (2.9%)
Edison International		23,220		1,469
Eversource Energy		28,390		1,664
Xcel Energy, Inc.		53,500		2,444
Total				5,577
Total Common Stocks (Cost: $171,322)				182,079
Investment Companies (2.3%)
Investment Companies (2.3%)
iShares Russell 1000 Value Index Fund		36,890		4,478
Total Investment Companies (Cost: $4,510)				4,478
Short-Term Investments (2.7%)
Commercial Paper (2.7%)
LMA SA / LMA Americas LLC, 0.000%, 7/2/18		5,091,000		5,090
Total Short-Term Investments (Cost: $5,091)				5,090
Total Investments (100.5%) (Cost: $180,923)(a)				191,647
Other Assets, Less Liabilities (-0.5%)				(931	)
Net Assets (100.0%)				190,716

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

CHF — Swiss Franc

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

SEK — Swedish Krona

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

Large Company Value Portfolio

19

Large Company Value Portfolio

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $180,923 and the net unrealized appreciation of investments based on that cost was $10,731 which is comprised of $16,280 aggregate gross unrealized appreciation and $5,549 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(h) Forward foreign currency contracts outstanding on June 30, 2018.

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month		Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services Inc.		CHF		1,220		1,241		9/18	$	—		$	(1	)	$	(1	)
Sell	Morgan Stanley Capital Services Inc.		EUR		5,987		7,037		9/18		—			(23	)		(23	)
Buy	Morgan Stanley Capital Services Inc.		GBP		119		158		9/18		—			—(m	)		—(m	)
Sell	Morgan Stanley Capital Services Inc.		GBP		1,618		2,144		9/18		11			—			11
Sell	Morgan Stanley Capital Services Inc.		JPY		178,838		1,625		9/18		13			—			13
Buy	Goldman Sachs International		SEK		294		33		9/18		—(m	)		—			—(m	)
Sell	Goldman Sachs International		SEK		7,877		886		9/18		7			—			7
										$	31		$	(24	)	$	7

(m) Amount is less than one thousand.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	182,079	$	—		$	—
Investment Companies		4,478		—			—
Short-Term Investments		—		5,090			—
Other Financial Instruments^
Forward Currency Contracts		—		31			—
Total Assets:	$	186,557	$	5,121		$	—
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		—		(24	)		—
Total Liabilities:	$	—	$	(24	)	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $2,977 (in thousands). These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. These securities did not require the use of fair value procedures on June 30, 2018.

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

Large Company Value Portfolio

20

Domestic Equity Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for

example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,013.12	$ 2.65
Hypothetical (5% return before expenses)	$1,000.00	$1,022.17	$ 2.66

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.53%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Domestic Equity Portfolio

21

Domestic Equity Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (5.7%)
Dollar Tree, Inc.*		257,700		21,905
Lowe’s Companies, Inc.		254,100		24,284
Total				46,189
Consumer Staples (9.3%)
Archer-Daniels-Midland Co.		566,600		25,967
CVS Health Corp.		367,600		23,655
Mondelez International, Inc.		631,500		25,892
Total				75,514
Energy (12.3%)
ConocoPhillips		373,900		26,031
Halliburton Co.		491,900		22,165
Marathon Oil Corp.		1,245,845		25,988
Occidental Petroleum Corp.		314,100		26,284
Total				100,468
Financials (14.8%)
The Allstate Corp.		251,600		22,964
American International Group, Inc.		456,600		24,209
The Bank of New York Mellon Corp.		442,800		23,880
BB&T Corp.		493,500		24,892
Marsh & McLennan Cos., Inc.		301,900		24,747
Total				120,692

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Health Care (21.2%)
Abbott Laboratories		440,500		26,866
Cardinal Health, Inc.		443,500		21,656
Express Scripts Holding Co.*		326,184		25,185
Johnson & Johnson		197,000		23,904
Merck & Co., Inc.		408,800		24,814
Pfizer, Inc.		681,200		24,714
Quest Diagnostics, Inc.		232,000		25,506
Total				172,645
Industrials (9.2%)
Northrop Grumman Corp.		83,200		25,600
Raytheon Co.		126,000		24,341
Waste Management, Inc.		304,600		24,776
Total				74,717
Information Technology (11.6%)
CA, Inc.		661,487		23,582
Cisco Systems, Inc.		568,800		24,475
Intel Corp.		493,000		24,507
Oracle Corp.		495,200		21,819
Total				94,383
Materials (2.9%)
DowDuPont, Inc.		356,267		23,485
Total				23,485
Real Estate (2.9%)
Equity Residential		377,195		24,023
Total				24,023

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Telecommunication Services (5.9%)
AT&T, Inc.		774,500		24,869
Verizon Communications, Inc.		462,600		23,274
Total				48,143
Utilities (2.7%)
Edison International		348,996		22,081
Total				22,081
Total Common Stocks (Cost: $582,244)				802,340
Short-Term Investments (1.7%)
Money Market Funds (1.7%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		13,656,270		13,656
Total Short-Term Investments (Cost: $13,656)				13,656
Total Investments (100.2%) (Cost: $595,900)(a)				815,996
Other Assets, Less Liabilities (-0.2%)				(1,787	)
Net Assets (100.0%)				814,209

# 7-day yield as of June 30, 2018.

* Non-Income Producing

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $595,900 and the net unrealized appreciation of investments based on that cost was $220,096 which is comprised of $225,934 aggregate gross unrealized appreciation and $5,838 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	802,340	$	—	$	—
Short-Term Investments		13,656		—		—
Total Assets:	$	815,996	$	—	$	—

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

Domestic Equity Portfolio

22

Equity Income Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

The Portfolio invests with an emphasis on larger capitalization stocks with a strong track record of paying dividends or that are believed to be undervalued. The Portfolio may underperform similar funds that invest without an emphasis on dividend-paying stocks. Dividend-paying stocks may not participate in a broad market advance to the same degree as other stocks.

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates or economic downturn could cause a company to unexpectedly reduce or eliminate its dividend.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use

the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$995.17	$  3.07
Hypothetical (5% return before expenses)	$1,000.00	$1,021.72	$  3.16

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Equity Income Portfolio

23

Equity Income Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (95.6%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (7.6%)
Adient PLC		71,345		3,510
Comcast Corp. - Class A		230,390		7,559
Kohl’s Corp.		67,900		4,950
L Brands, Inc.		103,900		3,832
Las Vegas Sands Corp.		111,600		8,522
Mattel, Inc.		270,200		4,437
News Corp. - Class A		409,900		6,353
Twenty-First Century Fox, Inc. - Class B		385,800		19,008
The Walt Disney Co.		24,600		2,578
Total				60,749
Consumer Staples (7.5%)
Archer-Daniels-Midland Co.		119,800		5,491
Coty, Inc. - Class A		124,197		1,751
CVS Health Corp.		102,942		6,624
Kellogg Co.		49,200		3,438
Kimberly-Clark Corp.		97,300		10,250
PepsiCo, Inc.		61,600		6,706
Philip Morris International, Inc.		97,500		7,872
Tyson Foods, Inc. - Class A		148,800		10,245
Wal-Mart Stores, Inc.		94,700		8,111
Total				60,488
Energy (10.6%)
Apache Corp.		164,456		7,688
Chevron Corp.		75,500		9,546
EQT Corp.		17,690		976
Exxon Mobil Corp.		259,400		21,460
Hess Corp.		170,600		11,412
Occidental Petroleum Corp.		111,400		9,322
Total SA, ADR		279,200		16,908
TransCanada Corp.		190,600		8,234
Total				85,546
Financials (24.7%)
American International Group, Inc.		197,660		10,480
Ameriprise Financial, Inc.		11,800		1,651
Bank of America Corp.		43,923		1,238
The Bank of New York Mellon Corp.		120,200		6,482
Brighthouse Financial, Inc.*		117,178		4,695
Chubb, Ltd.		88,700		11,267
Citigroup, Inc.		141,800		9,489
Fifth Third Bancorp		330,400		9,482
Franklin Resources, Inc.		202,900		6,503
JPMorgan Chase & Co.		277,188		28,883
KeyCorp		352,291		6,884

Common Stocks (95.6%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Loews Corp.		178,361		8,611
Marsh & McLennan Cos., Inc.		49,000		4,017
MetLife, Inc.		265,100		11,558
Morgan Stanley		301,700		14,301
Northern Trust Corp.		25,200		2,593
PNC Financial Services Group, Inc.		58,000		7,836
State Street Corp.		121,400		11,301
U.S. Bancorp		254,100		12,710
Wells Fargo & Co.		455,200		25,236
Willis Towers Watson PLC		24,016		3,641
Total				198,858
Health Care (10.9%)
Anthem, Inc.		60,649		14,436
Becton Dickinson and Co.		18,700		4,480
Bristol-Myers Squibb Co.		106,600		5,899
Gilead Sciences, Inc.		133,400		9,450
GlaxoSmithKline PLC		253,152		5,111
GlaxoSmithKline PLC, ADR		84,700		3,414
Johnson & Johnson		115,400		14,002
Medtronic PLC		131,735		11,278
Merck & Co., Inc.		139,500		8,468
Pfizer, Inc.		313,226		11,364
Total				87,902
Industrials (10.1%)
Alaska Air Group, Inc.		62,200		3,756
The Boeing Co.		41,600		13,957
Delta Air Lines, Inc.		63,400		3,141
Emerson Electric Co.		91,900		6,354
Flowserve Corp.		33,521		1,354
General Electric Co.		229,700		3,126
Harris Corp.		89,073		12,875
Illinois Tool Works, Inc.		2,500		346
Johnson Controls International PLC		355,726		11,899
Nielsen Holdings PLC		155,523		4,810
nVent Electric PLC*		59,100		1,483
PACCAR, Inc.		16,800		1,041
Pentair PLC		63,200		2,660
Southwest Airlines Co.		54,300		2,763
Stericycle, Inc.*		36,303		2,370
United Parcel Service, Inc. - Class B		89,000		9,455
Total				81,390
Information Technology (7.8%)
Analog Devices, Inc.		11,800		1,132
Applied Materials, Inc.		105,500		4,873

Common Stocks (95.6%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
CA, Inc.		34,000		1,212
Cisco Systems, Inc.		311,400		13,400
Hewlett Packard Enterprise Co.		104,100		1,521
Microsoft Corp.		180,900		17,839
QUALCOMM, Inc.		245,800		13,794
TE Connectivity, Ltd.		17,200		1,549
Texas Instruments, Inc.		54,000		5,953
Western Digital Corp.		20,300		1,571
Total				62,844
Materials (5.6%)
Akzo Nobel NV, ADR		48,200		1,368
CF Industries Holdings, Inc.		206,400		9,164
DowDuPont, Inc.		254,104		16,751
International Paper Co.		137,600		7,166
Nucor Corp.		82,600		5,163
Vulcan Materials Co.		43,300		5,588
Total				45,200
Real Estate (2.8%)
Equity Residential		104,300		6,643
Rayonier, Inc.		153,906		5,955
SL Green Realty Corp.		46,336		4,658
Weyerhaeuser Co.		141,535		5,160
Total				22,416
Telecommunication Services (3.0%)
AT&T, Inc.		37,362		1,200
CenturyLink, Inc.		115,390		2,151
Telefonica SA		465,861		3,960
Verizon Communications, Inc.		317,908		15,994
Vodafone Group PLC		189,785		460
Total				23,765
Utilities (5.0%)
Edison International		89,788		5,681
Evergy, Inc.		64,100		3,599
NiSource, Inc.		380,754		10,006
PG&E Corp.		104,322		4,440
Sempra Energy		16,456		1,911
The Southern Co.		311,336		14,418
Total				40,055
Total Common Stocks (Cost: $645,619)				769,213

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

Equity Income Portfolio

24

Equity Income Portfolio

Convertible Preferred Stocks (2.2%)	Shares/ $ Par		Value $ (000’s)
Health Care (0.8%)
Becton Dickinson and Co., 6.125%, 5/1/20		100,450		6,213
Total				6,213
Utilities (1.4%)
DTE Energy Co., 6.500%, 10/1/19		25,217		1,304
NextEra Energy, Inc., 6.123%, 9/1/19		108,213		6,179
Sempra Energy, 6.000%, 1/15/21		36,037		3,719
Total				11,202
Total Convertible Preferred Stocks (Cost: $15,210)				17,415

Corporate Bonds (0.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Cyclical (0.4%)
Mattel, Inc., 6.750%, 12/31/25, 144A		3,795,000		3,695
Total Corporate Bonds (Cost: $3,750)				3,695
Convertible Corporate Bonds (0.2%)
Financial (0.2%)
AXA SA, 7.250%, 5/15/21, 144A		1,460,000		1,526
Total Convertible Corporate Bonds (Cost: $1,460)				1,526

Short-Term Investments (1.5%)	Shares/ $ Par		Value $ (000’s)
Money Market Funds (1.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		12,429,079		12,429
Total Short-Term Investments (Cost: $12,429)				12,429
Total Investments (99.9%) (Cost: $678,468)(a)				804,278
Other Assets, Less Liabilities (0.1%)				403
Net Assets (100.0%)				804,681

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $5,221 representing 0.7% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $678,468 and the net unrealized appreciation of investments based on that cost was $125,810 which is comprised of $156,575 aggregate gross unrealized appreciation and $30,765 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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:
Convertible Preferred Stocks	$	17,415	$	—	$	—
Common Stocks		769,213		—		—
Convertible Corporate Bonds		—		1,526		—
Corporate Bonds		—		3,695		—
Short-Term Investments		12,429		—		—
Total Assets:	$	799,057	$	5,221	$	—

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $9,531 (in thousands). These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. These securities did not require the use of fair value procedures on June 30, 2018.

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

Equity Income Portfolio

25

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you

invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical

expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$1,000.00		$1,074.34		$  2.78
Hypothetical (5% return before expenses)		$1,000.00		$1,022.12		$  2.71

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.54%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Mid Cap Growth Stock Portfolio

26

Mid Cap Growth Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (6.1%)
CarMax, Inc.*		213,952		15,590
Choice Hotels International, Inc.		153,700		11,620
NVR, Inc.*		5,168		15,351
TripAdvisor, Inc.*		217,610		12,123
Under Armour, Inc. - Class C*		350,181		7,382
UniFirst Corp.		33,340		5,898
Total				67,964
Consumer Staples (0.7%)
PriceSmart, Inc.		84,548		7,652
Total				7,652
Energy (5.2%)
Cimarex Energy Co.		65,012		6,614
Diamondback Energy, Inc.		80,809		10,632
Newfield Exploration Co.*		446,358		13,502
RSP Permian, Inc.*		145,307		6,397
WPX Energy, Inc.*		1,176,041		21,204
Total				58,349
Financials (14.9%)
Alleghany Corp.		14,502		8,338
Credit Acceptance Corp.*		32,012		11,313
Cullen / Frost Bankers, Inc.		84,245		9,119
East West Bancorp, Inc.		78,010		5,086
FactSet Research Systems, Inc.		60,545		11,994
Fairfax Financial Holdings, Ltd.		17,253		9,668
First Citizens BancShares, Inc. - Class A		19,375		7,814
First Republic Bank		139,231		13,476
FNF Group		175,899		6,617
M&T Bank Corp.		78,597		13,373
Markel Corp.*		17,890		19,399
MSCI, Inc.		19,922		3,296
Northern Trust Corp.		108,100		11,122
Pinnacle Financial Partners, Inc.		79,975		4,907
Prosperity Bancshares, Inc.		114,172		7,805
South State Corp.		93,163		8,035
W.R. Berkley Corp.		102,095		7,393
White Mountains Insurance Group, Ltd.		9,609		8,712
Total				167,467
Health Care (17.7%)
Aerie Pharmaceuticals, Inc.*		156,392		10,564

Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Agios Pharmaceuticals, Inc.*		135,648		11,426
Alkermes PLC*		268,986		11,072
Alnylam Pharmaceuticals, Inc.*		51,811		5,103
BeiGene, Ltd., ADR*		42,008		6,458
Bluebird Bio, Inc.*		57,992		9,102
Integra LifeSciences Holdings Corp.*		98,730		6,359
Ionis Pharmaceuticals, Inc.*		260,119		10,839
Ironwood Pharmaceuticals, Inc.*		314,227		6,008
Mettler-Toledo International, Inc.*		19,186		11,102
Neurocrine Biosciences, Inc.*		119,903		11,779
Sage Therapeutics, Inc.*		84,630		13,247
Seattle Genetics, Inc.*		84,249		5,593
Spark Therapeutics, Inc.*		99,460		8,231
Steris PLC		129,636		13,613
Teleflex, Inc.		50,025		13,417
Ultragenyx Pharmaceutical, Inc.*		166,884		12,829
Varian Medical Systems, Inc.*		97,030		11,034
Veeva Systems, Inc.- Class A*		145,399		11,175
Waters Corp.*		50,809		9,836
Total				198,787
Industrials (18.0%)
AMERCO		30,369		10,816
Cintas Corp.		61,781		11,434
The Dun & Bradstreet Corp.		87,412		10,721
Fastenal Co.		174,501		8,399
Genesee & Wyoming, Inc. - Class A*		181,700		14,776
HEICO Corp. - Class A		174,120		10,613
IDEX Corp.		133,689		18,246
JetBlue Airways Corp.*		463,990		8,807
KAR Auction Services, Inc.		175,591		9,622
Lennox International, Inc.		94,328		18,880
Lincoln Electric Holdings, Inc.		125,546		11,018
The Middleby Corp.*		61,926		6,466
PACCAR, Inc.		112,109		6,946
Robert Half International, Inc.		173,448		11,291
Spirit Airlines, Inc.*		197,834		7,191

Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
TransUnion		353,045		25,292
Waste Connections, Inc.		144,942		10,911
Total				201,429
Information Technology (30.9%)
2U, Inc.*		115,058		9,614
Akamai Technologies, Inc.*		214,492		15,707
Black Knight, Inc.*		159,862		8,561
Blackbaud, Inc.		158,856		16,275
CDW Corp.		249,575		20,163
Cimpress NV*		52,724		7,643
CommScope Holding Co., Inc.*		425,161		12,417
CoStar Group, Inc.*		32,436		13,384
F5 Networks, Inc.*		35,207		6,071
Genpact, Ltd.		798,447		23,099
Global Payments, Inc.		176,659		19,696
GrubHub, Inc.*		76,430		8,018
Guidewire Software, Inc.*		138,994		12,340
II-VI, Inc.*		297,368		12,921
Keysight Technologies, Inc.*		260,944		15,404
MKS Instruments, Inc.		120,799		11,560
Monolithic Power Systems		6,681		893
National Instruments Corp.		360,577		15,137
Proofpoint, Inc.*		43,381		5,002
PTC, Inc.*		79,507		7,459
Silicon Laboratories, Inc.*		108,224		10,779
Teradata Corp.*		408,590		16,405
Total System Services, Inc.		125,843		10,636
VeriSign, Inc.*		171,569		23,577
WEX, Inc.*		139,743		26,618
Zillow Group, Inc. - Class A*		103,273		6,171
Zillow Group, Inc. - Class C*		180,069		10,635
Total				346,185
Materials (2.8%)
Ball Corp.		321,190		11,418
Packaging Corp. of America		133,961		14,976
Silgan Holdings, Inc.		195,282		5,239
Total				31,633
Real Estate (1.4%)
Equity Commonwealth*		289,079		9,106
Redfin Corp.*		309,462		7,145
Total				16,251

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

Mid Cap Growth Stock Portfolio

27

Mid Cap Growth Stock Portfolio

Common Stocks (99.8%)	Shares/ $ Par		Value $ (000’s)
Utilities (2.1%)
Black Hills Corp.		83,123		5,088
NiSource, Inc.		155,736		4,093
UGI Corp.		268,565		13,984
Total				23,165
Total Common Stocks (Cost: $1,003,920)				1,118,882

Short-Term Investments (0.3%)	Shares/ $ Par		Value $ (000’s)
Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820% #		3,004,339		3,004
Total Short-Term Investments (Cost: $3,004)				3,004
Total Investments (100.1%) (Cost: $1,006,924)(a)				1,121,886
Other Assets, Less Liabilities (-0.1%)				(1,248	)
Net Assets (100.0%)				1,120,638

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,006,924 and the net unrealized appreciation of investments based on that cost was $114,962 which is comprised of $138,317 aggregate gross unrealized appreciation and $23,355 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	1,118,882	$	—	$	—
Short-Term Investments		3,004		—		—
Total Assets:	$	1,121,886	$	—	$	—

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

Mid Cap Growth Stock Portfolio

28

Index 400 Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

“Standard & Poor’s^®”, “S&P^®”, “S&P MidCap 400 Index” and “Standard & Poor’s MidCap 400 Index” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.

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

The Portfolio may invest in derivative instruments such as futures and, to a lesser extent, swap agreements to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$1,000.00		$1,033.67		$  1.31
Hypothetical (5% return before expenses)		$1,000.00		$1,023.51		$  1.30

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.26%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period)

Index 400 Stock Portfolio

29

Index 400 Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (12.7%)
Aaron’s, Inc.		31,749		1,380
Adtalem Global Education, Inc.*		30,889		1,486
AMC Networks, Inc. - Class A*		23,580		1,467
American Eagle Outfitters, Inc.		86,053		2,001
AutoNation, Inc.*		30,285		1,471
Bed Bath & Beyond, Inc.		71,825		1,431
Big Lots, Inc.		21,635		904
Boyd Gaming Corp.		42,137		1,460
Brinker International, Inc.		22,492		1,071
Brunswick Corp.		44,705		2,883
Cable One, Inc.		2,409		1,767
Carter’s, Inc.		24,075		2,609
The Cheesecake Factory, Inc.		21,858		1,204
Churchill Downs, Inc.		5,833		1,729
Cinemark Holdings, Inc.		54,504		1,912
Cracker Barrel Old Country Store, Inc.		12,311		1,923
Dana Holding Corp.		74,612		1,506
Deckers Outdoor Corp.*		15,616		1,763
Delphi Technologies PLC		45,537		2,070
Dick’s Sporting Goods, Inc.		39,965		1,409
Dillard’s, Inc. - Class A		10,167		961
Domino’s Pizza, Inc.		21,685		6,119
Dunkin’ Brands Group, Inc.		42,553		2,939
Five Below, Inc.*		28,526		2,787
Gentex Corp.		140,455		3,233
Graham Holdings Co. - Class B		2,257		1,323
Helen of Troy, Ltd.*		13,652		1,344
ILG, Inc.		54,198		1,790
International Speedway Corp. - Class A		12,525		560
Jack in the Box, Inc.		14,585		1,241
John Wiley & Sons, Inc. - Class A		23,019		1,436
KB Home		43,313		1,180
Live Nation Entertainment, Inc.*		69,634		3,382
Meredith Corp.		20,393		1,040
The Michaels Cos., Inc.*		56,957		1,092
Murphy USA, Inc.*		15,851		1,178
The New York Times Co. - Class A		65,635		1,700
NVR, Inc.*		1,728		5,133
Ollie’s Bargain Outlet Holdings, Inc.*		25,582		1,855
Papa John’s International, Inc.		12,053		611

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary continued
Polaris Industries, Inc.		30,119		3,680
Pool Corp.		20,757		3,145
Sally Beauty Holdings, Inc.*		62,619		1,004
Scientific Games Corp. - Class A*		27,458		1,350
Service Corp. International		94,034		3,365
Signet Jewelers, Ltd.		30,263		1,687
Six Flags Entertainment Corp.		39,849		2,791
Skechers U.S.A., Inc. - Class A*		69,650		2,090
Sotheby’s*		18,868		1,025
TEGNA, Inc.		110,619		1,200
Tempur Sealy International, Inc.*		23,714		1,139
Texas Roadhouse, Inc.		33,697		2,207
Thor Industries, Inc.		25,135		2,448
Toll Brothers, Inc.		72,416		2,679
TRI Pointe Homes, Inc.*		77,918		1,275
Tupperware Brands Corp.		26,217		1,081
Urban Outfitters, Inc.*		41,244		1,837
The Wendy’s Co.		92,016		1,581
Williams-Sonoma, Inc.		39,269		2,410
Wyndham Hotels & Resorts, Inc.		51,146		3,009
Wyndham Destinations, Inc.		51,177		2,266
Total				117,619
Consumer Staples (3.4%)
The Boston Beer Co., Inc. - Class A*		4,488		1,345
Casey’s General Stores, Inc.		19,252		2,023
Edgewell Personal Care Co.*		27,695		1,398
Energizer Holdings, Inc.		30,612		1,927
Flowers Foods, Inc.		95,149		1,982
The Hain Celestial Group, Inc.*		53,302		1,588
Ingredion, Inc.		37,052		4,102
Lamb Weston Holdings, Inc.		74,999		5,138
Lancaster Colony Corp.		10,006		1,385
Nu Skin Enterprises, Inc.		28,522		2,230
Post Holdings, Inc.*		34,511		2,969
Sanderson Farms, Inc.		10,307		1,084
Sprouts Farmers Market, Inc.*		62,888		1,388
Tootsie Roll Industries, Inc.		9,931		306
TreeHouse Foods, Inc.*		28,889		1,517
United Natural Foods, Inc.*		25,854		1,103
Total				31,485

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Energy (5.2%)
Callon Petroleum Co.*		114,986		1,235
Chesapeake Energy Corp.*		467,655		2,450
CNX Resources Corp.*		100,587		1,788
Core Laboratories N.V.		22,621		2,855
Diamond Offshore Drilling, Inc.*		33,128		691
Dril-Quip, Inc.*		19,563		1,005
Energen Corp.*		49,970		3,639
Ensco PLC - Class A		224,186		1,628
Gulfport Energy Corp.*		80,160		1,008
Matador Resources Co.*		53,068		1,595
McDermott International, Inc.*		92,220		1,812
Murphy Oil Corp.		83,424		2,817
Nabors Industries, Ltd.		180,752		1,159
Oasis Petroleum, Inc.*		136,704		1,773
Oceaneering International, Inc.		50,535		1,287
Patterson-UTI Energy, Inc.		113,761		2,048
PBF Energy, Inc.		57,561		2,413
QEP Resources, Inc.*		121,916		1,495
Range Resources Corp.		116,325		1,946
Rowan Cos., PLC - Class A*		58,575		950
SM Energy Co.		52,700		1,354
Southwestern Energy Co.*		261,839		1,388
Superior Energy Services, Inc.*		79,106		770
Transocean, Ltd.*		224,966		3,024
World Fuel Services Corp.		34,725		709
WPX Energy, Inc.*		204,961		3,695
Total				48,191
Financials (16.1%)
Alleghany Corp.		7,842		4,509
American Financial Group, Inc.		35,578		3,819
Aspen Insurance Holdings, Ltd.		30,595		1,245
Associated Banc-Corp.		86,722		2,367
BancorpSouth Bank		42,076		1,386
Bank of Hawaii Corp.		21,678		1,808
Bank of the Ozarks		62,281		2,805
Brown & Brown, Inc.		117,595		3,261
Cathay General Bancorp		39,167		1,586
Chemical Financial Corp.		36,597		2,037
CNO Financial Group, Inc.		85,834		1,634
Commerce Bancshares, Inc.		48,111		3,113
Cullen / Frost Bankers, Inc.		29,776		3,223
East West Bancorp, Inc.		74,316		4,845
Eaton Vance Corp.		61,136		3,191
Evercore, Inc. - Class A		20,887		2,203

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

Index 400 Stock Portfolio

30

Index 400 Stock Portfolio

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Financials continued
F.N.B. Corp.		166,098		2,229
FactSet Research Systems, Inc.		19,938		3,950
Federated Investors, Inc. - Class B		48,904		1,140
First American Financial Corp.		57,210		2,959
First Horizon National Corp.		167,813		2,994
Fulton Financial Corp.		90,142		1,487
Genworth Financial, Inc. - Class A*		256,032		1,152
Hancock Holding Co.		43,742		2,041
Hanover Insurance Group, Inc.		21,817		2,608
Home BancShares, Inc.		80,917		1,825
Interactive Brokers Group, Inc. - Class A		36,661		2,361
International Bancshares Corp.		27,804		1,190
Janus Henderson Group PLC		92,510		2,843
Kemper Corp.		25,111		1,900
Legg Mason, Inc.		43,831		1,522
LendingTree, Inc.*		4,036		863
MarketAxess Holdings, Inc.		19,288		3,816
MB Financial, Inc.		43,122		2,014
Mercury General Corp.		18,730		853
Navient Corp.		135,713		1,768
New York Community Bancorp, Inc.		251,515		2,777
Old Republic International Corp.		128,639		2,561
PacWest Bancorp		64,179		3,172
Pinnacle Financial Partners, Inc.		37,940		2,328
Primerica, Inc.		22,600		2,251
Prosperity Bancshares, Inc.		35,822		2,449
Reinsurance Group of America, Inc.		33,093		4,417
RenaissanceRe Holdings, Ltd.		20,642		2,484
SEI Investments Co.		67,295		4,207
Signature Bank*		27,533		3,521
SLM Corp.*		223,218		2,556
Sterling Bancorp		115,641		2,718
Stifel Financial Corp.		36,701		1,918
Synovus Financial Corp.		60,849		3,215
TCF Financial Corp.		86,294		2,125
Texas Capital Bancshares, Inc.*		25,477		2,331
Trustmark Corp.		34,764		1,134
UMB Financial Corp.		22,593		1,722

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Umpqua Holdings Corp.		112,923		2,551
United Bankshares, Inc.		53,925		1,963
Valley National Bancorp		135,919		1,653
W.R. Berkley Corp.		49,298		3,570
Washington Federal, Inc.		43,326		1,417
Webster Financial Corp.		47,236		3,009
Wintrust Financial Corp.		28,867		2,513
Total				149,109
Health Care (9.1%)
Acadia Healthcare Co., Inc.*		42,087		1,722
Akorn, Inc.*		48,182		799
Allscripts Healthcare Solutions, Inc.*		91,269		1,095
Avanos Medical, Inc.*		24,114		1,381
Bio-Rad Laboratories, Inc. - Class A*		10,388		2,997
Bio-Techne Corp.		19,271		2,851
Cantel Medical Corp.		18,183		1,789
Catalent, Inc.*		68,403		2,865
Charles River Laboratories International, Inc.*		24,573		2,759
Chemed Corp.		8,174		2,630
Encompass Health Corp.		50,683		3,432
Exelixis, Inc.*		144,670		3,113
Globus Medical, Inc. - Class A*		37,588		1,897
Haemonetics Corp.*		26,776		2,401
Hill-Rom Holdings, Inc.		33,993		2,969
ICU Medical, Inc.*		7,815		2,295
Integra LifeSciences Holdings Corp.*		36,180		2,330
LifePoint Health, Inc.*		19,889		971
LivaNova PLC*		22,358		2,232
Mallinckrodt PLC*		42,613		795
Masimo Corp.*		24,434		2,386
Medidata Solutions, Inc.*		30,374		2,447
MEDNAX, Inc.*		48,465		2,098
Molina Healthcare, Inc.*		24,361		2,386
NuVasive, Inc.*		26,290		1,370
Patterson Cos., Inc.		41,741		946
PRA Health Sciences, Inc.*		25,962		2,424
Prestige Brands Holdings, Inc.*		27,221		1,045
Steris PLC		43,399		4,557
Syneos Health, Inc.*		28,466		1,335
Teleflex, Inc.		23,359		6,265
Tenet Healthcare Corp.*		41,872		1,406
United Therapeutics Corp.*		22,333		2,527
WellCare Health Plans, Inc.*		22,954		5,652

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
West Pharmaceutical Services, Inc.		37,737		3,747
Total				83,914
Industrials (14.2%)
Acuity Brands, Inc.		21,028		2,437
AECOM*		82,229		2,716
AGCO Corp.		33,860		2,056
Avis Budget Group, Inc.*		36,675		1,192
The Brink’s Co.		26,108		2,082
Carlisle Cos., Inc.		31,259		3,386
Clean Harbors, Inc.*		26,225		1,457
Crane Co.		26,028		2,086
Curtiss-Wright Corp.		22,675		2,699
Deluxe Corp.		24,539		1,625
Donaldson Co., Inc.		66,610		3,005
The Dun & Bradstreet Corp.		19,020		2,333
Dycom Industries, Inc.*		15,999		1,512
EMCOR Group, Inc.		29,981		2,284
EnerSys		21,599		1,612
Esterline Technologies Corp.*		13,282		980
GATX Corp.		19,336		1,435
Genesee & Wyoming, Inc. - Class A*		30,850		2,509
Graco, Inc.		85,963		3,887
Granite Construction, Inc.		23,318		1,298
Healthcare Services Group, Inc.		37,806		1,633
Herman Miller, Inc.		30,580		1,037
HNI Corp.		22,326		831
Hubbell, Inc.		28,139		2,975
IDEX Corp.		39,347		5,370
ITT, Inc.		44,826		2,343
JetBlue Airways Corp.*		162,326		3,081
KBR, Inc.		72,124		1,292
Kennametal, Inc.		41,866		1,503
Kirby Corp.*		27,556		2,304
KLX, Inc.*		26,024		1,871
Knight-Swift Transportation Holdings		65,848		2,516
Landstar System, Inc.		21,576		2,356
Lennox International, Inc.		19,038		3,810
Lincoln Electric Holdings, Inc.		31,636		2,776
Manpowergroup, Inc.		33,763		2,906
MSA Safety, Inc.		17,489		1,685
MSC Industrial Direct Co., Inc. - Class A		23,520		1,996
Nordson Corp.		26,219		3,367
NOW, Inc.*		55,464		739
nVent Electric PLC*		83,271		2,090
Old Dominion Freight Line, Inc.		34,992		5,212
Oshkosh Corp.		37,912		2,666

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

Index 400 Stock Portfolio

31

Index 400 Stock Portfolio

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
Pitney Bowes, Inc.		96,191		824
Regal Beloit Corp.		22,557		1,845
Rollins, Inc.		49,238		2,589
Ryder System, Inc.		27,232		1,957
Teledyne Technologies, Inc.*		18,342		3,651
Terex Corp.		37,030		1,562
The Timken Co.		35,023		1,525
The Toro Co.		54,376		3,276
Trinity Industries, Inc.		76,569		2,623
Valmont Industries, Inc.		11,567		1,744
Wabtec Corp.		43,954		4,333
Watsco, Inc.		16,434		2,930
Werner Enterprises, Inc.		22,991		863
Woodward, Inc.		28,397		2,183
Total				130,855
Information Technology (15.8%)
ACI Worldwide, Inc.*		59,712		1,473
Acxiom Corp.*		39,523		1,184
ARRIS International PLC*		89,800		2,195
Arrow Electronics, Inc.*		44,938		3,383
Avnet, Inc.		60,511		2,595
Belden, Inc.		20,848		1,274
Blackbaud, Inc.		24,888		2,550
Cars.com, Inc.*		36,869		1,047
CDK Global, Inc.		63,449		4,127
Ciena Corp.*		73,562		1,950
Cirrus Logic, Inc.*		31,275		1,199
Cognex Corp.		88,702		3,957
Coherent, Inc.*		12,757		1,995
CommVault Systems, Inc.*		21,694		1,429
Convergys Corp.		46,928		1,147
CoreLogic, Inc.*		41,870		2,173
Cree, Inc.*		51,549		2,143
Cypress Semiconductor Corp.		183,865		2,865
Fair Isaac Corp.*		15,304		2,959
First Solar, Inc.*		41,910		2,207
Fortinet, Inc.*		74,144		4,629
Integrated Device Technology, Inc.*		66,298		2,114
InterDigital, Inc.		17,821		1,442
j2 Global, Inc.		25,188		2,181
Jabil Circuit, Inc.		87,856		2,430
Jack Henry & Associates, Inc.		39,643		5,168
Keysight Technologies, Inc.*		95,858		5,658
Leidos Holdings, Inc.		73,177		4,317
Littelfuse, Inc.		12,805		2,922
LogMeIn, Inc.		26,779		2,765
Lumentum Holdings, Inc.*		32,262		1,868
Manhattan Associates, Inc.*		34,271		1,611

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
MAXIMUS, Inc.		33,462		2,078
MKS Instruments, Inc.		28,046		2,684
Monolithic Power Systems		19,906		2,661
National Instruments Corp.		55,180		2,316
NCR Corp.*		60,674		1,819
NetScout Systems, Inc.*		41,171		1,223
Perspecta, Inc.		73,157		1,503
Plantronics, Inc.		17,059		1,301
PTC, Inc.*		59,180		5,552
Sabre Corp.		129,637		3,194
Science Applications International Corp.		21,675		1,754
Silicon Laboratories, Inc.*		22,173		2,208
Synaptics, Inc.*		17,753		894
SYNNEX Corp.		15,017		1,449
Tech Data Corp.*		17,875		1,468
Teradata Corp.*		62,014		2,490
Teradyne, Inc.		98,123		3,736
Trimble Navigation, Ltd.*		127,821		4,198
Tyler Technologies, Inc.*		18,262		4,056
The Ultimate Software Group, Inc.*		14,916		3,838
VeriFone Systems, Inc.*		56,797		1,296
Versum Materials, Inc.		55,875		2,076
ViaSat, Inc.*		28,098		1,847
Vishay Intertechnology, Inc.		67,761		1,572
WEX, Inc.*		20,550		3,914
Zebra Technologies Corp. - Class A*		27,387		3,923
Total				146,007
Materials (6.9%)
Allegheny Technologies, Inc.*		64,442		1,619
AptarGroup, Inc.		31,997		2,988
Ashland Global Holdings, Inc.		32,006		2,502
Bemis Co., Inc.		46,661		1,969
Cabot Corp.		31,706		1,958
Carpenter Technology Corp.		24,069		1,265
The Chemours Co.		91,248		4,048
Commercial Metals Co.		60,010		1,267
Compass Minerals International, Inc.		17,361		1,141
Domtar Corp.		32,225		1,538
Eagle Materials, Inc.		24,605		2,583
Grief, Inc. - Class A		13,295		703
Louisiana-Pacific Corp.		74,459		2,027
Minerals Technologies, Inc.		18,138		1,367
NewMarket Corp.		4,715		1,907
Olin Corp.		85,761		2,463
Owens-Illinois, Inc.*		82,937		1,394
PolyOne Corp.		41,016		1,773
Reliance Steel & Aluminum Co.		37,100		3,248

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Materials continued
Royal Gold, Inc.		33,570		3,117
RPM International, Inc.		68,588		4,000
The Scotts Miracle-Gro Co. - Class A		19,877		1,653
Sensient Technologies Corp.		21,713		1,554
Silgan Holdings, Inc.		38,005		1,020
Sonoco Products Co.		51,064		2,681
Steel Dynamics, Inc.		121,007		5,560
United States Steel Corp.		90,675		3,151
Valvoline, Inc.		100,363		2,165
Worthington Industries, Inc.		22,082		927
Total				63,588
Real Estate (9.4%)
Alexander & Baldwin, Inc.		34,689		815
American Campus Communities, Inc.		70,104		3,006
Camden Property Trust		47,582		4,336
CoreCivic, Inc.		60,799		1,452
CoreSite Realty Corp.		17,671		1,958
Corporate Office Properties Trust		52,388		1,519
Cousins Properties, Inc.		215,536		2,089
CyrusOne, Inc.		50,834		2,967
DCT Industrial Trust, Inc.		48,303		3,223
Douglas Emmett, Inc.		81,919		3,291
Education Realty Trust, Inc.		38,882		1,614
EPR Properties		33,163		2,149
First Industrial Realty Trust, Inc.		64,295		2,144
The GEO Group, Inc.		63,097		1,738
Healthcare Realty Trust, Inc.		64,212		1,867
Highwoods Properties, Inc.		53,043		2,691
Hospitality Properties Trust		84,292		2,412
JBG SMITH Properties		47,793		1,743
Jones Lang LaSalle, Inc.		23,332		3,873
Kilroy Realty Corp.		50,693		3,834
Lamar Advertising Co. - Class A		43,103		2,944
LaSalle Hotel Properties		56,614		1,938
Liberty Property Trust		75,798		3,360
Life Storage, Inc.		23,858		2,322
Mack-Cali Realty Corp.		46,229		937
Medical Properties Trust, Inc.		187,068		2,626
National Retail Properties, Inc.		78,907		3,469
OMEGA Healthcare Investors, Inc.		101,859		3,158
Potlatch Corp.		30,899		1,571
Quality Care Properties, Inc.*		48,312		1,039
Rayonier, Inc.		66,364		2,568

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

Index 400 Stock Portfolio

32

Index 400 Stock Portfolio

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Real Estate continued
Sabra Health Care REIT, Inc.		91,438		1,987
Senior Housing Properties Trust		121,876		2,205
Tanger Factory Outlet Centers, Inc.		48,408		1,137
Taubman Centers, Inc.		31,282		1,838
Uniti Group, Inc.		84,709		1,697
Urban Edge Properties		54,344		1,243
Weingarten Realty Investors		61,125		1,883
Total				86,643
Telecommunication Services (0.1%)
Telephone and Data Systems, Inc.		47,613		1,306
Total				1,306
Utilities (4.8%)
ALLETE, Inc.		26,296		2,036
Aqua America, Inc.		91,241		3,210
Atmos Energy Corp.		56,964		5,135
Black Hills Corp.		27,486		1,682
Hawaiian Electric Industries, Inc.		55,823		1,915
IDACORP, Inc.		25,845		2,384
MDU Resources Group, Inc.		100,168		2,873
National Fuel Gas Co.		44,071		2,334
New Jersey Resources Corp.		44,997		2,014
NorthWestern Corp.		25,375		1,453

Common Stocks (97.7%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
OGE Energy Corp.		102,439		3,607
ONE Gas, Inc.		26,911		2,011
PNM Resources, Inc.		40,853		1,589
Southwest Gas Holdings, Inc.		24,801		1,891
UGI Corp.		88,789		4,623
Vectren Corp.		42,611		3,044
WGL Holdings, Inc.		26,341		2,338
Total				44,139
Total Common Stocks (Cost: $660,786)				902,856
Short-Term Investments (1.9%)
Commercial Paper (1.2%)
Apple, Inc., 0.000%, 8/10/18 144A		500,000		499
Apple, Inc., 0.000%, 8/14/18 144A		1,000,000		997
General Mills, Inc., 0.000%, 7/2/18 144A		1,500,000		1,500
Mondelez International, Inc., 0.000%, 8/27/18 144A		1,500,000		1,494
Pfizer, Inc., 0.000%, 9/4/18 144A		1,500,000		1,494
Societe Generale SA, 0.000%, 8/8/18 144A		1,500,000		1,497
Walgreens Boots Alliance, Inc., 0.000%, 7/26/18 144A		1,000,000		998

Short-Term Investments (1.9%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper continued
Walgreens Boots Alliance, Inc., 0.000%, 8/8/18 144A		500,000		499
Walmart, Inc., 0.000%, 7/10/18 144A		500,000		500
The Walt Disney Co., 0.000%, 8/8/18 144A		1,500,000		1,496
Total				10,974
Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820% #		2,584,699		2,585
Total				2,585
US Government & Agencies (0.4%)
Federal Home Loan Bank, 0.000%, 7/3/18		2,000,000		2,000
Federal Home Loan Bank, 0.000%, 10/18/18 (b)		2,000,000		1,988
Total				3,988
Total Short-Term Investments (Cost: $17,548)				17,547
Total Investments (99.6%) (Cost: $678,334)(a)				920,403
Other Assets, Less Liabilities (0.4%)				3,353
Net Assets (100.0%)				923,756

# 7-day yield as of June 30, 2018.

* Non-Income Producing

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $10,974 representing 1.2% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $678,334 and the net unrealized appreciation of investments based on that cost was $241,660 which is comprised of $275,075 aggregate gross unrealized appreciation and $33,415 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)	Number of Contracts	Expiration Date	Notional Value (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 400 Mini Index Futures	Long	USD	$10	100	9/18	$19,561	$	(409	)

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

Index 400 Stock Portfolio

33

Index 400 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	902,856		$	—	$	—
Short-Term Investments		—			—		—
Money Market Funds		2,585			—		—
All Others		—			14,962		—
Total Assets:	$	905,441		$	14,962	$	—
Liabilities:
Other Financial Instruments^
Futures		(409	)		—		—
Total Liabilities:	$	(409	)	$	—	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

Index 400 Stock Portfolio

34

Mid Cap Value Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use

the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$991.82	$  3.75
Hypothetical (5% return before expenses)	$1,000.00	$1,021.03	$  3.81

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.76%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Mid Cap Value Portfolio

35

Mid Cap Value Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (95.5%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (4.8%)
Advance Auto Parts, Inc.		44,881		6,090
Aptiv PLC		14,738		1,351
Genuine Parts Co.		56,517		5,188
Honda Motor Co., Ltd., ADR*		137,267		4,018
PulteGroup, Inc.		143,591		4,128
Target Corp.		63,323		4,820
Total				25,595
Consumer Staples (10.1%)
Conagra Brands, Inc.		264,004		9,433
General Mills, Inc.		106,002		4,692
The J.M. Smucker Co.		31,220		3,355
Kellogg Co.		110,643		7,731
Kimberly-Clark Corp.		42,207		4,446
Molson Coors Brewing Co. - Class B		60,855		4,141
Mondelez International, Inc.		164,377		6,739
Sysco Corp.		118,001		8,058
US Foods Holding Corp.*		143,204		5,416
Total				54,011
Energy (10.4%)
Anadarko Petroleum Corp.		66,800		4,893
Baker Hughes		203,441		6,720
Cimarex Energy Co.		57,514		5,851
Devon Energy Corp.		165,699		7,284
EQT Corp.		149,061		8,225
Exxon Mobil Corp.		131,195		4,361
Marathon Petroleum Corp.		23,623		1,657
National Oilwell Varco, Inc.		154,257		6,695
Noble Energy, Inc.		211,808		7,473
Occidental Petroleum Corp.		27,445		2,297
Total				55,456
Financials (20.6%)
AFLAC, Inc.		86,794		3,734
Ameriprise Financial, Inc.		53,813		7,527
Arthur J. Gallagher & Co.		59,005		3,852
Bank of Hawaii Corp.		79,231		6,609
BB&T Corp.		206,210		10,401
Brown & Brown, Inc.		106,625		2,957
Capitol Federal Financial, Inc.		342,567		4,508
Chubb, Ltd.		62,656		7,959
Comerica, Inc.		24,893		2,263
Commerce Bancshares, Inc.		98,445		6,370
Invesco, Ltd.		407,459		10,822

Common Stocks (95.5%)	Shares/ $ Par		Value $ (000’s)
Financials continued
M&T Bank Corp.		42,431		7,220
Northern Trust Corp.		116,362		11,973
ProAssurance Corp.		45,839		1,625
Reinsurance Group of America, Inc.		30,768		4,107
SunTrust Banks, Inc.		86,208		5,691
Torchmark Corp.		20,892		1,701
The Travelers Cos., Inc.		11,101		1,358
UMB Financial Corp.		58,963		4,495
Westamerica Bancorporation		91,540		5,173
Total				110,345
Health Care (10.4%)
Cardinal Health, Inc.		126,402		6,172
Express Scripts Holding Co.*		68,200		5,266
HCA Healthcare, Inc.		25,412		2,607
Henry Schein, Inc.*		59,919		4,353
LifePoint Health, Inc.*		139,881		6,826
McKesson Corp.		37,180		4,960
Quest Diagnostics, Inc.		29,313		3,223
Siemens Healthineers AG (p)*		54,016		2,230
Steris PLC		44,488		4,672
Zimmer Biomet Holdings, Inc.		140,285		15,633
Total				55,942
Industrials (15.3%)
Cummins, Inc.		39,363		5,235
Eaton Corp. PLC		70,776		5,290
Emerson Electric Co.		98,599		6,817
Heartland Express, Inc.		265,171		4,919
Hubbell, Inc.		103,071		10,899
IMI PLC		299,061		4,468
Ingersoll-Rand PLC		58,932		5,288
Johnson Controls International PLC		327,709		10,962
MSC Industrial Direct Co., Inc. - Class A		85,990		7,296
Norfolk Southern Corp.		19,605		2,958
PACCAR, Inc.		44,165		2,736
Parker Hannifin Corp.		6,355		990
Republic Services, Inc.		45,115		3,084
Southwest Airlines Co.		109,308		5,562
Textron, Inc.		79,453		5,237
Total				81,741
Information Technology (6.2%)
Applied Materials, Inc.		36,140		1,669
HP, Inc.		136,753		3,103

Common Stocks (95.5%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Keysight Technologies, Inc.*		84,261		4,974
Lam Research Corp.		16,281		2,814
Maxim Integrated Products, Inc.		124,701		7,315
Microchip Technology, Inc.		46,978		4,273
TE Connectivity, Ltd.		40,444		3,642
Teradyne, Inc.		137,845		5,248
Total				33,038
Materials (6.3%)
Bemis Co., Inc.		97,343		4,109
Graphic Packaging Holding Co.		515,625		7,482
Orkla ASA		693,989		6,084
Sonoco Products Co.		121,316		6,369
WestRock Co.		168,912		9,631
Total				33,675
Real Estate (4.6%)
American Tower Corp.		24,988		3,602
Empire State Realty Trust, Inc. - Class A		99,906		1,708
MGM Growth Properties LLC - Class A		140,178		4,270
Piedmont Office Realty Trust, Inc. - Class A		209,166		4,169
Weyerhaeuser Co.		297,454		10,845
Total				24,594
Utilities (6.8%)
Ameren Corp.		61,915		3,768
Atmos Energy Corp.		32,650		2,943
Edison International		91,748		5,805
Eversource Energy		43,269		2,536
NorthWestern Corp.		110,122		6,304
Pinnacle West Capital Corp.		52,150		4,201
Spire, Inc.		46,320		3,272
Xcel Energy, Inc.		170,243		7,777
Total				36,606
Total Common Stocks (Cost: $471,039)				511,003

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

Mid Cap Value Portfolio

36

Mid Cap Value Portfolio

Investment Companies (1.7%)	Shares/ $ Par		Value $ (000’s)
Investment Companies (1.7%)
iShares Russell Midcap Value Index Fund		101,046		8,942
Total Investment Companies (Cost: $8,942)				8,942

Short-Term Investments (3.1%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper (3.1%)
LMA SA / LMA Americas LLC, 0.000%, 7/2/18		16,579,000		16,576
Total Short-Term Investments (Cost: $16,578)				16,576
Total Investments (100.3%) (Cost: $496,559)(a)				536,521
Other Assets, Less Liabilities (-0.3%)				(1,695	)
Net Assets (100.0%)				534,826

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

NOK — Norwegian Krone

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $496,559 and the net unrealized appreciation of investments based on that cost was $39,972 which is comprised of $58,841 aggregate gross unrealized appreciation and $18,869 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(h) Forward foreign currency contracts outstanding on June 30, 2018.

Type	Counterparty	Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month		Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Morgan Stanley Capital Services, Inc.		CAD		194		148		9/18	$	2		$	—		$	2
Sell	Morgan Stanley Capital Services, Inc.		CAD		5,173		3,941		9/18		—			(53	)		(53	)
Buy	Morgan Stanley Capital Services, Inc.		EUR		46		54		9/18		—(m	)		—			—(m	)
Sell	Morgan Stanley Capital Services, Inc.		EUR		1,678		1,973		9/18		—			(6	)		(6	)
Buy	Morgan Stanley Capital Services, Inc.		GBP		75		100		9/18		—			—(m	)		—(m	)
Sell	Morgan Stanley Capital Services, Inc.		GBP		2,923		3,872		9/18		22			—			22
Buy	Morgan Stanley Capital Services, Inc.		JPY		9,973		91		9/18		—			(1	)		(1	)
Sell	Morgan Stanley Capital Services, Inc.		JPY		270,239		2,456		9/18		19			—			19
Sell	Morgan Stanley Capital Services, Inc.		NOK		42,416		5,226		9/18		27			—			27
										$	70		$	(60	)	$	10

(m) Amount is less than one thousand.

(p) Restricted securities (excluding 144A issues) on June 30, 2018.

Description	Shares		Acquisition Date	Cost (000’s)		Value (000’s)		Value as a Percentage of Net Assets
Siemens Healthineers AG		19,937	3/16/18	$	720	$	823		0.154	%

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

Mid Cap Value Portfolio

37

Mid Cap Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	511,003	$	—		$	—
Investment Companies		8,942		—			—
Short-Term Investments		—		16,576			—
Other Financial Instruments^
Forward Currency Contracts		—		70			—
Total Assets:	$	519,945	$	16,646		$	—
Liabilities:
Other Financial Instruments^
Forward Currency Contracts	$	—	$	(60	)	$	—
Total Liabilities:	$	—	$	(60	)	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $6,084 (in thousands). This transfer was the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. This security did not require the use of fair value procedures on June 30, 2018.

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

Mid Cap Value Portfolio

38

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

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

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,086.23	$ 2.90
Hypothetical (5% return before expenses)	$1,000.00	$1,022.02	$ 2.81

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.56%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Small Cap Growth Stock Portfolio

39

Small Cap Growth Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (98.0%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (14.3%)
Caleres, Inc.		110,156		3,788
Carter’s, Inc.		55,315		5,996
Cooper Tire & Rubber Co.		96,875		2,548
Core-Mark Holding Co., Inc.		159,974		3,631
Dunkin’ Brands Group, Inc.		79,669		5,503
Five Below, Inc.*		60,190		5,881
Floor & Decor Holdings, Inc.*		119,073		5,874
Installed Building Products, Inc.*		87,345		4,939
Marriott Vacations Worldwide Corp.		49,913		5,638
The Michaels Cos., Inc.*		158,031		3,030
Oxford Industries, Inc.		59,063		4,901
Papa John’s International, Inc.		70,868		3,595
Steven Madden, Ltd.		153,944		8,175
Tenneco, Inc.		113,473		4,988
TopBuild Corp.*		80,689		6,321
Visteon Corp.*		34,992		4,522
Wingstop, Inc.		121,587		6,337
Wolverine World Wide, Inc.		206,216		7,170
Total				92,837
Consumer Staples (3.3%)
BJ’s Wholesale Club Holdings, Inc.*		20,400		483
Casey’s General Stores, Inc.		34,092		3,582
Hostess Brands, Inc.*		277,503		3,774
Performance Food Group Co.*		151,986		5,578
Post Holdings, Inc.*		38,097		3,277
PriceSmart, Inc.		53,510		4,843
Total				21,537
Energy (2.2%)
Newfield Exploration Co.*		130,443		3,946
PDC Energy, Inc.*		64,265		3,885
ProPetro Holding Corp.*		160,700		2,520
WildHorse Resource Development Corp.*		167,084		4,237
Total				14,588
Financials (6.5%)
Evercore, Inc. - Class A		60,531		6,383
FCB Financial Holdings, Inc. - Class A*		38,416		2,259
First Busey Corp.		85,047		2,698
First Hawaiian, Inc.		102,060		2,962

Common Stocks (98.0%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Great Western Bancorp, Inc.		75,396		3,166
IBERIABANK Corp.		57,358		4,348
James River Group Holdings, Ltd.		112,380		4,415
MGIC Investment Corp.*		356,911		3,826
OneMain Holdings, Inc.*		74,404		2,477
SLM Corp.*		246,576		2,823
Sterling Bancorp		186,659		4,386
Triumph Bancorp, Inc.*		63,577		2,591
Total				42,334
Health Care (25.7%)
Abeona Therapeutics, Inc.*		106,156		1,698
Aerie Pharmaceuticals, Inc.*		57,155		3,861
Agios Pharmaceuticals, Inc.*		27,997		2,358
Amicus Therapeutics, Inc.*		301,009		4,702
Amneal Pharmaceuticals, Inc.*		206,620		3,391
Aptinyx, Inc.*		51,300		1,240
Arena Pharmaceuticals, Inc.*		86,603		3,776
AtriCure, Inc.*		140,592		3,803
Audentes Therapeutics, Inc.*		61,678		2,357
Blueprint Medicines Corp.*		62,593		3,973
Calithera Biosciences, Inc.*		105,756		529
Cardiovascular Systems, Inc.*		118,163		3,821
Catalent, Inc.*		141,252		5,917
Coherus Biosciences, Inc.*		94,374		1,321
Cytokinetics, Inc.*		136,187		1,130
Dermira, Inc.*		106,939		984
Five Prime Therapeutics, Inc.*		117,316		1,855
Flexion Therapeutics, Inc.*		74,270		1,920
G1 Therapeutics, Inc.*		39,546		1,719
Globus Medical, Inc. - Class A*		135,086		6,816
GlycoMimetics, Inc.*		87,330		1,409
Heron Therapeutics, Inc.*		117,872		4,579
HMS Holdings Corp.*		186,551		4,033
ICU Medical, Inc.*		25,932		7,615
Insulet Corp.*		67,046		5,746
Integra LifeSciences Holdings Corp.*		86,297		5,558
Intersect ENT, Inc.*		160,022		5,993
Ironwood Pharmaceuticals, Inc.*		44,991		860

Common Stocks (98.0%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Jounce Therapeutics, Inc.*		55,295		424
Karyopharm Therapeutics, Inc.*		59,046		1,003
Loxo Oncology, Inc.*		39,469		6,847
The Medicines Co.*		89,770		3,295
Medidata Solutions, Inc.*		52,276		4,211
Merit Medical Systems, Inc.*		99,510		5,095
Molina Healthcare, Inc.*		46,944		4,598
MyoKardia, Inc.*		69,959		3,473
Nanostring Technologies, Inc.*		142,990		1,956
Natus Medical, Inc.*		102,797		3,547
Omnicell, Inc.*		104,889		5,501
OraSure Technologies, Inc.*		195,672		3,223
Orthofix International NV*		61,978		3,522
Portola Pharmaceuticals, Inc.*		74,876		2,828
The Providence Service Corp.*		17,540		1,378
REGENXBIO, Inc.*		40,027		2,872
Revance Therapeutics, Inc.*		55,274		1,517
Rigel Pharmaceuticals, Inc.*		469,492		1,329
Spark Therapeutics, Inc.*		47,722		3,949
Syneos Health, Inc.*		99,524		4,668
U.S. Physical Therapy, Inc.		37,390		3,589
Ultragenyx Pharmaceutical, Inc.*		68,447		5,262
Total				167,051
Industrials (16.6%)
Advanced Disposal Services, Inc.*		112,220		2,781
Aerojet Rocketdyne Holdings, Inc.*		114,106		3,365
Altra Industrial Motion Corp.		118,523		5,108
American Woodmark Corp.*		40,787		3,734
Applied Industrial Technologies, Inc.		63,071		4,424
Armstrong World Industries, Inc.*		74,079		4,682
ASGN, Inc.*		87,672		6,855
Astec Industries, Inc.		47,656		2,850
AZZ, Inc.		72,581		3,154
BMC Stock Holdings, Inc.*		130,477		2,720
Clean Harbors, Inc.*		73,821		4,101
Deluxe Corp.		31,055		2,056

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

Small Cap Growth Stock Portfolio

40

Small Cap Growth Stock Portfolio

Common Stocks (98.0%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
Exponent, Inc.		125,024		6,039
Generac Holdings, Inc.*		101,573		5,254
Genesee & Wyoming, Inc. - Class A*		55,081		4,479
Huron Consulting Group, Inc.*		58,580		2,396
ITT, Inc.		100,977		5,278
JELD-WEN Holding, Inc.*		155,355		4,442
John Bean Technologies Corp.		66,849		5,943
Knight-Swift Transportation Holdings		67,507		2,579
Marten Transport, Ltd.		147,665		3,463
Mercury Systems, Inc.*		51,014		1,942
Milacron Holdings Corp.*		195,025		3,692
MSA Safety, Inc.		51,756		4,986
Rexnord Corp.*		154,544		4,491
SiteOne Landscape Supply, Inc.*		35,438		2,976
WageWorks, Inc.*		29,131		1,456
Welbilt, Inc.*		104,866		2,340
Total				107,586
Information Technology (22.3%)
2U, Inc.*		56,085		4,686
8x8, Inc.*		138,565		2,778
Acxiom Corp.*		127,299		3,813
Advanced Energy Industries, Inc.*		19,303		1,121
Axcelis Technologies, Inc.*		7,282		144
Blackbaud, Inc.		38,574		3,952
Blucora, Inc.*		106,148		3,927
CACI International, Inc. - Class A*		30,677		5,171
Carbonite, Inc.*		81,163		2,833
Cloudera, Inc.*		215,238		2,936
Cohu, Inc.		134,595		3,299
Diodes, Inc.*		92,181		3,177
Entegris, Inc.		157,473		5,338
EPAM Systems, Inc.*		42,429		5,275
ePlus, Inc.*		53,538		5,038
Etsy, Inc.*		142,423		6,009
Everbridge, Inc.*		83,308		3,950

Common Stocks (98.0%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Fabrinet*		106,770		3,939
Fair Isaac Corp.*		29,794		5,760
Five9, Inc.*		132,761		4,590
ForeScout Technologies, Inc.*		93,428		3,201
FormFactor, Inc.*		355,441		4,727
HubSpot, Inc.*		44,561		5,588
II-VI, Inc.*		66,328		2,882
Instructure, Inc.*		89,266		3,798
LogMeIn, Inc.		36,429		3,761
Lumentum Holdings, Inc.*		39,018		2,259
MINDBODY, Inc.*		72,060		2,782
MKS Instruments, Inc.		35,268		3,375
MongoDB, Inc.*		79,478		3,944
Okta, Inc.*		55,290		2,785
Paylocity Holding Corp.*		73,330		4,316
Pegasystems, Inc.		82,148		4,502
Pivotal Software, Inc. - Class A*		93,690		2,274
Q2 Holdings, Inc.*		42,256		2,411
Rogers Corp.*		31,239		3,482
Science Applications International Corp.		63,118		5,108
TrueCar, Inc.*		231,928		2,340
Zendesk, Inc.*		67,104		3,657
Total				144,928
Materials (3.9%)
Boise Cascade Co.		99,832		4,462
Graphic Packaging Holding Co.		288,170		4,181
Louisiana-Pacific Corp.		152,874		4,161
Omnova Solutions, Inc.*		239,282		2,489
PolyOne Corp.		150,811		6,518
Summit Materials, Inc. - Class A*		127,450		3,346
Total				25,157
Real Estate (2.0%)
CoreSite Realty Corp.		22,671		2,512
Corporate Office Properties Trust		85,509		2,479
HFF, Inc. - Class A		102,525		3,522

Common Stocks (98.0%)	Shares/ $ Par		Value $ (000’s)
Real Estate continued
Sunstone Hotel Investors, Inc.		254,337		4,227
Total				12,740
Telecommunication Services (0.9%)
ORBCOMM, Inc.*		195,103		1,970
Vonage Holdings Corp.*		306,967		3,957
Total				5,927
Utilities (0.3%)
Evoqua Water Technologies Corp.*		108,900		2,232
Total				2,232
Total Common Stocks (Cost: $492,584)				636,917
Investment Companies (0.9%)
Investment Companies (0.9%)
iShares Russell 2000 Growth Index Fund		28,007		5,723
Total Investment Companies (Cost: $5,765)				5,723
Short-Term Investments (0.3%)
Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		1,957,968		1,958
Total Short-Term Investments (Cost: $1,958)				1,958
Total Investments (99.2%) (Cost: $500,307)(a)				644,598
Other Assets, Less Liabilities (0.8%)				4,999
Net Assets (100.0%)				649,597

# 7-day yield as of June 30, 2018.

* Non-Income Producing

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $500,307 and the net unrealized appreciation of investments based on that cost was $144,291 which is comprised of $159,262 aggregate gross unrealized appreciation and $14,971 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

Small Cap Growth Stock Portfolio

41

Small Cap Growth Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	636,917	$	—	$	—
Investment Companies		5,723		—		—
Short-Term Investments		1,958		—		—
Total Assets:	$	644,598	$	—	$	—

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

Small Cap Growth Stock Portfolio

42

Index 600 Stock Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

“Standard & Poor’s^®”, “S&P^®”, “S&P SmallCap 600” and “Standard & Poor’s SmallCap 600” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Northwestern Mutual Life Insurance Company. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Portfolio.

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

The Portfolio may invest in exchange-traded funds and derivative instruments such as swap agreements and, to a lesser extent, futures contracts, for cash management purposes and to help achieve full replication. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Portfolio expenses. This Example is intended to help you

understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,091.72	$  1.61
Hypothetical (5% return before expenses)	$1,000.00	$1,023.26	$  1.56

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.31%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Index 600 Stock Portfolio

43

Index 600 Stock Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (13.7%)
Abercrombie & Fitch Co. - Class A		19,600		480
American Axle & Manufacturing Holdings, Inc.*		28,697		447
American Public Education, Inc.*		4,736		199
Asbury Automotive Group, Inc.*		5,302		363
Ascena Retail Group, Inc.*		49,291		196
Barnes & Noble Education, Inc.*		10,838		61
Barnes & Noble, Inc.		16,396		104
Belmond, Ltd. - Class A*		24,247		270
Big 5 Sporting Goods Corp.		5,813		44
BJ’s Restaurants, Inc.		5,222		313
The Buckle, Inc.		8,215		221
Caleres, Inc.		12,472		429
Callaway Golf Co.		27,266		517
Capella Education Co.		3,369		333
Career Education Corp.*		19,097		309
The Cato Corp. - Class A		6,655		164
Cavco Industries, Inc.*		2,455		510
Chico’s FAS, Inc.		37,299		304
The Children’s Place, Inc.		4,805		580
Chuy’s Holdings, Inc.*		4,888		150
Cooper Tire & Rubber Co.		14,599		384
Cooper-Standard Holding, Inc.*		4,695		613
Core-Mark Holding Co., Inc.		13,328		303
Crocs, Inc.*		19,718		347
Dave & Buster’s Entertainment, Inc.*		11,447		545
DineEquity, Inc.		5,149		385
Dorman Products, Inc.*		8,566		585
DSW, Inc. - Class A		20,928		540
The E.W. Scripps Co. - Class A		15,913		213
El Pollo Loco Holdings, Inc.*		6,248		71
Ethan Allen Interiors, Inc.		7,224		177
Express, Inc.*		21,755		199
Fiesta Restaurant Group, Inc.*		7,870		226
Fossil Group, Inc.*		12,655		340
Fox Factory Holding Corp.*		10,879		506
Francesca’s Holdings Corp.*		10,021		76
FTD Companies, Inc.*		4,890		23
GameStop Corp. - Class A		29,418		429
Gannett Co., Inc.		32,611		349
Genesco, Inc.*		5,751		228

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary continued
Gentherm, Inc.*		10,625		418
G-III Apparel Group, Ltd.*		12,063		536
Group 1 Automotive, Inc.		5,681		358
Guess?, Inc.		16,832		360
Haverty Furniture Cos., Inc.		5,576		120
Hibbett Sports, Inc.*		5,484		126
Installed Building Products, Inc.*		6,023		341
iRobot Corp.*		8,029		608
J.C. Penney Co., Inc.*		90,759		212
Kirkland’s, Inc.*		4,550		53
La-Z-Boy, Inc.		13,592		416
LCI Industries		7,281		656
LGI Homes, Inc.*		5,225		302
Lithia Motors, Inc. - Class A		6,915		654
Lumber Liquidators Holdings, Inc.*		8,242		201
M.D.C. Holdings, Inc.		12,989		400
M/I Homes, Inc.*		8,251		218
The Marcus Corp.		5,622		183
MarineMax, Inc.*		6,420		122
Marriott Vacations Worldwide Corp.		6,827		771
Meritage Homes Corp.*		11,033		485
Monarch Casino & Resort, Inc.*		3,288		145
Monro Muffler Brake, Inc.		9,489		551
Motorcar Parts of America, Inc.*		5,508		103
Movado Group, Inc.		4,518		218
Nautilus, Inc.*		8,783		138
New Media Investment Group, Inc.		17,411		322
Nutrisystem, Inc.		8,579		330
Office Depot, Inc.		148,205		378
Oxford Industries, Inc.		4,891		406
Penn National Gaming, Inc.*		24,404		820
Perry Ellis International, Inc.*		3,665		100
PetMed Express, Inc.		5,949		262
Red Robin Gourmet Burgers, Inc.*		3,750		175
Regis Corp.*		9,990		165
Rent-A-Center, Inc.		15,425		227
Restoration Hardware, Inc.*		5,531		773
Ruth’s Hospitality Group, Inc.		8,309		233
Scholastic Corp.		7,928		351
Shake Shack, Inc. - Class A*		5,589		370
Shoe Carnival, Inc.		3,111		101

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary continued
Shutterfly, Inc.*		9,576		862
Sleep Number Corp.*		10,668		310
Sonic Automotive, Inc. - Class A		6,990		144
Sonic Corp.		10,729		369
Standard Motor Products, Inc.		5,843		282
Steven Madden, Ltd.		15,195		807
Strayer Education, Inc.		3,100		350
Sturm, Ruger & Co., Inc.		5,038		282
Superior Industries International, Inc.		6,716		120
Tailored Brands, Inc.		14,362		366
The Tile Shop Holdings, Inc.		10,003		77
TopBuild Corp.*		10,297		807
Unifi, Inc.*		4,924		156
Universal Electronics, Inc.*		4,079		135
Vera Bradley, Inc.*		5,454		77
Vista Outdoor, Inc.*		16,589		257
Vitamin Shoppe, Inc.*		6,997		49
William Lyon Homes - Class A*		8,054		187
Wingstop, Inc.		8,435		440
Winnebago Industries, Inc.		8,319		338
Wolverine World Wide, Inc.		27,363		951
World Wrestling Entertainment, Inc. - Class A		11,550		841
Zumiez, Inc.*		5,289		132
Total				34,580
Consumer Staples (2.9%)
The Andersons, Inc.		7,648		261
Avon Products, Inc.*		127,546		207
B&G Foods, Inc.		19,230		575
Calavo Growers, Inc.		4,559		438
Cal-Maine Foods, Inc.*		8,607		395
Central Garden & Pet Co.*		2,981		130
Central Garden & Pet Co. - Class A*		10,156		411
Coca-Cola Bottling Co. Consolidated		1,340		181
Darling Ingredients, Inc.*		47,547		945
Dean Foods Co.		26,378		277
Inter Parfums, Inc.		4,969		266
J & J Snack Foods Corp.		4,321		659
John B. Sanfilippo & Son, Inc.		2,526		188
Medifast, Inc.		3,065		491
MGP Ingredients, Inc.		3,648		324

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

Index 600 Stock Portfolio

44

Index 600 Stock Portfolio

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Consumer Staples continued
Seneca Foods Corp. - Class A*		1,951		53
SpartanNash Co.		10,373		265
SUPERVALU, Inc.*		11,090		227
Universal Corp.		7,190		475
WD-40 Co.		4,017		587
Total				7,355
Energy (3.9%)
Archrock, Inc.		37,341		448
Bristow Group, Inc.*		9,336		132
C&J Energy Services, Inc.*		18,369		433
CARBO Ceramics, Inc.*		6,412		59
Carrizo Oil & Gas, Inc.*		22,514		627
Cloud Peak Energy, Inc.*		21,881		76
CONSOL Energy, Inc.*		7,285		279
Denbury Resources, Inc.*		115,792		557
ERA Group, Inc.*		5,950		77
Exterran Corp.*		9,287		232
Geospace Technologies Corp.*		3,921		55
Green Plains, Inc.		11,233		206
Gulf Island Fabrication, Inc.		3,953		36
Helix Energy Solutions Group, Inc.*		40,199		335
HighPoint Resources Corp.*		28,774		175
Matrix Service Co.*		7,746		142
Newpark Resources, Inc.*		25,791		280
Noble Corp. PLC*		71,264		451
Oil States International, Inc.*		17,314		556
Par Pacific Holdings, Inc.*		7,287		127
PDC Energy, Inc.*		19,078		1,153
Penn Virginia Corp.*		3,910		332
Pioneer Energy Services Corp.*		22,562		132
ProPetro Holding Corp.*		20,715		325
Renewable Energy Group, Inc.*		9,483		169
REX American Resources Corp.*		1,637		133
Ring Energy, Inc.*		15,695		198
SEACOR Holdings, Inc.*		4,934		283
SRC Energy, Inc.*		69,899		770
TETRA Technologies, Inc.*		36,261		161
Unit Corp.*		15,607		399
US Silica Holdings, Inc.		22,506		578
Total				9,916
Financials (15.9%)
Ambac Financial Group, Inc.*		13,091		260
American Equity Investment Life Holding Co.		26,017		937

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Ameris Bancorp		11,713		625
AMERISAFE, Inc.		5,562		321
Appollo Commercial Real Estate Finance, Inc.		32,328		591
ARMOUR Residential REIT, Inc.		12,100		276
Banc of California, Inc.		12,276		240
Banner Corp.		9,341		562
Berkshire Hills Bancorp, Inc.		10,625		431
BofI Holding, Inc.*		15,896		650
Boston Private Financial Holdings, Inc.		24,320		387
Brookline Bancorp, Inc.		23,193		431
Capstead Mortgage Corp.		26,696		239
Central Pacific Financial Corp.		8,548		245
City Holding Co.		4,457		335
Columbia Banking System, Inc.		21,150		865
Community Bank System, Inc.		14,720		869
Customers Bancorp, Inc.*		8,550		243
CVB Financial Corp.		29,611		664
Dime Community Bancshares		8,897		173
Donnelley Financial Solutions, Inc.*		9,789		170
eHealth, Inc.*		4,827		107
Employers Holdings, Inc.		9,460		380
Encore Capital Group, Inc.*		6,885		252
Enova International, Inc.*		9,783		358
EZCORP, Inc. - Class A*		14,870		179
Fidelity Southern Corp.		6,402		163
Financial Engines, Inc.		18,391		826
First BanCorp*		52,494		402
First Commonwealth Financial Corp.		28,982		449
First Financial Bancorp.		28,245		866
First Financial Bankshares, Inc.		19,528		994
First Midwest Bancorp, Inc.		29,768		758
FirstCash, Inc.		13,115		1,178
Franklin Financial Network, Inc.*		3,487		131
Glacier Bancorp, Inc.		22,940		887
Great Western Bancorp, Inc.		17,008		714
Green Bancorp, Inc.		7,642		165
Green Dot Corp. - Class A*		13,495		990
Greenhill & Co., Inc.		6,341		180
Hanmi Financial Corp.		9,384		266
HCI Group, Inc.		2,184		91
Heritage Financial Corp. of Washington		8,199		286
HomeStreet, Inc.*		7,790		210

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Hope Bancorp, Inc.		37,177		663
Horace Mann Educators Corp.		11,809		527
Independent Bank Corp.		7,964		624
Infinity Property & Casualty Corp.		3,160		450
INTL FCStone, Inc.*		4,525		234
Invesco Mortgage Capital, Inc.		32,238		513
Investment Technology Group, Inc.		9,537		199
James River Group Holdings, Ltd.		8,625		339
LegacyTexas Financial Group, Inc.		12,265		479
Maiden Holdings, Ltd.		19,682		152
Meta Financial Group, Inc.		2,633		256
National Bank Holding Corp. - Class A		7,847		303
The Navigators Group, Inc.		6,523		372
NBT Bancorp, Inc.		12,600		481
New York Mortgage Trust, Inc.		32,375		195
NMI Holdings, Inc. - Class A*		16,853		275
Northfield Bancorp, Inc.		13,479		224
Northwest Bancshares, Inc.		29,629		515
OFG Bancorp		12,697		178
Old National Bancorp		38,670		719
Opus Bank		4,991		143
Oritani Financial Corp.		11,442		185
Pacific Premier Bancorp, Inc.*		11,287		431
PennyMac Mortgage Investment Trust		17,581		334
Piper Jaffray Cos., Inc.		4,125		317
PRA Group, Inc.*		13,074		504
ProAssurance Corp.		15,477		549
Provident Financial Services, Inc.		17,610		485
RLI Corp.		11,255		745
S&T Bancorp, Inc.		10,107		437
Safety Insurance Group, Inc.		4,414		377
Seacoast Banking Corp. of Florida*		13,568		428
Selective Insurance Group, Inc.		16,965		933
ServisFirst Bancshares, Inc.		13,045		544
Simmons First National Corp. - Class A		22,642		677
Southside Bancshares, Inc.		7,997		269
Stewart Information Services Corp.		6,853		295
Third Point Reinsurance, Ltd.*		23,916		299

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

Index 600 Stock Portfolio

45

Index 600 Stock Portfolio

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Tompkins Financial Corp.		3,576		307
TrustCo Bank Corp.		27,846		248
United Community Banks, Inc.		21,250		652
United Fire Group, Inc.		6,119		334
United Insurance Holdings Corp.		5,925		116
Universal Insurance Holdings, Inc.		9,417		331
Virtus Investment Partners, Inc.		2,084		267
Waddell & Reed Financial, Inc. - Class A		23,690		426
Walker & Dunlop, Inc.		8,154		454
Westamerica Bancorporation		7,689		434
WisdomTree Investments, Inc.		33,602		305
World Acceptance Corp.*		1,757		195
Total				40,065
Health Care (11.2%)
Abaxis, Inc.		6,605		548
Aceto Corp.		8,891		30
Acorda Therapeutics, Inc.*		13,591		390
AMAG Pharmaceuticals, Inc.*		9,913		193
Amedisys, Inc.*		8,263		706
AMN Healthcare Services, Inc.*		13,819		810
Amphastar Pharmaceuticals, Inc.*		10,365		158
AngioDynamics, Inc.*		10,628		236
ANI Pharmaceuticals, Inc.*		2,621		175
Anika Therapeutics, Inc.*		4,258		136
BioTelemetry, Inc.*		8,997		405
Cambrex Corp.*		9,518		498
Community Health Systems, Inc.*		33,584		112
Computer Programs and Systems, Inc.		3,295		108
CONMED Corp.		7,207		528
Corcept Therapeutics, Inc.*		27,620		434
CorVel Corp.*		2,781		150
Cross Country Healthcare, Inc.*		10,511		118
CryoLife, Inc.*		9,732		271
Cutera, Inc.*		3,937		159
Cytokinetics, Inc.*		14,712		122
DepoMed, Inc.*		18,362		122
Diplomat Pharmacy, Inc.*		13,915		356
Eagle Pharmaceuticals, Inc.*		2,403		182
Emergent Biosolutions, Inc.*		10,215		516

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Enanta Pharmaceuticals, Inc.*		4,173		484
Endo International PLC*		58,163		548
Ensign Group, Inc.		14,060		504
HealthEquity, Inc.*		15,167		1,139
HealthStream, Inc.		7,463		204
Heska Corp.*		1,939		201
HMS Holdings Corp.*		24,031		520
Innoviva, Inc.*		19,925		275
Inogen, Inc.*		5,025		936
Integer Holdings Corp.*		8,228		532
Invacare Corp.		9,575		178
Lannett Co., Inc.*		8,782		119
Lantheus Holdings, Inc.*		8,733		127
LeMaitre Vascular, Inc.		4,406		148
LHC Group, Inc.*		8,439		722
Ligand Pharmaceuticals, Inc. - Class B*		6,157		1,276
Luminex Corp.		11,937		353
Magellan Health, Inc.*		7,112		682
The Medicines Co.*		18,706		687
Meridian Bioscience, Inc.		12,228		194
Merit Medical Systems, Inc.*		14,558		745
MiMedx Group, Inc.*		29,499		189
Momenta Pharmaceuticals, Inc.*		22,406		458
Myriad Genetics, Inc.*		20,187		754
Natus Medical, Inc.*		9,665		333
Neogen Corp.*		14,896		1,195
Omnicell, Inc.*		11,227		589
OraSure Technologies, Inc.*		17,634		290
Orthofix International NV*		5,447		310
Owens & Minor, Inc.		17,844		298
Phibro Animal Health Corp. - Class A		5,720		263
Progenics Pharmaceuticals, Inc.*		21,288		171
The Providence Service Corp.*		3,159		248
Quality Systems, Inc.*		13,644		266
Quorum Health Corp.*		8,159		41
REGENXBIO, Inc.*		7,747		556
Repligen Corp.*		10,851		510
Select Medical Holdings Corp.*		30,971		562
Spectrum Pharmaceuticals, Inc.*		27,044		567
Supernus Pharmaceuticals, Inc.*		14,957		895
Surmodics, Inc.*		3,829		211
Tabula Rasa HealthCare, Inc.*		3,929		251
Tactile Systems Technology, Inc.*		4,280		223

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Health Care continued
Tivity Health, Inc.*		9,903		349
U.S. Physical Therapy, Inc.		3,659		351
Varex Imaging Corp.*		10,960		407
Total				28,324
Industrials (17.6%)
AAON, Inc.		11,643		387
AAR Corp.		9,303		432
ABM Industries, Inc.		18,972		554
Actuant Corp. - Class A		17,525		514
Aegion Corp.*		9,356		241
Aerojet Rocketdyne Holdings, Inc.*		21,802		643
Aerovironment, Inc.*		6,144		439
Alamo Group, Inc.		2,760		249
Albany International Corp. - Class A		8,374		504
Allegiant Travel Co.		3,637		505
American Woodmark Corp.*		4,094		375
Apogee Enterprises, Inc.		8,149		393
Applied Industrial Technologies, Inc.		11,174		784
ArcBest Corp.		7,405		338
ASGN, Inc.*		14,198		1,110
Astec Industries, Inc.		5,534		331
Atlas Air Worldwide Holdings, Inc.*		7,382		529
Axon Enterprise, Inc.*		16,601		1,049
AZZ, Inc.		7,515		327
Barnes Group, Inc.		13,972		823
Brady Corp. - Class A		13,919		537
Briggs & Stratton Corp.		12,320		217
Chart Industries, Inc.*		8,944		552
CIRCOR International, Inc.		5,789		214
Comfort Systems USA, Inc.		10,716		491
Cubic Corp.		7,234		464
DXP Enterprises, Inc.*		4,561		174
Echo Global Logistics, Inc.*		7,701		225
Encore Wire Corp.		6,019		286
Engility Holdings, Inc.*		5,123		157
EnPro Industries, Inc.		6,066		424
ESCO Technologies, Inc.		7,482		432
Essendant, Inc.		10,874		144
Exponent, Inc.		15,019		725
Federal Signal Corp.		17,328		404
Forrester Research, Inc.		2,856		120
Forward Air Corp.		8,494		502
Franklin Electric Co., Inc.		11,150		503
FTI Consulting, Inc.*		10,907		660
Gibraltar Industries, Inc.*		9,171		344
The Greenbrier Cos., Inc.		8,171		431
Griffon Corp.		9,733		173
Harsco Corp.*		23,268		514
Hawaiian Holdings, Inc.		14,662		527

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

Index 600 Stock Portfolio

46

Index 600 Stock Portfolio

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
Heartland Express, Inc.		14,262		265
Heidrick & Struggles International, Inc.		5,464		191
Hillenbrand, Inc.		18,052		851
Hub Group, Inc. - Class A*		9,732		485
Insperity, Inc.		10,796		1,028
Insteel Industries, Inc.		5,230		175
Interface, Inc.		17,180		394
John Bean Technologies Corp.		9,164		815
Kaman Corp.		8,061		562
Kelly Services, Inc. - Class A		8,881		199
Korn / Ferry International		16,323		1,011
Lindsay Corp.		3,106		301
LSC Communications, Inc.		9,640		151
Lydall, Inc.*		5,017		219
Marten Transport, Ltd.		11,193		262
Matson, Inc.		12,317		473
Matthews International Corp. - Class A		9,279		546
Mercury Systems, Inc.*		13,916		530
Mobile Mini, Inc.		12,885		604
Moog, Inc. - Class A		9,368		730
Mueller Industries, Inc.		16,623		491
Multi-Color Corp.		4,017		260
MYR Group, Inc.*		4,764		169
National Presto Industries, Inc.		1,451		180
Navigant Consulting, Inc.*		13,049		289
Orion Group Holdings, Inc.*		8,175		67
Patrick Industries, Inc.*		6,797		386
PGT Innovations, Inc.*		14,432		301
Powell Industries, Inc.		2,516		88
Proto Labs, Inc.*		7,234		860
Quanex Building Products Corp.		10,129		182
Raven Industries, Inc.		10,363		398
Resources Connection, Inc.		8,555		145
RR Donnelley & Sons Co.		20,301		117
Saia, Inc.*		7,416		600
Simpson Manufacturing Co., Inc.		11,904		740
SkyWest, Inc.		15,030		780
SPX Corp.*		12,409		435
SPX Flow, Inc.*		12,279		537
Standex International Corp.		3,706		379
Team, Inc.*		8,659		200
Tennant Co.		5,193		410
Tetra Tech, Inc.		16,060		939
Titan International, Inc.		14,338		154
Trex Co., Inc.*		16,999		1,064
Triumph Group, Inc.		14,358		281
TrueBlue, Inc.*		10,816		291

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
UniFirst Corp.		4,453		788
Universal Forest Products, Inc.		17,772		651
US Ecology, Inc.		6,333		403
Veritiv Corp.*		3,247		129
Viad Corp.		5,914		321
Vicor Corp.*		4,732		206
Wabash National Corp.		16,761		313
WageWorks, Inc.*		11,446		572
Watts Water Technologies, Inc. - Class A		8,034		630
Total				44,295
Information Technology (14.2%)
3D Systems Corp.*		32,866		454
8x8, Inc.*		26,857		539
ADTRAN, Inc.		13,836		206
Advanced Energy Industries, Inc.*		11,357		660
Agilysys, Inc.*		4,428		69
Alarm.com Holdings, Inc.*		7,238		292
Anixter International, Inc.*		8,400		532
Applied Optoelectronics, Inc.*		5,654		254
Axcelis Technologies, Inc.*		9,283		184
Badger Meter, Inc.		8,407		376
Bel Fuse, Inc. - Class B		2,844		59
Benchmark Electronics, Inc.		13,712		400
Blucora, Inc.*		13,567		502
Bottomline Technologies, Inc.*		10,113		504
Brooks Automation, Inc.		20,370		665
Cabot Microelectronics Corp.		7,417		798
CACI International, Inc. - Class A*		7,132		1,202
CalAmp Corp.*		10,327		242
Cardtronics PLC*		13,262		321
CEVA, Inc.*		6,417		194
Cohu, Inc.		8,316		204
Comtech Telecommunications Corp.		6,821		217
Control4 Corp.*		5,858		142
Cray, Inc.*		11,738		289
CSG Systems International, Inc.		9,718		397
CTS Corp.		9,535		343
Daktronics, Inc.		11,302		96
Diebold, Inc.		21,935		262
Digi International, Inc.*		7,841		104
Diodes, Inc.*		11,170		385
DSP Group, Inc.*		6,548		82
Ebix, Inc.		6,361		485
Electro Scientific Industries, Inc.*		9,930		157

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Electronics for Imaging, Inc.*		12,914		421
ePlus, Inc.*		3,956		372
EVERTEC, Inc.		17,406		380
Exlservice Holdings, Inc.*		9,933		562
Extreme Networks, Inc.*		33,467		266
Fabrinet*		10,656		393
FARO Technologies, Inc.*		4,896		266
Finisar Corp.*		33,121		596
FormFactor, Inc.*		21,090		281
Harmonic, Inc.*		24,608		105
II-VI, Inc.*		15,894		691
Insight Enterprises, Inc.*		10,233		501
Itron, Inc.*		9,962		598
KEMET Corp.*		14,306		346
Knowles Corp.*		25,977		397
Kopin Corp.*		17,901		51
Kulicke and Soffa Industries, Inc.		19,957		475
Liquidity Services, Inc.*		7,509		49
LivePerson, Inc.*		16,131		340
ManTech International Corp. - Class A		7,610		408
MaxLinear, Inc. - Class A*		17,901		279
Methode Electronics, Inc. - Class A		10,640		429
MicroStrategy, Inc. - Class A*		2,718		347
Monotype Imaging Holdings, Inc.		12,179		247
MTS Systems Corp.		5,149		271
Nanometrics, Inc.*		6,899		244
NETGEAR, Inc.*		9,111		569
NIC, Inc.		19,207		299
Oclaro, Inc.*		49,282		440
OneSpan, Inc.*		8,731		172
OSI Systems, Inc.*		4,906		379
Park Electrochemical Corp.		5,495		127
PDF Solutions, Inc.*		7,941		95
Perficient, Inc.*		10,124		267
Photronics, Inc.*		20,179		161
Plexus Corp.*		9,523		567
Power Integrations, Inc.		8,542		624
Progress Software Corp.		13,128		510
Qualys, Inc.*		9,455		797
QuinStreet, Inc.*		10,617		135
Rambus, Inc.*		31,039		389
Rogers Corp.*		5,304		591
Rudolph Technologies, Inc.*		9,185		272
Sanmina Corp.*		19,810		580
ScanSource, Inc.*		7,385		298
Semtech Corp.*		19,113		899
Shutterstock, Inc.*		5,336		253

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

Index 600 Stock Portfolio

47

Index 600 Stock Portfolio

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
SolarEdge Technologies, Inc.*		10,918		522
SPS Commerce, Inc.*		5,014		368
Stamps.com, Inc.*		4,814		1,218
Super Micro Computer, Inc.*		10,968		259
Sykes Enterprises, Inc.*		11,494		331
TiVo Corp.		35,509		478
Travelport Worldwide, Ltd.		36,395		675
TTEC Holdings, Inc.		4,119		142
TTM Technologies, Inc.*		26,885		474
Ultra Clean Holdings, Inc.*		11,182		186
Veeco Instruments, Inc.*		14,061		200
Viavi Solutions, Inc.*		65,354		669
Virtusa Corp.*		7,971		388
XO Group, Inc.*		7,031		225
Xperi Corp.		14,159		228
Total				35,718
Materials (4.7%)
A. Schulman, Inc.		8,527		379
AdvanSix, Inc.*		8,807		323
AK Steel Holding Corp.*		91,052		395
American Vanguard Corp.		7,590		174
Balchem Corp.		9,272		910
Boise Cascade Co.		11,226		502
Century Aluminum Co.*		14,415		227
Clearwater Paper Corp.*		4,753		110
Flotek Industries, Inc.*		16,421		53
FutureFuel Corp.		7,326		103
H.B. Fuller Co.		14,598		784
Hawkins, Inc.		2,746		97
Haynes International, Inc.		3,615		133
Ingevity Corp.*		12,155		983
Innophos Holdings, Inc.		5,643		269
Innospec, Inc.		7,047		539
Kaiser Aluminum Corp.		4,840		504
KapStone Paper & Packaging Corp.		25,415		877
Koppers Holdings, Inc.*		6,098		234
Kraton Corp.*		9,212		425
LSB Industries, Inc.*		5,867		31
Materion Corp.		5,831		316
Myers Industries, Inc.		7,791		149
Neenah Paper, Inc.		4,855		412
Olympic Steel, Inc.		2,636		54
P.H. Glatfelter		12,619		247
Quaker Chemical Corp.		3,847		596
Rayonier Advanced Materials, Inc.		14,978		256
Schweitzer-Mauduit International, Inc.		8,881		388
Stepan Co.		5,754		449
SunCoke Energy, Inc.*		18,672		250
TimkenSteel Corp.*		11,316		185

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Materials continued
Tredegar Corp.		7,364		173
US Concrete, Inc.*		4,563		239
Total				11,766
Real Estate (5.5%)
Acadia Realty Trust		23,561		645
Agree Realty Corp.		8,962		473
American Assets Trust, Inc.		11,995		459
Armada Hoffler Properties, Inc.		13,063		195
CareTrust REIT, Inc.		21,987		367
CBL & Associates Properties, Inc.		49,861		278
Cedar Realty Trust, Inc.		22,702		107
Chatham Lodging Trust		13,246		281
Chesapeake Lodging Trust		17,436		552
Community Healthcare Trust, Inc.		4,987		149
DiamondRock Hospitality Co.		57,917		711
Easterly Government Properties, Inc.		16,301		322
EastGroup Properties, Inc.		10,091		964
Four Corners Property Trust, Inc.		17,728		437
Franklin Street Properties Corp.		30,966		265
Getty Realty Corp.		9,537		269
Global Net Lease, Inc.		19,445		397
Government Properties Income Trust		28,631		454
Hersha Hospitality Trust		10,676		229
HFF, Inc. - Class A		10,729		368
Independence Realty Trust, Inc.		25,116		259
Kite Realty Group Trust		24,163		413
Lexington Realty Trust		62,371		544
LTC Properties, Inc.		11,444		489
National Storage Affiliates Trust		14,591		450
Pennsylvania Real Estate Investment Trust		20,316		223
PS Business Parks, Inc.		5,759		740
Ramco-Gershenson Properties Trust		23,111		305
RE/MAX Holdings, Inc. - Class A		5,125		269
Retail Opportunity Investments Corp.		32,551		624
Saul Centers, Inc.		3,510		188
Summit Hotel Properties, Inc.		30,236		433
Universal Health Realty Income Trust		3,649		233

Common Stocks (92.7%)	Shares/ $ Par		Value $ (000’s)
Real Estate continued
Urstadt Biddle Properties, Inc. - Class A		8,609		195
Washington Prime Group, Inc.		53,710		436
Whitestone REIT		11,492		143
Total				13,866
Telecommunication Services (1.0%)
ATN International, Inc.		3,139		166
Cincinnati Bell, Inc.*		12,243		192
Cogent Communications Holdings, Inc.		12,031		643
Consolidated Communications Holdings, Inc.		18,724		231
Frontier Communications Corp.		23,142		124
Iridium Communications, Inc.*		24,224		390
Spok Holdings, Inc.		5,739		86
Vonage Holdings Corp.*		62,408		805
Total				2,637
Utilities (2.1%)
American States Water Co.		10,608		606
Avista Corp.		18,964		999
California Water Service Group		13,883		541
El Paso Electric Co.		11,743		694
Northwest Natural Gas Co.		8,312		530
South Jersey Industries, Inc.		24,691		827
Spire, Inc.		14,541		1,027
Total				5,224
Total Common Stocks     (Cost: $181,895)				233,746
Investment Companies (2.0%)
Investment Companies (2.0%)
iShares Core S&P Small-Cap ETF		61,343		5,120
Total Investment     Companies     (Cost: $5,203)				5,120
Short-Term Investments (5.4%)
Commercial Paper (3.9%)
Apple, Inc., 0.000%, 8/15/18 144A		1,000,000		997
General Mills, Inc., 0.000%, 7/2/18 144A		1,000,000		1,000

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

Index 600 Stock Portfolio

48

Index 600 Stock Portfolio

Short-Term Investments (5.4%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper continued
Mondelez International, Inc., 0.000%, 8/27/18 144A		1,000,000		996
Pfizer, Inc., 0.000%, 8/20/18 144A(k)		1,000,000		997
Roche Holdings, Inc., 0.000%, 9/14/18 144A		1,000,000		996
Societe Generale SA, 0.000%, 8/16/18 144A		1,000,000		997
United Parcel Service, Inc., 0.000%, 7/11/18 144A		1,000,000		999
Walgreens Boots Alliance, Inc., 0.000%, 8/8/18 144A		1,000,000		997

Short-Term Investments (5.4%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper continued
Walmart, Inc., 0.000%, 7/16/18 144A		1,000,000		999
The Walt Disney Co., 0.000%, 8/28/18 144A		1,000,000		997
Total				9,975
Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		2,685,670		2,686
Total				2,686

Short-Term Investments (5.4%)	Shares/ $ Par		Value $ (000’s)
US Government & Agencies (0.4%)
Federal Home Loan Bank, 0.000%, 7/5/18		1,000,000		1,000
Total				1,000
Total Short-Term Investments     (Cost: $13,662)				13,661
Total Investments (100.1%)     (Cost: $200,760)(a)				252,527
Other Assets, Less     Liabilities (-0.1%)				(211	)
Net Assets (100.0%)				252,316

# 7-day yield as of June 30, 2018.

* Non-Income Producing

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $9,975 representing 3.9% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $200,760 and the net unrealized appreciation of investments based on that cost was $51,810 which is comprised of $62,175 aggregate gross unrealized appreciation and $10,365 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(j) Swap agreements outstanding on June 30, 2018.

Total Return Swaps

Reference Entity	Counterparty	Payment made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
S&P SmallCap 600 Index	Morgan Stanley	1-Month USD LIBOR + 28.5 basis points	S&P SmallCap 600 Index	5/19	$	13,158	$	43	$	43

(k) Cash or securities with an aggregate value of $997 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on June 30, 2018.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	233,746	$	—	$	—
Investment Companies		5,120		—		—
Short-Term Investments
Money Market Funds		2,686		—		—
All Others		—		10,975		—
Other Financial Instruments^
Total Return Swaps		—		43		—
Total Assets:	$	241,552	$	11,018	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

Index 600 Stock Portfolio

49

Small Cap Value Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

The Portfolio may invest a portion of its assets in other investment companies, including open-end and closed-end funds, exchange-traded funds (“ETFs”), and business development companies (“BDCs”), and will bear its pro rata portion of such expenses. The market prices of ETFs, closed-end funds and BDCs may trade at a premium or discount to their net asset values and may be subject to trading halts by the applicable exchange, which may negatively impact the Portfolio. BDCs in particular may be less liquid and more adversely affected by poor economic or market conditions.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,034.71	$  4.39
Hypothetical (5% return before expenses)	$1,000.00	$1,020.48	$  4.36

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.87%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Small Cap Value Portfolio

50

Small Cap Value Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (10.8%)
Aaron’s, Inc.		142,600		6,196
American Public Education, Inc.*		95,100		4,004
Boot Barn Holdings, Inc.*		68,791		1,427
Cable One, Inc.		6,172		4,526
Capella Education Co.		58,300		5,754
Cavco Industries, Inc.*		31,300		6,499
Crocs, Inc.*		128,700		2,266
CSS Industries, Inc.		77,859		1,316
Culp, Inc.		84,650		2,078
Dorman Products, Inc.*		62,400		4,263
Express, Inc.*		221,300		2,025
ILG, Inc.		122,600		4,050
LCI Industries		40,500		3,651
Lumber Liquidators Holdings, Inc.*		154,100		3,752
Party City Holdco, Inc.*		176,561		2,693
Pool Corp.		38,700		5,863
Red Robin Gourmet Burgers, Inc.*		38,000		1,771
Scholastic Corp.		48,500		2,149
Steven Madden, Ltd.		89,100		4,731
Visteon Corp.*		9,400		1,215
Total				70,229
Consumer Staples (4.4%)
BJ’s Wholesale Club Holdings, Inc.*		50,446		1,193
Energizer Holdings, Inc.		63,100		3,973
Nomad Foods, Ltd.*		408,800		7,845
Pinnacle Foods, Inc.		47,600		3,097
Post Holdings, Inc.*		45,900		3,948
PriceSmart, Inc.		39,522		3,577
The Simply Good Foods Co.*		144,802		2,091
SpartanNash Co.		96,500		2,462
Total				28,186
Energy (6.3%)
Centennial Resource Development, Inc. - Class A*		330,600		5,971
Frank’s International NV		558,634		4,357
International Seaways, Inc.*		134,200		3,106
Jagged Peak Energy, Inc.*		195,625		2,547
Keane Group, Inc.*		246,280		3,367
Kosmos Energy, Ltd.*		207,100		1,713
Matador Resources Co.*		219,500		6,596
Oceaneering International, Inc.		139,958		3,563

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Energy continued
TETRA Technologies, Inc.*		777,800		3,461
WPX Energy, Inc.*		354,200		6,386
Total				41,067
Financials (28.1%)
Assured Guaranty, Ltd.		82,300		2,941
Atlantic Capital Bancshares, Inc.*		108,156		2,125
BankUnited, Inc.		188,200		7,688
Beneficial Bancorp, Inc.		231,739		3,754
CBOE Holdings, Inc.		28,188		2,934
CoBiz Financial, Inc.		226,500		4,865
Columbia Banking System, Inc.		156,900		6,417
East West Bancorp, Inc.		112,648		7,345
Employers Holdings, Inc.		72,300		2,906
FB Financial Corp.		90,284		3,676
First Hawaiian, Inc.		72,885		2,115
Glacier Bancorp, Inc.		142,200		5,500
Green Dot Corp. - Class A*		120,300		8,829
GS Acquisition Holdings Corp.*		91,826		937
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		141,400		2,793
Hercules Capital, Inc.		268,300		3,394
Heritage Commerce Corp.		128,900		2,190
Heritage Financial Corp. of Washington		89,800		3,130
Home BancShares, Inc.		499,700		11,273
Hope Bancorp, Inc.		197,100		3,514
Houlihan Lokey, Inc.		62,675		3,210
Howard Bancorp, Inc.*		96,299		1,733
Live Oak Bancshares, Inc.		77,126		2,364
Main Street Capital Corp.		59,700		2,272
Meridian Bancorp, Inc.		143,500		2,748
National Bank Holding Corp. - Class A		150,900		5,823
Origin Bancorp, Inc.		40,300		1,650
PCSB Financial Corp.		110,094		2,188
PDL Community Bancorp*		113,559		1,784
Pinnacle Financial Partners, Inc.		41,000		2,515
Popular, Inc.		133,300		6,026
Premier Commercial Bancorp*		22,500		378
ProAssurance Corp.		100,500		3,563
Prosperity Bancshares, Inc.		73,400		5,018
Radian Group, Inc.		252,000		4,087

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Financials continued
Redwood Trust, Inc.		130,300		2,146
Safety Insurance Group, Inc.		29,500		2,519
State Auto Financial Corp.		90,900		2,719
Sterling Bancorp, Inc.		120,183		1,606
SVB Financial Group*		24,135		6,969
Texas Capital Bancshares, Inc.*		57,200		5,234
TowneBank		185,100		5,942
United Financial Bancorp, Inc.		227,500		3,986
Virtus Investment Partners, Inc.		17,600		2,252
Webster Financial Corp.		86,733		5,525
Wintrust Financial Corp.		63,800		5,554
WSFS Financial Corp.		77,800		4,147
Total				182,284
Health Care (6.7%)
Atrion Corp.		11,400		6,833
Avanos Medical, Inc.*		117,840		6,746
Ensign Group, Inc.		147,800		5,294
Haemonetics Corp.*		30,610		2,745
Molina Healthcare, Inc.*		45,000		4,407
Quidel Corp.*		134,800		8,964
Select Medical Holdings Corp.*		230,600		4,186
West Pharmaceutical Services, Inc.		43,100		4,280
Total				43,455
Industrials (13.2%)
Aegion Corp.*		192,700		4,962
Beacon Roofing Supply, Inc.*		90,800		3,870
Blue Bird Corp.*		93,400		2,088
Brady Corp. - Class A		62,300		2,402
CIRCOR International, Inc.		89,639		3,313
Cubic Corp.		70,800		4,545
ESCO Technologies, Inc.		75,200		4,339
FTI Consulting, Inc.*		76,000		4,596
Genesee & Wyoming, Inc. - Class A*		54,500		4,432
Hillenbrand, Inc.		54,890		2,588
Kirby Corp.*		32,900		2,750
Landstar System, Inc.		72,600		7,928
Lydall, Inc.*		50,900		2,222
Matthews International Corp. - Class A		47,400		2,787
McGrath RentCorp		71,608		4,531
MSA Safety, Inc.		30,500		2,938

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

Small Cap Value Portfolio

51

Small Cap Value Portfolio

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Industrials continued
Navigant Consulting, Inc.*		137,700		3,049
RBC Bearings, Inc.*		31,800		4,096
Stericycle, Inc.*		18,300		1,195
Sun Hydraulics Corp.		68,202		3,287
Thermon Group Holdings, Inc.*		95,100		2,175
Triumph Group, Inc.		220,450		4,321
U.S. Xpress Enterprises, Inc.*		32,367		490
Universal Forest Products, Inc.		108,900		3,988
Universal Logistics Holdings, Inc.		105,230		2,762
Total				85,654
Information Technology (9.2%)
Avalara, Inc.*		5,892		314
Belden, Inc.		110,400		6,748
Cabot Microelectronics Corp.		33,800		3,636
Ceridian HCM Holding, Inc.*		37,752		1,253
Cision, Ltd.*		178,633		2,671
Conduent, Inc.*		214,000		3,888
EverQuote, Inc. - Class A*		14,865		269
Evo Payments, Inc. - Class A*		10,659		219
GTT Communications, Inc.*		69,800		3,141
Harmonic, Inc.*		775,698		3,297
i3 Verticals, Inc.*		22,883		348
Knowles Corp.*		256,800		3,929
Littelfuse, Inc.		50,700		11,569
MaxLinear, Inc. - Class A*		100,800		1,571
Mesa Laboratories, Inc.		14,100		2,976
Methode Electronics, Inc. - Class A		72,600		2,926
Pluralsight, Inc.*		22,416		548
Q2 Holdings, Inc.*		46,100		2,630
RealPage, Inc.*		36,500		2,011
Rosetta Stone, Inc.*		100,000		1,603

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Rudolph Technologies, Inc.*		66,000		1,954
Zendesk, Inc.*		39,600		2,158
Total				59,659
Materials (4.7%)
American Vanguard Corp.		112,000		2,570
Carpenter Technology Corp.		96,600		5,078
Clearwater Paper Corp.*		71,200		1,645
Constellium NV - Class A*		200,500		2,065
KMG Chemicals, Inc.		86,905		6,412
Minerals Technologies, Inc.		51,300		3,865
Myers Industries, Inc.		245,607		4,716
New Gold, Inc.*		524,700		1,091
Reliance Steel & Aluminum Co.		30,300		2,653
Total				30,095
Real Estate (8.7%)
Acadia Realty Trust		99,300		2,718
American Campus Communities, Inc.		57,441		2,463
Cedar Realty Trust, Inc.		917,100		4,329
Douglas Emmett, Inc.		76,800		3,086
EastGroup Properties, Inc.		60,500		5,781
Healthcare Realty Trust, Inc.		124,864		3,631
JBG SMITH Properties		109,859		4,007
Kilroy Realty Corp.		47,400		3,585
Potlatch Corp.		88,300		4,490
PS Business Parks, Inc.		33,300		4,279
Retail Opportunity Investments Corp.		97,500		1,868
Saul Centers, Inc.		60,000		3,215
Sunstone Hotel Investors, Inc.		250,003		4,155
Terreno Realty Corp.		145,100		5,466
Washington Real Estate Investment Trust		109,000		3,306
Total				56,379

Common Stocks (98.5%)	Shares/ $ Par		Value $ (000’s)
Utilities (6.4%)
Atmos Energy Corp.		38,600		3,479
California Water Service Group		70,200		2,734
Chesapeake Utilities Corp.		79,800		6,380
El Paso Electric Co.		45,000		2,659
MGE Energy, Inc.		22,996		1,450
NorthWestern Corp.		78,300		4,483
ONE Gas, Inc.		91,500		6,839
PNM Resources, Inc.		164,800		6,411
Portland General Electric Co.		71,000		3,036
RGC Resources, Inc.		22,620		660
SCANA Corp.		20,000		770
South Jersey Industries, Inc.		78,900		2,641
Total				41,542
Total Common Stocks     (Cost: $440,005)				638,550
Warrants (0.0%)
Consumer Staples (0.0%)
The Simply Good Foods Co. Warrants*		31,700		132
Total Warrants     (Cost: $61)				132
Short-Term Investments (2.4%)
Money Market Funds (2.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		15,667,192		15,667
Total Short-Term     Investments     (Cost: $15,667)				15,667
Total Investments (100.9%)     (Cost: $455,733)(a)				654,349
Other Assets, Less     Liabilities (-0.9%)				(5,738	)
Net Assets (100.0%)				648,611

# 7-day yield as of June 30, 2018.

* Non-Income Producing

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $455,733 and the net unrealized appreciation of investments based on that cost was $198,616 which is comprised of $209,332 aggregate gross unrealized appreciation and $10,716 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

Small Cap Value Portfolio

52

Small Cap Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	638,550	$	—	$	—
Warrants		132		—		—
Short-Term Investments		15,667		—		—
Total Assets:	$	654,349	$	—	$	—

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

Small Cap Value Portfolio

53

International Growth Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$994.98	$ 3.17
Hypothetical (5% return before expenses)	$1,000.00	$1,021.62	$ 3.21

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.64%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

International Growth Portfolio

54

International Growth Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (9.7%)
Autoliv, Inc.	United States		57,500		8,235
Denso Corp.	Japan		146,700		7,171
Informa PLC	United Kingdom		850,898		9,377
InterContinental Hotels Group PLC, ADR	United Kingdom		161,289		10,108
Mohawk Industries, Inc.*	United States		25,700		5,507
Naspers, Ltd. - Class N	South Africa		46,500		11,813
Schibsted ASA - Class B	Norway		102,299		2,889
USS Co., Ltd.	Japan		594,700		11,323
Total					66,423
Consumer Staples (8.4%)
Alimentation Couche-Tard, Inc. - Class B	Canada		69,000		2,998
Anheuser-Busch InBev SA/NV	Belgium		98,700		9,970
BGF Retail Co., Ltd.	South Korea		14,661		2,565
British American Tobacco PLC	United Kingdom		77,400		3,912
Clicks Group, Ltd.	South Africa		320,152		4,587
Fomento Economico Mexicano SAB de CV, ADR	Mexico		22,000		1,931
Nestle SA	Switzerland		267,769		20,793
PriceSmart, Inc.	United States		33,500		3,032
Reckitt Benckiser Group PLC	United Kingdom		95,933		7,899
Total					57,687
Energy (0.7%)
Pason Systems, Inc.	Canada		91,400		1,496
PrairieSky Royalty, Ltd.	Canada		96,700		1,909
Tupras Turkiye Petrol Rafinerileri AS	Turkey		65,000		1,528
Total					4,933
Financials (13.4%)
AIA Group, Ltd.	Hong Kong		2,237,088		19,561
Banco Bilbao Vizcaya Argentina SA	Spain		239,000		1,695
Berkshire Hathaway, Inc. - Class B*	United States		38,600		7,205
Housing Development Finance Corp., Ltd.	India		274,763		7,652
Itau Unibanco Holding SA	Brazil		71,700		664
Jyske Bank A/S	Denmark		71,500		3,922
KBC Group NV	Belgium		92,032		7,106
Marsh & McLennan Cos., Inc.	United States		22,816		1,870
Moody’s Corp.	United States		35,700		6,089
MSCI, Inc.	United States		50,500		8,354
Prudential PLC	United Kingdom		620,263		14,199
S&P Global, Inc.	United States		39,200		7,993
Svenska Handelsbanken AB	Sweden		450,200		5,004
Total					91,314
Health Care (9.6%)
Bayer AG	Germany		41,527		4,576

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Health Care continued
CSL, Ltd.	Australia		188,695		26,898
Hoya Corp.	Japan		129,800		7,385
ResMed, Inc.	United States		78,200		8,100
Roche Holding AG	Switzerland		82,252		18,318
Total					65,277
Industrials (22.4%)
ANDRITZ AG	Austria		150,254		7,977
Assa Abloy AB - Class B	Sweden		709,000		15,111
Atlas Copco AB - Class A	Sweden		286,200		8,333
Auckland International Airport, Ltd.	New Zealand		526,711		2,419
BAE Systems PLC	United Kingdom		735,000		6,274
Canadian National Railway Co.	Canada		37,300		3,051
Canadian Pacific Railway, Ltd.	Canada		15,700		2,877
East Japan Railway Co.	Japan		78,600		7,536
Edenred	France		137,300		4,339
Elis SA	France		123,425		2,831
Epiroc AB*	Sweden		403,700		4,236
Fagerhult AB	Sweden		261,400		2,238
FANUC Corp.	Japan		36,100		7,175
Interpump Group SpA	Italy		169,700		5,279
Komatsu, Ltd.	Japan		253,400		7,251
Legrand SA	France		67,700		4,973
Linde AG	Germany		42,540		10,154
Loomis AB - Class B	Sweden		52,400		1,822
Melrose Industries PLC	United Kingdom		1,109,986		3,116
MISUMI Group, Inc.	Japan		305,600		8,916
MTU Aero Engines AG	Germany		26,700		5,132
Nabtesco Corp.	Japan		107,900		3,323
OSG Corp.	Japan		179,700		3,706
Prosegur Cia de Seguridad SA	Spain		565,900		3,698
Safran SA	France		71,600		8,700
Schindler Holding AG	Switzerland		35,478		7,623
SHO-BOND Holdings Co., Ltd.	Japan		65,400		4,554
Total					152,644
Information Technology (24.6%)
58.com, Inc., ADR*	Cayman Islands		33,800		2,344
Alibaba Group Holding, Ltd., ADR*	China		52,779		9,792
Alphabet, Inc. - Class A*	United States		10,800		12,195
Amadeus IT Group SA	Spain		190,500		15,039
ASML Holding NV	Netherlands		88,800		17,598
Azbil Corp.	Japan		38,200		1,667
Black Knight, Inc.*	United States		64,800		3,470
Keyence Corp.	Japan		38,000		21,472
Mastercard, Inc. - Class A	United States		89,300		17,549
NAVER Corp.	South Korea		4,581		3,136
Netcompany Group A/S*	Denmark		5,100		187
Nintendo Co., Ltd.	Japan		13,100		4,283
PayPal Holdings, Inc.*	United States		43,200		3,597

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

International Growth Portfolio

55

International Growth Portfolio

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Playtech PLC	United Kingdom		302,514		3,006
Rightmove PLC	United Kingdom		26,800		1,878
SAP SE	Germany		199,519		23,055
Spectris PLC	United Kingdom		112,300		3,868
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		914,000		6,491
Visa, Inc. - Class A	United States		133,525		17,686
Total					168,313
Materials (6.6%)
CRH PLC, ADR	Ireland		366,200		12,945
Elementis PLC	United Kingdom		497,400		1,660
Franco-Nevada Corp.	Canada		57,900		4,226
James Hardie Industries PLC	Ireland		474,453		7,963
Martin Marietta Materials, Inc.	United States		32,400		7,236
The Sherwin-Williams Co.	United States		23,000		9,374
Tikkurila Oyj	Finland		84,300		1,447
Total					44,851
Real Estate (1.1%)
Hispania Activos Inmobiliarios SOCIMI SA	Spain		37,460		797
Merlin Properties Socimi SA	Spain		139,400		2,028
Shaftesbury PLC	United Kingdom		145,200		1,793
Vonovia SE	Germany		61,200		2,913
Total					7,531

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Telecommunication Services (0.8%)
Safaricom, Ltd.	Kenya		18,865,000		5,466
Total					5,466
Total Common Stocks     (Cost: $550,472)					664,439
Preferred Stocks (0.4%)
Financials (0.4%)
Itau Unibanco Holding SA	Brazil		253,200		2,635
Total Preferred Stocks     (Cost: $3,288)					2,635
Short-Term Investments (2.0%)
Money Market Funds (2.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#	United States		13,575,766		13,576
Total Short-Term Investments     (Cost: $13,576)					13,576
Total Investments (99.7%)     (Cost: $567,336)(a)					680,650
Other Assets, Less Liabilities (0.3%)					1,973
Net Assets (100.0%)					682,623

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $567,336 and the net unrealized appreciation of investments based on that cost was $113,313 which is comprised of $129,819 aggregate gross unrealized appreciation and $16,506 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

Investments Percentage by Country is based on Net Assets:
United States	20.7%
Japan	14.0%
United Kingdom	9.8%
Switzerland	6.8%
Germany	6.7%
Sweden	5.4%
Other	36.3%
Total	99.7%

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

International Growth Portfolio

56

International Growth Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	664,439	$	—	$	—
Preferred Stocks		2,635		—		—
Short-Term Investments		13,576		—		—
Total Assets:	$	680,650	$	—	$	—

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $433,747 (in thousands). These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. These securities did not require the use of fair value procedures on June 30, 2018.

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

International Growth Portfolio

57

Research International Core Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$987.48	$  3.79
Hypothetical (5% return before expenses)	$1,000.00	$1,020.98	$  3.86

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.77%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Research International Core Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (7.6%)
Ctrip.com International, Ltd., ADR*	Cayman Islands		54,589		2,600
Dufry AG*	Switzerland		26,568		3,391
Koito Manufacturing Co., Ltd.	Japan		109,800		7,259
LVMH Moet Hennessy Louis Vuitton SE	France		27,709		9,229
Paddy Power Betfair PLC	Ireland		30,506		3,342
Techtronic Industries Co., Ltd.	Hong Kong		968,500		5,401
USS Co., Ltd.	Japan		361,900		6,890
WPP PLC	Jersey		343,903		5,415
Yum China Holdings, Inc.	China		141,476		5,441
Total					48,968
Consumer Staples (11.2%)
Ambev SA, ADR	Brazil		549,096		2,542
British American Tobacco PLC	United Kingdom		194,721		9,842
Danone SA	France		88,182		6,474
Japan Tobacco, Inc.	Japan		253,000		7,073
L’Oreal SA	France		32,348		7,990
Nestle SA	Switzerland		218,077		16,934
Reckitt Benckiser Group PLC	United Kingdom		124,593		10,259
Sundrug Co., Ltd.	Japan		133,600		5,418
Tesco PLC	United Kingdom		1,528,575		5,179
Total					71,711
Energy (5.9%)
BP PLC	United Kingdom		1,332,086		10,167
Cairn Energy PLC*	United Kingdom		1,170,109		3,861
Caltex Australia, Ltd.	Australia		178,181		4,291
Enbridge, Inc.	Canada		127,101		4,544
Eni SPA	Italy		325,025		6,037
Galp Energia SGPS SA	Portugal		245,672		4,686
Oil Search, Ltd.	Papua New Guinea		691,083		4,552
Total					38,138
Financials (19.9%)
AEON Financial Service Co., Ltd.	Japan		271,900		5,806
AIA Group, Ltd.	Hong Kong		1,236,400		10,811
AIB Group PLC	Ireland		886,980		4,817
Aon PLC	United Kingdom		47,382		6,499
Barclays PLC	United Kingdom		2,758,968		6,882
BNP Paribas SA	France		149,870		9,309
Cerved Information Solutions SPA	Italy		150,164		1,613
DNB ASA	Norway		144,982		2,836
Erste Group Bank AG*	Austria		149,797		6,254
HDFC Bank, Ltd.	India		195,673		6,029
Hiscox, Ltd.	Bermuda		275,289		5,540
Intesa Sanpaolo SPA	Italy		2,361,761		6,858
Intesa Sanpaolo SPA - Rights(l)*	Italy		2,361,761		–
Julius Baer Group, Ltd.*	Switzerland		142,288		8,374
Jyske Bank A/S	Denmark		59,720		3,276

Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
Financials continued
KBC Group NV	Belgium		92,568		7,148
Mitsubishi UFJ Financial Group, Inc.	Japan		1,598,400		9,111
Swiss Re AG	Switzerland		41,351		3,578
TMX Group, Ltd.	Canada		82,123		5,383
UBS Group AG*	Switzerland		735,420		11,381
Zurich Insurance Group AG	Switzerland		19,633		5,831
Total					127,336
Health Care (9.9%)
Bayer AG	Germany		121,803		13,421
Essilor International SA	France		41,982		5,927
Novo Nordisk A/S - Class B	Denmark		229,695		10,657
Roche Holding AG	Switzerland		61,945		13,796
Santen Pharmaceutical Co., Ltd.	Japan		495,200		8,637
Sonic Healthcare, Ltd.	Australia		153,364		2,784
Terumo Corp.	Japan		144,300		8,276
Total					63,498
Industrials (16.3%)
Aena SA	Spain		20,707		3,760
Brambles, Ltd.	Australia		917,975		6,033
Daikin Industries, Ltd.	Japan		78,100		9,361
GEA Group AG	Germany		146,319		4,936
Hitachi, Ltd.	Japan		445,000		3,141
Hoshizaki Corp.	Japan		35,100		3,554
Kubota Corp.	Japan		490,700		7,725
Legrand SA	France		70,307		5,164
Linde AG	Germany		53,273		12,716
Malaysia Airports Holdings Bhd	Malaysia		1,245,000		2,712
Melrose Industries PLC	United Kingdom		1,676,199		4,705
RELX NV	Netherlands		310,387		6,621
Ritchie Bros Auctioneers, Inc.	Canada		95,731		3,265
Schindler Holding AG	Switzerland		29,281		6,316
Schneider Electric SE	France		150,583		12,559
TOTO, Ltd.	Japan		156,500		7,266
Yamato Holdings Co., Ltd.	Japan		149,300		4,402
Total					104,236
Information Technology (11.0%)
Alibaba Group Holding, Ltd., ADR*	Cayman Islands		7,506		1,393
Amadeus IT Group SA	Spain		91,297		7,207
Baidu, Inc., ADR*	Cayman Islands		6,493		1,578
Check Point Software Technologies, Ltd.*	Israel		41,802		4,083
Cognizant Technology Solutions Corp. - Class A	United States		113,100		8,934
EPAM Systems, Inc.*	United States		45,468		5,653
Just Eat PLC*	United Kingdom		354,896		3,649
Mastercard, Inc. - Class A	United States		21,585		4,242
Mellanox Technologies, Ltd.*	Israel		44,498		3,751
NAVER Corp.	South Korea		6,660		4,559

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

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Research International Core Portfolio

Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
Information Technology continued
Nomura Research Institute, Ltd.	Japan		98,400		4,773
NVIDIA Corp.	United States		12,283		2,910
Samsung Electronics Co., Ltd.	South Korea		47,556		1,990
Scout24 AG	Germany		46,702		2,478
Silicon Motion Technology Corp., ADR	Cayman Islands		41,700		2,205
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		977,189		6,939
Telefonaktiebolaget LM Ericsson - Class B	Sweden		503,526		3,894
Total					70,238
Materials (6.8%)
Akzo Nobel NV	Netherlands		112,123		9,600
Croda International PLC	United Kingdom		128,611		8,151
Nitto Denko Corp.	Japan		57,600		4,361
Orica, Ltd.	Australia		307		4
Rio Tinto PLC	United Kingdom		145,954		8,092
Sika AG	Switzerland		47,115		6,537
Symrise AG	Germany		75,414		6,614
Total					43,359
Real Estate (2.8%)
Grand City Properties SA	Luxembourg		317,575		8,248
LEG Immobilien AG	Germany		87,568		9,519
Total					17,767
Telecommunication Services (3.8%)
Advanced Info Service PCL	Thailand		636,100		3,552
Cellnex Telecom SA	Spain		187,289		4,724

Common Stocks (98.7%)	Country	Shares/ $ Par		Value $ (000’s)
Telecommunication Services continued
Com Hem Holding AB	Sweden		162,046		2,634
KDDI Corp.	Japan		275,000		7,529
SoftBank Group Corp.	Japan		85,400		6,150
Total					24,589
Utilities (3.5%)
APA Group	Australia		572,926		4,176
China Resources Gas Group, Ltd.	Bermuda		1,008,000		4,368
CLP Holdings, Ltd.	Hong Kong		393,000		4,233
E.ON SE	Germany		388,278		4,151
Iberdrola, SA	Spain		734,716		5,683
Total					22,611
Total Common Stocks (Cost: $555,465)					632,451
Short-Term Investments (1.1%)
Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#	United States		6,752,718		6,753
Total Short-Term Investments (Cost: $6,753)					6,753
Total Investments (99.8%) (Cost: $562,218)(a)					639,204
Other Assets, Less Liabilities (0.2%)					1,517
Net Assets (100.0%)					640,721

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $562,218 and the net unrealized appreciation of investments based on that cost was $76,985 which is comprised of $99,021 aggregate gross unrealized appreciation and $22,036 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

Investments Percentage by Country is based on Net Assets:
Japan	18.2%
United Kingdom	12.1%
Switzerland	11.9%
France	8.8%
Germany	8.4%
Other	40.4%
Total	99.8%

(l) Security valued using significant unobservable inputs.

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

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Research International Core Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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
Financials	$	127,336	$	—	$	—
All Others		505,115		—		—
Short-Term Investments		6,753		—		—
Total Assets:	$	639,204	$	—	$	—

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $508,627 (in thousands). These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. These securities did not require the use of fair value procedures on June 30, 2018.

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

Research International Core Portfolio

61

International Equity Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.    

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.    

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018		Ending Account Value June 30, 2018		Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$1,000.00		$   970.76		$  2.64
Hypothetical (5% return before expenses)		$1,000.00		$1,022.12		$  2.71

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.54%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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International Equity Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (6.0%)
Cie Generale des Etablissements Michelin	France		147,808		18,003
Kingfisher PLC	United Kingdom		5,779,010		22,652
Panasonic Corp.	Japan		1,075,080		14,502
Ryohin Keikaku Co., Ltd.	Japan		39,360		13,865
SES SA	Luxembourg		1,775,190		32,526
Sumitomo Rubber Industries, Ltd.	Japan		510,910		8,122
Total					109,670
Consumer Staples (3.8%)
Ezaki Glico Co., Ltd.	Japan		197,330		9,482
Kirin Holdings Co., Ltd.	Japan		863,000		23,096
Seven & i Holdings Co., Ltd.	Japan		474,900		20,722
Suntory Beverage & Food, Ltd.	Japan		401,300		17,144
Total					70,444
Energy (12.3%)
BP PLC	United Kingdom		6,780,420		51,749
Eni SPA	Italy		1,605,485		29,822
Galp Energia SGPS SA	Portugal		485,530		9,262
Husky Energy, Inc.	Canada		1,138,760		17,749
Inpex Corp.	Japan		952,120		9,885
Kunlun Energy Co., Ltd.	Bermuda		13,549,350		11,864
Royal Dutch Shell PLC - Class B	United Kingdom		1,154,175		41,333
SBM Offshore NV	Netherlands		1,371,290		21,338
TOTAL SA	France		535,650		32,659
Total					225,661
Financials (16.4%)
Aegon NV	Netherlands		3,999,610		23,989
AIA Group, Ltd.	Hong Kong		1,167,390		10,207
AXA SA	France		744,155		18,263
Bangkok Bank PCL	Thailand		4,208,000		24,831
Bank of Ireland Group PLC	Ireland		1,608,430		12,557
Barclays PLC	United Kingdom		10,857,440		27,082
BNP Paribas SA	France		371,430		23,072
China Life Insurance Co., Ltd. - Class H	China		7,138,010		18,424
Credit Agricole SA	France		768,660		10,265
Hana Financial Group, Inc.*	South Korea		446,030		17,149
HSBC Holdings PLC	United Kingdom		3,236,027		30,357
ING Groep NV	Netherlands		1,283,032		18,471
KB Financial Group, Inc., ADR	South Korea		237,530		11,040
Standard Chartered PLC	United Kingdom		3,417,202		31,235
UBS Group AG*	Switzerland		1,448,460		22,415
Total					299,357
Health Care (18.8%)
Astellas Pharma, Inc.	Japan		1,956,730		29,851
Bayer AG	Germany		227,228		25,036

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Health Care continued
Fresenius Medial Care AG & Co.	Germany		141,560		14,280
Getinge AB - Class B	Sweden		676,171		6,153
GlaxoSmithKline PLC	United Kingdom		717,530		14,487
Merck KGaA	Germany		251,030		24,513
MorphoSys AG*	Germany		256,240		31,420
Novartis AG	Switzerland		139,660		10,617
Qiagen NV*	Netherlands		378,752		13,800
Roche Holding AG	Switzerland		96,190		21,422
Sanofi	France		416,285		33,373
Shanghai Pharmaceuticals Holding Co., Ltd.	China		5,366,610		14,809
Shire PLC	Jersey		579,020		32,592
Sinopharm Group Co., Ltd.	China		2,825,200		11,361
Teva Pharmaceutical Industries, Ltd., ADR	Israel		1,581,360		38,459
UCB SA	Belgium		275,350		21,653
Total					343,826
Industrials (10.1%)
A.P. Moeller - Maersk A/S - Class B	Denmark		8,990		11,200
BAE Systems PLC	United Kingdom		2,968,690		25,341
Cie de Saint-Gobain	France		460,830		20,595
CK Hutchison Holdings, Ltd.	Cayman Islands		2,208,070		23,416
IHI Corp.	Japan		368,800		12,858
Rolls-Royce Holdings PLC*	United Kingdom		1,926,730		25,128
Siemens AG	Germany		159,550		21,095
Siemens AG, ADR	Germany		101,560		6,691
Travis Perkins PLC	United Kingdom		1,058,180		19,866
Vestas Wind Systems	Denmark		300,560		18,609
Total					184,799
Information Technology (8.1%)
Baidu, Inc., ADR*	Cayman Islands		97,900		23,790
Infineon Technologies AG	Germany		685,510		17,476
NetEase, Inc., ADR	Cayman Islands		36,080		9,116
Omron Corp.	Japan		229,700		10,726
Pegatron Corp., GDR 144A	Taiwan		425,020		4,377
Quanta Computer, Inc.	Taiwan		4,807,820		8,437
Samsung Electronics Co., Ltd.	South Korea		1,250,500		52,343
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		3,188,135		22,639
Total					148,904
Materials (9.0%)
Akzo Nobel NV	Netherlands		256,360		21,950
CRH PLC	Ireland		558,050		19,701
Goldcorp, Inc.	Canada		1,047,960		14,388
HeidelbergCement AG	Germany		249,870		21,033
LANXESS AG	Germany		334,970		26,131
Novozymes A/S - Class B	Denmark		308,870		15,671

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

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63

International Equity Portfolio

Common Stocks (97.3%)	Country	Shares/ $ Par		Value $ (000’s)
Materials continued
Sumitomo Metal Mining Co., Ltd.	Japan		349,770		13,389
thyssenkrupp AG	Germany		378,970		9,214
Wheaton Precious Metals Corp.	Canada		317,420		7,007
Yara International ASA	Norway		375,770		15,595
Total					164,079
Real Estate (2.0%)
CK Asset Holdings, Ltd.	Cayman Islands		2,040,070		16,200
Mitsui Fudosan Co., Ltd.	Japan		811,700		19,604
Total					35,804
Telecommunication Services (7.6%)
China Mobile, Ltd.	China		2,357,200		20,941
China Telecom Corp., Ltd. - Class H	China		50,940,160		23,829
Singapore Telecommunications, Ltd.	Singapore		11,610,330		26,246
SoftBank Group Corp.	Japan		362,440		26,101
Telefonica Deutschland Holding AG	Germany		5,195,420		20,483
Vodafone Group PLC	United Kingdom		9,251,794		22,444
Total					140,044
Utilities (3.2%)
E.ON SE	Germany		1,796,370		19,203
Innogy SE	Germany		217,640		9,325
Orsted A/S	Denmark		215,590		13,044
Veolia Environnement SA	France		832,890		17,829
Total					59,401
Total Common Stocks (Cost: $1,616,297)					1,781,989

Preferred Stocks (0.3%)	Country	Shares/ $ Par		Value $ (000’s)
Health Care (0.3%)
Draegerwerk AG & Co. KGaA,	Germany		92,710		6,659
Total Preferred Stocks (Cost: $11,723)					6,659
Short-Term Investments (2.0%)
Money Market Funds (1.7%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#	United States		31,332,257		31,332
Total					31,332
US Government & Agencies (0.3%)
Federal Home Loan Bank, 0.000%, 7/2/18	United States		4,700,000		4,700
Total					4,700
Total Short-Term Investments (Cost: $36,032)					36,032
Total Investments (99.6%) (Cost: $1,664,052)(a)					1,824,680
Other Assets, Less Liabilities (0.4%)					6,465
Net Assets (100.0%)					1,831,145

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

GDR after the name of a security represents—Global Depositary Receipt.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $4,377 representing 0.2% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,664,052 and the net unrealized appreciation of investments based on that cost was $160,627 which is comprised of $269,826 aggregate gross unrealized appreciation and $109,199 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

Investments Percentage by Country is based on Net Assets:
United Kingdom	17.0%
Germany	13.8%
Japan	12.5%
France	9.5%
Netherlands	5.4%
Other	41.4%
Total	99.6%

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

International Equity Portfolio

64

International Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	6,659	$	—	$	—
Common Stocks		1,781,989		—		—
Short-Term Investments		—		—		—
US Government & Agencies		—		4,700		—
Money Market Funds		31,332		—		—
Total Assets:	$	1,819,980	$	4,700	$	—

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $1,562,080 (in thousands). These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. These securities did not require the use of fair value procedures on June 30, 2018.

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

International Equity Portfolio

65

Emerging Markets Equity Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards.

Investments in the securities of companies in developing nations impose risks different from, and greater than, risks of investing in developed countries.

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

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

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$896.83	$  4.75
Hypothetical (5% return before expenses)	$1,000.00	$1,019.79	$  5.06

* Expenses are equal to the Portfolio’s annualized expense ratio of 1.01%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period)

Emerging Markets Equity Portfolio

66

Emerging Markets Equity Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Common Stocks (96.7%)	Country	Shares/ $ Par		Value $ (000’s)
Consumer Discretionary (11.6%)
Astra International Tbk PT	Indonesia		27,730,500		12,772
China International Travel Service Corp., Ltd.	China		1,080,795		10,520
Hero MotoCorp, Ltd.	India		133,100		6,737
Huazhu Group, Ltd.	Cayman Islands		66,190		2,779
Lojas Renner SA	Brazil		1,096,900		8,312
Midea Group Co., Ltd.	China		1,117,999		8,812
SACI Falabella	Chile		714,370		6,547
Truworths International, Ltd.	South Africa		1,274,000		7,175
Yum China Holdings, Inc.	United States		306,767		11,798
Total					75,452
Consumer Staples (12.9%)
Ambev SA, ADR	Brazil		1,978,909		9,162
Amorepacific Group	South Korea		38,000		4,211
BIM Birlesik Magazalar AS	Turkey		433,000		6,329
BRF SA*	Brazil		698,635		3,245
Fomento Economico Mexicano SAB de CV, ADR	Mexico		155,100		13,616
Hindustan Unilever, Ltd.	India		413,600		9,877
ITC, Ltd.	India		2,846,377		11,009
Jeronimo Martins SGPS SA	Portugal		79,827		1,153
Kweichow Moutai Co., Ltd.	China		122,780		13,562
Magnit PJSC	Russia		97,300		7,146
Massmart Holdings, Ltd.	South Africa		544,000		4,427
Total					83,737
Energy (2.9%)
LUKOIL PJSC, ADR	Russia		178,306		12,220
Ultrapar Participacoes SA	Brazil		591,439		7,012
Total					19,232
Financials (25.3%)
Aditya Birla Capital, Ltd.*	India		749,700		1,456
AIA Group, Ltd.	Hong Kong		1,966,200		17,192
Banco Bradesco SA, ADR	Brazil		2,480,823		17,018
Banco Santander Chile, ADR	Chile		211,312		6,642
Bank Central Asia Tbk PT	Indonesia		7,605,200		11,397
Bank of the Philippine Islands	Philippines		4,831,436		8,012
Bank Pekao SA	Poland		192,900		5,819
Grupo Financiero Banorte SAB de CV	Mexico		2,102,660		12,364
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		312,147		9,390
Housing Development Finance Corp., Ltd.	India		830,971		23,142
Kotak Mahindra Bank, Ltd.	India		637,661		12,508
Ping An Insurance Group Co. of China, Ltd. - Class H	China		1,705,500		15,695
Public Bank Bhd	Malaysia		1,566,600		9,060
The Siam Commercial Bank PCL	Thailand		1,939,800		6,938
Standard Chartered PLC	United Kingdom		479,500		4,383
Turkiye Garanti Bankasi AS	Turkey		1,974,500		3,602
Total					164,618

Common Stocks (96.7%)	Country	Shares/ $ Par		Value $ (000’s)
Health Care (1.3%)
Richter Gedeon Nyrt	Hungary		271,700		4,962
Wuxi Biologics Cayman, Inc.*	China		291,500		3,245
Total					8,207
Industrials (2.8%)
Grupo Aeroportuario del Sureste SAB de CV - Class B	Mexico		554,980		8,816
Shanghai International Airport Co., Ltd.	China		1,145,182		9,590
Total					18,406
Information Technology (21.8%)
Autohome, Inc., ADR	Cayman Islands		23,617		2,385
Hangzhou Hikvision Digital Technology Co., Ltd.	China		2,016,662		11,302
NAVER Corp.	South Korea		15,598		10,679
Samsung Electronics Co., Ltd.	South Korea		768,150		32,153
Sunny Optical Technology Group Co., Ltd.	Cayman Islands		8,600		160
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		4,419,290		31,381
Tata Consultancy Services, Ltd.	India		400,260		10,778
Tencent Holdings, Ltd.	Cayman Islands		855,700		42,951
Total					141,789
Materials (8.9%)
Grasim Industries, Ltd.	India		535,500		7,863
Indocement Tunggal Prakarsa Tbk PT	Indonesia		5,235,000		4,987
LG Chem, Ltd.	South Korea		21,830		6,532
The Siam Cement PCL	Thailand		950,600		11,821
UltraTech Cement, Ltd.	India		181,400		10,057
Vale SA, ADR	Brazil		1,302,100		16,693
Total					57,953
Real Estate (6.0%)
Ayala Land, Inc.	Philippines		20,202,000		14,347
China Resources Land, Ltd.	Cayman Islands		3,106,000		10,471
Hang Lung Group, Ltd.	Hong Kong		889,000		2,493
Hang Lung Properties, Ltd.	Hong Kong		2,326,000		4,797
Multiplan Empreendimentos Imobiliarios SA	Brazil		463,700		6,820
Total					38,928
Telecommunication Services (3.2%)
China Mobile, Ltd.	Hong Kong		1,514,500		13,455
MTN Group, Ltd.	South Africa		902,000		7,095
Total					20,550
Total Common Stocks (Cost: $604,483)					628,872

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

Emerging Markets Equity Portfolio

67

Emerging Markets Equity Portfolio

Preferred Stocks (1.3%)	Country	Shares/ $ Par		Value $ (000’s)
Consumer Staples (0.4%)
Amorepacific Corp.	South Korea		20,400		2,837
Total					2,837
Information Technology (0.9%)
Samsung Electronics Co., Ltd.*	South Korea		170,500		5,760
Total					5,760
Total Preferred Stocks (Cost: $9,630)					8,597

Short-Term Investments (2.2%)	Country	Shares/ $ Par		Value $ (000’s)
Money Market Funds (2.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#	United States		14,345,307		14,345
Total Short-Term Investments (Cost: $14,345)					14,345
Total Investments (100.2%) (Cost: $628,458)(a)					651,814
Other Assets, Less Liabilities (-0.2%)					(1,582	)
Net Assets (100.0%)					650,232

# 7-day yield as of June 30, 2018.

* Non-Income Producing

ADR after the name of a security represents—American Depositary Receipt.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $628,458 and the net unrealized appreciation of investments based on that cost was $23,356 which is comprised of $91,205 aggregate gross unrealized appreciation and $67,849 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

Investments Percentage by Country is based on Net Assets:
China	20.4%
India	14.4%
Brazil	10.5%
South Korea	9.6%
Hong Kong	8.9%
Mexico	5.4%
Other	31.0%
Total	100.2%

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. See Note 3 for additional information on portfolio valuation.

		Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
		(Amounts in thousands)
Assets:
Preferred Stocks	$	8,597	$	—	$	—
Common Stocks
Financials		157,680		6,938		—
All Others		464,254		—		—
Short-Term Investments		14,345		—		—
Total Assets:	$	644,876	$	6,938	$	—

For the period ended June 30, 2018, there were transfers from Level 2 to Level 1 in the amount of $507,083 (in thousands). These transfers were the result of the use of fair value procedures on certain foreign securities in the portfolio on December 31, 2017. These securities did not require the use of fair value procedures on June 30, 2018.

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

Emerging Markets Equity Portfolio

68

Government Money Market Portfolio (unaudited)

As a government money market portfolio, the Portfolio invests at least 99.5% of its total assets in cash, U.S. Treasury bills, notes and other obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities, and repurchase agreements secured by such obligations or cash.

Not all obligations of the U.S. government, its agencies and instrumentalities are backed by the full faith and credit of the U.S. Treasury. Some obligations are backed only by the credit of the issuing agency or instrumentality, and in some cases there may be some risk of default by the issuer. Any guarantee by the U.S. government or its agencies or instrumentalities of a security held by the Portfolio does not apply to the market value of such security or to shares of the Portfolio itself.

If the other party to a repurchase agreement defaults on its obligation under the agreement, the Portfolio may suffer delays and incur costs or lose money in exercising its rights under the agreement. These risks may be heightened if the other party is located outside of the U.S. If the seller fails to repurchase the security and the market value of the security declines, the Portfolio may lose money.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,006.29	$  1.69
Hypothetical (5% return before expenses)	$1,000.00	$1,023.11	$  1.71

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.34%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

You could lose money by investing in the Government Money Market Portfolio. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Portfolio’s sponsor has no legal obligation to provide financial support to the Portfolio, and you should not expect that the sponsor will provide financial support to the Portfolio at any time.

Government Money Market Portfolio

69

Government Money Market Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Money Market Investments (98.8%)	Shares/ $ Par		Value $ (000’s)
Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		573,760		574
Total				574
Repurchase Agreements (33.5%)
Tri-Party Bank of Montreal, 2.050%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $5,000,854, collateralized by various US Treasury obligations, 0.000% to 1.625%, due from 8/16/18 to 2/15/26, aggregate par and fair value of $5,559,666 and $5,102,089, respectively)		5,000,000		5,000
Tri-Party Bank of Nova Scotia, 2.100%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $9,001,575, collateralized by various US Treasury obligations, 0.125% to 2.750%, due from 4/15/20 to 11/15/23, aggregate par and fair value of $9,287,045 and $9,189,481, respectively)		9,000,000		9,000
Tri-Party BNP Paribas, 2.100%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,750, collateralized by various US government sponsored agency obligations, 2.500% to 7.000%, due from 1/7/21 to 4/20/48, aggregate par and fair value of $10,036,208 and $10,184,454, respectively)		10,000,000		10,000
Tri-Party BNP Paribas, 2.120%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,767, collateralized by various US Treasury obligations, 0.000% to 2.500%, due from 7/31/18 to 5/15/46, aggregate par and fair value of $10,772,374 and $10,207,037, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, 2.100%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,750, collateralized by various US Treasury obligations and US government sponsored agency, 0.000% to 3.000%, due from 9/20/18 to 5/15/34, aggregate par and fair value of $14,946,557 and $10,216,455, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, 2.120%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,767, collateralized by various US Treasury obligations and US government sponsored agency, 0.000% to 3.000%, due from 9/20/18 to 5/15/34, aggregate par and fair value of $14,925,768 and $10,179,744, respectively)		10,000,000		10,000
Tri-Party Credit Agricole, 2.120%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,767, collateralized by US Treasury Inflation Index Bond, 0.375%, due 1/15/27, par and fair value of $10,502,330 and $10,207,246, respectively)		10,000,000		10,000
Tri-Party Goldman Sachs, 2.070%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,725, collateralized by US government sponsored agency, 3.500%, due 11/20/44, par and fair value of $10,149,434 and $10,232,436, respectively)		10,000,000		10,000

Money Market Investments (98.8%)	Shares/ $ Par		Value $ (000’s)
Repurchase Agreements continued
Tri-Party HSBC Securities, 1.910%, 7/3/18 (Purchased on 6/26/18, to be repurchased at $2,000,743, collateralized by US Treasury Inflation Index Bond, 0.375%, due 1/15/27, par and fair value of $2,103,499 and $2,044,397, respectively)		2,000,000		2,000
Tri-Party HSBC Securities, 2.110%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,758, collateralized by various US government sponsored agency obligations, 1.875% to 3.500%, due from 6/15/22 to 12/15/42, aggregate par and fair value of $10,197,801 and $10,225,602, respectively)		10,000,000		10,000
Tri-Party Mitsubishi UFJ, 2.110%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,758, collateralized by various US government sponsored agency obligations, 3.250% to 4.500%, due from 4/20/47 to 10/15/58, aggregate par and fair value of $10,178,871 and $10,199,544, respectively)		10,000,000		10,000
Tri-Party Mizuho Securities, 2.120%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $10,001,767, collateralized by various US Treasury obligations, 0.125% to 0.625%, due from 4/15/20 to 1/15/26, aggregate par and fair value of $10,276,693 and $10,205,640, respectively)		10,000,000		10,000
Tri-Party Natixis S.A., 2.100%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $15,002,625, collateralized by US Treasury Inflation Index Bond and various US government sponsored agency obligations, 0.375% to 4.500%, due from 7/15/25 to 5/20/48, aggregate par and fair value of $15,532,621 and $15,269,166, respectively)		15,000,000		15,000
Tri-Party Natixis S.A., 2.120%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $5,000,883, collateralized by various US government sponsored agency obligations, 2.808% to 5.795%, due from 9/1/22 to 1/1/48, aggregate par and fair value of $5,314,804 and $5,124,185, respectively)		5,000,000		5,000
Tri-Party TD Securities, 2.120%, 7/2/18 (Purchased on 6/29/18, to be repurchased at $13,002,297, collateralized by US government sponsored agency, 3.500%, due 7/1/46, par and fair value of $13,374,103 and $13,369,128, respectively)		13,000,000		13,000
Total				139,000
US Government & Agencies (65.2%)
Federal Farm Credit Bank, 0.000%, 8/10/18		355,000		354
Federal Farm Credit Bank, 0.000%, 9/19/18		4,205,000		4,187
Federal Farm Credit Bank, 0.000%, 11/19/18		6,380,000		6,329
Federal Farm Credit Bank, 0.000%, 12/24/18		1,470,000		1,454
Federal Farm Credit Bank, 0.000%, 1/4/19		2,220,000		2,195
Federal Farm Credit Bank, 0.000%, 1/16/19		4,380,000		4,328
Federal Farm Credit Bank, 0.000%, 3/11/19		2,440,000		2,402
Federal Farm Credit Bank, 0.000%, 3/19/19		2,440,000		2,401

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

Government Money Market Portfolio

70

Government Money Market Portfolio

Money Market Investments (98.8%)	Shares/ $ Par		Value $ (000’s)
US Government & Agencies continued
Federal Farm Credit Bank, 0.000%, 4/12/19		635,000		624
Federal Farm Credit Bank, 1.975%, (1 Month LIBOR less 0.05%), 2/7/20		4,910,000		4,910
Federal Farm Credit Bank, 1.996%, (1 Month LIBOR less 0.10%), 7/25/19		4,500,000		4,498
Federal Home Loan Bank, 0.000%, 7/10/18		3,160,000		3,158
Federal Home Loan Bank, 0.000%, 7/11/18		3,975,000		3,973
Federal Home Loan Bank, 0.000%, 7/18/18		13,095,000		13,083
Federal Home Loan Bank, 0.000%, 7/20/18		2,365,000		2,363
Federal Home Loan Bank, 0.000%, 7/25/18		6,520,000		6,512
Federal Home Loan Bank, 0.000%, 8/3/18		2,405,000		2,401
Federal Home Loan Bank, 0.000%, 8/8/18		4,165,000		4,157
Federal Home Loan Bank, 0.000%, 8/10/18		8,500,000		8,484
Federal Home Loan Bank, 0.000%, 8/22/18		5,305,000		5,290
Federal Home Loan Bank, 0.000%, 8/29/18		870,000		867
Federal Home Loan Bank, 0.000%, 9/7/18		3,095,000		3,084
Federal Home Loan Bank, 0.000%, 9/10/18		2,785,000		2,774
Federal Home Loan Bank, 0.000%, 10/19/18		4,780,000		4,751
Federal Home Loan Bank, 0.000%, 10/22/18		435,000		432
Federal Home Loan Bank, 1.886%, (1 Month LIBOR less 0.12%), 10/3/18		3,500,000		3,500
Federal Home Loan Bank, 1.901%, (1 Month LIBOR less 0.10%), 11/2/18		10,000,000		10,000
Federal Home Loan Bank, 1.907%, (1 Month LIBOR less 0.15%), 11/14/18		4,185,000		4,185
Federal Home Loan Bank, 1.943%, (1 Month LIBOR less 0.16%), 7/27/18		4,000,000		4,000
Federal Home Loan Bank, 1.955%, (1 Month LIBOR less 0.13%), 11/16/18		7,000,000		7,000
Federal Home Loan Bank, 1.958%, (1 Month LIBOR less 0.14%), 10/26/18		5,000,000		5,000
Federal Home Loan Bank, 1.971%, (1 Month LIBOR less 0.12%), 3/25/19		6,000,000		6,000
Federal Home Loan Bank, 1.976%, (1 Month LIBOR less 0.07%), 2/11/19		1,010,000		1,010
Federal Home Loan Bank, 1.976%, (1 Month LIBOR less 0.12%), 2/25/19		5,000,000		5,000
Federal Home Loan Bank, 1.986%, (1 Month LIBOR less 0.06%), 9/11/19		4,000,000		4,000
Federal Home Loan Bank, 2.001%, (1 Month LIBOR less 0.09%), 1/25/19		3,650,000		3,650
Federal Home Loan Bank, 2.006%, (1 Month LIBOR less 0.04%), 7/9/18		5,000,000		5,000

Money Market Investments (98.8%)	Shares/ $ Par		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 2.015%, (1 Month LIBOR less 0.07%), 12/19/18		8,000,000		8,000
Federal Home Loan Bank, 2.023%, (1 Month LIBOR less 0.08%), 8/27/19		3,045,000		3,045
Federal Home Loan Bank, 2.045%, (1 Month LIBOR less 0.04%), 4/17/20		2,550,000		2,550
Federal Home Loan Bank, 2.052%, (1 Month LIBOR less 0.05%), 6/28/19		1,080,000		1,080
Federal Home Loan Bank, 2.165%, (3 Month LIBOR less 0.16%), 6/20/19		1,600,000		1,600
Federal Home Loan Bank, 2.166%, (3 Month LIBOR less 0.16%), 6/12/19		1,390,000		1,390
Federal Home Loan Bank, 2.166%, (3 Month LIBOR less 0.16%), 6/20/19		1,950,000		1,950
Federal Home Loan Bank, 2.186%, (3 Month LIBOR less 0.14%), 12/19/19		1,770,000		1,770
Federal Home Loan Mortgage Corp., 0.000%, 7/26/18		7,475,000		7,466
Federal Home Loan Mortgage Corp., 0.000%, 8/20/18		3,180,000		3,172
Federal Home Loan Mortgage Corp., 0.875%, 10/12/18		2,785,000		2,779
Federal Home Loan Mortgage Corp., 1.930%, (1 Month LIBOR less 0.10%), 8/8/19		3,975,000		3,973
US Treasury, 0.000%, 7/19/18		5,370,000		5,366
US Treasury, 0.000%, 8/2/18		7,080,000		7,070
US Treasury, 0.000%, 8/9/18		920,000		918
US Treasury, 0.000%, 8/16/18		6,000,000		5,986
US Treasury, 0.000%, 8/23/18		1,600,000		1,596
US Treasury, 0.000%, 9/13/18		7,000,000		6,973
US Treasury, 0.000%, 9/20/18		15,000,000		14,934
US Treasury, 0.000%, 9/27/18		13,000,000		12,940
US Treasury, 0.000%, 10/25/18		9,360,000		9,300
US Treasury, 0.000%, 12/27/18		7,275,000		7,200
US Treasury, 1.125%, 1/31/19		190,000		189
US Treasury, 1.250%, 1/31/19		190,000		189
US Treasury, 1.375%, 7/31/18		5,885,000		5,883
Total				270,675
Total Money Market Investments (Cost: $410,249)				410,249
Total Investments (98.8%) (Cost: $410,249)				410,249
Other Assets, Less Liabilities (1.2%)				4,776
Net Assets (100.0%)				415,025

# 7-day yield as of June 30, 2018.

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

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71

Government Money Market Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. See Note 3 for additional information on portfolio valuation.

		Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
		(Amounts in thousands)
Assets:
Short-Term Investments
Money Market Funds	$	574	$	—	$	—
All Others		—		409,675		—
Total Assets:	$	574	$	409,675	$	—

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

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72

Short-Term Bond Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance. A portion of the Portfolio’s assets may be invested in lower quality debt securities which may present a significant risk for loss of principal and interest. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

The Portfolio may invest in derivative instruments to adjust the Portfolio’s duration and yield curve exposure, to hedge foreign currency exposure or for any other permissible purpose keeping with its investment objective. Use of these instruments may involve certain costs and imposes certain risks such as liquidity risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs

Short-Term Bond Portfolio

73

Short-Term Bond Portfolio (unaudited)

of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,001.94	$  1.99
Hypothetical (5% return before expenses)	$1,000.00	$1,022.81	$  2.01

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.40%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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74

Short-Term Bond Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Basic Materials (1.7%)
Celulosa Arauco y Constitucion SA, 7.250%, 7/29/19		400,000		415
CNAC HK Finbridge Co., Ltd., 4.125%, 3/14/21 144A		360,000		359
INVISTA Finance LLC, 4.250%, 10/15/19 144A		515,000		515
LyondellBasell Industries NV, 5.000%, 4/15/19		199,000		201
LyondellBasell Industries NV, 6.000%, 11/15/21		280,000		300
Sherwin-Williams Co., 2.250%, 5/15/20(b)		1,395,000		1,372
Solvay Finance America LLC, 3.400%, 12/3/20 144A		1,120,000		1,124
Southern Copper Corp., 5.375%, 4/16/20		245,000		254
Syngenta Finance NV, 3.698%, 4/24/20 144A		435,000		433
Total				4,973
Communications (4.3%)
Alibaba Group Holding, Ltd., 2.500%, 11/28/19		870,000		864
America Movil SAB de CV, 5.000%, 10/16/19		100,000		102
AT&T, Inc., 2.300%, 3/11/19		625,000		623
Baidu, Inc., 2.750%, 6/9/19		1,140,000		1,135
British Telecommunications PLC, 2.350%, 2/14/19		250,000		249
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 3.579%, 7/23/20		630,000		630
Crown Castle Towers LLC, 3.720%, 7/15/43 144A		300,000		300
Discovery Communications LLC, 2.200%, 9/20/19		265,000		262
eBay, Inc., 2.150%, 6/5/20		375,000		369
The Interpublic Group of Cos., Inc., 4.000%, 3/15/22		155,000		156
JD.com, Inc., 3.125%, 4/29/21		720,000		702
NBCUniversal Media LLC, 5.150%, 4/30/20		716,000		740
Neptune Finco Corp., 10.875%, 10/15/25 144A		337,000		389
Omnicom Group, Inc., 4.450%, 8/15/20		400,000		410
Omnicom Group, Inc., 6.250%, 7/15/19		615,000		634
The Priceline Group, Inc., 2.750%, 3/15/23		150,000		145
RELX Capital, Inc., 3.500%, 3/16/23		270,000		267
SES GLOBAL Americas Holdings GP, 2.500%, 3/25/19 144A		180,000		179
Telefonica Emisiones SAU, 5.134%, 4/27/20		260,000		268
Telefonos de Mexico SAB de CV, 5.500%, 11/15/19		480,000		495
Tencent Holdings, Ltd., 2.875%, 2/11/20 144A		585,000		582
Tencent Holdings, Ltd., 3.375%, 5/2/19 144A		520,000		522
Time Warner Cable LLC, 8.250%, 4/1/19		970,000		1,006
Time Warner Cable LLC, 8.750%, 2/14/19		590,000		610
Viacom, Inc., 2.750%, 12/15/19		838,000		830
Viacom, Inc., 5.625%, 9/15/19		305,000		312
Waner Media LLC, 2.100%, 6/1/19		250,000		248
Total				13,029
Consumer, Cyclical (4.5%)
American Honda Finance Corp., 2.125%, 10/10/18		250,000		250
Aptiv PLC, 3.150%, 11/19/20		510,000		506
AutoZone, Inc., 1.625%, 4/21/19		65,000		64
BMW US Capital LLC, 2.749%, (3 Month LIBOR plus 0.41%), 4/12/21 144A		525,000		527
D.R. Horton, Inc., 2.550%, 12/1/20		240,000		235
Daimler Finance North America LLC, 1.750%, 10/30/19 144A		480,000		472

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Consumer, Cyclical continued
Daimler Finance North America LLC, 2.300%, 2/12/21 144A		705,000		685
Daimler Finance North America LLC, 2.375%, 8/1/18 144A		125,000		125
Daimler Finance North America LLC, 3.100%, 5/4/20 144A		290,000		289
Daimler Finance North America LLC, 3.218%, (3 Month LIBOR plus 0.86%), 8/1/18 144A		850,000		851
Delta Air Lines, Inc., 2.875%, 3/13/20		295,000		293
Delta Air Lines, Inc., 3.800%, 4/19/23		620,000		612
Dollar Tree, Inc., 3.055%, (3 Month LIBOR plus 0.70%), 4/17/20		585,000		586
Ford Motor Credit Co. LLC, 2.021%, 5/3/19		455,000		451
Ford Motor Credit Co. LLC, 2.551%, 10/5/18		630,000		630
Ford Motor Credit Co. LLC, 3.470%, 4/5/21		200,000		199
General Motors Financial Co., Inc., 3.100%, 1/15/19		580,000		581
General Motors Financial Co., Inc., 3.187%, (3 Month LIBOR plus 0.85%), 4/9/21		350,000		352
Harley-Davidson Financial Services, Inc., 2.831%, (3 Month LIBOR plus 0.50%), 5/21/20 144A		375,000		376
Hyundai Capital America, 2.000%, 7/1/19 144A		400,000		395
Hyundai Capital America, 2.400%, 10/30/18 144A		400,000		399
Hyundai Capital America, 2.500%, 3/18/19 144A		1,020,000		1,015
Hyundai Capital America, 2.550%, 2/6/19 144A		200,000		199
Newell Rubbermaid, Inc., 2.150%, 10/15/18		375,000		374
Nissan Motor Acceptance Corp., 1.550%, 9/13/19 144A		340,000		334
PACCAR Financial Corp., 3.100%, 5/10/21		585,000		586
QVC, Inc., 3.125%, 4/1/19		910,000		909
Royal Caribbean Cruises, Ltd., 2.650%, 11/28/20		125,000		123
Southwest Airlines Co., 2.750%, 11/6/19		280,000		279
Walmart, Inc., 3.125%, 6/23/21		740,000		744
Total				13,441
Consumer, Non-cyclical (7.1%)
Abbott Laboratories, 2.350%, 11/22/19		194,000		193
Abbott Laboratories, 2.900%, 11/30/21		480,000		472
AbbVie, Inc., 2.300%, 5/14/21		375,000		364
Allergan Funding SCS, 2.450%, 6/15/19		100,000		99
Anthem, Inc., 2.250%, 8/15/19		500,000		496
Anthem, Inc., 2.300%, 7/15/18		435,000		435
Anthem, Inc., 2.500%, 11/21/20		105,000		103
BAT Capital Corp., 2.297%, 8/14/20 144A		1,210,000		1,183
Bayer US Finance II LLC, 2.965%, (3 Month LIBOR plus 0.63%), 6/25/21 144A		580,000		581
Bayer US Finance II LLC, 3.500%, 6/25/21 144A		310,000		311
Bayer US Finance LLC, 2.375%, 10/8/19 144A		440,000		436
Biogen, Inc., 2.900%, 9/15/20		230,000		229
Bunge, Ltd. Finance Corp., 3.500%, 11/24/20		235,000		235
Bunge, Ltd. Finance Corp., 8.500%, 6/15/19		475,000		499
Campbell Soup Co., 2.835%, (3 Month LIBOR plus 0.50%), 3/16/20		475,000		474
Campbell Soup Co., 2.971%, (3 Month LIBOR plus 0.63%), 3/15/21		475,000		474
Celgene Corp., 2.250%, 5/15/19		340,000		338

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

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75

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Consumer, Non-cyclical continued
Celgene Corp., 2.875%, 8/15/20		295,000		293
Celgene Corp., 2.875%, 2/19/21		320,000		316
Coca-Cola Femsa, SAB de CV, 2.375%, 11/26/18		145,000		145
CVS Health Corp., 1.900%, 7/20/18		460,000		460
CVS Health Corp., 2.250%, 12/5/18		250,000		249
CVS Health Corp., 2.957%, (3 Month LIBOR plus 0.63%), 3/9/20		295,000		296
CVS Health Corp., 3.047%, (3 Month LIBOR plus 0.72%), 3/9/21		320,000		322
CVS Health Corp., 3.125%, 3/9/20		390,000		389
CVS Health Corp., 3.350%, 3/9/21		635,000		634
Danone SA, 1.691%, 10/30/19 144A		1,070,000		1,052
Equifax, Inc., 2.300%, 6/1/21		150,000		145
Equifax, Inc., 3.200%, (3 Month LIBOR plus 0.87%), 8/15/21		285,000		286
Equifax, Inc., 3.600%, 8/15/21		275,000		275
ERAC USA Finance LLC, 2.350%, 10/15/19 144A		110,000		109
ERAC USA Finance LLC, 2.800%, 11/1/18 144A		325,000		325
Express Scripts Holding Co., 2.250%, 6/15/19		70,000		69
Express Scripts Holding Co., 3.068%, (3 Month LIBOR plus 0.75%), 11/30/20		750,000		750
General Mills, Inc., 2.893%, (3 Month LIBOR plus 0.54%), 4/16/21		910,000		911
HCA, Inc., 3.750%, 3/15/19		1,110,000		1,114
Humana, Inc., 2.625%, 10/1/19		190,000		189
Imperial Brands Finance PLC, 2.950%, 7/21/20 144A		945,000		935
Johnson & Johnson, 1.950%, 11/10/20		225,000		221
The Kroger Co., 1.500%, 9/30/19		272,000		267
The Kroger Co., 2.300%, 1/15/19		165,000		164
Maple Escrow Subsidiary, Inc., 3.551%, 5/25/21 144A		770,000		771
Medco Health Solutions, Inc., 4.125%, 9/15/20		325,000		330
Reynolds American, Inc., 3.250%, 6/12/20		145,000		145
Reynolds American, Inc., 8.125%, 6/23/19		160,000		168
Shire Acquisitions Investments Ireland Designated Activity Co., 1.900%, 9/23/19(b)		1,800,000		1,773
Teva Pharmaceutical Finance Netherlands III BV, 1.700%, 7/19/19		1,055,000		1,030
Tyson Foods, Inc., 2.250%, 8/23/21		280,000		269
Total				21,324
Energy (3.9%)
Cenovus Energy, Inc., 5.700%, 10/15/19		465,000		477
China Shenhua Overseas Capital Co., Ltd., 3.125%, 1/20/20 144A		785,000		779
Columbia Pipeline Group, Inc., 3.300%, 6/1/20		535,000		533
DCP Midstream Operating LP, 2.700%, 4/1/19		430,000		426
Enable Midstream Partners, LP, 2.400%, 5/15/19		295,000		293
Enbridge Energy Partners LP, 9.875%, 3/1/19		790,000		824
Encana Corp., 6.500%, 5/15/19		370,000		380
Enterprise Products Operating LLC, 2.800%, 2/15/21		480,000		474
Enterprise Products Operating LLC, 6.500%, 1/31/19		250,000		255
Exxon Mobil Corp., 2.684%, (3 Month LIBOR plus 0.37%), 3/6/22		1,110,000		1,116
Kinder Morgan Energy Partners LP, 9.000%, 2/1/19		415,000		429
Magellan Midstream Partners LP, 6.550%, 7/15/19		480,000		497

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Marathon Oil Corp., 2.700%, 6/1/20		150,000		148
ONEOK Partners LP, 3.200%, 9/15/18		955,000		956
ONEOK Partners LP, 8.625%, 3/1/19		462,000		478
Petroleos Mexicanos, 8.000%, 5/3/19		720,000		746
Phillips 66, 2.919%, (3 Month LIBOR plus 0.60%), 2/26/21		335,000		335
Phillips 66, 2.998%, (3 Month LIBOR plus 0.65%), 4/15/19 144A		245,000		245
Plains All American Pipeline LP / PAA Finance Corp., 2.600%, 12/15/19		90,000		89
Plains All American Pipeline LP / PAA Finance Corp., 5.000%, 2/1/21		220,000		226
Plains All American Pipeline LP / PAA Finance Corp., 5.750%, 1/15/20		205,000		212
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21		470,000		492
Spectra Energy Partners LP, 2.950%, 9/25/18		560,000		560
Total Capital SA, 2.125%, 8/10/18		250,000		250
Williams Partners LP, 3.350%, 8/15/22		95,000		93
Williams Partners LP, 5.250%, 3/15/20		425,000		438
Total				11,751
Financial (17.9%)
ABN AMRO Bank NV, 2.100%, 1/18/19 144A		805,000		802
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.750%, 5/15/19		250,000		252
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, 3.950%, 2/1/22		475,000		472
AIA Group, Ltd., 2.250%, 3/11/19 144A		200,000		199
AIG Global Funding, 3.350%, 6/25/21 144A		365,000		365
Air Lease Corp., 2.125%, 1/15/20		570,000		559
Air Lease Corp., 2.500%, 3/1/21		135,000		131
Ally Financial, Inc., 3.250%, 11/5/18		610,000		610
Ally Financial, Inc., 3.500%, 1/27/19		825,000		824
American Campus Communities Operating Partnership LP, 3.350%, 10/1/20		390,000		389
American Express Credit Corp., 2.200%, 3/3/20		700,000		691
American Express Credit Corp., 2.375%, 5/26/20		110,000		108
American International Group, Inc., 2.300%, 7/16/19		350,000		348
American International Group, Inc., 6.400%, 12/15/20		175,000		188
ANZ New Zealand International, Ltd., 2.200%, 7/17/20 144A		380,000		372
ANZ New Zealand International, Ltd., 2.750%, 1/22/21 144A		590,000		580
Aon Corp., 5.000%, 9/30/20		60,000		62
Aon PLC, 2.800%, 3/15/21		570,000		560
Banco de Credito del Peru, 2.250%, 10/25/19 144A		200,000		197
Banco Santander Chile, 2.500%, 12/15/20 144A		860,000		835
Banco Santander SA, 3.459%, (3 Month LIBOR plus 1.12%), 4/12/23		400,000		400
Bank of America Corp., 2.503%, 10/21/22		280,000		268
Bank of America Corp., 2.625%, 4/19/21		315,000		309
Bank of America Corp., 2.742%, (3 Month LIBOR plus 0.38%), 1/23/22		395,000		393
Bank of America Corp., 2.985%, (3 Month LIBOR plus 0.65%), 6/25/22		410,000		410

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

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Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Financial continued
Bank of America Corp., 3.519%, (3 Month LIBOR plus 1.16%), 1/20/23		665,000		676
Bank of Montreal, 1.750%, 9/11/19		1,100,000		1,086
Bank of Montreal, 2.802%, (3 Month LIBOR plus 0.46%), 4/13/21		430,000		431
The Bank of New York Mellon Corp., 2.200%, 3/4/19		125,000		125
Banque Federative du Credit Mutuel SA, 2.000%, 4/12/19 144A		795,000		789
Barclays Bank PLC, 2.650%, 1/11/21		445,000		435
Barclays PLC, 2.750%, 11/8/19		715,000		709
Barclays PLC, 3.962%, (3 Month LIBOR plus 1.63%), 1/10/23		290,000		295
BB&T Corp., 2.150%, 2/1/21		550,000		535
BPCE SA, 2.500%, 12/10/18(b)		1,200,000		1,199
BPCE SA, 2.500%, 7/15/19		295,000		293
BPCE SA, 3.549%, (3 Month LIBOR plus 1.22%), 5/22/22 144A		280,000		284
Brixmor Operating Partnership LP, 3.875%, 8/15/22		80,000		80
Capital One Bank USA NA, 8.800%, 7/15/19		250,000		264
Capital One Financial Corp., 2.400%, 10/30/20		230,000		224
Capital One NA, 1.850%, 9/13/19		655,000		646
Capital One NA, 2.350%, 8/17/18		260,000		260
Capital One NA, 2.350%, 1/31/20		955,000		941
The Charles Schwab Corp., 2.649%, (3 Month LIBOR plus 0.32%), 5/21/21		470,000		472
Chicago Board Options Exchange, Inc., 1.950%, 6/28/19		285,000		282
China Overseas Finance Cayman VI, Ltd., 4.250%, 5/8/19 144A		430,000		433
Citibank NA, 2.125%, 10/20/20		405,000		395
Citigroup, Inc., 2.050%, 6/7/19		235,000		233
Citigroup, Inc., 2.700%, 3/30/21		30,000		29
Citigroup, Inc., 2.900%, 12/8/21		675,000		661
Citigroup, Inc., 3.127%, (3 Month LIBOR plus 0.79%), 1/10/20		680,000		685
Citizens Bank NA, 2.250%, 3/2/20		565,000		555
Citizens Bank NA, 2.500%, 3/14/19		525,000		524
Citizens Bank NA, 2.550%, 5/13/21		250,000		244
Citizens Financial Group, Inc., 2.375%, 7/28/21		35,000		34
CNO Financial Group, Inc., 4.500%, 5/30/20		140,000		140
Commonwealth Bank of Australia, 1.750%, 11/2/18		918,000		915
Cooperatieve Rabobank UA, 3.950%, 11/9/22		645,000		639
Credit Agricole SA, 3.379%, (3 Month LIBOR plus 1.02%), 4/24/23 144A		315,000		314
The Credit Mutuel-CM11 Group, 2.200%, 7/20/20 144A		435,000		425
Credit Suisse AG, 5.400%, 1/14/20		95,000		98
Credit Suisse Group Funding Guernsey, Ltd., 2.750%, 3/26/20		250,000		247
Crown Castle International Corp., 2.250%, 9/1/21		195,000		187
Crown Castle International Corp., 3.400%, 2/15/21		385,000		385
Danske Bank A/S, 2.200%, 3/2/20 144A		620,000		610
Discover Bank, 2.600%, 11/13/18		590,000		590
Discover Bank, 3.100%, 6/4/20		1,025,000		1,020
First Niagara Financial Group, Inc., 7.250%, 12/15/21		245,000		272

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Financial continued
The Goldman Sachs Group, Inc., 1.950%, 7/23/19		240,000		238
The Goldman Sachs Group, Inc., 2.300%, 12/13/19		370,000		366
The Goldman Sachs Group, Inc., 2.750%, 9/15/20		95,000		94
The Goldman Sachs Group, Inc., 3.139%, (3 Month LIBOR plus 0.78%), 10/31/22		330,000		330
The Goldman Sachs Group, Inc., 3.472%, (3 Month LIBOR plus 1.11%), 4/26/22		520,000		525
The Goldman Sachs Group, Inc., 5.375%, 3/15/20		195,000		202
The Goldman Sachs Group, Inc., 6.000%, 6/15/20		60,000		63
HCP, Inc., 2.625%, 2/1/20		60,000		59
HSBC Holdings PLC, 2.926%, (3 Month LIBOR plus 0.60%), 5/18/21		545,000		546
HSBC USA, Inc., 2.350%, 3/5/20		465,000		460
The Huntington National Bank, 2.200%, 11/6/18		1,175,000		1,173
ING Groep NV, 3.452%, (3 Month LIBOR plus 1.15%), 3/29/22		335,000		341
International Lease Finance Corp., 6.250%, 5/15/19		385,000		395
Intesa Sanpaolo SPA, 3.375%, 1/12/23 144A		350,000		322
Intesa Sanpaolo SPA, 3.875%, 1/15/19		425,000		425
JPMorgan Chase & Co., 2.350%, 1/28/19		250,000		250
JPMorgan Chase & Co., 2.877%, (3 Month LIBOR plus 0.55%), 3/9/21		675,000		677
JPMorgan Chase & Co., 4.250%, 10/15/20		200,000		204
JPMorgan Chase & Co., 4.400%, 7/22/20		105,000		108
JPMorgan Chase & Co., 4.950%, 3/25/20		150,000		154
JPMorgan Chase Bank NA, 2.604%, (3 Month LIBOR plus 0.28%), 2/1/21		250,000		248
Kimco Realty Corp., 6.875%, 10/1/19		215,000		224
Lincoln National Corp., 4.000%, 9/1/23		130,000		131
Marsh & McLennan Cos., Inc., 2.550%, 10/15/18		160,000		160
Mitsubishi UFJ Financial Group, Inc., 3.249%, (3 Month LIBOR plus 0.92%), 2/22/22		390,000		394
Mizuho Bank, 2.150%, 10/20/18 144A		245,000		245
Morgan Stanley, 2.903%, (3 Month LIBOR plus 0.55%), 2/10/21		595,000		596
Morgan Stanley, 5.500%, 1/26/20		240,000		248
Morgan Stanley, 5.500%, 7/24/20		235,000		245
Morgan Stanley, 7.300%, 5/13/19		250,000		259
New York Life Global Funding, 1.550%, 11/2/18 144A		525,000		523
PNC Bank NA, 2.450%, 11/5/20		425,000		418
Principal Life Global Funding II, 1.500%, 4/18/19 144A		240,000		238
Principal Life Global Funding II, 2.200%, 4/8/20 144A		445,000		438
Principal Life Global Funding II, 2.250%, 10/15/18 144A		250,000		250
Provident Cos., Inc., 7.000%, 7/15/18		125,000		125
Regions Bank, 2.250%, 9/14/18		270,000		270
Regions Bank, 2.688%, (3 Month LIBOR plus 0.38%), 4/1/21		650,000		649
Reinsurance Group of America, Inc., 5.000%, 6/1/21		60,000		62
Reinsurance Group of America, Inc., 6.450%, 11/15/19		540,000		563
Royal Bank of Scotland Group PLC, 6.400%, 10/21/19		140,000		145
Santander UK Group Holdings PLC, 2.875%, 10/16/20		145,000		143
Santander UK PLC, 2.125%, 11/3/20		430,000		417
Skandinaviska Enskilda Banken AB, 1.500%, 9/13/19		680,000		668

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

Short-Term Bond Portfolio

77

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Financial continued
Standard Chartered PLC, 2.100%, 8/19/19 144A		200,000		197
Standard Chartered PLC, 2.400%, 9/8/19 144A		200,000		198
Sumitomo Mitsui Banking Corp., 1.762%, 10/19/18		250,000		249
Sumitomo Mitsui Banking Corp., 2.514%, 1/17/20		730,000		722
Sumitomo Mitsui Trust Holdings, 1.950%, 9/19/19 144A		290,000		286
SunTrust Bank, 2.590%, (3 Month LIBOR plus 0.30%), 1/29/21		720,000		714
SunTrust Banks, Inc., 2.350%, 11/1/18		465,000		465
Svenska Handelsbanken AB, 3.350%, 5/24/21		525,000		526
The Toronto-Dominion Bank, 2.600%, (3 Month LIBOR plus 0.24%), 1/25/21		755,000		753
The Toronto-Dominion Bank, 2.625%, 9/10/18		350,000		350
Trininty Acquisition PLC, 3.500%, 9/15/21		145,000		144
U.S. Bank National Association, 2.682%, (3 Month LIBOR plus 0.32%), 4/26/21		720,000		720
UBS Group Funding AG, 3.549%, (3 Month LIBOR plus 1.22%), 5/23/23 144A		415,000		420
UBS Group Funding Jersey, Ltd., 2.950%, 9/24/20 144A		255,000		252
UBS Group Funding Jersey, Ltd., 3.000%, 4/15/21 144A		385,000		379
UNUM Group, 3.000%, 5/15/21		620,000		610
VEREIT Operating Partnership LP, 3.000%, 2/6/19(b)		1,205,000		1,204
WEA Finance LLC / Westfield UK & Europe Finance PLC, 2.700%, 9/17/19 144A		405,000		403
WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.250%, 10/5/20 144A		240,000		240
Wells Fargo & Co., 2.550%, 12/7/20		45,000		44
XLIT, Ltd., 2.300%, 12/15/18		430,000		428
Total				53,880
Industrial (5.7%)
Avnet, Inc., 3.750%, 12/1/21		250,000		249
Bohai Capital Holding Co., Ltd., 3.625%, 3/15/21 144A		690,000		668
Boral Finance, Ltd., 3.000%, 11/1/22 144A		65,000		63
CNH Industrial Capital LLC, 4.375%, 11/6/20		600,000		609
DAE Funding LLC, 4.000%, 8/1/20 144A		360,000		356
Fortive Corp., 1.800%, 6/15/19		65,000		64
GATX Corp., 2.500%, 7/30/19		315,000		313
GATX Corp., 2.600%, 3/30/20		665,000		657
General Dynamics Corp., 2.646%, (3 Month LIBOR plus 0.29%), 5/11/20		155,000		155
General Dynamics Corp., 2.736%, (3 Month LIBOR plus 0.38%), 5/11/21		255,000		256
Harris Corp., 2.700%, 4/27/20		510,000		505
Honeywell International, Inc., 1.800%, 10/30/19		505,000		499
Kansas City Southern, 2.350%, 5/15/20		915,000		898
Keysight Technologies, Inc., 3.300%, 10/30/19(b)		1,735,000		1,730
Martin Marietta Materials, Inc., 2.825%, (3 Month LIBOR plus 0.50%), 12/20/19		295,000		295
Martin Marietta Materials, Inc., 2.979%, (3 Month LIBOR plus 0.65%), 5/22/20		150,000		150
Municipality of Beijing China, 2.750%, 9/26/20 144A		385,000		376
Northrop Grumman Corp., 2.080%, 10/15/20		750,000		733
Packaging Corp. of America, 2.450%, 12/15/20		270,000		264

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Industrial continued
Penske Truck Leasing Co. LP / PTL Finance Corp., 2.500%, 6/15/19 144A		240,000		239
Penske Truck Leasing Co. LP / PTL Finance Corp., 2.875%, 7/17/18 144A		1,175,000		1,175
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.200%, 7/15/20 144A		795,000		793
Republic Services, Inc., 5.500%, 9/15/19		250,000		257
Rockwell Collins, Inc., 1.950%, 7/15/19		205,000		203
Roper Industries, Inc., 2.050%, 10/1/18		865,000		864
Roper Technologies, Inc., 3.000%, 12/15/20		90,000		89
SBA Tower Trust, 2.877%, 7/10/46 144A		155,000		151
SBA Tower Trust, 3.156%, 10/10/45 144A(l)		635,000		632
SBA Tower Trust, 3.168%, 4/9/47 144A		390,000		382
SBA Tower Trust, 3.448%, 3/15/23 144A		415,000		412
Stanley Black & Decker, Inc., 1.622%, 11/17/18		65,000		65
Stanley Black & Decker, Inc., 2.451%, 11/17/18		1,155,000		1,154
Union Pacific Corp., 2.250%, 2/15/19		85,000		85
Union Pacific Corp., 3.200%, 6/8/21		565,000		567
United Parcel Service, Inc., 2.500%, 4/1/23		160,000		155
Vulcan Materials Co., 2.941%, (3 Month LIBOR plus 0.60%), 6/15/20		365,000		365
Vulcan Materials Co., 2.950%, (3 Month LIBOR plus 0.65%), 3/1/21		760,000		761
Total				17,189
Technology (2.6%)
Apple, Inc., 1.800%, 11/13/19		690,000		683
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 2.375%, 1/15/20		750,000		740
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.000%, 1/15/22		700,000		681
Dell International LLC / EMC Corp., 3.480%, 6/1/19 144A		1,160,000		1,163
DXC Technology Co., 2.875%, 3/27/20		445,000		442
DXC Technology Co., 3.250%, (3 Month LIBOR plus 0.95%), 3/1/21		880,000		880
Fidelity National Information Services, Inc., 2.250%, 8/15/21		490,000		472
Fidelity National Information Services, Inc., 3.625%, 10/15/20		120,000		121
Hewlett Packard Enterprise Co., 2.100%, 10/4/19 144A		280,000		276
Hewlett Packard Enterprise Co., 2.850%, 10/5/18		168,000		168
Microchip Technology, Inc., 3.922%, 6/1/21 144A		395,000		396
QUALCOMM, Inc., 2.100%, 5/20/20		280,000		280
Seagate HDD Cayman, 3.750%, 11/15/18		410,000		411
Xerox Corp., 2.750%, 3/15/19		640,000		638
Xerox Corp., 5.625%, 12/15/19		525,000		538
Total				7,889
Utilities (2.9%)
Commonwealth Edison Co., 2.150%, 1/15/19		250,000		249
Dominion Energy, Inc., 2.579%, 7/1/20		185,000		182
Dominion Resources, Inc., 1.500%, 9/30/18 144A		315,000		314
Dominion Resources, Inc., 1.875%, 1/15/19		225,000		224
Dominion Resources, Inc., 2.962%, 7/1/19		145,000		145
Dominion Resources, Inc., 5.200%, 8/15/19		150,000		153

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

Short-Term Bond Portfolio

78

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
Duke Energy Corp., 3.550%, 9/15/21		155,000		156
Enel Finance International NV, 2.875%, 5/25/22 144A		535,000		510
ENN Energy Holdings, Ltd., 3.250%, 10/23/19 144Ashe		400,000		397
ENN Energy Holdings, Ltd., 6.000%, 5/13/21 144A		200,000		210
Exelon Generation Co. LLC, 2.950%, 1/15/20		415,000		413
Exelon Generation Co. LLC, 5.200%, 10/1/19		21,000		22
FirstEnergy Corp., 2.850%, 7/15/22		320,000		310
MidAmerican Energy Co., 2.400%, 3/15/19		500,000		499
NextEra Energy Capital Holdings, Inc., 1.649%, 9/1/18		190,000		190
NextEra Energy Capital Holdings, Inc., 2.300%, 4/1/19		165,000		164
Origin Energy Finance, Ltd., 3.500%, 10/9/18 144A		790,000		790
PNM Resources, Inc., 3.250%, 3/9/21		465,000		461
Public Service Electric & Gas Co., 2.300%, 9/15/18		400,000		400
San Diego Gas & Electric Co., 1.914%, 2/1/22		122,857		120
Sempra Energy, 1.625%, 10/7/19		163,000		160
Sempra Energy, 2.848%, (3 Month LIBOR plus 0.50%), 1/15/21		495,000		495
The Southern Co., 1.550%, 7/1/18		165,000		165
The Southern Co., 1.850%, 7/1/19		575,000		569
The Southern Co., 2.350%, 7/1/21		125,000		121
Southern Electric Generating Co., 2.200%, 12/1/18 144A		140,000		140
State Grid Overseas Investment 2016, Ltd., 2.250%, 5/4/20 144A		1,030,000		1,010
Total				8,569
Total Corporate Bonds (Cost: $153,081)				152,045
Governments (11.5%)
Governments (11.5%)
Province of Ontario, 2.000%, 9/27/18		1,000,000		999
US Treasury, 1.000%, 11/15/19(b)		8,615,000		8,446
US Treasury, 1.250%, 1/31/20(b)		2,900,000		2,844
US Treasury, 1.375%, 9/15/20(b)		2,870,000		2,797
US Treasury, 1.375%, 5/31/21		1,000,000		965
US Treasury, 1.500%, 6/15/20(b)		3,460,000		3,392
US Treasury, 1.625%, 11/30/20(b)		5,605,000		5,479
US Treasury, 1.875%, 12/15/20(b)		6,845,000		6,730
US Treasury, 2.375%, 4/30/20(b)		2,950,000		2,942
Total Governments (Cost: $35,138)				34,594
Municipal Bonds (0.2%)
Municipal Bonds (0.2%)
Florida State Board of Administration Finance Corp., 2.163%, 7/1/19 RB		475,000		472
State Board of Administration Finance Corp., Series 2013A, 2.107%, 7/1/18 RB		190,000		190
Total Municipal Bonds (Cost: $665)				662
Structured Products (35.1%)
Asset Backed Securities (19.5%)
Allegro CLO III, Ltd., Series 2015-1A, Class AR, 3.200%, (3 Month LIBOR plus 0.84%), 7/25/27 144A		585,000		584

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Ally Auto Receivables Trust, Series 2015-2, Class C, 2.410%, 1/15/21 144A		505,000		504
Ally Auto Receivables Trust, Series 2016-1, Class D, 2.840%, 9/15/22		180,000		180
Ally Auto Receivables Trust, Series 2017-2, Class C, 2.460%, 9/15/22		70,000		69
Ally Auto Receivables Trust, Series 2017-2, Class D, 2.930%, 11/15/23		95,000		93
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class E, 3.580%, 8/9/21 144A		175,000		175
AmeriCredit Automobile Receivables Trust, Series 2014-2, Class E, 3.370%, 11/8/21 144A		375,000		376
AmeriCredit Automobile Receivables Trust, Series 2014-3, Class C, 2.580%, 9/8/20		361,802		362
AmeriCredit Automobile Receivables Trust, Series 2014-3, Class D, 3.130%, 10/8/20		445,000		446
AmeriCredit Automobile Receivables Trust, Series 2014-3, Class E, 3.720%, 3/8/22 144A		170,000		170
AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/9/20		198,730		199
AmeriCredit Automobile Receivables Trust, Series 2014-4, Class E, 3.660%, 3/8/22		150,000		150
AmeriCredit Automobile Receivables Trust, Series 2015-2, Class D, 3.000%, 6/8/21		245,000		245
AmeriCredit Automobile Receivables Trust, Series 2015-3, Class D, 3.340%, 8/8/21		310,000		311
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A3, 1.700%, 7/8/20		51,407		51
AmeriCredit Automobile Receivables Trust, Series 2016-1, Class A3, 1.810%, 10/8/20		28,480		28
AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/22		1,120,000		1,119
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class D, 2.710%, 9/8/22		380,000		373
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class A3, 1.530%, 7/8/21		385,000		382
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C, 2.710%, 8/18/22		175,000		173
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class D, 3.130%, 1/18/23		620,000		614
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class B, 2.240%, 6/19/23		185,000		182
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C, 2.690%, 6/19/23		195,000		192
ARI Fleet Lease Trust, Series 2015-A, Class A3, 1.670%, 9/15/23 144A		325,121		325
ARI Fleet Lease Trust, Series 2016-A, Class A2, 1.820%, 7/15/24 144A		90,047		90
ARI Fleet Lease Trust, Series 2017-A, Class A2, 1.910%, 4/15/26 144A		116,116		116
ARI Fleet Lease Trust, Series 2017-A, Class A3, 2.280%, 4/15/26 144A		700,000		690
ARI Fleet Lease Trust, Series 2018-A, Class A2, 2.550%, 10/15/26 144A		280,000		279

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

Short-Term Bond Portfolio

79

Short-Term Bond Portfolio

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Ascentium Equipment Receivables Trust LLC, Series 2016-2A, Class A2, 1.460%, 4/10/19 144A		14,890		15
Ascentium Equipment Receivables Trust LLC, Series 2017-1A, Class A2, 1.870%, 7/10/19 144A		87,091		87
Ascentium Equipment Receivables Trust LLC, Series 2017-1A, Class A3, 2.290%, 6/10/21 144A		160,000		158
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A, 2.970%, 2/20/20 144A		135,000		135
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class B, 3.660%, 2/20/20 144A		670,000		671
Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/20 144A		155,000		154
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.500%, 2/20/21 144A		1,155,000		1,145
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.500%, 7/20/21 144A		415,000		409
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/22 144A		440,000		436
Babson CLO, Ltd., Series 2017-IA, Class AR, 3.159%, (3 Month LIBOR plus 0.80%), 1/20/28 144A		730,000		728
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A, 3.500%, (AFC), 1/28/58 144A		782,962		782
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A, 3.500%, (AFC), 6/28/57 144A		677,293		676
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4,Class A, 3.500%, (AFC), 1/28/55 144A		235,332		235
BlueMountain CLO Series 2015-2, Class A, 3.265%, (3 Month LIBOR plus 0.93%), 7/18/27 144A		750,000		750
BMW Vehicle Lease Trust, Series 2016-2, Class A3, 1.430%, 9/20/19		196,443		196
BMW Vehicle Lease Trust, Series 2017-1, Class A3, 1.980%, 5/20/20		325,000		323
California Republic Auto Receivables Trust, Series 2015-1, Class B, 2.510%, 2/16/21		130,000		129
Capital Auto Receivables Asset Trust, Series 2016-1, Class A3, 1.730%, 4/20/20		78,427		78
Capital Auto Receivables Asset Trust, Series 2016-2, Class A4, 1.630%, 1/20/21		175,000		173
Capital Auto Receivables Asset Trust, Series 2016-3, Class A3, 1.540%, 8/20/20		75,011		75
Capital Auto Receivables Asset Trust, Series 2017-1, Class B, 2.430%, 5/20/22 144A		70,000		69
Capital Auto Receivables Asset Trust, Series 2017-1, Class C, 2.700%, 9/20/22 144A		115,000		113
Capital Auto Receivables Asset Trust, Series 2018-1, Class D, 3.700%, 6/20/25 144A		575,000		573
Carlyle Global Market Strategies, Series 2015-1A, Class AR, 3.359%, (3 Month LIBOR plus 1.00%), 4/20/27 144A		425,000		425
CarMax Auto Owner Trust, Series 2014-4, Class A4, 1.810%, 7/15/20		231,051		230
CarMax Auto Owner Trust, Series 2015-3, Class D, 3.270%, 3/15/22		220,000		220
CarMax Auto Owner Trust, Series 2016-2, Class A3, 1.520%, 2/16/21		235,861		234

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
CarMax Auto Owner Trust, Series 2016-4, Class A3, 1.400%, 8/15/21		400,000		395
CarMax Auto Owner Trust, Series 2017-4, Class C, 2.700%, 10/16/23		95,000		93
CCG Receivables Trust, Series 2015-1, Class B, 2.600%, 1/17/23 144A		370,000		369
CCG Receivables Trust, Series 2016-1, Class A2, 1.690%, 9/14/22 144A		70,988		71
CCG Receivables Trust, Series 2017-1, Class A2, 1.840%, 11/14/23 144A		228,990		227
Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A3, 1.640%, 7/15/21 144A		119,182		118
CNH Equipment Trust, Series 2015-B, Class A3, 1.370%, 7/15/20		90,369		90
CNH Equipment Trust, Series 2015-C, Class B, 2.400%, 2/15/23		570,000		566
CNH Equipment Trust, Series 2016-C, Class A3, 1.440%, 12/15/21		260,000		256
Diamond Resorts Owner Trust, Series 2014-1, Class A, 2.540%, 5/20/27 144A		71,522		71
Diamond Resorts Owner Trust, Series 2015-1, Class A, 2.730%, 7/20/27 144A		52,514		52
Diamond Resorts Owner Trust, Series 2015-2, Class A, 2.990%, 5/22/28 144A		57,915		58
Elara HGV Timeshare Issuer, Series 2017-A, Class A, 2.690%, 3/25/30 144A		176,697		173
Enterprise Fleet Financing LLC, Series 2016-1, Class A2, 1.830%, 9/20/21 144A		274,573		274
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 1.740%, 2/22/22 144A		295,693		294
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 2.130%, 7/20/22 144A		149,479		149
Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 1.970%, 1/20/23 144A		143,610		143
Enterprise Fleet Financing LLC, Series 2017-3, Class A2, 2.130%, 5/22/23 144A		665,000		659
Enterprise Fleet Financing LLC, Series 2018-1, Class A2, 2.870%, 10/20/23 144A		335,000		334
Ford Credit Auto Lease Trust, Series 2017-B, Class A3, 2.030%, 12/15/20		255,000		252
Ford Credit Floorplan Master Owner Trust A, Series 2016-3, Class B, 1.750%, 7/15/21		190,000		188
Ford Credit Floorplan Master Owner Trust A, Series 2017-2, Class B, 2.340%, 9/15/22(b)		1,265,000		1,243
Ford Credit Floorplan Master Owner Trust, Series 2016-5, Class B, 2.160%, 11/15/21		410,000		405
Galaxy XXIX CLO, Ltd., Series 2018-29A, Class A, 3.120%, (3 Month LIBOR plus 0.79%), 11/15/26 144A		1,155,000		1,155
GM Financial Automobile Leasing Trust, Series 2016-2, Class A3, 1.620%, 9/20/19		202,362		202
GM Financial Automobile Leasing Trust, Series 2016-3, Class B, 1.970%, 5/20/20		225,000		223
GM Financial Automobile Leasing Trust, Series 2017-1, Class A4, 2.260%, 8/20/20		75,000		75

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

Short-Term Bond Portfolio

80

Short-Term Bond Portfolio

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
GM Financial Automobile Leasing Trust, Series 2017-2, Class A3, 2.020%, 9/21/20		325,000		322
GM Financial Automobile Leasing Trust, Series 2017-3, Class A4, 2.120%, 9/20/21		115,000		114
GM Financial Automobile Leasing Trust, Series 2017-3, Class C, 2.730%, 9/20/21		140,000		138
GM Financial Automobile Leasing Trust, Series 2018-1, Class C, 3.110%, 12/20/21		200,000		199
GM Financial Automobile Leasing Trust, Series 2018-1, Class D, 3.370%, 10/20/22		480,000		477
GM Financial Automobile Leasing Trust, Series 2018-2, Class A, 3.500%, 4/20/22(l)		220,000		220
GM Financial Securitized Term, Series 2017-3A, Class B, 2.330%, 3/16/23 144A		400,000		390
GM Financial Securitized Term, Series 2017-3A, Class C, 2.520%, 3/16/23 144A		475,000		463
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class B, 2.410%, 5/17/21 144A		125,000		124
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class C, 2.850%, 5/17/21 144A		100,000		99
GMF Floorplan Owner Revolving Trust, Series 2017-1, Class C, 2.970%, 1/18/22 144A		260,000		259
GMF Floorplan Owner Revolving Trust, Series 2017-2, Class C, 2.630%, 7/15/22 144A		170,000		167
GMF Floorplan Owner Revolving Trust, Series 2017-3, Class B, 2.260%, 8/16/21 144A		715,000		709
GMF Floorplan Owner Revolving Trust, Series 2017-3, Class C, 2.460%, 8/16/21 144A		855,000		846
GreatAmerica Leasing Receivables Funding LLC, Series 2016-1, Class A3, 1.730%, 6/20/19 144A		130,936		131
GreatAmerica Leasing Receivables Funding LLC, Series 2017-1, Class A2, 1.720%, 4/22/19 144A		34,792		35
GreatAmerica Leasing Receivables Funding LLC, Series 2017-1, Class A3, 2.060%, 6/22/20 144A		100,000		99
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A3, 2.600%, 6/15/21 144A		185,000		184
Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class B1R, 3.060%, (3 Month LIBOR plus 1.70%), 10/22/25 144A		345,000		345
Hardee’s Funding LLC, Series 1A, Class AI, 4.250%, 6/21/48 144A		300,000		301
Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.660%, 12/26/28 144A		122,950		121
Hilton Grand Vacations Trust, Series 2017-AA, Class B, 2.960%, (EXE), 12/26/28 144A		70,257		69
Huntington Auto Trust, Series 2016-1, Class A4, 1.930%, 4/15/22		325,000		320
Hyundai Auto Lease Securitization Trust, Series 2016-A, Class A3, 1.600%, 7/15/19 144A		13,128		13
Hyundai Auto Lease Securitization Trust, Series 2016-B, Class A4, 1.680%, 4/15/20 144A		100,000		100
Hyundai Auto Lease Securitization Trust, Series 2016-C, Class A4, 1.650%, 7/15/20 144A		290,000		288
Hyundai Auto Lease Securitization Trust, Series 2016-C, Class B, 1.860%, 5/17/21 144A		320,000		317

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Hyundai Auto Lease Securitization Trust, Series 2017-B, Class A3, 1.970%, 7/15/20 144A		500,000		496
Hyundai Auto Receivables Trust, Series 2017-A, Class B, 2.380%, 4/17/23		150,000		147
John Deere Owner Trust, Series 2016-A, Class A3, 1.360%, 4/15/20		170,223		169
KKR CLO 12, Ltd., Series 2017-12, Class A1R, 3.398%, (3 Month LIBOR plus 1.05%), 7/15/27 144A		705,000		705
KKR Financial CLO, Ltd., Series 2013, Class A1R, 3.148%, (3 Month LIBOR plus 0.80%), 1/16/28 144A		755,000		752
Kubota Credit Owner Trust, Series 2016-1A, Class A3, 1.500%, 7/15/20 144A		576,873		572
Madison Park Funding, Ltd., Series 2015-18A, Class A1R, 3.552%, (3 Month LIBOR plus 1.19%), 10/21/30 144A		690,000		692
Magnetite XVI, Ltd., Series 2015-16A, Class AR, 3.155%, (3 Month LIBOR plus 0.80%), 1/18/28 144A		980,000		976
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, (AFC), 4/25/57 144A		86,027		84
Mill City Mortgage Loan Trust, Series 2017-2, Class A1, 2.750%, (AFC), 7/25/59 144A		507,579		500
MMAF Equipment Finance LLC, Series 2017-AA, Class A2, 1.730%, 5/18/20 144A		215,984		215
MVW Owner Trust, Series 2015-1A, Class A, 2.520%, 12/20/32 144A		236,484		231
MVW Owner Trust, Series 2017-1A, Class A, 2.420%, 12/20/34 144A		103,287		101
MVW Owner Trust, Series 2017-1A, Class B, 2.750%, 12/20/34 144A		86,073		84
MVW Owner Trust, Series 2017-1A, Class C, 2.990%, 12/20/34 144A		94,680		92
Navient Student Loan Trust, Series 2018-A, Class A1, 2.530%, 2/18/42 144A		503,233		499
Neuberger Berman CLO, Ltd., Series 2015-19A, Class A1R2, 3.148%, (3 Month LIBOR plus 0.80%), 7/15/27 144A		740,000		738
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A, 3.198%, (3 Month LIBOR plus 0.85%), 1/15/28 144A		440,000		439
Nissan Auto Lease Trust, Series 2016-B, Class A4, 1.610%, 1/18/22		370,000		368
Nissan Auto Lease Trust, Series 2017-B, Class A4, 2.170%, 12/15/21		290,000		286
Nissan Master Owner Trust Receivables, Series 2016-A, Class A2, 1.540%, 6/15/21		335,000		331
OCP CLO, Ltd., Series 2015-10A, Class A1R, 3.182%, (3 Month LIBOR plus 0.82%), 10/26/27 144A		665,000		663
Santander Drive Auto Receivables Trust, Series 2014-3, Class D, 2.650%, 8/17/20		45,013		45
Santander Drive Auto Receivables Trust, Series 2015-3, Class D, 3.490%, 5/17/21		345,000		347
Santander Drive Auto Receivables Trust, Series 2015-4, Class D, 3.530%, 8/16/21		240,000		242
Santander Drive Auto Receivables Trust, Series 2015-5, Class C, 2.740%, 12/15/21		577,586		578

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

Short-Term Bond Portfolio

81

Short-Term Bond Portfolio

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Santander Drive Auto Receivables Trust, Series 2015-5, Class D, 3.650%, 12/15/21		345,000		347
Santander Drive Auto Receivables Trust, Series 2016-1, Class B, 2.470%, 12/15/20		79,649		80
Santander Drive Auto Receivables Trust, Series 2016-1, Class D, 4.020%, 4/15/22		425,000		430
Santander Drive Auto Receivables Trust, Series 2016-3, Class C, 2.460%, 3/15/22		274,000		272
Santander Drive Auto Receivables Trust, Series 2017-1, Class B, 2.100%, 6/15/21		50,000		50
Santander Drive Auto Receivables Trust, Series 2017-1, Class C, 2.580%, 5/16/22		65,000		65
Santander Drive Auto Receivables Trust, Series 2017-3, Class B, 2.190%, 3/15/22		365,000		361
Santander Drive Auto Receivables Trust, Series 2018-1, Class C, 2.960%, 3/15/24		120,000		119
Santander Retail Auto Lease Trust, Series 2017-A, Class A3, 2.220%, 1/20/21 144A		185,000		183
Santander Retail Auto Lease Trust, Series 2017-A, Class C, 2.960%, 11/21/22 144A		155,000		153
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A, 2.400%, 3/22/32 144A		198,670		197
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class A, 2.580%, 9/20/32 144A		188,077		187
Sierra Receivables Funding Co. LLC, Series 2016-3A, Class A, 2.430%, 10/20/33 144A		249,704		246
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A, 2.910%, 3/20/34 144A		73,089		72
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A, 2.430%, 6/20/32 144A		97,684		97
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 3.080%, 3/21/33 144A		273,596		274
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A, 2.330%, 7/20/33 144A		76,437		75
SLM Private Education Loan Trust, Series 2013-A, Class B, 2.500%, 3/15/47 144A		580,000		575
SLM Student Loan Trust, Series 2007-7, Class A4, 2.690%, (3 Month LIBOR plus 0.33%), 1/25/22		252,602		248
SLM Student Loan Trust, Series 2008-4, Class A4, 4.010%, (3 Month LIBOR plus 1.65%), 7/25/22		72,459		74
SLM Student Loan Trust, Series 2008-5, Class A4, 4.060%, (3 Month LIBOR plus 1.70%), 7/25/23		196,718		202
SLM Student Loan Trust, Series 2008-9, Class A, 3.860%, (3 Month LIBOR plus 1.50%), 4/25/23		141,783		145
SMART ABS Trust, Series 2015-3US, Class A3A, 1.660%, 8/14/19		50,221		50
SMART ABS Trust, Series 2016-2US, Class A2A, 1.450%, 8/14/19		127,402		127
SMB Private Education Loan Trust, Series 2015-A, Class A2B, 3.073%, (ICE LIBOR USD 1 Month plus 1.00%), 6/15/27 144A		231,748		234
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 3.173%, (ICE LIBOR USD 1 Month plus 1.10%), 9/15/34 144A		740,000		750

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Synchrony Credit Card Master Note Trust, Series 2015-1, Class B, 2.640%, 3/15/23		250,000		247
Synchrony Credit Card Master Note Trust, Series 2015-4, Class B, 2.620%, 9/15/23		305,000		300
Synchrony Credit Card Master Note Trust, Series 2016-2, Class C, 2.950%, 5/15/24		522,306		513
Synchrony Credit Card Master Note Trust, Series 2018-1, Class C, 3.360%, 3/15/24		445,000		442
Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.832%, 5/25/46 144A		438,325		439
Towd Point Mortgage Trust, Series 2015-1, Class A1, 3.000%, (AFC), 1/28/58 144A		248,874		245
Towd Point Mortgage Trust, Series 2015-4, Class A1B, 2.750%, (AFC), 4/25/55 144A		237,330		235
Towd Point Mortgage Trust, Series 2015-5, Class A1B, 2.750%, (AFC), 5/25/55 144A		220,983		218
Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.750%, (AFC), 2/25/55 144A		116,383		115
Towd Point Mortgage Trust, Series 2016-1, Class A3B, 3.000%, (AFC), 2/25/55 144A		154,001		152
Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, (AFC), 8/25/55 144A		104,456		103
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250%, (AFC), 4/25/56 144A		82,119		80
Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.750%, (AFC), 10/25/56 144A		409,347		401
Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.750%, (AFC), 4/25/57 144A		261,483		257
Towd Point Mortgage Trust, Series 2017-3, Class A1, 2.750%, (AFC), 7/25/57 144A		585,346		573
Towd Point Mortgage Trust, Series 2017-4, Class A1, 2.750%, (AFC), 6/25/57 144A		287,655		281
Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.750%, (AFC), 10/25/57 144A		1,042,864		1,016
Towd Point Mortgage Trust, Series 2018-2, Class A1, 3.250%, (AFC), 3/25/58 144A(b)		1,308,166		1,295
Verizon Owner Trust, Series 2016-2A, Class A, 1.680%, 5/20/21 144A		500,000		495
Verizon Owner Trust, Series 2016-2A, Class C, 2.360%, 5/20/21 144A		270,000		265
Verizon Owner Trust, Series 2017-1A, Class C, 2.650%, 9/20/21 144A		150,000		148
Verizon Owner Trust, Series 2017-3A, Class C, 2.530%, 4/20/22 144A		550,000		539
Verizon Owner Trust, Series 2018-1A, Class C, 3.200%, 9/20/22 144A		450,000		448
Volvo Financial Equipment LLC, Series 2016-1A, Class A3, 1.670%, 2/18/20 144A		103,580		103
Volvo Financial Equipment LLC, Series 2018-1A, Class B, 2.910%, 1/17/23 144A		210,000		208
Volvo Financial Equipment Master Owner Trust, Series 2017-A, Class A, 2.573%, (1 Month LIBOR plus 0.50%), 11/15/22 144A		115,000		115

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

Short-Term Bond Portfolio

82

Short-Term Bond Portfolio

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.590%, 5/20/25 144A		77,537		77
World Omni Automobile Lease Securitization Trust, Series 2016-A, Class A3, 1.450%, 8/15/19		480,000		478
World Omni Automobile Lease Securitization Trust, Series 2018-A, Class B, 3.060%, 5/15/23		130,000		129
Total				58,564
Mortgage Securities (15.6%)
Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class A, 3.003%, (1 Month LIBOR plus 0.93%), 12/15/36 144A		520,000		519
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class A1, 1.957%, 2/15/50		117,207		115
BANK, Series 2017-BNK4, Class A1, 2.002%, 5/15/50		478,420		469
BX Trust, Series 2017-IMC, Class D, 3.473%, (1 Month LIBOR plus 1.40%), 10/15/32 144A		695,000		695
BX Trust, Series 2017-IMC, Class D, 4.323%, (1 Month LIBOR plus 2.25%), 10/15/32 144A		225,000		225
CD Mortgage Trust, Series 2016-CD2, Class A1, 1.848%, 11/10/49		550,619		539
CD Mortgage Trust, Series 2017-CD3, Class A1, 1.965%, 2/10/50		121,163		119
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class A1, 1.485%, 10/10/47		66,267		66
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A1, 1.353%, 2/10/48		47,314		47
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class A1, 1.637%, 6/10/48		252,699		250
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A1, 1.643%, 9/10/58		247,452		244
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A1, 1.648%, 9/15/48		92,358		91
CLNS Trust, Series 2017-IKPR, Class A, 2.846%, (ICE LIBOR USD 1 Month plus 0.80%), 6/11/32 144A		240,000		240
CLNS Trust, Series 2017-IKPR, Class B, 3.046%, (1 Month LIBOR plus 1.00%), 6/11/32 144A		365,000		365
COLT Funding LLC, Series 2017-1, Class A1, 2.614%, (AFC), 5/27/47 144A		273,892		273
COLT Funding LLC, Series 2017-1, Class A3, 3.074%, (AFC), 5/27/47 144A		48,051		48
COLT Funding LLC, Series 2017-2, Class A1A, 2.415%, (AFC), 10/25/47 144A		436,886		434
COLT Funding LLC, Series 2017-2, Class A2A, 2.568%, (AFC), 10/25/47 144A		184,959		184
COLT Funding LLC, Series 2017-2, Class A3A, 2.773%, (AFC), 10/25/47 144A		79,724		79
COLT Mortgage Loan Trust, Series 2018-1, Class A1, 2.930%, (AFC), 2/25/48 144A		181,102		180
COLT Mortgage Loan Trust, Series 2018-1, Class A3, 3.084%, (AFC), 2/25/48 144A		80,490		80
COLT Mortgage Loan Trust, Series 2018-2, Class A1, 3.470%, (AFC), 7/27/48 144A(b)		1,181,644		1,182
COLT Mortgage Loan Trust, Series 2018-2, Class A2, 3.542%, (AFC), 7/27/48 144A		435,000		435

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Commercial Mortgage Pass Through Certificates, Series 2014-CR21, Class A1, 1.494%, 12/10/47		29,495		29
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class A1, 1.569%, 3/10/48		27,932		28
Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A1, 1.737%, 8/10/48		198,146		196
Commercial Mortgage Pass Through Certificates, Series 2015-CR26, Class A1, 1.604%, 10/10/48		203,926		202
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2, 3.221%, 10/10/48		605,000		606
Commercial Mortgage Pass Through Certificates, Series 2015-PC1, Class A1, 1.667%, 7/10/50		248,309		247
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class A1, 1.770%, 2/10/49		23,458		23
Commercial Mortgage Pass Through Certificates, Series 2017-COR2, Class A1, 2.111%, 9/10/50		145,806		142
Connecticut Avenue Securities, Series 2016-C01, Class 2M1, 4.191%, (ICE LIBOR USD 1 Month plus 2.10%), 8/25/28		48,971		49
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A1, 1.684%, 4/15/50		31,098		31
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A1, 1.454%, 6/15/57		255,637		254
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A1, 1.716%, 8/15/48		182,859		181
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class A1, 1.746%, 11/15/48		55,067		54
CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A1, 2.024%, 9/15/50		88,762		87
Deephaven Residential Mortgage Trust, Series 2017-1A, Class A3, 3.485%, (CSTR, AFC), 12/26/46 144A		91,931		92
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A1, 2.577%, (CSTR, AFC), 10/25/47 144A		417,409		415
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A2, 2.711%, (CSTR, AFC), 10/25/47 144A		69,568		69
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A3, 2.813%, (CSTR, AFC), 10/25/47 144A		69,568		69
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A1, 2.976%, (AFC), 1/25/58 144A		352,238		350
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M1, 2.771%, (1 Month LIBOR plus 0.68%), 10/25/30		542,403		542
FDIC Guaranteed Notes Trust, Series 2010-S2, Class 2A, 2.570%, 7/29/47 144A		120,138		119
Federal Home Loan Bank, 2.625%, 5/28/20(b)		2,240,000		2,241
Federal Home Loan Mortgage Corp., 3.500%, 3/1/46		97,289		97
Federal Home Loan Mortgage Corp., 5.500%, 5/1/22		94,905		98
Federal Home Loan Mortgage Corp., 6.000%, 9/1/34		2,942		3
Federal Home Loan Mortgage Corp., 6.000%, 2/1/35		53,809		59
Federal Home Loan Mortgage Corp., 6.000%, 9/1/35		18,088		20
Federal Home Loan Mortgage Corp., 6.000%, 1/1/38		3,587		4
Federal Home Loan Mortgage Corp., Series 2017-DNA1, Class M1, 3.291%, (ICE LIBOR USD 1 Month plus 1.20%), 7/25/29		229,061		231

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

Short-Term Bond Portfolio

83

Short-Term Bond Portfolio

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1, 3.291%, (ICE LIBOR USD 1 Month plus 1.20%), 10/25/29		642,014		649
Federal Home Loan Mortgage Corp., Series 2017-HQA1, Class M1, 3.291%, (ICE LIBOR USD 1 Month plus 1.20%), 8/25/29		448,130		451
Federal Home Loan Mortgage Corp., Series 2017-HQA2, Class M1, 2.891%, (ICE LIBOR USD 1 Month plus 0.80%), 12/25/29		229,299		230
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1, 3.873%, (CSTR), 5/25/47 144A		118,968		119
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class M1, 3.985%, 9/25/47 144A		50,664		51
Federal Home Loan Mortgage Corp., Series 2018-DNA2, Class M1, 2.857%, (1 Month LIBOR plus 0.80%), 12/25/30 144A		980,000		980
Federal Home Loan Mortgage Corp., Series 2018-SPI2, Class M1, 3.820%, 5/25/48 144A		215,000		215
Federal Home Loan Mortgage Corp., Series 3713, Class PA, 2.000%, 2/15/40		387,721		377
Federal Home Loan Mortgage Corp., Series 3718, Class BC, 2.000%, 2/15/25		334,187		330
Federal Home Loan Mortgage Corp., Series 4092, Class CL, 1.250%, 6/15/27		1,196,829		1,129
Federal Home Loan Mortgage Corp., Series DNA3, Class M1, 2.841%, (ICE LIBOR USD 1 Month plus 0.75%), 3/25/30		394,743		396
Federal National Mortgage Association, 1.500%, 7/30/20(b)		1,310,000		1,281
Federal National Mortgage Association, 2.500%, 10/1/22		514,551		511
Federal National Mortgage Association, 2.500%, 12/1/22		131,960		131
Federal National Mortgage Association, 3.000%, 6/1/22		141,585		142
Federal National Mortgage Association, 3.000%, 4/1/24		368,960		370
Federal National Mortgage Association, 3.500%, 5/1/27		750,867		763
Federal National Mortgage Association, 3.500%, 4/1/46		1,004,012		1,002
Federal National Mortgage Association, 4.000%, 6/1/33		344,514		354
Federal National Mortgage Association, 4.000%, 8/1/47(b)		1,312,298		1,339
Federal National Mortgage Association, 4.500%, 5/1/40		153,974		162
Federal National Mortgage Association, 4.500%, 9/1/40		142,331		150
Federal National Mortgage Association, 4.500%, 2/1/44		522,994		548
Federal National Mortgage Association, 5.000%, 10/1/33		191,156		205
Federal National Mortgage Association, 5.000%, 5/1/48		405,331		430
Federal National Mortgage Association, 5.500%, 8/1/37		106,189		115
Federal National Mortgage Association, 5.500%, 2/1/38		392,982		427
Federal National Mortgage Association, 6.000%, 8/1/22		40,924		42
Federal National Mortgage Association, 6.000%, 3/1/34		90,676		99
Federal National Mortgage Association, 6.000%, 8/1/34		251,719		277
Federal National Mortgage Association, 6.000%, 11/1/34		9,781		11
Federal National Mortgage Association, 6.000%, 12/1/34		3,149		3

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, 6.000%, 4/1/35		5,927		7
Federal National Mortgage Association, 6.000%, 5/1/38		4,107		4
Federal National Mortgage Association, 6.000%, 10/1/40		206,967		228
Federal National Mortgage Association, 6.500%, 7/1/32		29,770		33
Federal National Mortgage Association, 6.500%, 12/1/32		33,616		38
Federal National Mortgage Association TBA, 3.500%, 7/17/33		665,000		673
Federal National Mortgage Association, Series 2010-95, Class BK, 1.500%, 2/25/20		117,993		117
Federal National Mortgage Association, Series 2011-113, Class AG, 2.500%, 11/25/26		228,150		224
Federal National Mortgage Association, Series 2013-74, Class AD, 2.000%, 7/25/23		304,634		300
Federal National Mortgage Association, Series 2016-83, Class FA, 2.591%, (ICE LIBOR USD 1 Month plus 0.50%), 11/25/46		257,753		261
Federal National Mortgage Association, Series 2016-85, Class FA, 2.591%, (ICE LIBOR USD 1 Month plus 0.50%), 11/25/46		473,945		479
Federal National Mortgage Association, Series 2016-85, Class FG, 2.591%, (ICE LIBOR USD 1 Month plus 0.50%), 11/25/46		215,753		218
Federal National Mortgage Association, Series 2016-C07, Class 2M1, 3.391%, (ICE LIBOR USD 1 Month plus 1.30%), 5/25/29		148,378		149
Federal National Mortgage Association, Series 2017-90, Class KA, 3.000%, 11/25/47		513,836		506
Federal National Mortgage Association, Series 2017-C01, Class 1M1, 3.391%, (ICE LIBOR USD 1 Month plus 1.30%), 7/25/29		266,767		269
Federal National Mortgage Association, Series 2017-C02, Class 2M1, 3.241%, (ICE LIBOR USD 1 Month plus 1.15%), 9/25/29		467,586		470
Federal National Mortgage Association, Series 2017-C03, Class 1M1, 3.041%, (ICE LIBOR USD 1 Month plus 0.95%), 10/25/29		511,273		514
Federal National Mortgage Association, Series 2017-C04, Class 2M1, 2.941%, (ICE LIBOR USD 1 Month plus 0.85%), 11/25/29		377,002		378
Federal National Mortgage Association, Series 2017-C05, Class 1M1, 2.641%, (ICE LIBOR USD 1 Month plus 0.55%), 1/25/30		570,685		571
Federal National Mortgage Association, Series 2017-C06, Class 1M1, 2.841%, (ICE LIBOR USD 1 Month plus 0.75%), 2/25/30		429,597		430
Federal National Mortgage Association, Series 2017-C06, Class 2M1, 2.841%, (ICE LIBOR USD 1 Month plus 0.75%), 2/25/30		209,937		210
Federal National Mortgage Association, Series 2018-44, Class PC, 4.000%, 6/25/44(b)		1,214,411		1,241
Federal National Mortgage Association, Series 2018-C02, Class 2M1, 2.741%, (1 Month LIBOR plus 0.65%), 8/25/30		289,182		289

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

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Short-Term Bond Portfolio

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Galton Funding Mortgage Trust, Series 2018-1, Class A33, 3.500%, (AFC), 11/25/57 144A		381,895		374
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.951%, (CSTR), 7/10/38		164,904		165
Government National Mortgage Association, 3.500%, 12/20/42		9,751		10
Government National Mortgage Association, 3.500%, 9/20/43		143,022		145
Government National Mortgage Association, 5.000%, 3/20/34		522,893		560
Government National Mortgage Association, 5.000%, 1/20/48		211,149		222
Government National Mortgage Association, 5.000%, 2/20/48(b)		1,208,938		1,270
Government National Mortgage Association, 5.000%, 4/20/48(b)		1,915,725		2,012
Government National Mortgage Association, 5.500%, 6/20/37		120,453		129
Great Wolf Trust, Series 2017-WOLF, Class A, 3.073%, (ICE LIBOR USD 1 Month plus 0.85%), 9/15/34 144A		310,000		310
Great Wolf Trust, Series 2017-WOLF, Class C, 3.543%, (ICE LIBOR USD 1 Month plus 1.32%), 9/15/34 144A		455,000		455
GS Mortgage Securities Trust, Series 2014-EB1A, Class 2A1, 2.466%, (CSTR), 7/25/44 144A		53,075		52
GS Mortgage Securities Trust, Series 2015-GC28, Class A1, 1.528%, 2/10/48		127,263		126
GS Mortgage Securities Trust, Series 2015-GC32, Class A1, 1.593%, 7/10/48		121,856		121
GS Mortgage Securities Trust, Series 2016-GS3, Class A1, 1.429%, 10/10/49		64,659		63
GS Mortgage Securities Trust, Series 2017-GS7, Class A1, 1.950%, 8/10/50		300,236		293
Hospitality Mortgage Trust, Series 2017-HIT, Class A, 2.880%, (ICE LIBOR USD 1 Month plus 0.85%), 5/8/30 144A		410,000		410
InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, 2.773%, (1 Month LIBOR plus 0.70%), 1/15/33 144A		115,000		115
InTown Hotel Portfolio Trust, Series 2018-STAY, Class C, 3.323%, (1 Month LIBOR plus 1.25%), 1/15/33 144A		100,000		100
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class A1, 1.461%, 8/15/49		190,165		186
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A1, 1.596%, 1/15/48		117,614		117
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A1, 1.413%, 2/15/48		83,965		83
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A1, 1.445%, 10/15/48		79,387		79
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A1, 1.738%, 7/15/48		91,667		91
MetLife Securitization Trust, Series 2017-1A, Class A, 3.000%, (AFC), 4/25/55 144A		273,377		269

Structured Products (35.1%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class A1, 1.573%, 12/15/47		104,903		104
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A1, 1.706%, 5/15/48		164,439		162
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A1, 1.389%, 9/15/49		107,149		104
Morgan Stanley Capital I Trust, Series 2015-MS1, Class A1, 1.638%, 5/15/48		169,667		168
Morgan Stanley Capital I Trust, Series 2017-CLS, Class B, 2.923%, (1 Month LIBOR plus 0.85%), 11/15/34 144A		365,000		365
Morgan Stanley Capital I Trust, Series 2017-CLS, Class C, 3.073%, (1 Month LIBOR plus 1.00%), 11/15/34 144A		290,000		290
RETL, Series 2018-RVP, Class A, 3.173%, (1 Month LIBOR plus 1.10%), 3/15/33 144A		273,092		274
Sequoia Mortgage Trust, Series 2018-CH1, Class A11, 3.500%, (AFC), 2/25/48 144A		664,584		657
Sequoia Mortgage Trust, Series 2018-CH2, Class A3, 4.000%, (AFC), 6/25/48 144A		859,647		868
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, 5.477%, (CSTR), 8/15/39		44,384		45
Verus Securitization Trust, Series 2018-1, Class A1, 2.929%, (AFC), 2/25/48 144A		165,074		164
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class A1, 1.437%, 12/15/47		146,109		145
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A1, 1.454%, 2/15/48		73,115		72
Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A1, 1.531%, 5/15/48		69,322		69
Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class A1, 1.471%, 4/15/50		90,116		89
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2, 3.020%, 7/15/58		530,000		530
Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class A1, 1.577%, 1/15/59		215,642		212
Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class A1, 1.441%, 10/15/49		102,746		101
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A1, 1.968%, 7/15/50		241,101		236
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A1, 1.975%, 9/15/50		154,246		150
Total				46,877
Total Structured Products (Cost: $106,293)				105,441
Short-Term Investments (2.9%)
Commercial Paper (0.4%)
Syngenta Wilmington, Inc., 0.000%, 8/15/18		1,120,000		1,116
Total				1,116

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

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Short-Term Bond Portfolio

Short-Term Investments (2.9%)	Shares/ $ Par		Value $ (000’s)
Money Market Funds (2.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		7,511,514		7,512
Total				7,512
Total Short-Term Investments (Cost: $8,627)				8,628

	Value   $ (000’s)
Total Investments (100.3%) (Cost: $303,804)(a)	301,370
Other Assets, Less Liabilities (-0.3%)	(839)
Net Assets (100.0%)	300,531

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $88,734 representing 29.5% of the net assets.

AFC — Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.

CSTR — Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.

EXE — Security receives collateral principal and interest paid which exceeds the amount of principal and interest obligated to all bonds in the deal.

RB — Revenue Bond

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $303,804 and the net unrealized depreciation of investments based on that cost was $2,398 which is comprised of $315 aggregate gross unrealized appreciation and $2,713 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts		Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Five-Year US Treasury Note Future	Long	USD	$	3,900		39	9/18	$	4,431	$	10
Ten-Year US Treasury Note Future	Long	USD	$	300		3	9/18	$	360		2
Two-Year US Treasury Note Future	Long	USD	$	44,600		223	9/18	$	47,238		25
(l) Security valued using significant unobservable inputs.

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

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Short-Term Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	—	$	662	$	—
Corporate Bonds
Industrial		—		16,557		632
All Others		—		134,856		—
Governments		—		34,594		—
Structured Products
Asset Backed Securities		—		58,344		220
Mortgage Securities		—		46,877		—
Short-Term Investments
Money Market Funds		7,512		—		—
Commercial Paper		—		1,116		—
Other Financial Instruments^
Futures		37		—		—
Total Assets:	$	7,549	$	293,006	$	852

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

For the period ended June 30, 2018, there was a transfer from Level 2 to Level 3 in the amount of $632 (in thousands). This transfer was the result of a decrease in the quantity of observable inputs for the security that was previously priced by a third-party vendor utilizing a broker quote.

For the period ended June 30, 2018, there were transfers from Level 3 to Level 2 in the amount of $1,023 (in thousands). These transfers were the result of an increase in the quantity of observable inputs for the security that was previously priced at cost.

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

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Select Bond Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on market value of holdings.

Sector Allocation is subject to change.

Consistent with the Portfolio’s stated parameters, no more than 20% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high yield securities.

Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance. A portion of the Portfolio’s assets may be invested in lower quality debt securities which may present a significant risk for loss of principal and interest. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

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Select Bond Portfolio (unaudited)

	Beginning Account Value January 1, 2018			Ending Account Value June 30, 2018			Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual		$	1,000.00		$	983.29		$	1.52
Hypothetical (5% return before expenses)		$	1,000.00		$	1,023.26		$	1.56

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.31%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Select Bond Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Basic Materials (0.7%)
Barrick North America Finance LLC, 5.700%, 5/30/41		1,344,000		1,490
CF Industries, Inc., 3.400%, 12/1/21 144A		3,414,000		3,355
CF Industries, Inc., 4.500%, 12/1/26 144A		3,483,000		3,457
Fibria Overseas Finance, Ltd., 5.250%, 5/12/24		350,000		352
International Paper Co., 5.150%, 5/15/46		2,560,000		2,603
Sherwin-Williams Co., 2.750%, 6/1/22		2,735,000		2,647
Sherwin-Williams Co., 3.450%, 6/1/27		1,036,000		978
Sherwin-Williams Co., 4.500%, 6/1/47		980,000		934
Southern Copper Corp., 5.875%, 4/23/45		1,355,000		1,441
Southern Copper Corp., 7.500%, 7/27/35		405,000		494
Syngenta Finance NV, 5.182%, 4/24/28 144A		995,000		961
Syngenta Finance NV, 5.676%, 4/24/48 144A		1,360,000		1,271
Vale Overseas, Ltd., 6.250%, 8/10/26		1,775,000		1,922
Total				21,905
Communications (1.7%)
Alibaba Group Holding, Ltd., 3.400%, 12/6/27		2,683,000		2,499
Alibaba Group Holding, Ltd., 4.000%, 12/6/37		648,000		602
Alibaba Group Holding, Ltd., 4.200%, 12/6/47		726,000		660
Alibaba Group Holding, Ltd., 4.400%, 12/6/57		1,082,000		999
AT&T, Inc., 3.400%, 5/15/25		552,000		519
AT&T, Inc., 4.900%, 8/15/37 144A		666,000		632
AT&T, Inc., 5.150%, 2/15/50 144A		1,068,000		996
AT&T, Inc., 5.250%, 3/1/37		2,119,000		2,088
AT&T, Inc., 5.450%, 3/1/47		2,266,000		2,223
CBS Corp., 2.500%, 2/15/23		1,635,000		1,536
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 3.750%, 2/15/28		1,123,000		1,017
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.200%, 3/15/28		1,747,000		1,635
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22		1,090,000		1,102
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 5.375%, 4/1/38		320,000		302
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 5.375%, 5/1/47		1,058,000		960
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 5.750%, 4/1/48		2,891,000		2,797
Comcast Corp., 3.550%, 5/1/28		3,829,000		3,655
Comcast Corp., 4.000%, 3/1/48		1,094,000		963
Discovery Communications LLC, 3.950%, 3/20/28		1,174,000		1,111
Discovery Communications LLC, 4.875%, 4/1/43		1,260,000		1,167
Telefonica Emisiones SAU, 5.213%, 3/8/47		945,000		910
Time Warner Cable, Inc., 6.550%, 5/1/37		770,000		816
Verizon Communications, Inc., 4.125%, 8/15/46		3,290,000		2,808

Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Communications continued
Verizon Communications, Inc., 4.272%, 1/15/36		1,030,000		950
Verizon Communications, Inc., 4.329%, 9/21/28 144A		1,751,000		1,735
Verizon Communications, Inc., 4.400%, 11/1/34		3,989,000		3,718
Verizon Communications, Inc., 5.500%, 3/16/47		2,348,000		2,459
Vodafone Group PLC, 3.750%, 1/16/24		5,500,000		5,451
Vodafone Group PLC, 4.375%, 5/30/28		2,339,000		2,309
Vodafone Group PLC, 5.250%, 5/30/48		875,000		873
Warner Media LLC, 3.800%, 2/15/27		1,560,000		1,475
Warner Media LLC, 4.850%, 7/15/45		1,510,000		1,374
Total				52,341
Consumer, Cyclical (1.9%)
Costco Wholesale Corp., 2.750%, 5/18/24		2,440,000		2,362
Costco Wholesale Corp., 3.000%, 5/18/27		3,814,000		3,640
Delta Air Lines, Inc., 3.800%, 4/19/23		3,243,000		3,204
Delta Air Lines, Inc., 4.375%, 4/19/28		2,085,000		2,009
Dollar General Corp., 4.125%, 5/1/28		2,733,000		2,679
Dollar Tree, Inc., 4.200%, 5/15/28		117,000		113
Ford Motor Co., 5.291%, 12/8/46		3,658,000		3,393
Ford Motor Credit Co. LLC, 3.815%, 11/2/27		3,599,000		3,330
Ford Motor Credit Co. LLC, 4.140%, 2/15/23		4,215,000		4,208
General Motors Co., 5.150%, 4/1/38		2,195,000		2,089
General Motors Co., 5.400%, 4/1/48		1,215,000		1,152
General Motors Financial Co., Inc., 4.150%, 6/19/23		2,736,000		2,735
Lennar Corp., 4.750%, 11/29/27		2,790,000		2,608
McDonald’s Corp., 4.450%, 3/1/47		170,000		169
Walmart, Inc., 3.125%, 6/23/21		6,658,000		6,690
Walmart, Inc., 3.400%, 6/26/23		6,374,000		6,419
Walmart, Inc., 3.550%, 6/26/25		2,284,000		2,298
Walmart, Inc., 3.700%, 6/26/28		5,291,000		5,326
Walmart, Inc., 3.950%, 6/28/38		842,000		841
Walmart, Inc., 4.050%, 6/29/48		1,443,000		1,444
Total				56,709
Consumer, Non-cyclical (4.3%)
Abbott Laboratories, 3.750%, 11/30/26		2,484,000		2,441
Abbott Laboratories, 4.900%, 11/30/46		1,850,000		1,979
AbbVie, Inc., 2.500%, 5/14/20		4,265,000		4,212
AbbVie, Inc., 3.200%, 5/14/26		468,000		436
AbbVie, Inc., 4.450%, 5/14/46		433,000		414
AbbVie, Inc., 4.500%, 5/14/35		695,000		681
Allergan Finance LLC, 4.625%, 10/1/42		513,000		476
Anheuser-Busch InBev Worldwide, Inc., 4.750%, 4/15/58		1,772,000		1,729
Anthem, Inc., 2.950%, 12/1/22		2,435,000		2,364
BAT Capital Corp., 2.297%, 8/14/20 144A		1,645,000		1,610
BAT Capital Corp., 2.764%, 8/15/22 144A		2,220,000		2,128
BAT Capital Corp., 3.222%, 8/15/24 144A		2,232,000		2,113
BAT Capital Corp., 4.540%, 8/15/47 144A		1,404,000		1,310
Bayer US Finance II LLC, 3.500%, 6/25/21 144A		3,215,000		3,221
Bayer US Finance II LLC, 3.875%, 12/15/23 144A		3,942,000		3,941
Becton Dickinson and Co., 2.404%, 6/5/20		3,735,000		3,668

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

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90

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Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Non-cyclical continued
Becton Dickinson and Co., 2.894%, 6/6/22		3,130,000		3,027
Becton Dickinson and Co., 3.700%, 6/6/27		2,470,000		2,335
Becton Dickinson and Co., 4.685%, 12/15/44		2,035,000		1,971
Celgene Corp., 2.750%, 2/15/23		4,013,000		3,832
Celgene Corp., 2.875%, 2/19/21		1,065,000		1,051
Celgene Corp., 4.350%, 11/15/47		701,000		619
Celgene Corp., 4.550%, 2/20/48		1,650,000		1,506
Church & Dwight Co., Inc., 2.450%, 8/1/22		835,000		800
Church & Dwight Co., Inc., 3.150%, 8/1/27		1,416,000		1,313
Church & Dwight Co., Inc., 3.950%, 8/1/47		835,000		752
Constellation Brands, Inc., 3.200%, 2/15/23		2,369,000		2,304
Constellation Brands, Inc., 3.600%, 2/15/28		2,570,000		2,428
CVS Health Corp., 4.100%, 3/25/25		2,717,000		2,702
CVS Health Corp., 4.300%, 3/25/28		2,274,000		2,242
CVS Health Corp., 4.780%, 3/25/38		1,950,000		1,928
CVS Health Corp., 5.050%, 3/25/48		2,404,000		2,428
ERAC USA Finance LLC, 4.500%, 2/15/45 144A		520,000		490
General Mills, Inc., 3.700%, 10/17/23		2,410,000		2,385
General Mills, Inc., 4.550%, 4/17/38		1,544,000		1,472
General Mills, Inc., 4.700%, 4/17/48		1,307,000		1,249
GlaxoSmithKline Capital, Inc., 3.375%, 5/15/23		5,546,000		5,547
GlaxoSmithKline Capital, Inc., 3.625%, 5/15/25		1,447,000		1,444
Johnson & Johnson, 2.625%, 1/15/25		1,135,000		1,087
Johnson & Johnson, 3.400%, 1/15/38		2,360,000		2,227
Johnson & Johnson, 3.500%, 1/15/48		1,255,000		1,170
Kraft Heinz Foods Co., 2.800%, 7/2/20		3,241,000		3,215
Kraft Heinz Foods Co., 4.000%, 6/15/23		4,808,000		4,792
Kraft Heinz Foods Co., 4.375%, 6/1/46		3,824,000		3,306
Kraft Heinz Foods Co., 4.625%, 1/30/29		2,622,000		2,593
Mylan, Inc., 4.550%, 4/15/28 144A		1,322,000		1,292
Reynolds American, Inc., 5.850%, 8/15/45		2,176,000		2,378
Sanofi, 3.375%, 6/19/23		4,919,000		4,922
Sanofi, 3.625%, 6/19/28		5,466,000		5,433
Stryker Corp., 3.375%, 11/1/25		1,721,000		1,653
Stryker Corp., 3.650%, 3/7/28		3,244,000		3,154
Thermo Fisher Scientific, Inc., 2.950%, 9/19/26		1,555,000		1,436
Thermo Fisher Scientific, Inc., 3.200%, 8/15/27		3,035,000		2,836
UnitedHealth Group, Inc., 3.150%, 6/15/21		2,414,000		2,416
UnitedHealth Group, Inc., 3.500%, 6/15/23		5,431,000		5,435
UnitedHealth Group, Inc., 3.850%, 6/15/28		3,841,000		3,845
UnitedHealth Group, Inc., 4.250%, 6/15/48		1,647,000		1,648
Total				131,386
Energy (2.6%)
Anadarko Petroleum Corp., 3.450%, 7/15/24		1,812,000		1,745
Anadarko Petroleum Corp., 4.850%, 3/15/21		1,267,000		1,304
Andeavor Logistics LP / Tesoro Logistics Finance Corp., 3.500%, 12/1/22		1,249,000		1,220
Andeavor Logistics LP / Tesoro Logistics Finance Corp., 5.200%, 12/1/47		1,760,000		1,696
Cenovus Energy, Inc., 5.400%, 6/15/47		674,000		659
Chevron Corp., 2.954%, 5/16/26		1,056,000		1,013
Cimarex Energy Co., 3.900%, 5/15/27		1,093,000		1,049
Cimarex Energy Co., 4.375%, 6/1/24		3,886,000		3,917
Concho Resources, Inc., 3.750%, 10/1/27		1,931,000		1,855

Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Concho Resources, Inc., 4.300%, 8/15/28		2,197,000		2,194
Concho Resources, Inc., 4.875%, 10/1/47		530,000		534
Continental Resources, Inc., 4.900%, 6/1/44		1,170,000		1,145
Ecopetrol SA, 5.875%, 5/28/45		765,000		726
Enbridge Energy Partners LP, 7.375%, 10/15/45		615,000		782
Enbridge, Inc., 2.900%, 7/15/22		2,598,000		2,523
Encana Corp., 6.500%, 2/1/38		1,690,000		1,984
Encana Corp., 6.625%, 8/15/37		1,035,000		1,225
Energy Transfer Partners LP, 5.800%, 6/15/38		546,000		540
Energy Transfer Partners LP, 6.000%, 6/15/48		2,186,000		2,179
Energy Transfer Partners LP, 6.125%, 12/15/45		1,897,000		1,896
Enterprise Products Operating LLC, 4.250%, 2/15/48		2,300,000		2,138
Enterprise Products Operating LLC, 4.850%, 3/15/44		538,000		535
Enterprise Products Operating LLC, 4.900%, 5/15/46		240,000		240
Enterprise Products Operating LLC, 5.100%, 2/15/45		785,000		808
Hess Corp., 5.600%, 2/15/41		453,000		455
Kinder Morgan Energy Partners LP, 5.400%, 9/1/44		1,150,000		1,115
Kinder Morgan, Inc., 3.150%, 1/15/23		2,620,000		2,528
Kinder Morgan, Inc., 5.000%, 2/15/21 144A		3,422,000		3,542
Marathon Petroleum Corp., 4.750%, 9/15/44		445,000		423
Marathon Petroleum Corp., 5.000%, 9/15/54		752,000		692
Occidental Petroleum Corp., 4.200%, 3/15/48		1,600,000		1,593
Petroleos Mexicanos, 2.460%, 12/15/25		4,814,250		4,703
Petroleos Mexicanos, 5.350%, 2/12/28 144A		2,770,000		2,615
Petroleos Mexicanos, 6.350%, 2/12/48 144A		1,105,000		1,000
Petroleos Mexicanos, 6.500%, 3/13/27		1,800,000		1,841
Petroleos Mexicanos, 6.750%, 9/21/47		1,290,000		1,226
Plains All American Pipeline LP, 4.500%, 12/15/26		–		–
Schlumberger Finance Canada, Ltd., 2.650%, 11/20/22 144A		4,477,000		4,340
Schlumberger Holdings Corp., 4.000%, 12/21/25 144A		4,401,000		4,385
Shell International Finance BV, 4.000%, 5/10/46		620,000		600
TransCanada PipeLines, Ltd., 4.250%, 5/15/28		2,435,000		2,442
TransCanada PipeLines, Ltd., 4.750%, 5/15/38		986,000		985
Valero Energy Corp., 4.900%, 3/15/45		641,000		648
Western Gas Partners LP, 5.300%, 3/1/48		3,204,000		2,942
Western Gas Partners LP, 5.450%, 4/1/44		485,000		457
Williams Partners LP, 3.750%, 6/15/27		3,493,000		3,297
Williams Partners LP, 4.850%, 3/1/48		1,298,000		1,236
Total				76,972
Financial (7.2%)
AerCap Ireland Capital Designated Activity Co. / AerCap Global Aviation Trust, 3.500%, 1/15/25		3,280,000		3,076
Air Lease Corp., 3.625%, 4/1/27		2,995,000		2,745
Air Lease Corp., 3.625%, 12/1/27		2,920,000		2,665
American Express Co., 3.400%, 2/27/23		5,540,000		5,480
American International Group, Inc., 6.250%, 5/1/36		1,004,000		1,144
American Tower Corp., 3.600%, 1/15/28		3,261,000		3,020
Banco Santander SA, 3.800%, 2/23/28		2,000,000		1,826
Banco Santander SA, 4.379%, 4/12/28		3,600,000		3,441
Bank of America Corp., 2.738%, (3 Month LIBOR plus 0.37%), 1/23/22		3,325,000		3,267
Bank of America Corp., 3.248%, 10/21/27		3,277,000		3,053

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

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Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Financial continued
Bank of America Corp., 3.300%, 1/11/23		3,098,000		3,052
Bank of America Corp., 3.366%, (3 Month LIBOR plus 0.81%), 1/23/26		1,087,000		1,046
Bank of America Corp., 3.593%, (3 Month LIBOR plus 1.37%), 7/21/28		6,879,000		6,565
Bank of America Corp., 4.000%, 4/1/24		2,808,000		2,832
Bank of America Corp., 4.244%, (3 Month LIBOR plus 1.81%), 4/24/38		2,359,000		2,289
Bank of America Corp., 4.450%, 3/3/26		1,745,000		1,749
The Bank of New York Mellon Corp., 3.300%, 8/23/29		548,000		509
BNP Paribas SA, 3.375%, 1/9/25 144A		1,972,000		1,863
BNP Paribas SA, 3.500%, 3/1/23 144A		5,229,000		5,095
Boston Properties LP, 3.200%, 1/15/25		439,000		418
Brandywine Operating Partnership LP, 3.950%, 11/15/27		1,082,000		1,028
Brighthouse Financial, Inc., 3.700%, 6/22/27		1,155,000		1,028
Capital One Financial Corp., 2.400%, 10/30/20		2,060,000		2,009
Capital One Financial Corp., 3.200%, 1/30/23		1,571,000		1,525
Capital One Financial Corp., 4.250%, 4/30/25		3,866,000		3,852
Capital One NA, 2.650%, 8/8/22		1,950,000		1,871
Citigroup, Inc., 2.876%, (3 Month LIBOR plus 0.95%), 7/24/23		1,105,000		1,065
Citigroup, Inc., 3.142%, (3 Month LIBOR plus 0.72%), 1/24/23		1,636,000		1,602
Citigroup, Inc., 3.200%, 10/21/26		1,093,000		1,017
Citigroup, Inc., 3.878%, (3 Month LIBOR plus 1.17%), 1/24/39		772,000		704
Citigroup, Inc., 4.044%, (3 Month LIBOR plus 1.02%), 6/1/24		8,265,000		8,309
Citigroup, Inc., 4.075%, (3 Month LIBOR plus 1.19%), 4/23/29		1,107,000		1,086
Citigroup, Inc., 4.125%, 7/25/28		1,072,000		1,026
Citigroup, Inc., 4.450%, 9/29/27		4,125,000		4,058
Credit Agricole SA, 3.750%, 4/24/23 144A		3,545,000		3,472
Danske Bank A/S, 3.875%, 9/12/23 144A		2,545,000		2,524
Danske Bank A/S, 4.375%, 6/12/28 144A		2,345,000		2,333
DDR Corp., 4.250%, 2/1/26		453,000		442
DDR Corp., 4.625%, 7/15/22		3,127,000		3,206
DNB Bank ASA, 2.125%, 10/2/20 144A		5,500,000		5,363
The Goldman Sachs Group, Inc., 3.500%, 11/16/26		1,565,000		1,474
The Goldman Sachs Group, Inc., 4.223%, (3 Month LIBOR plus 1.30%), 5/1/29		3,315,000		3,265
The Goldman Sachs Group, Inc., 4.411%, (3 Month LIBOR plus 1.43%), 4/23/39		3,015,000		2,889
HSBC Holdings PLC, 2.650%, 1/5/22		1,890,000		1,830
HSBC Holdings PLC, 3.950%, (3 Month LIBOR plus 0.99%), 5/18/24		2,214,000		2,208
HSBC Holdings PLC, 4.583%, (3 Month LIBOR plus 1.53%), 6/19/29		2,400,000		2,423
Intesa Sanpaolo SPA, 3.875%, 7/14/27 144A		5,130,000		4,425
Intesa Sanpaolo SPA, 3.875%, 1/12/28 144A		4,163,000		3,567
Intesa Sanpaolo SPA, 4.375%, 1/12/48 144A		1,241,000		965
JPMorgan Chase & Co., 2.295%, 8/15/21		1,767,000		1,707
JPMorgan Chase & Co., 2.950%, 10/1/26		5,049,000		4,688

Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Financial continued
JPMorgan Chase & Co., 3.514%, (3 Month LIBOR plus 0.61%), 6/18/22		5,467,000		5,471
JPMorgan Chase & Co., 3.559%, (3 Month LIBOR plus 0.73%), 4/23/24		3,313,000		3,281
JPMorgan Chase & Co., 3.882%, (3 Month LIBOR plus 1.36%), 7/24/38		4,335,000		4,008
JPMorgan Chase & Co., 4.005%, (3 Month LIBOR plus 1.12%), 4/23/29		1,650,000		1,629
JPMorgan Chase & Co., 4.260%, (3 Month LIBOR plus 1.58%), 2/22/48		1,106,000		1,040
Lloyds Banking Group PLC, 4.344%, 1/9/48		1,840,000		1,578
Lloyds Banking Group PLC, 4.375%, 3/22/28		4,644,000		4,586
Markel Corp., 3.500%, 11/1/27		1,470,000		1,364
MetLife, Inc., 4.600%, 5/13/46		1,380,000		1,397
Mid-America Apartments LP, 3.600%, 6/1/27		1,110,000		1,064
Mid-America Apartments LP, 3.750%, 6/15/24		2,745,000		2,706
Mid-America Apartments LP, 4.000%, 11/15/25		1,415,000		1,402
Mid-America Apartments LP, 4.300%, 10/15/23		1,155,000		1,174
Morgan Stanley, 2.625%, 11/17/21		3,061,000		2,971
Morgan Stanley, 2.750%, 5/19/22		13,000		13
Morgan Stanley, 3.971%, (3 Month LIBOR plus 1.46%), 7/22/38		1,581,000		1,464
PNC Bank NA, 2.500%, 1/22/21		3,345,000		3,284
PNC Bank NA, 3.500%, 6/8/23		5,445,000		5,451
The Progressive Corp., 4.200%, 3/15/48		2,236,000		2,207
Prudential Financial, Inc., 3.878%, 3/27/28		1,730,000		1,709
Prudential Financial, Inc., 4.600%, 5/15/44		560,000		565
Public Storage, 2.370%, 9/15/22		3,069,000		2,946
Public Storage, 3.094%, 9/15/27		2,377,000		2,235
Regency Centers LP, 3.600%, 2/1/27		1,124,000		1,068
Regency Centers LP, 4.125%, 3/15/28		1,288,000		1,273
Royal Bank of Scotland Group PLC, 4.892%, (3 Month LIBOR plus 1.75%), 5/18/29		2,313,000		2,302
Store Capital Corp., 4.500%, 3/15/28		4,281,000		4,186
Synchrony Financial, 3.950%, 12/1/27		4,458,000		4,111
Tanger Properties LP, 3.750%, 12/1/24		1,365,000		1,310
Tanger Properties LP, 3.875%, 12/1/23		1,505,000		1,470
UBS Group Funding AG, 3.491%, 5/23/23 144A		2,456,000		2,400
UBS Group Funding Jersey, Ltd., 2.650%, 2/1/22 144A		5,200,000		5,008
Voya Financial, Inc., 3.125%, 7/15/24		2,400,000		2,266
Voya Financial, Inc., 4.800%, 6/15/46		885,000		860
Washington Prime Group LP, 5.950%, 8/15/24		1,040,000		1,002
WEA Finance LLC, 3.150%, 4/5/22 144A		2,915,000		2,858
XLIT, Ltd., 5.250%, 12/15/43		1,081,000		1,188
XLIT, Ltd., 5.500%, 3/31/45		867,000		899
XLIT, Ltd., 6.250%, 5/15/27		1,229,000		1,404
Total				219,246
Industrial (1.6%)
The Boeing Co., 3.250%, 3/1/28		475,000		464
The Boeing Co., 3.550%, 3/1/38		880,000		842
The Boeing Co., 3.625%, 3/1/48		705,000		660
Burlington Northern Santa Fe LLC, 4.050%, 6/15/48		1,690,000		1,633
FedEx Corp., 4.400%, 1/15/47		658,000		622

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

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92

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Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Industrial continued
FedEx Corp., 4.550%, 4/1/46		1,775,000		1,721
General Dynamics Corp., 2.875%, 5/11/20		4,890,000		4,894
General Dynamics Corp., 3.000%, 5/11/21		3,665,000		3,653
General Dynamics Corp., 3.375%, 5/15/23		3,105,000		3,110
General Electric Co., 4.500%, 3/11/44		1,096,000		1,074
General Electric Co., 5.875%, 1/14/38		1,482,000		1,681
John Deere Capital Corp., 2.650%, 6/24/24		2,575,000		2,452
Mexico City Airport Trust, 5.500%, 7/31/47 144A		2,885,000		2,570
Northrop Grumman Corp., 2.080%, 10/15/20		2,590,000		2,531
Northrop Grumman Corp., 2.550%, 10/15/22		3,623,000		3,489
Northrop Grumman Corp., 3.250%, 8/1/23		3,360,000		3,321
Northrop Grumman Corp., 3.250%, 1/15/28		1,857,000		1,747
Northrop Grumman Corp., 4.030%, 10/15/47		815,000		763
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.950%, 3/10/25 144A		2,465,000		2,436
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.125%, 8/1/23 144A		4,380,000		4,392
Valmont Industries, Inc., 5.000%, 10/1/44		1,095,000		1,035
Valmont Industries, Inc., 5.250%, 10/1/54		2,134,000		1,976
Vulcan Materials Co., 4.500%, 6/15/47		1,205,000		1,093
Total				48,159
Technology (0.9%)
Apple, Inc., 2.850%, 5/11/24		2,087,000		2,020
Apple, Inc., 3.200%, 5/11/27		3,105,000		2,995
Apple, Inc., 3.750%, 11/13/47		2,238,000		2,100
Apple, Inc., 4.250%, 2/9/47		2,208,000		2,238
Apple, Inc., 4.375%, 5/13/45		1,020,000		1,054
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.500%, 1/15/28		2,662,000		2,423
Dell International LLC / EMC Corp., 6.020%, 6/15/26 144A		515,000		541
Dell International LLC / EMC Corp., 8.350%, 7/15/46 144A		786,000		946
Hewlett Packard Enterprise Co., 6.350%, 10/15/45		2,227,000		2,198
Microsoft Corp., 2.000%, 8/8/23		2,795,000		2,640
Microsoft Corp., 4.100%, 2/6/37		1,799,000		1,873
Microsoft Corp., 4.250%, 2/6/47		3,228,000		3,421
Oracle Corp., 2.625%, 2/15/23		1,517,000		1,469
Oracle Corp., 2.950%, 11/15/24		811,000		782
Oracle Corp., 3.800%, 11/15/37		829,000		784
Oracle Corp., 4.000%, 11/15/47		679,000		641
Total				28,125
Utilities (1.5%)
Alliant Energy Finance, LLC, 4.250%, 6/15/28 144A		2,978,000		2,976
American Transmission Systems, Inc., 5.000%, 9/1/44 144A		614,000		673
Appalachian Power Co., 3.300%, 6/1/27		1,690,000		1,623
Baltimore Gas & Electric Co., 3.750%, 8/15/47		202,000		189
The Brooklyn Union Gas Co., 4.273%, 3/15/48 144A		1,096,000		1,088
Commonwealth Edison Co., 3.750%, 8/15/47		695,000		650
Commonwealth Edison Co., 4.000%, 3/1/48		1,320,000		1,290
Dominion Resources, Inc., 1.600%, 8/15/19		2,070,000		2,038
Dominion Resources, Inc., 2.000%, 8/15/21		1,555,000		1,483
Duke Energy Corp., 1.800%, 9/1/21		2,380,000		2,277

Corporate Bonds (22.4%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
Duke Energy Florida LLC, 4.200%, 7/15/48		2,186,000		2,201
Duquesne Light Holdings, Inc., 3.616%, 8/1/27 144A		3,065,000		2,904
Electricite de France SA, 6.000%, 1/22/14 144A		1,978,000		2,062
Georgia Power Co., 4.300%, 3/15/42		530,000		529
Indiana Michigan Power Co., 4.550%, 3/15/46		1,105,000		1,144
IPALCO Enterprises, Inc., 3.700%, 9/1/24		2,690,000		2,607
Mid-Atlantic Interstate Transmission LLC, 4.100%, 5/15/28 144A		2,208,000		2,207
Northern States Power Co., 3.600%, 9/15/47		1,353,000		1,246
Pacific Gas & Electric Co., 3.300%, 12/1/27		2,862,000		2,569
Pacific Gas & Electric Co., 3.950%, 12/1/47		395,000		338
PECO Energy Co., 3.150%, 10/15/25		1,195,000		1,159
Public Service Co. of Colorado, 3.700%, 6/15/28		547,000		549
Public Service Co. of Colorado, 4.100%, 6/15/48		219,000		220
Sempra Energy, 2.900%, 2/1/23		1,113,000		1,080
Sempra Energy, 4.000%, 2/1/48		4,093,000		3,675
South Carolina Electric & Gas Co., 5.100%, 6/1/65		377,000		380
Southern California Edison Co., 4.125%, 3/1/48		813,000		769
The Southern Co., 3.250%, 7/1/26		723,000		678
Southern Co. Gas Capital Corp., 2.450%, 10/1/23		1,585,000		1,490
Southwestern Electric Power Co., 2.750%, 10/1/26		515,000		472
Southwestern Electric Power Co., 3.850%, 2/1/48		1,340,000		1,237
Southwestern Electric Power Co., 3.900%, 4/1/45		735,000		693
Southwestern Public Service Co., 3.700%, 8/15/47		539,000		496
State Grid Overseas Investment 2016, Ltd., 3.750%, 5/2/23 144A		1,000,000		1,000
Union Electric Co., 4.000%, 4/1/48		426,000		417
Total				46,409
Total Corporate Bonds (Cost: $699,191)				681,252
Governments (32.0%)
Governments (32.0%)
Export-Import Bank of Korea, 2.500%, 11/1/20		1,940,000		1,903
Export-Import Bank of Korea, 3.000%, 11/1/22		2,808,000		2,732
Japan Bank for International Cooperation, 2.250%, 2/24/20		4,658,000		4,612
Republic of Chile, 3.240%, 2/6/28		5,455,000		5,207
Republic of Indonesia, 2.950%, 1/11/23		6,100,000		5,789
Republic of Paraguay, 6.100%, 8/11/44 144A		2,505,000		2,561
Republic of Uruguay, 4.975%, 4/20/55		1,430,000		1,387
Saudi International Bond, 4.000%, 4/17/25 144A		1,085,000		1,080
Saudi International Bond, 5.000%, 4/17/49 144A		2,162,000		2,103
State of Israel, 4.125%, 1/17/48		1,055,000		997
State of Qatar, 4.500%, 4/23/28 144A		1,205,000		1,216
United Mexican States, 4.600%, 2/10/48		2,509,000		2,308
United Mexican States, 5.750%, 10/12/2110		718,000		707
US Treasury, 1.125%, 2/28/21		24,755,000		23,816
US Treasury, 1.125%, 7/31/21		36,287,000		34,671
US Treasury, 1.375%, 9/30/19		8,686,000		8,574
US Treasury, 1.375%, 2/15/20		8,206,000		8,059
US Treasury, 1.375%, 8/31/20		6,569,000		6,406
US Treasury, 1.375%, 9/30/20		11,704,000		11,400

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

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Governments (32.0%)	Shares/ $ Par		Value $ (000’s)
Governments continued
US Treasury, 1.500%, 5/31/20		5,864,000		5,751
US Treasury, 1.500%, 7/15/20		8,164,000		7,995
US Treasury, 1.500%, 8/15/20		11,945,000		11,686
US Treasury, 1.500%, 8/15/26		40,701,000		36,747
US Treasury, 1.625%, 3/15/20		6,610,000		6,512
US Treasury, 1.625%, 7/31/20		19,456,000		19,090
US Treasury, 1.625%, 10/15/20		29,726,000		29,098
US Treasury, 1.625%, 8/31/22		32,067,000		30,703
US Treasury, 1.750%, 11/15/20		33,103,000		32,469
US Treasury, 1.875%, 12/31/19		873,000		865
US Treasury, 1.875%, 12/15/20		5,965,000		5,865
US Treasury, 1.875%, 1/31/22		12,829,000		12,477
US Treasury, 1.875%, 3/31/22		18,244,000		17,717
US Treasury, 1.875%, 4/30/22		12,220,000		11,857
US Treasury, 1.875%, 7/31/22 (b)		25,024,000		24,219
US Treasury, 2.000%, 1/31/20		2,241,000		2,224
US Treasury, 2.000%, 10/31/21		26,150,000		25,600
US Treasury, 2.000%, 12/31/21		44,186,000		43,197
US Treasury, 2.000%, 10/31/22		22,023,000		21,379
US Treasury, 2.000%, 11/30/22		2,791,000		2,708
US Treasury, 2.000%, 11/15/26		34,766,000		32,570
US Treasury, 2.250%, 12/31/24		225,000		218
US Treasury, 2.250%, 2/15/27		61,931,000		59,084
US Treasury, 2.250%, 8/15/27		17,235,000		16,399
US Treasury, 2.250%, 11/15/27		7,920,000		7,526
US Treasury, 2.375%, 4/30/20		5,970,000		5,954
US Treasury, 2.375%, 3/15/21		21,122,000		20,992
US Treasury, 2.375%, 4/15/21		6,761,000		6,717
US Treasury, 2.375%, 1/31/23		6,694,000		6,593
US Treasury, 2.500%, 2/15/46		19,549,000		17,755
US Treasury, 2.500%, 5/15/46		10,635,000		9,654
US Treasury, 2.500%, 5/31/20		4,685,000		4,683
US Treasury, 2.625%, 5/15/21		3,655,000		3,655
US Treasury, 2.625%, 6/15/21		11,765,000		11,765
US Treasury, 2.625%, 6/30/23		50,295,000		50,034
US Treasury, 2.625%, 3/31/25		7,957,000		7,865
US Treasury, 2.750%, 8/15/47		5,087,000		4,849
US Treasury, 2.750%, 11/15/47		48,336,000		46,072
US Treasury, 2.750%, 4/30/23		950,000		951
US Treasury, 2.750%, 5/31/23		2,879,000		2,882
US Treasury, 2.750%, 6/30/25		16,350,000		16,278
US Treasury, 2.750%, 2/15/28		55,358,000		54,863
US Treasury, 2.875%, 11/15/46		4,658,000		4,556
US Treasury, 2.875%, 4/30/25		5,382,000		5,402
US Treasury, 2.875%, 5/31/25		1,238,000		1,242
US Treasury, 2.875%, 5/15/28		30,527,000		30,575
US Treasury, 3.000%, 11/15/45		24,338,000		24,400
US Treasury, 3.000%, 2/15/47		16,572,000		16,615
US Treasury, 3.000%, 2/15/48		19,579,000		19,625
US Treasury, 3.125%, 5/15/48		6,810,000		6,993
Total Governments (Cost: $990,010)				970,455

Municipal Bonds (0.5%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds (0.5%)
County of Clark Department of Aviation, 6.820%, 7/1/45 RB		1,780,000		2,593
Los Angeles Community College District, Series 2010-E, 6.750%, 8/1/49 GO		2,600,000		3,786
North Texas Tollway Authority, Series 2009-B, 6.718%, 1/1/49 RB		2,425,000		3,443
The Ohio State University, 4.800%, 6/1/11 RB		1,070,000		1,166
Port Authority of New York & New Jersey, 4.458%, 10/1/62 RB		3,540,000		3,760
State of California, Series 2010, 7.600%, 11/1/40 GO		850,000		1,278
Total Municipal Bonds (Cost: $15,881)				16,026
Structured Products (51.7%)
Asset Backed Securities (13.5%)
Ally Auto Receivables Trust, Series 2015-1, Class A4, 1.750%, 5/15/20		1,409,000		1,405
Ally Auto Receivables Trust, Series 2015-2, Class A4, 1.840%, 6/15/20		1,153,000		1,149
Ally Auto Receivables Trust, Series 2018-1, Class A4, 2.530%, 2/15/23		1,300,000		1,285
Ally Auto Receivables Trust, Series 2018-2, Class A4, 3.090%, 6/15/23		3,145,000		3,146
Ally Auto Receivables Trust, Series 2018-3, Class A, 3.120%, 7/17/23(l)		1,959,000		1,959
Ally Master Owner Trust, Series 2018-2, Class A, 3.290%, 5/15/23		1,772,000		1,776
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class A3, 3.070%, 12/19/22		1,368,000		1,368
Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A, 2.720%, 11/20/22 144A		1,627,000		1,588
Capital Auto Receivables Asset Trust, Series 2015-3, Class A4, 2.130%, 5/20/20		250,000		250
Capital Auto Receivables Asset Trust, Series 2015-4, Class A4, 2.010%, 7/20/20		2,266,000		2,259
Capital Auto Receivables Asset Trust, Series 2016-1, Class A4, 1.980%, 10/20/20		1,690,000		1,682
Capital Auto Receivables Asset Trust, Series 2016-2, Class A4, 1.630%, 1/20/21		710,000		703
Capital Auto Receivables Asset Trust, Series 2016-3, Class A4, 1.690%, 3/20/21		1,365,000		1,349
Capital Auto Receivables Asset Trust, Series 2018-1, Class A4, 2.930%, 6/20/22 144A		3,655,000		3,641
Citibank Credit Card Issuance Trust, Series 2018-A2, Class A2, 2.414%, (1 Month LIBOR plus 0.33%), 1/21/25		5,900,000		5,905
College Ave Student Loans, Series 2017-A, Class A1, 3.741%, (ICE LIBOR USD 1 Month plus 1.65%), 11/26/46 144A		2,328,079		2,377

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

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
College Ave Student Loans, Series 2018-A, Class A2, 4.130%, 12/26/47 144A		1,642,000		1,648
Discover Card Execution Note Trust, Series 2017-A2, Class A2, 2.390%, 7/15/24		3,298,000		3,221
Ford Credit Auto Owner Trust, Series 2015-A, Class A4, 1.640%, 6/15/20		1,504,000		1,500
Ford Credit Auto Owner Trust, Series 2017-A, Class A4, 1.920%, 4/15/22		4,342,000		4,252
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/31 144A		4,465,000		4,392
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 2.730%, 3/25/21 144A		8,423,000		8,332
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 2.960%, 10/25/21 144A		2,575,000		2,543
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 2.670%, 9/25/21 144A		5,403,000		5,311
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 2.950%, 3/25/22 144A		2,035,000		2,006
Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.270%, 7/25/20 144A		3,577,000		3,549
Hertz Vehicle Financing LLC, Series 2016-3A, Class B, 3.110%, 7/25/20 144A		1,173,000		1,169
Hertz Vehicle Financing LLC, Series 2016-4, Class A, 2.650%, 7/25/22 144A		6,093,000		5,933
Hertz Vehicle Financing LLC, Series 2017-2A, Class A, 3.290%, 10/25/23 144A		4,111,000		4,026
Hertz Vehicle Financing LLC, Series 2018-2A, Class A, 3.650%, 6/27/22 144A		2,855,000		2,855
Hertz Vehicle Financing LLC, Series 2018-3A, Class A, 4.030%, 7/25/24 144A		4,459,000		4,458
Honda Auto Receivables Owner Trust, Series 2018-2, Class A4, 3.160%, 8/19/24		2,420,000		2,430
Kubota Credit Owner Trust, Series 2018-1A, Class A3, 3.100%, 8/15/22 144A		3,755,000		3,755
Kubota Credit Owner Trust, Series 2018-1A, Class A4, 3.210%, 1/15/25 144A		1,801,000		1,802
Navient Private Education Loan Trust, Series 2014-AA, Class A3, 3.673%, (ICE LIBOR USD 1 Month plus 1.60%), 10/15/31 144A		3,434,000		3,550
Navient Private Education Loan Trust, Series 2014-CTA, Class A, 2.773%, (ICE LIBOR USD 1 Month plus 0.70%), 9/16/24 144A		1,254,157		1,256
Navient Private Education Loan Trust, Series 2015-CA, Class B, 3.250%, 5/15/40 144A		2,181,000		2,182
Navient Private Education Loan Trust, Series 2018-BA, Class A2A, 3.610%, 12/15/59 144A		2,356,000		2,366
Navient Private Education Loan Trust, Series 2018-BA, Class A2B, 2.788%, (1 Month LIBOR plus 0.72%), 12/15/59 144A		2,055,000		2,056
Navient Student Loan Trust, Series 2014-1, Class A3, 2.470%, (ICE LIBOR USD 1 Month plus 0.51%), 6/25/31		2,741,506		2,737
Navient Student Loan Trust, Series 2016-1A, Class A, 2.791%, (ICE LIBOR USD 1 Month plus 0.70%), 2/25/70 144A		11,043,953		11,085

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Navient Student Loan Trust, Series 2016-3A, Class A2, 2.941%, (1 Month LIBOR plus 0.85%), 6/25/65 144A		1,665,000		1,678
Navient Student Loan Trust, Series 2016-AA, Class A2A, 3.910%, 12/15/45 144A		5,157,053		5,243
Navient Student Loan Trust, Series 2016-AA, Class A2B, 4.223%, (ICE LIBOR USD 1 Month plus 2.15%), 12/15/45 144A		1,860,993		1,954
Navient Student Loan Trust, Series 2017-4A, Class A2, 2.591%, (1 Month LIBOR plus 0.50%), 9/27/66 144A		2,163,000		2,169
Navient Student Loan Trust, Series 2017-A, Class A2B, 2.973%, (1 Month LIBOR plus 0.90%), 12/16/58 144A		3,441,000		3,475
Navient Student Loan Trust, Series 2018-3A, Class A3, 2.888%, (1 Month LIBOR plus 0.80%), 3/25/67 144A(l)		3,036,000		3,036
Navient Student Loan Trust, Series 2018-A, Class A2, 3.190%, 2/18/42 144A		1,163,000		1,151
Nelnet Student Loan Trust, Series 2004-3, Class A5, 2.540%, (3 Month LIBOR plus 0.18%), 10/27/36		603,248		597
Nelnet Student Loan Trust, Series 2004-4, Class A5, 2.520%, (3 Month LIBOR plus 0.16%), 1/25/37		2,993,783		2,967
Nelnet Student Loan Trust, Series 2005-1, Class A5, 2.470%, (3 Month LIBOR plus 0.11%), 10/25/33		9,275,545		9,222
Nelnet Student Loan Trust, Series 2005-2, Class A5, 2.432%, (3 Month LIBOR plus 0.10%), 3/23/37		8,704,067		8,589
Nelnet Student Loan Trust, Series 2005-3, Class A5, 2.452%, (3 Month LIBOR plus 0.12%), 12/24/35		10,781,032		10,687
Nelnet Student Loan Trust, Series 2005-4, Class A4, 2.512%, (3 Month LIBOR plus 0.18%), 3/22/32		1,718,920		1,696
Nelnet Student Loan Trust, Series 2010-2A, Class A, 3.185%, (3 Month LIBOR plus 0.85%), 9/25/48 144A		5,852,791		5,895
Nelnet Student Loan Trust, Series 2010-4A, Class A, 2.760%, (1 Month LIBOR plus 0.80%), 4/25/46 144A		982,905		992
Nelnet Student Loan Trust, Series 2012-4A, Class A, 2.660%, (1 Month LIBOR plus 0.70%), 9/27/38 144A		9,271,333		9,335
Nelnet Student Loan Trust, Series 2014-1A, Class A, 2.661%, (1 Month LIBOR plus 0.57%), 9/25/41 144A		1,405,884		1,408
Nelnet Student Loan Trust, Series 2016-1A, Class A, 2.760%, (ICE LIBOR USD 1 Month plus 0.80%), 9/25/65 144A		4,984,149		5,040
Nelnet Student Loan Trust, Series 2017-2A, Class A, 2.861%, (ICE LIBOR USD 1 Month plus 0.77%), 9/25/65 144A		5,164,445		5,191
Nelnet Student Loan Trust, Series 2017-3A, Class A, 2.941%, (1 Month LIBOR plus 0.85%), 2/25/66 144A		3,114,638		3,132

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

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Nelnet Student Loan Trust, Series 2018-2, Class A6, 2.742%, (3 Month LIBOR plus 0.38%), 4/25/31 144A		7,268,000		7,273
Nelnet Student Loan Trust, Series 2018-2A, Class A, 2.651%, (1 Month LIBOR plus 0.65%), 7/26/66 144A		9,731,000		9,732
SLM Private Education Loan Trust, Series 2013-B, Class A2B, 3.173%, (ICE LIBOR USD 1 Month plus 1.10%), 6/17/30 144A		387,699		389
SLM Student Loan Trust, Series 2003-1, Class A5C, 3.091%, (3 Month LIBOR plus 0.75%), 12/15/32 144A		1,784,134		1,776
SLM Student Loan Trust, Series 2004-10, Class A7A, 2.960%, (3 Month LIBOR plus 0.75%), 10/25/29 144A		5,602,000		5,623
SLM Student Loan Trust, Series 2005-10, Class A5, 2.490%, (3 Month LIBOR plus 0.13%), 7/26/21		1,739,839		1,725
SLM Student Loan Trust, Series 2005-4, Class A3, 2.480%, (3 Month LIBOR plus 0.12%), 1/25/27		6,535,358		6,511
SLM Student Loan Trust, Series 2005-7, Class A4, 2.510%, (3 Month LIBOR plus 0.15%), 10/25/29		5,364,336		5,339
SLM Student Loan Trust, Series 2005-9, Class A7A, 2.960%, (3 Month LIBOR plus 0.60%), 1/25/41		1,435,000		1,438
SLM Student Loan Trust, Series 2006-1, Class A5, 2.470%, (3 Month LIBOR plus 0.11%), 7/26/21		8,005,105		7,926
SLM Student Loan Trust, Series 2006-3, Class A5, 2.460%, (3 Month LIBOR plus 0.10%), 1/25/21		4,469,168		4,426
SLM Student Loan Trust, Series 2007-1, Class A6, 2.500%, (3 Month LIBOR plus 0.14%), 1/27/42		2,342,000		2,259
SLM Student Loan Trust, Series 2007-2, Class A4, 2.420%, (3 Month LIBOR plus 0.06%), 7/25/22		6,060,000		5,925
SLM Student Loan Trust, Series 2012-1, Class A3, 2.910%, (ICE LIBOR USD 1 Month plus 0.95%), 9/25/28		8,234,125		8,260
SLM Student Loan Trust, Series 2012-2, Class A, 2.791%, (ICE LIBOR USD 1 Month plus 0.70%), 1/25/29		3,978,404		3,973
SLM Student Loan Trust, Series 2012-6, Class A3, 2.710%, (ICE LIBOR USD 1 Month plus 0.75%), 5/26/26		3,106,917		3,107
SLM Student Loan Trust, Series 2013-4, Class A, 2.641%, (1 Month LIBOR plus 0.55%), 6/25/43		1,350,953		1,354
SMB Private Education Loan Trust, Series 2015-A, Class A2A, 2.490%, 6/15/27 144A		1,170,540		1,156
SMB Private Education Loan Trust, Series 2015-A, Class A2B, 3.073%, (ICE LIBOR USD 1 Month plus 1.00%), 6/15/27 144A		3,161,892		3,188
SMB Private Education Loan Trust, Series 2015-B, Class A2A, 2.980%, 7/15/27 144A		1,324,510		1,316
SMB Private Education Loan Trust, Series 2015-B, Class A2B, 3.273%, (ICE LIBOR USD 1 Month plus 1.20%), 7/15/27 144A		4,377,913		4,436
SMB Private Education Loan Trust, Series 2015-C, Class A2B, 3.473%, (ICE LIBOR USD 1 Month plus 1.40%), 7/15/27 144A		1,448,181		1,469

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2016-A, Class A2A, 2.700%, 5/15/31 144A		9,015,337		8,820
SMB Private Education Loan Trust, Series 2016-A, Class A2B, 3.573%, (ICE LIBOR USD 1 Month plus 1.50%), 5/15/31 144A		8,131,946		8,358
SMB Private Education Loan Trust, Series 2016-B, Class A2A, 2.430%, 2/17/32 144A		3,150,603		3,058
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 3.523%, (ICE LIBOR USD 1 Month plus 1.45%), 2/17/32 144A		8,146,265		8,323
SMB Private Education Loan Trust, Series 2016-C, Class A2A, 2.340%, 9/15/34 144A		6,166,000		5,990
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 3.173%, (ICE LIBOR USD 1 Month plus 1.10%), 9/15/34 144A		5,766,000		5,845
SMB Private Education Loan Trust, Series 2017-B, Class A2B, 2.823%, (1 Month LIBOR plus 0.75%), 10/15/35 144A		4,236,000		4,249
SMB Private Education Loan Trust, Series 2018-A, Class A2B, 2.873%, (1 Month LIBOR plus 0.80%), 2/15/36 144A		2,318,000		2,340
SMB Private Education Loan Trust, Series 2018-B, Class A2A, 3.600%, 1/15/37 144A		4,056,000		4,070
SMB Private Education Loan Trust, Series 2018-B, Class A2B, 2.804%, (1 Month LIBOR plus 0.72%), 1/15/37 144A		3,662,000		3,661
Social Professional Loan Program LLC, Series 2017-E, Class A1, 2.591%, (1 Month LIBOR plus 0.50%), 11/26/40 144A		1,151,795		1,155
Social Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/40 144A		5,282,000		5,125
SoFi Professional Loan Program LLC, Series 2016-A, Class A2, 2.760%, 12/26/36 144A		2,185,704		2,160
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 3.041%, (ICE LIBOR USD 1 Month plus 0.95%), 1/25/39 144A		550,551		554
SoFi Professional Loan Program LLC, Series 2017-B, Class A2FX, 2.740%, 5/25/40 144A		2,108,000		2,077
SoFi Professional Loan Program LLC, Series 2017-C, Class A2B, 2.630%, 7/25/40 144A		3,127,000		3,070
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX, 2.840%, 1/25/41 144A		4,504,000		4,396
SoFi Professional Loan Program LLC, Series 2018-A, Class A2B, 2.950%, 2/25/42 144A		5,211,000		5,100
SoFi Professional Loan Program LLC, Series 2018-B, Class A2FX, 3.340%, 8/26/47 144A		4,753,000		4,748
SoFi Professional Loan Program LLC, Series 2016-E, Class A1, 2.941%, (ICE LIBOR USD 1 Month plus 0.85%), 7/25/39 144A		1,281,127		1,287
SoFi Professional Loan Program LLC, Series 2017-A, Class A1, 2.791%, (ICE LIBOR USD 1 Month plus 0.70%), 3/26/40 144A		1,195,089		1,199
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX, 2.650%, 9/25/40 144A		356,000		345

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

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Synchrony Credit Card Master Note Trust, Series 2015-1, Class A, 2.370%, 3/15/23		1,621,000		1,604
Synchrony Credit Card Master Note Trust, Series 2018-2, Class A, 3.470%, 5/15/26		6,661,000		6,699
Volkswagen Auto Loan Enhanced Trust, Series 2018-1, Class A1, 3.150%, 7/22/24		1,196,000		1,194
World Financial Network Credit Card Master Trust, Series 2015-B, Class A, 2.550%, 6/17/24		246,000		243
World Financial Network Credit Card Master Trust, Series 2016-A, Class A, 2.030%, 4/15/25		6,863,000		6,650
World Financial Network Credit Card Master Trust, Series 2016-C, Class A, 1.720%, 8/15/23		2,591,000		2,552
World Financial Network Credit Card Master Trust, Series 2017-A, Class A, 2.120%, 3/15/24		3,908,000		3,841
World Financial Network Credit Card Master Trust, Series 2017-C, Class A, 2.310%, 8/15/24		6,340,000		6,220
World Omni Auto Receivables Trust, Series 2014-B, Class A4, 1.680%, 12/15/20		1,162,000		1,159
World Omni Auto Receivables Trust, Series 2018-B, Class A3, 2.870%, 7/17/23		1,246,000		1,242
Total				409,648
Mortgage Securities (38.2%)
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.837%, (CSTR), 2/14/43 IO		371,934		5
Benchmark Mortgage Trust, Series 2018-B1, Class ASB, 3.602%, (AFC), 1/15/51		854,000		854
Benchmark Mortgage Trust, Series 2018-B4, Class A5, 4.121%, 7/15/51		1,178,000		1,212
CD Commercial Mortgage Trust, Series 2017-CD6, Class ASB, 3.332%, 11/13/50		2,821,000		2,790
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A1, 1.793%, (CSTR, AFC), 1/10/48		1,105,175		1,088
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, (EXE), 5/10/58		1,545,000		1,495
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.091%, 5/10/58		1,508,000		1,474
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A2, 3.585%, (CSTR), 12/10/54		1,536,000		1,514
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3, 3.838%, (AFC, EXE), 12/10/54		1,179,000		1,181
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class A1, 1.964%, 6/15/50		823,262		806
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class A4, 3.571%, 6/15/50		907,000		894
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB, 3.367%, 6/15/50		1,226,000		1,211
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class A1, 1.443%, 8/10/49		707,802		689
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class ASB, 2.622%, 8/10/49		2,660,000		2,534
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2017-C6, Class ASB, 3.121%, 6/10/50		694,000		675

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2017-CD4, Class ASB, 3.317%, 5/10/50		1,173,000		1,162
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class AS, 3.457%, 4/10/48		730,000		717
Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1, 6.500%, 4/25/35		214,388		220
Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A3, 2.822%, 10/15/45		1,219,438		1,195
Commercial Mortgage Pass Through Certificates, Series 2012-CR4, Class A2, 1.801%, 10/15/45		424,737		416
Commercial Mortgage Pass Through Certificates, Series 2013-CR10, Class A2, 2.972%, 8/10/46		616,534		617
Commercial Mortgage Pass Through Certificates, Series 2013-CR11, Class A1, 1.468%, 8/10/50		179,006		178
Commercial Mortgage Pass Through Certificates, Series 2013-CR12, Class A3, 3.765%, 10/10/46		734,000		745
Commercial Mortgage Pass Through Certificates, Series 2013-CR12, Class A4, 4.046%, 10/10/46		1,225,000		1,260
Commercial Mortgage Pass Through Certificates, Series 2013-CR6, Class A2, 2.122%, 3/10/46		461,405		461
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/47		415,000		424
Commercial Mortgage Pass Through Certificates, Series 2014-UBS4, Class AM, 3.968%, 8/10/47		1,676,000		1,674
Commercial Mortgage Pass Through Certificates, Series 2014-UBS6, Class A5, 3.644%, 12/10/47		2,228,000		2,233
Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/48		1,756,000		1,736
Commercial Mortgage Pass Through Certificates, Series 2016-C0R1, Class ASB, 2.972%, 10/10/49		1,155,000		1,119
Commercial Mortgage Pass Through Certificates, Series 2018-COR3, Class A3, 4.228%, 5/10/51		2,129,000		2,202
Credit Suisse Mortgage Trust, Series 2013-IVR4, Class A6, 2.500%, (AFC), 7/25/43 144A		3,007,016		2,963
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4, 3.718%, 8/15/48		1,597,000		1,603
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A4, 3.807%, 11/15/48		4,039,000		4,071
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class ASB, 3.532%, 11/15/48		582,000		582
CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5, 4.033%, (AFC), 4/15/51		2,341,000		2,380
Federal Home Loan Mortgage Corp., 2.425%, (ICE LIBOR USD 12 Month plus 1.65%), 5/1/43		1,519,855		1,501
Federal Home Loan Mortgage Corp., 2.805%, (ICE LIBOR USD 12 Month plus 1.64%), 1/1/47		2,746,831		2,734
Federal Home Loan Mortgage Corp., 3.500%, 9/1/26		485,934		492
Federal Home Loan Mortgage Corp., 3.500%, 12/1/45		386,429		386
Federal Home Loan Mortgage Corp., 3.500%, 12/1/47		1,164,360		1,159
Federal Home Loan Mortgage Corp., 3.500%, 1/1/48		4,732,248		4,715
Federal Home Loan Mortgage Corp., 3.500%, 2/1/48		4,943,798		4,925
Federal Home Loan Mortgage Corp., 3.500%, 3/1/48		10,973,067		10,933

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

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97

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., 4.000%, 10/1/29		7,800,190		8,070
Federal Home Loan Mortgage Corp., 4.000%, 1/1/34		3,445,789		3,563
Federal Home Loan Mortgage Corp., 4.000%, 4/1/34		1,547,394		1,589
Federal Home Loan Mortgage Corp., 4.000%, 1/1/35		131,865		137
Federal Home Loan Mortgage Corp., 4.000%, 1/1/36		206,866		214
Federal Home Loan Mortgage Corp., 4.000%, 10/1/36		1,412,298		1,456
Federal Home Loan Mortgage Corp., 4.000%, 3/1/37		728,282		756
Federal Home Loan Mortgage Corp., 4.000%, 1/1/42		1,854,878		1,906
Federal Home Loan Mortgage Corp., 4.000%, 8/1/43		1,577,924		1,622
Federal Home Loan Mortgage Corp., 4.000%, 8/1/44		728,987		746
Federal Home Loan Mortgage Corp., 4.000%, 12/1/45		899,690		920
Federal Home Loan Mortgage Corp., 4.000%, 2/1/46		959,508		981
Federal Home Loan Mortgage Corp., 4.000%, 6/1/46		1,487,665		1,521
Federal Home Loan Mortgage Corp., 4.000%, 4/1/48		1,882,549		1,925
Federal Home Loan Mortgage Corp., 4.000%, 6/1/48		4,981,000		5,095
Federal Home Loan Mortgage Corp., 4.500%, 3/1/39		1,096,426		1,150
Federal Home Loan Mortgage Corp., 4.500%, 6/1/39		130,546		137
Federal Home Loan Mortgage Corp., 4.500%, 7/1/39		142,609		150
Federal Home Loan Mortgage Corp., 4.500%, 3/1/41		371,677		391
Federal Home Loan Mortgage Corp., 4.500%, 1/1/45		842,310		890
Federal Home Loan Mortgage Corp., 4.500%, 5/1/45		156,298		164
Federal Home Loan Mortgage Corp., 5.000%, 6/1/44		2,382,199		2,584
Federal Home Loan Mortgage Corp., 5.000%, 5/1/48		6,738,616		7,246
Federal Home Loan Mortgage Corp., 5.000%, 6/1/48		395,000		422
Federal Home Loan Mortgage Corp., Series 2016-4576, Class HN, 3.500%, 8/15/41		5,602,643		5,646
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA, 3.000%, 10/15/47		18,982,155		18,479
Federal Home Loan Mortgage Corp., Series 2018-4759, Class E, 3.500%, 9/15/41		6,530,331		6,573
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA, 3.000%, 3/15/48		5,765,767		5,713
Federal Home Loan Mortgage Corp., Series 2018-4782, Class BA, 4.500%, 11/15/44		7,013,428		7,286
Federal Home Loan Mortgage Corp., Series 2018-4786, Class DP, 4.500%, 7/15/42		3,289,389		3,412
Federal Home Loan Mortgage Corp., Series 2018-4787, Class AK, 3.000%, 5/15/48		7,538,823		7,291
Federal Home Loan Mortgage Corp., Series 2439, Class LH, 6.000%, 4/15/32		459,905		507
Federal Home Loan Mortgage Corp., Series 360, Class 300, 3.000%, 11/15/47		6,492,393		6,324
Federal Home Loan Mortgage Corp., Series 3838, Class QE, 3.500%, 1/15/29		337,683		338
Federal Home Loan Mortgage Corp., Series 4425, Class A, 4.000%, 9/15/40		2,635,776		2,712
Federal Home Loan Mortgage Corp., Series 4640, Class LD, 4.000%, 9/15/43		8,820,544		9,065
Federal Home Loan Mortgage Corp., Series 4700, Class QJ, 4.000%, 7/15/44		6,377,894		6,587
Federal Home Loan Mortgage Corp., Series 4705, Class A, 4.500%, 9/15/42		4,281,215		4,505

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4763, Class CA, 3.000%, 9/15/38		1,198,231		1,189
Federal Home Loan Mortgage Corp., Series 4796, Class AK, 3.000%, 5/15/48		10,988,692		10,591
Federal Home Loan Mortgage Corp., Series 4802, Class A, 3.000%, 6/15/48		10,440,522		10,073
Federal National Mortgage Association0 10/9/19		6,830,000		6,612
Federal National Mortgage Association, 2.677%, (ICE LIBOR USD 12 Month plus 1.61%), 5/1/46		2,285,768		2,277
Federal National Mortgage Association, 2.731%, (ICE LIBOR USD 12 Month plus 1.61%), 12/1/47		1,181,652		1,171
Federal National Mortgage Association, 2.942%, (ICE LIBOR USD 12 Month plus 1.61%), 10/1/47		3,337,935		3,338
Federal National Mortgage Association, 2.946%, (ICE LIBOR USD 12 Month plus 1.60%), 8/1/47		2,387,251		2,384
Federal National Mortgage Association, 3.000%, 11/1/32		10,175,342		10,119
Federal National Mortgage Association, 3.000%, 9/1/33		1,733,822		1,719
Federal National Mortgage Association, 3.000%, 10/1/33		5,214,768		5,186
Federal National Mortgage Association, 3.000%, 11/1/46		4,717,794		4,631
Federal National Mortgage Association, 3.027%, (ICE LIBOR USD 12 Month plus 1.61%), 12/1/47		2,928,483		2,915
Federal National Mortgage Association, 3.132%, (ICE LIBOR USD 12 Month plus 1.62%), 3/1/47		3,701,168		3,724
Federal National Mortgage Association, 3.230%, (ICE LIBOR USD 12 Month plus 1.62%), 6/1/47		3,749,065		3,760
Federal National Mortgage Association, 3.500%, 10/1/26		2,889,589		2,926
Federal National Mortgage Association, 3.500%, 8/1/28		43,108		44
Federal National Mortgage Association, 3.500%, 10/1/28		1,758,143		1,780
Federal National Mortgage Association, 3.500%, 9/1/29		105,441		107
Federal National Mortgage Association, 3.500%, 9/1/33		472,215		479
Federal National Mortgage Association, 3.500%, 8/1/34		1,440,063		1,457
Federal National Mortgage Association, 3.500%, 12/1/35		5,098,717		5,171
Federal National Mortgage Association, 3.500%, 5/1/36		4,383,927		4,435
Federal National Mortgage Association, 3.500%, 9/1/36		720,488		731
Federal National Mortgage Association, 3.500%, 12/1/36		4,895,973		4,967
Federal National Mortgage Association, 3.500%, 3/1/37		7,282,866		7,362
Federal National Mortgage Association, 3.500%, 5/1/37		6,029,409		6,118
Federal National Mortgage Association, 3.500%, 5/1/38		7,449,874		7,493

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

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, 3.500%, 2/1/42		14,662,146		14,755
Federal National Mortgage Association, 3.500%, 6/1/43		681,134		682
Federal National Mortgage Association, 3.500%, 11/1/46		4,414,088		4,454
Federal National Mortgage Association, 3.500%, 11/1/47		1,521,564		1,517
Federal National Mortgage Association, 3.500%, 1/1/48		21,718,431		21,708
Federal National Mortgage Association, 3.500%, 2/1/48		5,338,977		5,322
Federal National Mortgage Association, 4.000%, 11/1/29		7,020,894		7,266
Federal National Mortgage Association, 4.000%, 2/1/32		52,889		55
Federal National Mortgage Association, 4.000%, 5/1/32		417,388		429
Federal National Mortgage Association, 4.000%, 6/1/32		3,191,994		3,283
Federal National Mortgage Association, 4.000%, 2/1/33		675,575		699
Federal National Mortgage Association, 4.000%, 12/1/33		305,408		316
Federal National Mortgage Association, 4.000%, 4/1/34		3,380,443		3,497
Federal National Mortgage Association, 4.000%, 7/1/35		5,797,527		5,998
Federal National Mortgage Association, 4.000%, 11/1/35		2,652,419		2,745
Federal National Mortgage Association, 4.000%, 1/1/36		3,777,010		3,909
Federal National Mortgage Association, 4.000%, 7/1/36		3,497,142		3,615
Federal National Mortgage Association, 4.000%, 9/1/36		1,503,925		1,553
Federal National Mortgage Association, 4.000%, 11/1/36		1,078,860		1,115
Federal National Mortgage Association, 4.000%, 12/1/36		4,137,066		4,277
Federal National Mortgage Association, 4.000%, 1/1/37		170,983		177
Federal National Mortgage Association, 4.000%, 2/1/37		522,984		540
Federal National Mortgage Association, 4.000%, 3/1/37		5,262,866		5,440
Federal National Mortgage Association, 4.000%, 4/1/37		3,128,797		3,238
Federal National Mortgage Association, 4.000%, 5/1/37		3,477,624		3,598
Federal National Mortgage Association, 4.000%, 6/1/37		3,441,573		3,564
Federal National Mortgage Association, 4.000%, 7/1/37		5,328,080		5,505
Federal National Mortgage Association, 4.000%, 9/1/37		4,178,099		4,319

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, 4.000%, 10/1/37		2,522,001		2,610
Federal National Mortgage Association, 4.000%, 11/1/37		4,624,298		4,772
Federal National Mortgage Association, 4.000%, 12/1/37		3,648,055		3,775
Federal National Mortgage Association, 4.000%, 1/1/38		3,674,518		3,802
Federal National Mortgage Association, 4.000%, 6/1/40		3,926,427		4,020
Federal National Mortgage Association, 4.000%, 11/1/40		2,920,651		2,999
Federal National Mortgage Association, 4.000%, 1/1/42		941,719		968
Federal National Mortgage Association, 4.000%, 8/1/42		959,563		987
Federal National Mortgage Association, 4.000%, 10/1/43		3,244,304		3,327
Federal National Mortgage Association, 4.000%, 5/1/45		5,055,969		5,175
Federal National Mortgage Association, 4.000%, 9/1/45		1,290,994		1,334
Federal National Mortgage Association, 4.000%, 10/1/45		863,889		884
Federal National Mortgage Association, 4.000%, 12/1/45		973,987		997
Federal National Mortgage Association, 4.000%, 5/1/46		1,592,428		1,631
Federal National Mortgage Association, 4.000%, 7/1/46		216,047		222
Federal National Mortgage Association, 4.000%, 11/1/46		2,247,178		2,323
Federal National Mortgage Association, 4.000%, 1/1/47		783,668		803
Federal National Mortgage Association, 4.000%, 2/1/47		4,503,988		4,616
Federal National Mortgage Association, 4.000%, 3/1/47		2,112,422		2,167
Federal National Mortgage Association, 4.000%, 4/1/47		7,205,730		7,403
Federal National Mortgage Association, 4.000%, 5/1/47		6,357,584		6,497
Federal National Mortgage Association, 4.000%, 6/1/47		617,491		632
Federal National Mortgage Association, 4.000%, 8/1/47		16,732,526		17,120
Federal National Mortgage Association, 4.000%, 10/1/47		2,494,033		2,561
Federal National Mortgage Association, 4.000%, 11/1/47		15,903,951		16,311
Federal National Mortgage Association, 4.000%, 2/1/48		3,861,184		3,945
Federal National Mortgage Association, 4.000%, 3/1/48		5,018,615		5,135
Federal National Mortgage Association, 4.000%, 4/1/48		6,680,346		6,821

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

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, 4.000%, 5/1/48		5,460,406		5,589
Federal National Mortgage Association, 4.000%, 6/1/48		2,030,000		2,077
Federal National Mortgage Association, 4.500%, 5/1/34		94,948		100
Federal National Mortgage Association, 4.500%, 1/1/39		2,920,775		3,049
Federal National Mortgage Association, 4.500%, 6/1/41		192,791		203
Federal National Mortgage Association, 4.500%, 3/1/43		2,168,634		2,278
Federal National Mortgage Association, 4.500%, 3/1/44		1,670,593		1,755
Federal National Mortgage Association, 4.500%, 10/1/45		3,653,139		3,826
Federal National Mortgage Association, 4.500%, 2/1/46		136,545		143
Federal National Mortgage Association, 4.500%, 1/1/48		1,719,555		1,824
Federal National Mortgage Association, 5.000%, 7/1/44		344,956		367
Federal National Mortgage Association, 5.000%, 5/1/48		3,594,521		3,840
Federal National Mortgage Association, 5.000%, 6/1/48		9,243,564		9,984
Federal National Mortgage Association, 5.000%, 8/1/56		13,268,996		14,256
Federal National Mortgage Association TBA, 3.000%, 7/1/48(l)		3,915,000		3,771
Federal National Mortgage Association TBA, 3.000%, 7/1/48(l)		5,114,000		4,918
Federal National Mortgage Association TBA, 3.750%, 7/1/48(l)		3,154,000		3,225
Federal National Mortgage Association TBA, 3.750%, 8/1/48(l)		1,571,000		1,603
Federal National Mortgage Association TBA, 4.000%, 7/12/48		2,500,000		2,549
Federal National Mortgage Association TBA, 4.500%, 7/12/48		800,000		833
Federal National Mortgage Association TBA, 4.500%, 8/13/48		16,800,000		17,461
Federal National Mortgage Association TBA, 4.500%, 9/13/48		21,100,000		21,897
Federal National Mortgage Association TBA, 5.000%, 9/13/48		12,000,000		12,665
Federal National Mortgage Association, Series 1998-61, Class PL, 6.000%, 11/25/28		1,048		1
Federal National Mortgage Association, Series 2011-43, Class AN, 3.500%, 12/25/28		60,565		60
Federal National Mortgage Association, Series 2013-30, Class CA, 1.500%, 4/25/43		1,204,359		1,114
Federal National Mortgage Association, Series 2014-40, Class EP, 3.500%, 10/25/42		1,872,516		1,894
Federal National Mortgage Association, Series 2015-18, Class HE, 4.000%, 9/25/41		72,674		75

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2016-59, Class CA, 3.500%, 9/25/43		7,163,998		7,200
Federal National Mortgage Association, Series 2017-13, Class PA, 3.000%, 8/25/46		3,365,150		3,323
Federal National Mortgage Association, Series 2017-M13, Class A2, 3.037%, 9/25/27		2,257,000		2,169
Federal National Mortgage Association, Series 2017-M7, Class A2, 2.961%, (AFC), 2/25/27		1,102,000		1,063
Federal National Mortgage Association, Series 2018-12, Class P, 3.000%, 3/25/46		3,829,402		3,753
Federal National Mortgage Association, Series 2018-14, Class KC, 3.000%, 3/25/48		6,743,410		6,678
Federal National Mortgage Association, Series 2018-15, Class AB, 3.000%, 3/25/48		1,452,577		1,440
Federal National Mortgage Association, Series 2018-15, Class CA, 3.000%, 3/25/48		1,409,446		1,394
Federal National Mortgage Association, Series 2018-38, Class LA, 3.000%, 6/25/48		10,982,645		10,571
Federal National Mortgage Association, Series 2018-38, Class PA, 3.500%, 6/25/47		21,977,828		21,956
Federal National Mortgage Association, Series 2018-43, Class CT, 3.000%, 6/25/48		10,441,361		10,070
Federal National Mortgage Association, Series 2018-44, Class PA, 3.500%, 6/25/44		7,667,148		7,702
Federal National Mortgage Association, Series 2018-45, Class GA, 3.000%, 6/25/48		22,658,430		21,970
Federal National Mortgage Association, Series 2018-50, Class BA, 3.000%, 7/25/48		22,301,000		21,440
Freddie Mac TBA, 3.000%, 7/1/48(l)		1,639,000		1,672
Government National Mortgage Association, 3.000%, 2/20/45		5,413,896		5,345
Government National Mortgage Association, 3.000%, 6/20/46		4,981,065		4,888
Government National Mortgage Association, 3.000%, 9/20/46		12,939,866		12,703
Government National Mortgage Association, 3.000%, 10/20/46		3,791,181		3,718
Government National Mortgage Association, 3.000%, 12/20/46		3,682,962		3,610
Government National Mortgage Association, 3.500%, 4/20/46		3,181,332		3,199
Government National Mortgage Association, 3.500%, 5/20/46		5,948,629		5,983
Government National Mortgage Association, 3.500%, 6/20/46		1,864,952		1,874
Government National Mortgage Association, 3.500%, 7/20/46		9,219,249		9,304
Government National Mortgage Association, 3.500%, 1/20/47		1,905,798		1,917
Government National Mortgage Association, 3.500%, 5/20/47		5,028,658		5,051
Government National Mortgage Association, 3.500%, 1/20/48		14,606,828		14,680
Government National Mortgage Association, 4.000%, 12/20/47		3,990,479		4,117

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

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100

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Government National Mortgage Association, 4.000%, 3/20/48		1,400,192		1,438
Government National Mortgage Association, 4.000%, 4/20/48		4,624,466		4,754
Government National Mortgage Association, 4.500%, 5/20/45		686,806		729
Government National Mortgage Association, 4.500%, 6/20/45		1,208,520		1,288
Government National Mortgage Association, 4.500%, 7/20/45		1,148,492		1,218
Government National Mortgage Association, 4.500%, 8/20/45		506,153		534
Government National Mortgage Association, 4.500%, 9/20/45		252,635		268
Government National Mortgage Association, 4.500%, 8/15/47		556,997		591
Government National Mortgage Association, 4.500%, 9/15/47		592,557		625
Government National Mortgage Association, 4.500%, 6/20/48		10,470,000		10,902
Government National Mortgage Association, 5.000%, 12/20/39		160,502		176
Government National Mortgage Association, 5.000%, 11/20/45		316,888		347
Government National Mortgage Association, 5.000%, 4/20/48		796,875		850
Government National Mortgage Association, 5.000%, 5/20/48		29,065,075		30,545
Government National Mortgage Association, 5.000%, 6/1/48		24,625,000		25,879
Government National Mortgage Association, 5.000%, 7/20/48		26,060,000		27,419
Government National Mortgage Association TBA, 4.500%, 7/19/48		11,800,000		12,265
Government National Mortgage Association TBA, 4.500%, 8/21/48		16,800,000		17,433
Government National Mortgage Association TBA, 4.500%, 9/21/48		40,600,000		42,073
Government National Mortgage Association TBA, 5.000%, 7/19/48		22,800,000		23,929
Government National Mortgage Association TBA, 5.000%, 8/21/48		5,200,000		5,451
Government National Mortgage Association, Series 2012-141, Class WA, 4.527%, 11/16/41		1,034,098		1,093
GS Mortgage Securities Trust, Series 2012-GCJ7, Class AAB, 2.935%, 5/10/45		331,921		332
GS Mortgage Securities Trust, Series 2013-GC16, Class A2, 3.033%, 11/10/46		2,286,654		2,286
GS Mortgage Securities Trust, Series 2014-GC18, Class A3, 3.801%, 1/10/47		1,044,000		1,064
GS Mortgage Securities Trust, Series 2015-GC34, Class A4, 3.506%, 10/10/48		1,483,000		1,472
GS Mortgage Securities Trust, Series 2016-GS3, Class A4, 2.850%, 10/10/49		1,160,000		1,091

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
GS Mortgage Securities Trust, Series 2016-GS3, Class AAB, 2.777%, 10/10/49		1,740,000		1,686
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1, 5.314%, 1/25/51 144A		4,932,320		5,226
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-CBX, Class A4, 3.483%, 6/15/45		1,917,000		1,924
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2013-C13, Class A2, 2.665%, 1/15/46		1,155,417		1,154
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2014-C20, Class A2, 2.871%, 7/15/47		1,052,000		1,052
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2014-C20, Class A5, 3.804%, 7/15/47		124,000		126
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2016-JP2, Class A1, 1.324%, 8/15/49		1,477,497		1,447
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2016-JP2, Class ASB, 2.713%, 8/15/49		1,805,000		1,740
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-JP5, Class ASB, 3.548%, 3/15/50		3,358,000		3,351
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2, 4.311%, 8/5/32 144A		2,944,137		2,989
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, Class A3, 4.106%, 7/15/46 144A		356,314		356
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class ASB, 3.732%, 1/15/49		1,413,000		1,432
JP Morgan Mortgage Trust, Series 2016-5, Class A1, 2.611%, (AFC), 12/25/46 144A		1,750,439		1,723
JP Morgan Mortgage Trust, Series 2017-5, Class A1, 3.173%, (CSTR), 10/26/48 144A		15,861,052		15,646
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class A2, 2.976%, 11/15/45		1,105,811		1,106
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A5, 3.774%, 8/15/47		2,629,000		2,665
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4, 3.669%, 9/15/47		1,323,000		1,333
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A2, 2.773%, 10/15/48		1,089,000		1,084
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3, 2.912%, 10/15/48		6,101,000		5,885
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A4, 3.227%, 10/15/48		1,772,000		1,734
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class ASB, 3.282%, 7/15/50		1,306,000		1,282
JPMDB Commercial Mortgage Securities Trust 2018, Series C8, Class ASB, 4.145%, 6/15/51		1,453,000		1,500
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class ASB, 3.491%, 3/15/50		463,000		460
Mastr Asset Securitization Trust, Series 2003-12, Class 1A1, 5.250%, 12/25/24		170,212		172

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

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Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Mastr Asset Securitization Trust, Series 2004-9, Class 6A1, 5.000%, 9/25/19		8,657		9
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2, 1.970%, 5/15/46		30,428		30
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5, 3.635%, 10/15/48		1,477,000		1,475
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class A4, 3.753%, 12/15/47		393,000		395
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28, Class A4, 3.544%, 1/15/49		774,000		768
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class ASB, 2.729%, 9/15/49		5,519,000		5,316
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3, 3.540%, 12/15/48		1,115,000		1,108
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A1, 1.445%, 8/15/49		1,892,153		1,852
Morgan Stanley Capital I Trust, Series 2016-UB11, Class ASB, 2.606%, 8/15/49		1,289,000		1,234
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class A1, 1.711%, 3/15/49		1,140,209		1,119
Morgan Stanley Capital I Trust, Series 2018, Class A5, 4.177%, 7/15/51(l)		2,354,000		2,424
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1, 4.500%, 10/25/18		6,008		6

Structured Products (51.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Sequoia Mortgage Trust, Series 2013-5, Class A2, 3.000%, (CSTR, AFC), 5/25/43 144A		2,363,454		2,264
UBS Commercial Mortgage Trust, Series 2017-C7, Class A4, 3.679%, 12/15/50		926,000		916
UBS Commercial Mortgage Trust, Series 2018-C10, Class A4, 4.313%, 5/15/51		1,182,000		1,226
UBS Commercial Mortgage Trust, Series 2018-C9, Class A4, 4.117%, (AFC), 3/15/51		2,328,000		2,381
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 5/10/63		1,832,000		1,843
Total				1,159,108
Total Structured Products (Cost: $1,579,821)				1,568,756
Short-Term Investments (2.2%)
Money Market Funds (2.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820% #		65,636,929		65,637
Total Short-Term Investments (Cost: $65,637)				65,637
Total Investments (108.8%) (Cost: $3,350,540)(a)				3,302,126
Other Assets, Less Liabilities (-8.8%)				(264,571	)
Net Assets (100.0%)				3,037,555

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $400,056 representing 13.2% of the net assets.

AFC — Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.

CSTR — Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.

EXE — Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.

IO — Interest Only Security

GO — General Obligation

RB — Revenue Bond

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,350,540 and the net unrealized depreciation of investments based on that cost was $48,414 which is comprised of $7,946 aggregate gross unrealized appreciation and $56,360 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for when-issued securities.

(l) Security valued using significant unobservable inputs.

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

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The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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		$	—	$	16,026	$	—
Corporate Bonds			—		681,252		—
Governments			—		970,455		—
Structured Products
Asset Backed Securities			—		404,653		4,995
Mortgage Securities			—		1,141,495		17,613
Short-Term Investments			65,637		—		—
Total Assets:		$	65,637	$	3,213,881	$	22,608

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

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

Sector Allocation 6/30/18

Sector Allocation is based on market value of holdings.

Sector Allocation is subject to change.

The Corporate Bonds sector includes bonds of companies and governments headquartered outside the United States.

The Government and Structured Product categories include domestic taxable bonds.

Consistent with the Portfolio’s stated parameters, no more than 10% of the Portfolio is invested in securities rated A by Moody’s or S&P and no more than 25% of the Portfolio is invested in securities rated Aa by Moody’s or AA by S&P.

Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

The Portfolio may invest in securities that are issued or guaranteed by the U.S. Government or its agencies, and in derivatives designed to replicate such securities. This guarantee provides for the timely repayment of the principal and interest as applicable under the terms of the instrument, if it is held to maturity, and does not apply to derivative securities held by the Portfolio. A guarantee by the U.S. Government or its agencies does not eliminate market risk.

The Portfolio may also use derivative instruments for hedging or other purposes as part of its investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk,

market risk, credit risk, management risk and the risk that the Portfolio could not close out a position when it would be most advantageous to do so. The potential leverage created by use of derivatives may cause the Portfolio to be more sensitive to interest rate movements and thus more volatile than other long-term U.S. Government bond funds that do not use derivatives. Portfolios investing in derivatives could lose more than the principal amount invested in those instruments.    

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

The Portfolio may engage in active and frequent trading of portfolio securities to achieve its investment objectives. Active and frequent trading may cause higher brokerage expenses and other transaction costs, which may adversely affect performance.    

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical

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

expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$967.53	$  4.73
Hypothetical (5% return before expenses)	$1,000.00	$1,019.98	$  4.86

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Long-Term U.S. Government Bond Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Corporate Bonds (0.8%)	Shares/ $ Par		Value $ (000’s)
Consumer, Cyclical (0.3%)
United Airlines Pass Through Trust, Series 2016-2, Class A, 3.100%, 4/7/30		194,714		182
United Airlines Pass Through Trust, Series 2016-2, Class AA, 2.875%, 4/7/30		194,714		180
Total				362
Industrial (0.5%)
Vessel Management Services, Inc., 3.432%, 8/15/36		515,000		491
Total				491
Total Corporate Bonds (Cost: $905)				853
Governments (93.5%)
Governments (93.5%)
Federal National Mortgage Association, 5.625%, 4/17/28		100,000		120
Residual Funding Corp. Stripped, 0.000%, 4/15/30(k)		4,800,000		3,234
Residual Funding Corp. Stripped, 0.000%, 10/15/20		2,000,000		1,881
Resolution Funding Corp. Stripped, 0.000%, 4/15/28		400,000		290
Tennessee Valley Authority Stripped, 0.000%, 5/1/30		500,000		330
US Treasury, 1.875%, 7/31/22(b)		8,000,000		7,743
US Treasury, 2.000%, 10/31/21(b)		5,800,000		5,678
US Treasury, 2.125%, 8/15/21		400,000		394
US Treasury, 2.250%, 11/15/27		160,000		152
US Treasury, 2.500%, 2/15/45		2,660,000		2,423
US Treasury, 2.500%, 2/15/46		940,000		854
US Treasury, 2.500%, 5/15/46		1,710,000		1,552
US Treasury, 2.750%, 8/15/42		2,000,000		1,922
US Treasury, 2.750%, 11/15/42		400,000		384
US Treasury, 2.875%, 5/15/43(k)		3,710,000		3,640
US Treasury, 2.875%, 8/15/45(k)		5,180,000		5,072
US Treasury, 2.875%, 5/15/28		700,000		701
US Treasury, 3.000%, 5/15/42		530,000		532
US Treasury, 3.000%, 11/15/44		390,000		391
US Treasury, 3.000%, 11/15/45		370,000		371
US Treasury, 3.000%, 2/15/48		1,290,000		1,293
US Treasury, 3.125%, 2/15/43(b)		10,710,000		10,979
US Treasury, 3.125%, 5/15/48(k)		2,540,000		2,608
US Treasury, 3.375%, 5/15/44(b)		10,100,000		10,808
US Treasury, 3.500%, 2/15/39		50,000		54
US Treasury, 3.625%, 8/15/43(b)		8,750,000		9,740
US Treasury, 3.625%, 2/15/44(b)		11,920,000		13,283
US Treasury, 3.750%, 11/15/43(b)		5,600,000		6,358
US Treasury, 3.875%, 8/15/40		850,000		977
US Treasury, 4.250%, 11/15/40		1,900,000		2,301
US Treasury, 4.375%, 2/15/38(k)		2,240,000		2,728
US Treasury, 4.500%, 5/15/38		1,440,000		1,783
US Treasury, 4.625%, 2/15/40		200,000		254

Governments (93.5%)	Shares/ $ Par		Value $ (000’s)
Governments continued
US Treasury Inflation Index Bond, 0.375%, 1/15/27		72,595		71
US Treasury Inflation Index Bond, 0.375%, 7/15/27		317,471		309
US Treasury Inflation Index Bond, 0.500%, 1/15/28		1,056,640		1,034
US Treasury Inflation Index Bond, 1.375%, 2/15/44		139,736		156
US Treasury Inflation Index Bond, 1.750%, 1/15/28		430,484		470
US Treasury Inflation Index Bond, 2.500%, 1/15/29		420,052		493
US Treasury Inflation Index Bond, 3.625%, 4/15/28		154,886		197
US Treasury Stripped, 0.000%, 8/15/34		850,000		524
US Treasury Stripped, 0.000%, 11/15/43		700,000		329
Total Governments (Cost: $104,093)				104,413
Structured Products (20.4%)
Asset Backed Securities (0.4%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A, 2.841%, (1 Month LIBOR plus 0.75%), 2/27/68 144A		96,366		97
Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 3.310%, (3 Month LIBOR plus 0.95%), 4/25/38		61,975		62
SLM Student Loan Trust, Series 2003-7A, Class A5A, 3.541%, (3 Month LIBOR plus 1.20%), 12/15/33 144A		130,874		132
SLM Student Loan Trust, Series 2008-9, Class A, 3.860%, (3 Month LIBOR plus 1.50%), 4/25/23		168,455		172
Sunset Mortgage Loan Co., Series 2015-NPL1, Class A, 4.459%, (AFC), 9/18/45 144A		24,526		25
Total				488
Mortgage Securities (20.0%)
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.454%, 3/10/33 144A		300,000		297
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.871%, (CSTR), 11/10/31 144A		600,000		579
COMM Mortgage Trust, Series 2018-HOME, Class A, 3.815%, (AFC), 4/10/33 144A(l)		200,000		201
Commercial Mortgage Pass Through Certificates, Series 2016-667M, Class A, 3.140%, 10/10/36 144A		700,000		667
Core Industrial Trust, Series 2015-West, Class C, 3.494%, 2/10/37 144A		300,000		292
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3, 3.571%, (CSTR), 7/25/33		994		1
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 3.962%, (CSTR), 8/25/33		208		–	(m)
DBWF Mortgage Trust, Series 2016-85T, Class A, 3.791%, 12/10/36 144A		800,000		802
Federal Home Loan Mortgage Corp., Series 2752, Class EZ, 5.500%, 2/15/34		305,552		329

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

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Structured Products (20.4%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 4092, Class AY, 3.000%, 8/15/32		2,200,000		2,089
Federal Home Loan Mortgage Corp., Series 4387, Class AZ, 4.000%, 9/15/44		2,323,089		2,397
Federal Home Loan Mortgage Corp., Series 4398, Class ZX, 4.000%, 9/15/54		694,611		717
Federal Home Loan Mortgage Corp., Series 4830, Class ZG, 3.000%, 4/15/53		673,027		582
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1, 2.835%, (Federal Reserve US 12 Month Cumulative Avg. 1 year CMT plus 1.40%), 7/25/44		11,735		12
Federal National Mortgage Association, 3.040%, 12/1/30		360,062		349
Federal National Mortgage Association, 3.090%, 12/1/36		600,000		554
Federal National Mortgage Association, 3.600%, 2/1/40		646,928		631
Federal National Mortgage Association, 5.000%, 6/1/35		65,112		70
Federal National Mortgage Association, 5.000%, 2/1/36		97,826		105
Federal National Mortgage Association TBA, 3.000%, 8/13/48(k)		2,900,000		2,806
Federal National Mortgage Association TBA, 3.500%, 7/17/33		800,000		809
Federal National Mortgage Association TBA, 4.000%, 8/13/48		600,000		611
Federal National Mortgage Association TBA, 4.000%, 9/13/48(k)		2,600,000		2,643
Federal National Mortgage Association, Series 2007-39, Class NZ, 4.250%, 5/25/37		321,199		329
Federal National Mortgage Association, Series 2016-61, Class ML, 3.000%, 9/25/46		900,000		836
GS Mortgage Securities Trust, Series 2015-590M, Class B, 3.932%, (CSTR), 10/10/35 144A		300,000		298
Hilton USA Trust, Series 2016-HHV, Class A, 3.719%, 11/5/38 144A		300,000		297

Structured Products (20.4%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Hilton USA Trust, Series 2016-HHV, Class C, 4.333%, (CSTR), 11/5/38 144A		400,000		396
Hudson’s Bay Simon JV Trust, Series 2015-HB10, Class C10, 5.629%, (CSTR), 8/5/34 144A		300,000		281
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A, 4.398%, (CSTR, AFC), 5/25/33		1,893		2
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class ASB, 3.514%, 12/15/49		700,000		700
MSSG Trust, Series 2017-237P, Class A, 3.397%, 9/13/39 144A		700,000		679
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, 2.745%, (ICE LIBOR USD 1 Month plus 0.66%), (AFC), 10/19/34		5,266		5
VNDO Trust, Series 2016-350P, Class A, 3.805%, 1/10/35 144A		800,000		798
WaMu Mortgage Pass-Through Certificates, Series 2004-AR1, Class A, 3.722%, (CSTR, AFC), 3/25/34		12,610		13
Worldwide Plaza Trust, Series 2017-WWP, Class A, 3.526%, 11/10/36 144A		100,000		98
Total				22,274
Total Structured Products (Cost: $23,380)				22,762
Short-Term Investments (1.3%)
Money Market Funds (1.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		1,455,993		1,456
Total Short-Term Investments (Cost: $1,456)				1,456
Total Investments (116.0%) (Cost: $133,229)(a)				129,484
Other Assets, Less Liabilities (-16.0%)				(17,825	)
Net Assets (100.0%)				111,659

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $5,939 representing 5.3% of the net assets.

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.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $114,676 and the net unrealized appreciation of investments based on that cost was $3,952 which is comprised of $5,083 aggregate gross unrealized appreciation and $1,131 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

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

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Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts	Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Five-Year US Treasury Note Future	Short	USD	$	4,400	44	9/18	$	4,999	$	(24	)
Long US Treasury Bond Future	Long	USD		18,500	185	9/18		26,825		380
Ten-Year US Treasury Note Future	Short	USD		200	2	9/18		241		(1	)
Two-Year US Treasury Note Future	Short	USD		10,400	52	9/18		11,015		(6	)

(i) Written options outstanding on June 30, 2018.

Description	Counterparty	Currency	Notional Par (000’s)		Exercise Price		Expiration Date	Number of Contracts	Value (000’s)
Call — US Ten Year Treasury Note Future	Goldman Sachs International	USD	$	5	$	120.000	7/18	5	$	(3	)
Call — US Ten Year Treasury Note Future	Goldman Sachs International	USD		11		121.500	7/18	11		(1	)
Put — US Ten Year Treasury Note Future	JP Morgan Chase Bank NA	USD		11		119.000	7/18	11		(1	)
(Premiums Received $8)									$	(5	)

(j) Swap agreements outstanding on June 30, 2018.

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)
3-Month USD-LIBOR		2.600%		3/21	$	8,700		USD	$	(1	)	$	(33	)	$	(34	)
									$	(1	)	$	(33	)	$	(34	)
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)
3-Month USD-LIBOR		2.643%		3/22	$	8,700		USD	$	2		$	25		$	27
3-Month USD-LIBOR		1.750%		12/26		3,610		USD		156			161			317
3-Month USD-LIBOR		2.250%		6/28		1,800		USD		25			81			106
3-Month USD-LIBOR		2.500%		6/46		1,300		USD		34			91			125
3-Month USD-LIBOR		1.750%		6/47		600		USD		107			43			150
3-Month USD-LIBOR		2.384%		9/47		2,000		USD		104			139			243
3-Month USD-LIBOR		2.750%		12/47		800		USD		(26	)		56			30
									$	402		$	596		$	998

(k) Cash or securities with an aggregate value of $22,730 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on June 30, 2018.

(l) Security valued using significant unobservable inputs.

(m) Amount is less than one thousand.

Reverse Repurchase Agreements

Reference Entity	Counterparty	Interest Rate			Borrowing Date		Maturity Date		Amount Borrowed (000’s)		Payable for Reverse Repurchase Agreements (000’s)
US Treasury	JP Morgan Chase Bank NA		1.700	%		5/29/2018		7/5/2018	$	1,290	$	1,305
US Treasury	BMO Harris Bank NA		2.160	%		6/11/2018		7/12/2018		9,600		10,608
											$	11,913

Securities Sold Short

Description	Coupon			Maturity Date		Principal Amount (000’s)		Proceeds (000’s)		Value (000’s)
Federal National Mortgage Association TBA		3.500	%		7/12/48	$	2,200	$	2,182	$	2,189
Federal National Mortgage Association TBA		4.500	%		7/12/48		800		832		833
Federal National Mortgage Association TBA		4.500	%		8/13/48		600		623		624
						$	3,600	$	3,637	$	3,646

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

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The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	—		$	853		$	—
Governments		—			104,413			—
Structured Products
Mortgage Securities		—			22,073			201
All Others		—			488			—
Short-Term Investments		1,456			—			—
Other Financial Instruments^
Futures		380			—			—
Interest Rate Swaps		—			998			—
Total Assets:	$	1,836		$	128,825		$	201
Liabilities:
Other Financial Instruments^
Futures		(31	)		—			—
Written Options		—			(5	)		—
Interest Rate Swaps		—			(34	)		—
Reverse Repurchase Agreements		—			(11,913	)		—
Securities Sold Short		—			(3,646	)		—
Total Liabilities:	$	(31	)	$	(15,598	)	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

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Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

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

Return of principal is not guaranteed. Bond funds have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

As a non-diversified portfolio, the Portfolio may hold fewer securities because of its focused investment strategy. Holding fewer securities increases the risk that the value of the Portfolio could go down because of the poor performance of a single investment.

This Portfolio invests over 50% of its assets in inflation-linked bonds. Inflation-linked bonds issued by the U.S. Government, known as TIPs, are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. Neither the current market value of the inflation-linked bonds nor the share value of the fund that invests in them is guaranteed, and either or both may fluctuate. Those portions of the Portfolio which are not invested in inflation linked securities will not be automatically protected from inflation. The Portfolio may use derivative instruments for hedging or other purposes as part of its investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that the Portfolio could not close out a position when it would be most advantageous to do so. Portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses,

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which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$990.13	$ 2.76
Hypothetical (5% return before expenses)	$1,000.00	$1,022.02	$ 2.81

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.56%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Schedule of Investments

June 30, 2018 (unaudited)

Corporate Bonds (21.4%)	Shares/ $ Par		Value $ (000’s)
Basic Materials (0.4%)
The Dow Chemical Co., 3.500%, 10/1/24		200,000		195
The Dow Chemical Co., 4.375%, 11/15/42		200,000		190
E.I. du Pont de Nemours & Co., 4.150%, 2/15/43		200,000		188
International Paper Co., 4.400%, 8/15/47		200,000		182
LyondellBasell Industries NV, 4.625%, 2/26/55		100,000		92
LyondellBasell Industries NV, 5.000%, 4/15/19		37,000		37
The Mosaic Co., 4.050%, 11/15/27		180,000		172
Sherwin-Williams Co., 4.500%, 6/1/47		340,000		324
Westlake Chemical Corp., 4.375%, 11/15/47		200,000		184
Total				1,564
Communications (2.5%)
21st Century Fox America, Inc., 4.750%, 9/15/44		150,000		151
21st Century Fox America, Inc., 6.900%, 8/15/39		385,000		490
AT&T, Inc., 3.400%, 5/15/25		450,000		423
AT&T, Inc., 4.450%, 4/1/24		100,000		101
AT&T, Inc., 4.750%, 5/15/46		300,000		268
AT&T, Inc., 4.800%, 6/15/44		280,000		254
AT&T, Inc., 5.150%, 11/15/46 144A		77,000		72
CBS Corp., 3.700%, 6/1/28 144A		170,000		158
Charter Communications Operating LLC, 4.500%, 2/1/24		220,000		220
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.200%, 3/15/28		400,000		374
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 6.484%, 10/23/45		530,000		558
Cisco Systems, Inc., 5.900%, 2/15/39		335,000		414
Comcast Corp., 6.500%, 11/15/35		350,000		416
Deutsche Telekom International Finance, 3.600%, 1/19/27 144A		450,000		424
Discovery Communications LLC, 3.950%, 3/20/28		350,000		331
Telefonica Emisiones SAU, 4.103%, 3/8/27		400,000		387
Telefonica Emisiones SAU, 5.213%, 3/8/47		200,000		193
Time Warner Cable LLC, 4.500%, 9/15/42		295,000		242
Time Warner, Inc., 2.950%, 7/15/26		200,000		180
Time Warner, Inc., 3.800%, 2/15/27		300,000		284
Time Warner, Inc., 4.050%, 12/15/23		150,000		150
Time Warner, Inc., 4.700%, 1/15/21		300,000		309
Verizon Communications, Inc., 2.625%, 8/15/26		125,000		111
Verizon Communications, Inc., 4.125%, 8/15/46		400,000		341
Verizon Communications, Inc., 4.400%, 11/1/34		150,000		140
Verizon Communications, Inc., 5.012%, 8/21/54		300,000		282
Verizon Communications, Inc., 5.500%, 3/16/47		330,000		345
Viacom, Inc., 4.250%, 9/1/23		470,000		466
Viacom, Inc., 4.375%, 3/15/43		90,000		75
Vodafone Group PLC, 4.375%, 5/30/28		250,000		247
The Walt Disney Co., 2.350%, 12/1/22		300,000		288
The Walt Disney Co., 4.125%, 6/1/44		170,000		164
Total				8,858

Corporate Bonds (21.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Cyclical (0.9%)
Ford Motor Co., 4.346%, 12/8/26		120,000		117
Ford Motor Credit Co. LLC, 4.389%, 1/8/26		300,000		294
General Motors Co., 5.150%, 4/1/38		1,000,000		952
The Home Depot, Inc., 4.200%, 4/1/43		275,000		276
Macy’s Retail Holdings, Inc., 2.875%, 2/15/23		60,000		57
McDonald’s Corp., 3.250%, 6/10/24		150,000		147
McDonald’s Corp., 4.450%, 3/1/47		330,000		328
NIKE, Inc., 3.375%, 11/1/46		315,000		279
Target Corp., 3.900%, 11/15/47		300,000		278
Walmart, Inc., 4.050%, 6/29/48		350,000		350
Total				3,078
Consumer, Non-cyclical (3.4%)
Abbott Laboratories, 4.900%, 11/30/46		400,000		428
AbbVie, Inc., 2.900%, 11/6/22		325,000		315
AbbVie, Inc., 4.450%, 5/14/46		350,000		334
Aetna, Inc., 2.750%, 11/15/22		230,000		221
Aetna, Inc., 3.875%, 8/15/47		170,000		152
Allergan Funding SCS, 3.850%, 6/15/24		150,000		147
Allergan Funding SCS, 4.550%, 3/15/35		270,000		256
Amgen, Inc., 3.625%, 5/22/24		240,000		239
Anheuser-Busch InBev Finance, Inc., 3.650%, 2/1/26		1,420,000		1,391
Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/46		500,000		514
Anthem, Inc., 4.650%, 1/15/43		200,000		193
Becton Dickinson and Co., 3.700%, 6/6/27		400,000		378
Catholic Health Initiatives, 2.950%, 11/1/22		100,000		97
Celgene Corp., 3.625%, 5/15/24		50,000		49
Celgene Corp., 5.000%, 8/15/45		170,000		166
Constellation Brands, Inc., 3.500%, 5/9/27		170,000		161
Constellation Brands, Inc., 3.700%, 12/6/26		340,000		328
CVS Health Corp., 2.750%, 12/1/22		700,000		671
CVS Health Corp., 4.780%, 3/25/38		180,000		178
CVS Health Corp., 5.050%, 3/25/48		170,000		172
Diageo Capital PLC, 2.625%, 4/29/23		300,000		290
Duke University Health System, Inc., 3.920%, 6/1/47		268,000		263
Express Scripts Holding Co., 3.400%, 3/1/27		200,000		183
Express Scripts Holding Co., 4.500%, 2/25/26		80,000		79
General Mills, Inc., 3.150%, 12/15/21		670,000		662
Gilead Sciences, Inc., 3.650%, 3/1/26		200,000		197
Gilead Sciences, Inc., 4.150%, 3/1/47		265,000		253
Johnson & Johnson, 3.500%, 1/15/48		360,000		336
Kaiser Foundation Hospitals, 4.150%, 5/1/47		200,000		202
Kimberly-Clark Corp., 3.900%, 5/4/47		340,000		333
Kraft Heinz Foods Co., 4.375%, 6/1/46		300,000		259
The Kroger Co., 3.875%, 10/15/46		400,000		333
Medtronic, Inc., 3.500%, 3/15/25		80,000		79
Medtronic, Inc., 4.625%, 3/15/45		350,000		371
Mylan NV, 3.950%, 6/15/26		200,000		191
Northwell Health, Inc., 4.260%, 11/1/47		180,000		173
PepsiCo, Inc., 3.450%, 10/6/46		420,000		376
Shire Acquisitions Investments Ireland Designated Activity Co., 3.200%, 9/23/26		260,000		238

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

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Corporate Bonds (21.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Non-cyclical continued
Thermo Fisher Scientific, Inc., 2.950%, 9/19/26		250,000		231
Unilever Capital Corp., 2.200%, 3/6/19		200,000		199
UnitedHealth Group, Inc., 3.750%, 10/15/47		350,000		321
UnitedHealth Group, Inc., 4.250%, 3/15/43		150,000		149
Zoetis, Inc., 3.000%, 9/12/27		60,000		55
Total				12,163
Energy (3.0%)
Apache Corp., 4.750%, 4/15/43		325,000		308
BP Capital Markets PLC, 2.500%, 11/6/22		160,000		154
Cenovus Energy, Inc., 4.250%, 4/15/27		200,000		193
Chevron Corp., 2.427%, 6/24/20		100,000		99
Cimarex Energy Co., 4.375%, 6/1/24		100,000		101
Concho Resources, Inc., 4.300%, 8/15/28		120,000		120
Concho Resources, Inc., 4.875%, 10/1/47		80,000		81
Enbridge, Inc., 3.500%, 6/10/24		150,000		145
Enbridge, Inc., 3.700%, 7/15/27		200,000		189
Energy Transfer Partners LP, 3.600%, 2/1/23		100,000		98
Energy Transfer Partners LP, 4.050%, 3/15/25		200,000		193
Energy Transfer Partners LP, 5.300%, 4/15/47		455,000		416
Enterprise Products Operating LLC, 3.750%, 2/15/25		200,000		198
Enterprise Products Operating LLC, 4.850%, 3/15/44		100,000		99
Exxon Mobil Corp., 3.043%, 3/1/26		110,000		107
Halliburton Co., 4.850%, 11/15/35		410,000		424
Hess Corp., 6.000%, 1/15/40		450,000		463
Kinder Morgan Energy Partners LP, 5.300%, 9/15/20		270,000		280
Kinder Morgan, Inc., 5.550%, 6/1/45		500,000		505
Magellan Midstream Partners LP, 5.150%, 10/15/43		150,000		157
Marathon Oil Corp., 3.850%, 6/1/25		170,000		167
Marathon Oil Corp., 5.200%, 6/1/45		100,000		105
Marathon Petroleum Corp., 3.625%, 9/15/24		150,000		146
MPLX LP, 4.500%, 4/15/38		200,000		185
MPLX LP, 4.875%, 6/1/25		400,000		411
MPLX LP, 5.200%, 3/1/47		200,000		198
Noble Energy, Inc., 4.150%, 12/15/21		480,000		488
Occidental Petroleum Corp., 4.200%, 3/15/48		455,000		453
ONEOK, Inc., 4.000%, 7/13/27		225,000		218
Petroleos Mexicanos, 3.500%, 1/30/23		130,000		123
Petroleos Mexicanos, 4.625%, 9/21/23		200,000		197
Petroleos Mexicanos, 4.875%, 1/18/24		400,000		395
Phillips 66, 4.650%, 11/15/34		200,000		201
Plains All American Pipeline LP / PAA Finance Corp., 3.650%, 6/1/22		200,000		196
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25		500,000		532
Shell International Finance BV, 2.375%, 8/21/22		1,170,000		1,132
Statoil ASA, 2.450%, 1/17/23		250,000		241
Suncor Energy, Inc., 6.500%, 6/15/38		220,000		273
Sunoco Logistics Partners Operations LP, 3.450%, 1/15/23		300,000		291
TransCanada PipeLines, Ltd., 2.500%, 8/1/22		100,000		96
Williams Partners LP, 4.125%, 11/15/20		80,000		81
Williams Partners LP, 4.300%, 3/4/24		300,000		301
Total				10,760

Corporate Bonds (21.4%)	Shares/ $ Par		Value $ (000’s)
Financial (6.7%)
The Allstate Corp., 4.200%, 12/15/46		150,000		148
American International Group, Inc., 4.125%, 2/15/24		250,000		251
American International Group, Inc., 4.500%, 7/16/44		250,000		233
American Tower Corp., 3.375%, 10/15/26		400,000		370
AvalonBay Communities, Inc., 3.200%, 1/15/28		280,000		264
Banco Inbursa SA Institucion de Banca Multiple, 4.375%, 4/11/27 144A		200,000		185
Bank of America Corp., 3.248%, 10/21/27		1,625,000		1,514
Bank of America Corp., 3.300%, 1/11/23		425,000		419
Bank of America Corp., 4.443%, (3 Month LIBOR plus 1.99%), 1/20/48		450,000		439
Berkshire Hathaway, Inc., 4.500%, 2/11/43		395,000		410
Boston Properties LP, 3.650%, 2/1/26		150,000		145
BPCE SA, 3.500%, 10/23/27 144A		250,000		228
Branch Banking & Trust Co., 3.800%, 10/30/26		200,000		199
Capital One Financial Corp., 3.750%, 7/28/26		150,000		139
Capital One Financial Corp., 3.750%, 3/9/27		330,000		312
Chubb INA Holdings, Inc., 3.150%, 3/15/25		200,000		194
Citigroup, Inc., 2.350%, 8/2/21		300,000		290
Citigroup, Inc., 3.200%, 10/21/26		665,000		619
Citigroup, Inc., 4.000%, 8/5/24		80,000		79
Citigroup, Inc., 4.050%, 7/30/22		450,000		452
Citigroup, Inc., 4.075%, (3 Month LIBOR plus 1.19%), 4/23/29		300,000		294
Citigroup, Inc., 4.281%, (3 Month LIBOR plus 1.84%), 4/24/48		200,000		189
Citigroup, Inc., 4.450%, 9/29/27		975,000		959
Cooperatieve Rabobank UA, 3.950%, 11/9/22		250,000		247
Credit Suisse AG, 3.625%, 9/9/24		250,000		246
Crown Castle International Corp., 4.450%, 2/15/26		240,000		238
Discover Bank, 3.450%, 7/27/26		300,000		278
Discover Financial Services, 3.750%, 3/4/25		200,000		191
Essex Portfolio LP, 3.625%, 8/15/22		100,000		99
Fifth Third Bancorp, 4.300%, 1/16/24		60,000		61
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/35		700,000		678
The Goldman Sachs Group, Inc., 2.300%, 12/13/19		300,000		297
The Goldman Sachs Group, Inc., 3.500%, 11/16/26		400,000		377
The Goldman Sachs Group, Inc., 3.750%, 5/22/25		850,000		830
The Goldman Sachs Group, Inc., 4.800%, 7/8/44		675,000		669
The Goldman Sachs Group, Inc., 5.750%, 1/24/22		330,000		353
The Hartford Financial Services Group, Inc., 5.125%, 4/15/22		150,000		159
HSBC Holdings PLC, 2.950%, 5/25/21		400,000		394
HSBC Holdings PLC, 4.041%, (3 Month LIBOR plus 1.55%), 3/13/28		230,000		223
HSBC Holdings PLC, 4.300%, 3/8/26		200,000		200
HSBC Holdings PLC, 4.375%, 11/23/26		200,000		197
Huntington Bancshares, Inc., 2.300%, 1/14/22		200,000		192
International Lease Finance Corp., 5.875%, 8/15/22		200,000		212
Jefferies Group LLC / Jefferies Group Capital Finance, Inc., 4.150%, 1/23/30		280,000		247
JPMorgan Chase & Co., 3.875%, 9/10/24		1,050,000		1,040
JPMorgan Chase & Co., 3.897%, (3 Month LIBOR plus 1.22%), 1/23/49		400,000		359

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

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Corporate Bonds (21.4%)	Shares/ $ Par		Value $ (000’s)
Financial continued
JPMorgan Chase & Co., 3.964%, (3 Month LIBOR plus 1.38%), 11/15/48		835,000		750
JPMorgan Chase & Co., 4.500%, 1/24/22		750,000		776
JPMorgan Chase & Co., 4.625%, 5/10/21		250,000		259
KeyBank NA, 3.400%, 5/20/26		250,000		238
Kilroy Realty LP, 3.800%, 1/15/23		120,000		119
Kilroy Realty LP, 4.375%, 10/1/25		40,000		40
Liberty Mutual Group, Inc., 4.250%, 6/15/23 144A		225,000		228
Markel Corp., 3.500%, 11/1/27		200,000		186
Morgan Stanley, 3.772%, (3 Month LIBOR plus 1.14%), 1/24/29		200,000		193
Morgan Stanley, 3.875%, 1/27/26		250,000		246
Morgan Stanley, 4.000%, 7/23/25		700,000		698
Morgan Stanley, 4.375%, 1/22/47		170,000		162
Prudential Financial, Inc., 3.935%, 12/7/49		251,000		225
Simon Property Group LP, 4.250%, 11/30/46		300,000		290
SunTrust Bank, 3.300%, 5/15/26		200,000		189
The Travelers Cos., Inc., 3.750%, 5/15/46		200,000		183
The Travelers Cos., Inc., 4.050%, 3/7/48		350,000		340
U.S. Bancorp, 3.600%, 9/11/24		400,000		395
Ventas Realty LP / Ventas Capital Corp., 3.250%, 8/15/22		250,000		245
Wells Fargo & Co., 3.000%, 4/22/26		200,000		186
Wells Fargo & Co., 3.550%, 9/29/25		175,000		170
Wells Fargo & Co., 4.100%, 6/3/26		330,000		323
Wells Fargo & Co., 4.125%, 8/15/23		220,000		221
Wells Fargo & Co., 4.400%, 6/14/46		500,000		457
Wells Fargo & Co., 4.750%, 12/7/46		450,000		435
Total				23,673
Industrial (1.6%)
The Boeing Co., 3.625%, 3/1/48		400,000		374
Burlington Northern Santa Fe LLC, 3.000%, 4/1/25		200,000		192
Burlington Northern Santa Fe LLC, 3.750%, 4/1/24		200,000		202
Burlington Northern Santa Fe LLC, 4.125%, 6/15/47		380,000		371
Burlington Northern Santa Fe LLC, 4.950%, 9/15/41		100,000		107
CSX Corp., 3.800%, 11/1/46		180,000		159
FedEx Corp., 4.050%, 2/15/48		200,000		179
FedEx Corp., 4.400%, 1/15/47		200,000		189
General Electric Co., 4.125%, 10/9/42		770,000		715
Lockheed Martin Corp., 3.800%, 3/1/45		200,000		184
Norfolk Southern Corp., 3.150%, 6/1/27		150,000		141
Norfolk Southern Corp., 3.850%, 1/15/24		75,000		76
Norfolk Southern Corp., 4.150%, 2/28/48		400,000		384
Republic Services, Inc., 3.375%, 11/15/27		140,000		133
Rockwell Collins, Inc., 4.350%, 4/15/47		300,000		287
Union Pacific Corp., 2.750%, 4/15/23		100,000		97
Union Pacific Corp., 3.350%, 8/15/46		165,000		138
Union Pacific Corp., 4.000%, 4/15/47		340,000		320
United Parcel Service, Inc., 3.400%, 11/15/46		300,000		264
United Technologies Corp., 3.750%, 11/1/46		525,000		459
Waste Management, Inc., 3.125%, 3/1/25		150,000		144
Waste Management, Inc., 3.150%, 11/15/27		200,000		188
Waste Management, Inc., 3.500%, 5/15/24		250,000		248
Total				5,551

Corporate Bonds (21.4%)	Shares/ $ Par		Value $ (000’s)
Technology (1.3%)
Apple, Inc., 2.900%, 9/12/27		650,000		611
Apple, Inc., 3.200%, 5/11/27		550,000		530
Apple, Inc., 4.250%, 2/9/47		370,000		375
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.500%, 1/15/28		200,000		182
Dell International LLC / EMC Corp., 6.020%, 6/15/26 144A		470,000		494
Fidelity National Information Services, Inc., 3.000%, 8/15/26		200,000		183
Intel Corp., 4.100%, 5/11/47		340,000		339
Microsoft Corp., 3.450%, 8/8/36		400,000		383
Microsoft Corp., 4.250%, 2/6/47		550,000		583
Oracle Corp., 2.500%, 10/15/22		300,000		291
Oracle Corp., 2.650%, 7/15/26		150,000		138
Oracle Corp., 4.000%, 7/15/46		500,000		471
Total				4,580
Utilities (1.6%)
AEP Transmission Co., LLC, 3.750%, 12/1/47		200,000		186
Alabama Power Co., 3.700%, 12/1/47		240,000		222
American Electric Power Co., Inc., 3.200%, 11/13/27		200,000		187
Consolidated Edison Co. of New York, Inc., 3.875%, 6/15/47		400,000		375
Dominion Resources, Inc., 3.625%, 12/1/24		200,000		196
Dominion Resources, Inc., 4.900%, 8/1/41		320,000		331
Duke Energy Corp., 3.150%, 8/15/27		150,000		139
Duke Energy Progress LLC, 3.700%, 10/15/46		720,000		662
Exelon Corp., 4.450%, 4/15/46		160,000		155
Exelon Generation Co. LLC, 5.600%, 6/15/42		480,000		482
FirstEnergy Corp., 4.850%, 7/15/47		300,000		307
Florida Power & Light Co., 3.950%, 3/1/48		200,000		196
Georgia Power Co., 4.300%, 3/15/42		100,000		100
MidAmerican Energy Co., 4.400%, 10/15/44		600,000		618
NextEra Energy Capital Holdings, Inc., 3.550%, 5/1/27		200,000		192
Pacific Gas & Electric Co., 4.000%, 12/1/46		570,000		491
Potomac Electric Power Co., 3.600%, 3/15/24		80,000		80
Sempra Energy, 3.250%, 6/15/27		250,000		233
Sempra Energy, 3.800%, 2/1/38		150,000		136
Southern Co. Gas Capital Corp., 3.950%, 10/1/46		200,000		184
Southwestern Public Service Co., 3.700%, 8/15/47		250,000		230
Virginia Electric & Power Co., 3.450%, 2/15/24		50,000		50
Total				5,752
Total Corporate Bonds (Cost: $79,573)				75,979
Governments (53.4%)	Shares/ Par		Value $ (000’s)
Governments (53.4%)
Australian Government Inflation Linked Bond, 6.779%, 8/20/20 AUD(f)		715,000		971
Canadian Government Real Return Bond, 4.250%, 12/1/21 CAD(f)		770,098		665

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

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Governments (53.4%)	Shares/ Par		Value $ (000’s)
Governments continued
Canadian Government Real Return Bond, 4.250%, 12/1/26 CAD(f)		1,517,630		1,524
Saudi International Bond, 2.375%, 10/26/21 144A		300,000		288
United Mexican States, 4.750%, 3/8/44		200,000		186
US Treasury Inflation Index Bond, 0.125%, 4/15/21		7,134,683		7,024
US Treasury Inflation Index Bond, 0.125%, 1/15/22		525,740		517
US Treasury Inflation Index Bond, 0.125%, 4/15/22		7,210,630		7,063
US Treasury Inflation Index Bond, 0.125%, 7/15/22(b)		10,348,920		10,177
US Treasury Inflation Index Bond, 0.125%, 1/15/23		3,798,585		3,713
US Treasury Inflation Index Bond, 0.125%, 7/15/24		1,846,303		1,795
US Treasury Inflation Index Bond, 0.125%, 7/15/26(b)		13,377,280		12,814
US Treasury Inflation Index Bond, 0.250%, 1/15/25(b)		10,470,933		10,184
US Treasury Inflation Index Bond, 0.375%, 7/15/23		6,889,408		6,827
US Treasury Inflation Index Bond, 0.375%, 7/15/25		6,760,832		6,641
US Treasury Inflation Index Bond, 0.375%, 1/15/27		6,637,248		6,448
US Treasury Inflation Index Bond, 0.500%, 1/15/28(k)		4,062,400		3,974
US Treasury Inflation Index Bond, 0.625%, 2/15/43		7,245,907		6,854
US Treasury Inflation Index Bond, 0.625%, 7/15/21(b)		10,003,410		10,042
US Treasury Inflation Index Bond, 0.625%, 1/15/24(b)		17,446,650		17,424
US Treasury Inflation Index Bond, 0.625%, 1/15/26		7,697,230		7,654
US Treasury Inflation Index Bond, 0.750%, 2/15/42(b)		8,675,265		8,466
US Treasury Inflation Index Bond, 0.750%, 2/15/45		4,095,746		3,971
US Treasury Inflation Index Bond, 0.875%, 2/15/47		3,424,674		3,424
US Treasury Inflation Index Bond, 1.000%, 2/15/46		2,484,561		2,558
US Treasury Inflation Index Bond, 1.375%, 2/15/44(b)		11,426,081		12,750
US Treasury Inflation Index Bond, 1.750%, 1/15/28		4,777,181		5,219
US Treasury Inflation Index Bond, 2.000%, 1/15/26		3,092,317		3,388
US Treasury Inflation Index Bond, 2.125%, 2/15/40		2,202,157		2,767
US Treasury Inflation Index Bond, 2.125%, 2/15/41		6,102,920		7,724
US Treasury Inflation Index Bond, 2.375%, 1/15/25		2,192,850		2,431
US Treasury Inflation Index Bond, 2.375%, 1/15/27		4,254,638		4,838
US Treasury Inflation Index Bond, 2.500%, 1/15/29		3,167,889		3,722
US Treasury Inflation Index Bond, 3.375%, 4/15/32		2,208,747		2,948
US Treasury Inflation Index Bond, 3.625%, 4/15/28		2,323,290		2,949
Total Governments (Cost: $192,364)				189,940
Municipal Bonds (0.5%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds (0.5%)
Bay Area Toll Authority, California, Series 2010, 6.918%, 4/1/40 RB		35,000		48
City of New York, 5.968%, 3/1/36 GO		125,000		155
City of San Antonio TX Electric & Gas System Revenue, 5.985%, 2/1/39 RB		150,000		196
City of San Francisco CA Public Utilities Commission Water Revenue, 6.950%, 11/1/50 RB		25,000		36
Los Angeles Community College District, Series 2010-E, 6.750%, 8/1/49 GO		95,000		138
Metropolitan Transportation Authority, 6.814%, 11/15/40 RB		50,000		67

Municipal Bonds (0.5%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds continued
Missouri Highway & Transportation Commission, 5.445%, 5/1/33 RB		100,000		116
New Jersey Turnpike Authority, Series 2010, 7.102%, 1/1/41 RB		100,000		141
Port Authority of New York & New Jersey, Series 168, 4.926%, 10/1/51 RB		50,000		59
Rutgers - The State University of New Jersey, 5.665%, 5/1/40 RB		55,000		65
Santa Clara Valley Transportation Authority, 5.876%, 4/1/32 RB		50,000		59
State of California, 4.600%, 4/1/38 GO		65,000		68
State of California, 7.300%, 10/1/39 GO		55,000		78
State of California, Series 2009, 7.550%, 4/1/39 GO		250,000		369
State of Illinois, 5.100%, 6/1/33 GO		150,000		142
State of Texas, Series 2009A, 5.517%, 4/1/39 GO		30,000		38
Total Municipal Bonds (Cost: $1,805)				1,775
Structured Products (19.8%)
Asset Backed Securities (4.1%)
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.920%, 9/20/19 144A		312,500		312
Bean Creek CLO, Ltd., Series 2018-1A, Class AR, 3.379%, (3 Month LIBOR plus 1.02%), 4/20/31 144A		1,250,000		1,247
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A, 2.940%, 5/25/29 144A		474,179		463
CIFC Funding, Ltd., Series 2013-3RA, Class A1, 3.330%, (3 Month LIBOR plus 0.98%), 4/24/31 144A		1,000,000		998
Goldentree Loan Opportunities XI, Ltd., Series 2017-11A, Class AR2, 3.425%, (3 Month LIBOR plus 1.07%), 1/18/31 144A		1,350,000		1,350
Hilton Grand Vacations Trust, Series 2014-AA, Class A, 1.770%, 11/25/26 144A		206,669		203
KKR CLO, Ltd., Series 2018-22A, Class A, 3.486%, (3 Month LIBOR plus 1.15%), 7/20/31 144A(l)		1,500,000		1,500
Madison Park Funding, Ltd., Series 2014-13A, Class AR2, 3.305%, (3 Month LIBOR plus 0.95%), 4/19/30 144A		1,600,000		1,598
Magnetite VIII, Ltd., Series 2018-8A, Class AR2, 3.072%, (3 Month LIBOR plus 0.98%), 4/15/31 144A		1,750,000		1,747
MVW Owner Trust, Series 2015-1A, Class A, 2.520%, 12/20/32 144A		402,708		394
MVW Owner Trust, Series 2016-1A, Class A, 2.250%, 12/20/33 144A		346,230		338
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A, 2.400%, 3/22/32 144A		112,370		112
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 3.080%, 3/21/33 144A		318,959		319
Sounds Point CLO IV-R, Ltd., Series 2013-3RA, Class A, 3.651%, (3 Month LIBOR plus 1.15%), 4/18/31 144A		1,600,000		1,600

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

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Structured Products (19.8%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Towd Point Mortgage Trust, Series 2016-1, Class A1, 3.500%, (AFC), 2/25/55 144A		465,534		466
Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.750%, (AFC), 4/25/57 144A		840,481		827
VSE VOI Mortgage LLC, Series 2017-A, Class A, 2.330%, 3/20/35 144A		979,953		950
Total				14,424
Mortgage Securities (15.7%)
Agate Bay Mortgage Trust, Series 2014-1, Class 1A6, 3.500%, (AFC), 7/25/44 144A		1,028,760		1,016
Agate Bay Mortgage Trust, Series 2014-3, Class A2, 3.500%, (AFC), 11/25/44 144A		776,341		761
Agate Bay Mortgage Trust, Series 2015-7, Class A3, 3.500%, (AFC), 10/25/45 144A		1,539,501		1,513
Agate Bay Mortgage Trust, Series 2016-1, Class A3, 3.500%, (AFC), 12/25/45 144A		1,143,289		1,121
Agate Bay Mortgage Trust, Series 2016-3, Class A3, 3.500%, (AFC), 8/25/46 144A		751,451		740
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class A, 3.218%, 4/14/33 144A		825,000		806
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.490%, 4/14/33 144A		1,110,000		1,084
BB-UBS Trust, Series 2012-SHOW, Class A, 3.430%, 11/5/36 144A		1,000,000		984
CD Mortgage Trust, Series 2016-CD2, Class A4, 3.526%, (AFC), 11/10/49		700,000		693
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3, 6.000%, 9/25/37		37,195		38
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class AM, 2.926%, 8/10/49		1,000,000		936
Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class AM, 4.426%, (AFC), 2/10/47		1,000,000		1,030
Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class AM, 4.193%, (AFC), 9/10/47		850,000		870
Commercial Mortgage Pass Through Certificates, Series 2015-3BP, Class A, 3.178%, 2/10/35 144A		875,000		851
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class AM, 3.603%, (AFC), 3/10/48		900,000		886
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class B, 4.802%, (CSTR), 2/10/49		880,000		908
Commercial Mortgage Pass Through Certificates, Series 2017-PANW, Class A, 3.244%, 11/10/34 144A		850,000		829
Core Industrial Trust, Series 2015-TEXW, Class B, 3.329%, 2/10/34 144A		725,000		719
Core Industrial Trust, Series 2015-WEST, Class A, 3.292%, 2/10/37 144A		950,000		929
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10, 3.500%, (AFC), 12/25/44 144A		300,000		293

Structured Products (19.8%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Credit Suisse Mortgage Trust, Series 2017-HL1, Class A3, 3.500%, (AFC), 6/25/47 144A		1,098,863		1,090
Federal Home Loan Mortgage Corp., 4.000%, 5/1/42		3,633,896		3,735
Federal Home Loan Mortgage Corp., 4.500%, 4/1/41		2,780,135		2,924
Federal Home Loan Mortgage Corp., Series DNA3, Class M1, 2.841%, (ICE LIBOR USD 1 Month plus 0.75%), 3/25/30		628,735		630
Federal National Mortgage Association, 4.000%, 2/1/46		5,035,282		5,137
Federal National Mortgage Association, Series 2018-C02, Class 2M1, 2.741%, (1 Month LIBOR plus 0.65%), 8/25/30		1,314,466		1,315
GS Mortgage Securities Trust, Series 2016-GS2, Class B, 3.759%, (AFC), 5/10/49		750,000		735
Hudson Yards Mortgage Trust, Series 2016-10HY, Class B, 3.076%, (CSTR), 8/10/38 144A		1,175,000		1,103
Irvine Core Office Trust, Series 2013-IRV, Class A2, 3.279%, (CSTR), 5/15/48 144A		800,000		791
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2016-JP2, Class A4, 2.821%, 8/15/49		600,000		563
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2016-JP3, Class AS, 3.144%, 8/15/49		675,000		638
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4, 4.166%, 12/15/46		600,000		619
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2, 2.500%, (AFC), 3/25/43 144A		756,468		729
JP Morgan Mortgage Trust, Series 2014-5, Class A1, 2.996%, (AFC), 10/25/29 144A		824,958		812
JP Morgan Mortgage Trust, Series 2016-1, Class A7, 3.500%, 5/25/46 144A		1,750,000		1,701
JP Morgan Mortgage Trust, Series 2017-1, Class A2, 3.500%, (AFC), 1/25/47 144A		1,780,168		1,746
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B, 4.341%, (AFC), 8/15/47		700,000		705
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.414%, 3/15/50		930,000		911
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class A3, 3.276%, 11/15/52		1,350,000		1,299
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C, 3.560%, (CSTR), 7/13/29 144A		600,000		593
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A4, 2.782%, 8/15/49		1,575,000		1,474
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, 4.000%, (CSTR), 3/25/57 144A		1,215,558		1,232
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, 3.591%, (ICE LIBOR USD 1 Month plus 1.50%), (AFC), 6/25/57 144A		1,359,112		1,395
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, 5.897%, (CSTR), 12/18/37		5,886		6
Sequoia Mortgage Trust, Series 2013-12, Class A1, 4.000%, 12/25/43 144A		171,215		173
Sequoia Mortgage Trust, Series 2014-3, Class A14, 3.000%, (AFC), 10/25/44 144A		222,933		221

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

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Structured Products (19.8%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Sequoia Mortgage Trust, Series 2014-4, Class A2, 3.500%, (AFC), 11/25/44 144A		200,541		201
Sequoia Mortgage Trust, Series 2017-5, Class A4, 3.500%, (AFC), 8/25/47 144A		1,302,049		1,290
Sequoia Mortgage Trust, Series 2017-7, Class A7, 3.500%, (AFC), 10/25/47 144A		2,250,000		2,148
Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, (AFC), 10/25/47 144A		835,199		842
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, 2.831%, (ICE LIBOR USD 1 Month plus 0.74%), (AFC), 9/25/44		308,472		304
USB Commercial Mortgage Trust, Series 2017-C1, Class A3, 3.196%, 6/15/50		700,000		673
Wells Fargo Mortgage Backed Securities Trust, Series 2005-17, Class 1A1, 5.500%, 1/25/36		33,024		33
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 1A1, 3.928%, (CSTR), 6/25/35		238,399		250
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A15, 3.911%, (CSTR), 6/25/35		658,594		678
Wells Fargo Mortgage Backed Securities Trust, Series 2006-10, Class A4, 6.000%, 8/25/36		44,790		45
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR10, Class 1A1, 3.727%, (CSTR), 1/25/38		48,029		46
WinWater Mortgage Loan Trust, Series 2014-1, Class A4, 3.500%, (AFC), 6/20/44 144A		154,653		154
Total				55,948
Total Structured Products (Cost: $72,183)				70,372

Short-Term Investments (6.2%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper (5.5%)
Credit Agricole, 0.000%, 7/2/18		9,460,000		9,459
LMA SA / LMA Americas LLC, 0.000%, 7/2/18		10,000,000		9,998
Total				19,457
Money Market Funds (0.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		45,076		45
Total				45
US Government & Agencies (0.7%)
US Treasury, 0.000%, 8/2/18		2,500,000		2,496
Total				2,496
Total Short-Term Investments     (Cost: $22,000)				21,998
Total Investments (101.3%)     (Cost: $367,925)(a)				360,064
Other Assets, Less     Liabilities (-1.3%)				(4,727	)
Net Assets (100.0%)				355,337

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $44,368 representing 12.5% of the net assets.

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.

AUD — Australian Dollar

CAD — Canadian Dollar

CPURNSA — U.S. Consumer Price Index—All Urban Consumers—Not Seasonally Adjusted

CSTR — Collateral Strip Rate security—interest is based on the weighted net interest rate of the collateral.

GO — General Obligation

RB — Revenue Bond

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $367,925 and the net unrealized depreciation of investments based on that cost was $9,378 which is comprised of $4,374 aggregate gross unrealized appreciation and $13,752 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts	Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Ten-Year US Treasury Note Future	Long	USD	$	28,500	285	9/18	$	34,253	$	186
Ultra Long Term US Treasury Bond Future	Short	USD		2,600	26	9/18		4,149		(105	)
Ultra Ten-Year US Treasury Note Future	Short	USD		3,100	31	9/18		3,975		(32	)
US Treasury Long Bond Future	Short	USD		27,000	270	9/18		39,150		(738	)

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

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(f)   Foreign Bond—par value is foreign denominated

(h)   Forward foreign currency contracts outstanding on June 30, 2018.

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services, Inc.	AUD		1,285		951	9/18	$	27	$	—	$	27
Sell	Morgan Stanley Capital Services, Inc.	CAD		2,808		2,139	9/18		30		—		30
								$	57	$	—	$	57

(j)   Swap agreements outstanding on June 30, 2018.

   Total Return Swaps

Floating Rate Index	Counterparty	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation)(000’s)			Market Value (000’s)
CPURNSA	Bank of America, N.A.	Receive	2.21%	3/19		6,500	$	(211	)	$	(211	)
CPURNSA	Bank of America, N.A.	Receive	2.64%	3/19		4,500		(311	)		(311	)
CPURNSA	Bank of America, N.A.	Receive	2.51%	3/19		2,000		(161	)		(161	)
CPURNSA	Barclays Bank PLC	Receive	1.71%	2/20		1,000		5			5
CPURNSA	Bank of America, N.A.	Receive	2.64%	2/20		2,800		(282	)		(282	)
CPURNSA	Bank of America, N.A.	Receive	2.67%	4/22		3,000		(329	)		(329	)
CPURNSA	Bank of America, N.A.	Receive	2.76%	3/23		700		(67	)		(67	)
CPURNSA	Barclays Bank PLC	Receive	2.53%	5/23		5,500		(393	)		(393	)
CPURNSA	Barclays Bank PLC	Receive	2.54%	5/23		1,000		(72	)		(72	)
CPURNSA	Barclays Bank PLC	Receive	2.59%	7/24		1,400		(93	)		(93	)
CPURNSA	Bank of America, N.A.	Receive	2.53%	8/24		2,750		(166	)		(166	)
CPURNSA	Barclays Bank PLC	Receive	2.39%	9/24		4,000		(176	)		(176	)
CPURNSA	Barclays Bank PLC	Receive	2.36%	9/24		3,500		(144	)		(144	)
CPURNSA	Barclays Bank PLC	Receive	2.31%	9/24		1,400		(50	)		(50	)
CPURNSA	Bank of America, N.A.	Receive	2.14%	7/25		2,900		24			24
CPURNSA	Bank of America, N.A.	Receive	1.79%	8/25		1,500		59			59
CPURNSA	Goldman Sachs International	Receive	1.87%	5/26		17,000		818			818
CPURNSA	Goldman Sachs International	Receive	1.92%	5/26		7,000		303			303
CPURNSA	Goldman Sachs International	Receive	1.77%	6/26		6,000		344			344
CPURNSA	Goldman Sachs International	Receive	2.25%	11/26		3,000		32			32
CPURNSA	Goldman Sachs International	Receive	2.28%	11/26		3,000		22			22
CPURNSA	Goldman Sachs International	Receive	2.28%	11/26		4,000		29			29
CPURNSA	Bank of America, N.A.	Receive	2.24%	4/27		3,500		26			26
CPURNSA	Bank of America, N.A.	Receive	2.22%	4/27		2,000		20			20
CPURNSA	Bank of America, N.A.	Receive	2.24%	4/27		2,000		17			17
CPURNSA	Bank of America, N.A.	Receive	2.24%	5/27		5,000		44			44
CPURNSA	Barclays Bank PLC	Receive	2.90%	12/27		1,700		(368	)		(368	)
CPURNSA	Barclays Bank PLC	Receive	2.78%	7/44		1,400		(245	)		(245	)
							$	(1,325	)	$	(1,325	)

  Centrally Cleared Total Return Swaps

Floating Rate Index Notional Amount (000’s)	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation)(000’s)		Market Value (000’s)
U.S. Consumer Price Index – 3-MonthUSD LIBOR	Receive	2.07%	8/27	$	—		3,500	$	108	$	108
U.S. Consumer Price Index – 3-MonthUSD LIBOR	Receive	2.16%	9/27		—		9,000		218		219
U.S. Consumer Price Index – 3-MonthUSD LIBOR	Receive	2.15%	11/27		1		5,000		114		113
				$	1			$	440	$	440

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

Inflation Protection Portfolio

118

Inflation Protection Portfolio

(k) Cash or securities with an aggregate value of $3,974 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales, or written options on June 30, 2018.

(l) Security valued using significant unobservable inputs.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	—		$	75,979		$	—
Governments		—			189,940			—
Municipal Bonds		—			1,775			—
Structured Products
Asset Backed Securities		—			12,924			1,500
All Others		—			55,948			—
Short-Term Investments
Money Market Funds		45			—			—
All Others		—			21,953			—
Other Financial Instruments^
Futures		186			—			—
Forward Currency Contracts		—			57			—
Interest Rate Swaps		—			2,183			—
Total Assets:	$	231		$	380,759		$	1,500
Liabilities:
Other Financial Instruments^
Futures	$	(875	)	$	—		$	—
Interest Rate Swaps		—			(3,068	)		—
Total Liabilities:	$	(875	)	$	(3,068	)	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

Inflation Protection Portfolio

119

High Yield Bond Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

The Portfolio invests in lower quality securities, which may represent a significant risk for loss of principal and interest. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds. Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$995.98	$  2.23
Hypothetical (5% return before expenses)	$1,000.00	$1,022.56	$  2.26

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.45%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

High Yield Bond Portfolio

120

High Yield Bond Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Basic Materials (4.1%)
Alpha 2 BV, 8.750%, 6/1/23 144A(c)		950,000		945
Alpha 3 BV / Alpha US Bidco, Inc., 6.250%, 2/1/25 144A		2,400,000		2,358
Clearwater Paper Corp., 5.375%, 2/1/25 144A		3,350,000		3,036
Compass Minerals International, Inc., 4.875%, 7/15/24 144A		2,400,000		2,251
Freeport-McMoRan, Inc., 3.550%, 3/1/22		175,000		166
Freeport-McMoRan, Inc., 3.875%, 3/15/23		2,625,000		2,481
Freeport-McMoRan, Inc., 5.400%, 11/14/34		3,250,000		2,949
Hexion, Inc., 6.625%, 4/15/20		3,050,000		2,856
HudBay Minerals, Inc., 7.250%, 1/15/23 144A		600,000		618
HudBay Minerals, Inc., 7.625%, 1/15/25 144A		1,050,000		1,100
Huntsman International LLC, 4.875%, 11/15/20		730,000		741
Platform Specialty Products Corp., 5.875%, 12/1/25 144A		1,450,000		1,417
Platform Specialty Products Corp., 6.500%, 2/1/22 144A		5,325,000		5,418
PQ Corp., 5.750%, 12/15/25 144A		350,000		347
PQ Corp., 6.750%, 11/15/22 144A		450,000		473
Steel Dynamics, Inc., 5.000%, 12/15/26		525,000		525
Steel Dynamics, Inc., 5.125%, 10/1/21		620,000		625
Steel Dynamics, Inc., 5.500%, 10/1/24		930,000		947
Teck Resources, Ltd., 6.000%, 8/15/40		850,000		825
Teck Resources, Ltd., 6.125%, 10/1/35		1,075,000		1,080
Teck Resources, Ltd., 6.250%, 7/15/41		175,000		174
Teck Resources, Ltd., 8.500%, 6/1/24 144A		825,000		904
Versum Materials, Inc., 5.500%, 9/30/24 144A		550,000		558
Total				32,794
Communications (17.6%)
Acosta, Inc., 7.750%, 10/1/22 144A		2,850,000		1,425
Altice Luxembourg SA, 7.625%, 2/15/25 144A		3,875,000		3,565
Altice Luxembourg SA, 7.750%, 5/15/22 144A		200,000		193
Altice US Finance I Corp., 5.375%, 7/15/23 144A		1,100,000		1,094
Altice US Finance I Corp., 5.500%, 5/15/26 144A		650,000		627
AMC Networks, Inc., 4.750%, 8/1/25		1,550,000		1,490
AMC Networks, Inc., 5.000%, 4/1/24		1,875,000		1,847
Cablevision Systems Corp., 5.875%, 9/15/22		2,225,000		2,208
CBS Radio, Inc., 7.250%, 11/1/24 144A		1,675,000		1,595
CCO Holdings LLC / CCO Holdings Capital Corp., 5.000%, 2/1/28 144A		2,450,000		2,242
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27 144A		1,975,000		1,844
CCO Holdings LLC / CCO Holdings Capital Corp., 5.250%, 9/30/22		1,350,000		1,357
CCO Holdings LLC / CCO Holdings Capital Corp., 5.375%, 5/1/25 144A		650,000		629
CCO Holdings LLC / CCO Holdings Capital Corp., 5.500%, 5/1/26 144A		550,000		533
CCO Holdings LLC / CCO Holdings Capital Corp., 5.750%, 9/1/23		1,000,000		1,007
CCO Holdings LLC / CCO Holdings Capital Corp., 5.750%, 1/15/24		3,200,000		3,208

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Communications continued
CCO Holdings LLC / CCO Holdings Capital Corp., 5.750%, 2/15/26 144A		2,350,000		2,309
CCO Holdings LLC / CCO Holdings Capital Corp., 5.875%, 4/1/24 144A		575,000		578
CCO Holdings LLC / CCO Holdings Capital Corp., 5.875%, 5/1/27 144A		875,000		854
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.125%, 12/15/21 144A		3,335,000		3,314
Cequel Communications Holdings I LLC / Cequel Capital Corp., 7.500%, 4/1/28 144A		1,750,000		1,771
Cequel Communications Holdings I LLC / Cequel Capital Corp., 7.750%, 7/15/25 144A		1,450,000		1,515
Clear Channel International BV, 8.750%, 12/15/20 144A		375,000		388
Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/22		2,925,000		2,983
CommScope Technologies LLC, 6.000%, 6/15/25 144A		650,000		664
CommScope, Inc., 5.500%, 6/15/24 144A		1,925,000		1,935
CSC Holdings LLC, 5.250%, 6/1/24		1,650,000		1,559
CSC Holdings LLC, 5.500%, 4/15/27 144A		2,425,000		2,316
CSC Holdings LLC, 6.625%, 10/15/25 144A		1,250,000		1,280
CSC Holdings LLC, 10.125%, 1/15/23 144A		1,000,000		1,103
Digicel Group, Ltd., 7.125%, 4/1/22 144A		525,000		345
Digicel Group, Ltd., 8.250%, 9/30/20 144A		200,000		151
DISH DBS Corp., 5.000%, 3/15/23		1,810,000		1,570
DISH DBS Corp., 5.875%, 7/15/22		1,080,000		1,015
DISH DBS Corp., 5.875%, 11/15/24		3,250,000		2,750
DISH DBS Corp., 7.750%, 7/1/26		950,000		832
The EW Scripps Co., 5.125%, 5/15/25 144A		400,000		375
Gray Television, Inc., 5.125%, 10/15/24 144A		675,000		645
Gray Television, Inc., 5.875%, 7/15/26 144A		2,300,000		2,188
iHeartCommunications, Inc., 9.000%, 3/1/21(d)*		600,000		453
iHeartCommunications, Inc., 9.000%, 9/15/22(d)*		1,515,000		1,151
Intelsat Jackson Holdings SA, 5.500%, 8/1/23		2,825,000		2,535
Intelsat Jackson Holdings SA, 7.250%, 10/15/20		965,000		960
Intelsat Jackson Holdings SA, 7.500%, 4/1/21		1,550,000		1,538
Intelsat Jackson Holdings SA, 8.000%, 2/15/24 144A		1,050,000		1,103
Intelsat Jackson Holdings SA, 9.750%, 7/15/25 144A		950,000		1,002
LIN Television Corp., 5.875%, 11/15/22		2,000,000		2,040
Match Group, Inc., 5.000%, 12/15/27 144A		1,150,000		1,070
Match Group, Inc., 6.375%, 6/1/24		725,000		763
Nexstar Broadcasting, Inc., 6.125%, 2/15/22 144A		1,850,000		1,892
Nexstar Escrow Corp., 5.625%, 8/1/24 144A		1,075,000		1,036
Outdoor Americas Capital LLC / Outfront Media Capital Corp., 5.875%, 3/15/25		1,675,000		1,689
Radio One, Inc., 7.375%, 4/15/22 144A		1,825,000		1,766
Radio One, Inc., 9.250%, 2/15/20 144A		1,450,000		1,407
SFR Group SA, 6.000%, 5/15/22 144A		345,000		347
SFR Group SA, 6.250%, 5/15/24 144A		850,000		826
SFR Group SA, 7.375%, 5/1/26 144A		5,525,000		5,402
Sinclair Television Group, Inc., 5.125%, 2/15/27 144A		1,150,000		1,058
Sinclair Television Group, Inc., 5.375%, 4/1/21		1,370,000		1,380

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

High Yield Bond Portfolio

121

High Yield Bond Portfolio

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Communications continued
Sinclair Television Group, Inc., 5.625%, 8/1/24 144A		825,000		819
Sinclair Television Group, Inc., 5.875%, 3/15/26 144A		325,000		316
Sinclair Television Group, Inc., 6.125%, 10/1/22		990,000		1,007
Sirius XM Radio, Inc., 4.625%, 5/15/23 144A		550,000		538
Sirius XM Radio, Inc., 5.000%, 8/1/27 144A		775,000		723
Sirius XM Radio, Inc., 5.375%, 4/15/25 144A		1,100,000		1,085
Sirius XM Radio, Inc., 5.375%, 7/15/26 144A		1,675,000		1,612
Sirius XM Radio, Inc., 6.000%, 7/15/24 144A		2,185,000		2,226
Sprint Capital Corp., 6.875%, 11/15/28		2,300,000		2,208
Sprint Communications, Inc., 6.000%, 11/15/22		1,150,000		1,140
Sprint Corp., 7.125%, 6/15/24		1,150,000		1,161
Sprint Corp., 7.625%, 2/15/25		2,075,000		2,127
Sprint Corp., 7.625%, 3/1/26		1,200,000		1,223
Sprint Corp., 7.875%, 9/15/23		5,965,000		6,185
Symantec Corp., 5.000%, 4/15/25 144A		1,075,000		1,041
TEGNA, Inc., 5.125%, 7/15/20		980,000		986
TEGNA, Inc., 5.500%, 9/15/24 144A		495,000		495
TEGNA, Inc., 6.375%, 10/15/23		700,000		719
Telenet Finance Luxembourg Notes Sarl, 5.500%, 3/1/28 144A		3,800,000		3,458
T-Mobile USA, Inc., 4.500%, 2/1/26		525,000		490
T-Mobile USA, Inc., 4.750%, 2/1/28		275,000		254
T-Mobile USA, Inc., 5.125%, 4/15/25		2,700,000		2,714
T-Mobile USA, Inc., 5.375%, 4/15/27		350,000		340
T-Mobile USA, Inc., 6.000%, 3/1/23		775,000		801
T-Mobile USA, Inc., 6.375%, 3/1/25		1,035,000		1,074
T-Mobile USA, Inc., 6.500%, 1/15/24		425,000		442
T-Mobile USA, Inc., 6.500%, 1/15/26		875,000		901
Tribune Media Co., 5.875%, 7/15/22		3,050,000		3,078
Unitymedia Hessen GmbH & Co., KG / Unitymedia NRW GmbH, 5.000%, 1/15/25 144A		1,250,000		1,266
Unitymedia KabelBW GmbH, 6.125%, 1/15/25 144A		2,525,000		2,601
VeriSign, Inc., 4.750%, 7/15/27		550,000		525
VeriSign, Inc., 5.250%, 4/1/25		350,000		354
Virgin Media Finance PLC, 5.750%, 1/15/25 144A		3,200,000		3,000
Virgin Media Secured Finance PLC, 5.250%, 1/15/26 144A		3,175,000		2,937
Virgin Media Secured Finance PLC, 5.500%, 8/15/26 144A		425,000		398
Ziggo Bond Finance BV, 5.875%, 1/15/25 144A		625,000		584
Ziggo Bond Finance BV, 6.000%, 1/15/27 144A		1,225,000		1,152
Ziggo BV, 5.500%, 1/15/27 144A		2,425,000		2,265
Total				140,967
Consumer, Cyclical (13.2%)
1011778 BC Unlimited Liability Co. / New Red Finance, Inc., 4.250%, 5/15/24 144A		475,000		451
1011778 BC Unlimited Liability Co. / New Red Finance, Inc., 5.000%, 10/15/25 144A		4,525,000		4,282
Adient Global Holdings, Ltd., 4.875%, 8/15/26 144A		2,050,000		1,845
American Axle & Manufacturing, Inc., 6.500%, 4/1/27		2,875,000		2,832
American Builders & Contractors Supply Co., Inc., 5.750%, 12/15/23 144A		125,000		128
American Builders & Contractors Supply Co., Inc., 5.875%, 5/15/26 144A		2,800,000		2,754
Aramark Services, Inc., 5.000%, 4/1/25 144A		1,450,000		1,443

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Cyclical continued
Aramark Services, Inc., 5.000%, 2/1/28 144A		1,525,000		1,456
Aramark Services, Inc., 5.125%, 1/15/24		1,525,000		1,525
Argos Merger Sub, Inc., 7.125%, 3/15/23 144A		2,350,000		1,578
BCD Acquisition, Inc., 9.625%, 9/15/23 144A		1,750,000		1,864
Beacon Escrow Corp., 4.875%, 11/1/25 144A		800,000		740
Beacon Roofing Supply, Inc., 6.375%, 10/1/23		625,000		645
Boyd Gaming Corp., 6.000%, 8/15/26 144A		425,000		419
Boyd Gaming Corp., 6.375%, 4/1/26		775,000		785
Boyd Gaming Corp., 6.875%, 5/15/23		2,050,000		2,147
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp., 5.375%, 6/1/24		1,530,000		1,545
CRC Escrow Issuer LLC / CRC Finco, Inc., 5.250%, 10/15/25 144A		4,525,000		4,282
Dana Financing Luxembourg Sarl, 5.750%, 4/15/25 144A		400,000		394
Dana Financing Luxembourg Sarl, 6.500%, 6/1/26 144A		2,500,000		2,537
Eldorado Resorts, Inc., 6.000%, 4/1/25		1,800,000		1,802
EMI Music Publishing Group North America Holdings, Inc., 7.625%, 6/15/24 144A		1,800,000		1,948
Ferrellgas LP / Ferrellgas Finance Corp., 6.500%, 5/1/21		850,000		780
Ferrellgas LP / Ferrellgas Finance Corp., 6.750%, 1/15/22		2,300,000		2,081
Ferrellgas LP / Ferrellgas Finance Corp., 6.750%, 6/15/23		1,375,000		1,200
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23		175,000		179
GLP Capital LP / GLP Financing II, Inc., 5.375%, 4/15/26		500,000		495
The Goodyear Tire & Rubber Co., 4.875%, 3/15/27		375,000		343
The Goodyear Tire & Rubber Co., 5.000%, 5/31/26		1,150,000		1,069
The Goodyear Tire & Rubber Co., 5.125%, 11/15/23		350,000		347
Hanesbrands, Inc., 4.875%, 5/15/26 144A		1,100,000		1,061
HD Supply, Inc., 5.750%, 4/15/24 144A(e)		375,000		392
Hilton Domestic Operating Co., Inc., 5.125%, 5/1/26 144A		1,825,000		1,793
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25		725,000		707
JB Poindexter & Co., Inc., 7.125%, 4/15/26 144A		925,000		948
KAR Auction Services, Inc., 5.125%, 6/1/25 144A		1,425,000		1,361
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, 4.750%, 6/1/27 144A		550,000		520
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, 5.000%, 6/1/24 144A		800,000		790
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, 5.250%, 6/1/26 144A		1,600,000		1,576
Live Nation Entertainment, Inc., 4.875%, 11/1/24 144A		600,000		580
Live Nation Entertainment, Inc., 5.625%, 3/15/26 144A		500,000		496
MGM Resorts International, 4.625%, 9/1/26		150,000		139
MGM Resorts International, 5.750%, 6/15/25		1,175,000		1,174
MGM Resorts International, 6.000%, 3/15/23		2,525,000		2,601
MGM Resorts International, 6.625%, 12/15/21		1,040,000		1,095
MGM Resorts International, 6.750%, 10/1/20		510,000		534

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

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Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Cyclical continued
Michaels Stores, Inc., 5.875%, 12/15/20 144A		1,875,000		1,889
Mohegan Tribal Gaming Authority, 7.875%, 10/15/24 144A		2,175,000		2,050
Party City Holdings, Inc., 6.125%, 8/15/23 144A		2,600,000		2,613
Penn National Gaming, Inc., 5.625%, 1/15/27 144A		1,150,000		1,084
Performance Food Group, Inc., 5.500%, 6/1/24 144A		325,000		321
PetSmart, Inc., 8.875%, 6/1/25 144A		675,000		444
Pinnacle Entertainment, Inc., 5.625%, 5/1/24		2,225,000		2,310
Red Rock Resorts, Inc., 5.000%, 10/1/25 144A		2,025,000		1,903
Rite Aid Corp., 6.125%, 4/1/23 144A		2,025,000		2,053
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp., 6.125%, 8/15/21 144A		1,950,000		1,930
Sabre GLBL, Inc., 5.375%, 4/15/23 144A		1,275,000		1,288
Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/1/25		2,525,000		2,329
Schaeffler Verwaltung Zwei GmbH, 4.500%, 9/15/23 144A(c)		375,000		359
Schaeffler Verwaltung Zwei GmbH, 4.750%, 9/15/26 144A(c)		3,325,000		3,130
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International LLC, 5.875%, 5/15/21 144A		4,040,000		4,060
Seminole Tribe of Florida, Inc., 7.804%, 10/1/20 144A		1,320,000		1,320
Six Flags Entertainment Corp., 4.875%, 7/31/24 144A		850,000		826
Six Flags Entertainment Corp., 5.500%, 4/15/27 144A		3,725,000		3,617
Stars Group Holdings BV, 7.000%, 7/15/26 144A		750,000		757
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.500%, 6/1/24		3,425,000		3,322
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.750%, 3/1/25		275,000		264
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.875%, 3/1/27		900,000		842
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp., 5.875%, 5/15/25 144A		1,700,000		1,598
TI Group Automotive Systems LLC, 8.750%, 7/15/23 144A		899,000		940
VOC Escrow, Ltd., 5.000%, 2/15/28 144A		1,250,000		1,181
WMG Acquisition Corp., 4.875%, 11/1/24 144A		450,000		439
WMG Acquisition Corp., 5.000%, 8/1/23 144A		250,000		249
WMG Acquisition Corp., 5.500%, 4/15/26 144A		500,000		496
Wyndham Hotels & Resorts, Inc., 5.375%, 4/15/26 144A		1,750,000		1,737
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.250%, 5/15/27 144A		1,200,000		1,122
Total				106,136
Consumer, Non-cyclical (21.2%)
Acadia Healthcare Co., Inc., 5.625%, 2/15/23		575,000		579
Acadia Healthcare Co., Inc., 6.500%, 3/1/24		3,000,000		3,075
Air Medical Merger Sub Corp., 6.375%, 5/15/23 144A		3,350,000		3,115
Albertsons Companies, Inc., 6.085%, (3 Month LIBOR plus 3.75%), 1/15/24 144A		300,000		301
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertsons’s LLC, 5.750%, 3/15/25		2,725,000		2,412

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Non-cyclical continued
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertsons’s LLC, 6.625%, 6/15/24		1,600,000		1,508
AmSurg Corp., 5.625%, 7/15/22		1,275,000		1,297
Avantor, Inc., 6.000%, 10/1/24 144A		825,000		816
Avantor, Inc., 9.000%, 10/1/25 144A		2,500,000		2,519
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.250%, 3/15/25 144A		575,000		523
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 6.375%, 4/1/24 144A		1,100,000		1,078
B&G Foods, Inc., 5.250%, 4/1/25		3,125,000		2,945
Centene Escrow I Corp., 5.375%, 6/1/26 144A		1,200,000		1,216
Charles River Laboratories International, Inc., 5.500%, 4/1/26 144A		600,000		601
CHS / Community Health Systems, Inc., 5.125%, 8/1/21		800,000		740
CHS / Community Health Systems, Inc., 6.250%, 3/31/23		1,550,000		1,418
CHS / Community Health Systems, Inc., 6.875%, 2/1/22		2,735,000		1,395
CHS / Community Health Systems, Inc., 8.625%, 1/15/24 144A		750,000		752
Crimson Merger Sub, Inc., 6.625%, 5/15/22 144A		7,475,000		7,307
Eagle Holding Co. II LLC, 7.625%, 5/15/22 144A(c)		1,475,000		1,490
Endo Finance LLC / Endo Finco, Inc., 6.000%, 2/1/25 144A		2,875,000		2,242
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.000%, 7/15/23 144A		1,850,000		1,522
Envision Healthcare Corp., 5.125%, 7/1/22 144A		2,205,000		2,224
First Quality Finance Co., Inc., 4.625%, 5/15/21 144A		3,235,000		3,154
First Quality Finance Co., Inc., 5.000%, 7/1/25 144A		425,000		389
Gartner, Inc., 5.125%, 4/1/25 144A		850,000		846
GW Honos Security Corp., 8.750%, 5/15/25 144A		2,475,000		2,531
HCA Healthcare, Inc., 6.250%, 2/15/21		1,385,000		1,437
HCA, Inc., 4.500%, 2/15/27		1,050,000		988
HCA, Inc., 5.000%, 3/15/24		2,575,000		2,575
HCA, Inc., 5.250%, 6/15/26		450,000		447
HCA, Inc., 5.375%, 2/1/25		2,250,000		2,216
HCA, Inc., 5.875%, 3/15/22		1,475,000		1,538
HCA, Inc., 5.875%, 5/1/23		2,520,000		2,614
HCA, Inc., 5.875%, 2/15/26		2,825,000		2,850
HCA, Inc., 6.500%, 2/15/20		1,485,000		1,546
The Hertz Corp., 5.500%, 10/15/24 144A		850,000		668
The Hertz Corp., 7.625%, 6/1/22 144A		475,000		456
Hologic, Inc., 4.375%, 10/15/25 144A		825,000		788
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23 144A		6,000,000		5,971
Lamb Weston Holdings, Inc., 4.875%, 11/1/26 144A		1,225,000		1,191
LifePoint Health, Inc., 5.375%, 5/1/24		325,000		313
LifePoint Hospitals, Inc., 5.500%, 12/1/21		1,415,000		1,413
Mallinckrodt International Finance SA, 4.750%, 4/15/23		1,375,000		1,152
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.500%, 4/15/25 144A		3,275,000		2,620
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.625%, 10/15/23 144A		2,025,000		1,688
Matthews International Corp., 5.250%, 12/1/25 144A		875,000		838

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

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Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Non-cyclical continued
MEDNAX, Inc., 5.250%, 12/1/23 144A		425,000		416
MPH Acquisition Holdings LLC, 7.125%, 6/1/24 144A		5,600,000		5,740
New Amethyst Corp., 6.250%, 12/1/24 144A		1,925,000		2,050
The Nielsen Co. (Luxembourg) Sarl, 5.000%, 2/1/25 144A		1,175,000		1,119
Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 4/15/22 144A		4,000,000		3,930
Polaris Intermediate Corp., 8.500%, 12/1/22 144A(c)		1,975,000		2,037
Post Holdings, Inc., 5.000%, 8/15/26 144A		2,375,000		2,215
Post Holdings, Inc., 5.500%, 3/1/25 144A		1,275,000		1,245
Post Holdings, Inc., 5.625%, 1/15/28 144A		975,000		914
Post Holdings, Inc., 5.750%, 3/1/27 144A		3,500,000		3,378
Prestige Brands, Inc., 5.375%, 12/15/21 144A		3,475,000		3,475
Prestige Brands, Inc., 6.375%, 3/1/24 144A		3,200,000		3,168
Ritchie Bros. Auctioneers, Inc., 5.375%, 1/15/25 144A		575,000		558
The ServiceMaster Co. LLC, 5.125%, 11/15/24 144A		2,125,000		2,061
Spectrum Brands, Inc., 5.750%, 7/15/25		725,000		716
Spectrum Brands, Inc., 6.125%, 12/15/24		2,975,000		3,005
Sterigenics-Nordion Holdings LLC, 6.500%, 5/15/23 144A		4,150,000		4,233
Sterigenics-Nordion Topco LLC, 8.125%, 11/1/21 144A(c)		2,900,000		2,907
Surgery Center Holdings, 6.750%, 7/1/25 144A		2,700,000		2,562
Team Health Holdings, Inc., 6.375%, 2/1/25 144A		5,525,000		4,752
Teleflex, Inc., 4.625%, 11/15/27		450,000		425
Teleflex, Inc., 5.250%, 6/15/24		1,750,000		1,803
Tenet Healthcare Corp., 4.500%, 4/1/21		830,000		822
Tenet Healthcare Corp., 4.625%, 7/15/24 144A		850,000		805
Tenet Healthcare Corp., 6.750%, 6/15/23		3,125,000		3,109
Tenet Healthcare Corp., 7.500%, 1/1/22 144A		700,000		728
THC Escrow Corp. III, 5.125%, 5/1/25 144A		2,400,000		2,282
THC Escrow Corp. III, 7.000%, 8/1/25 144A		575,000		571
United Rentals North America, Inc., 4.875%, 1/15/28		2,075,000		1,927
United Rentals North America, Inc., 5.500%, 7/15/25		225,000		227
United Rentals North America, Inc., 5.500%, 5/15/27		1,750,000		1,698
United Rentals North America, Inc., 5.875%, 9/15/26		850,000		856
US Foods, Inc., 5.875%, 6/15/24 144A		2,800,000		2,849
Valeant Pharmaceuticals International, Inc., 5.500%, 3/1/23 144A		2,700,000		2,511
Valeant Pharmaceuticals International, Inc., 5.500%, 11/1/25 144A		725,000		714
Valeant Pharmaceuticals International, Inc., 5.625%, 12/1/21 144A		905,000		890
Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/23 144A		3,225,000		3,029
Valeant Pharmaceuticals International, Inc., 6.125%, 4/15/25 144A		5,575,000		5,136
Valeant Pharmaceuticals International, Inc., 6.500%, 3/15/22 144A		300,000		311
Valeant Pharmaceuticals International, Inc., 7.000%, 3/15/24 144A		875,000		915
Valeant Pharmaceuticals International, Inc., 7.250%, 7/15/22 144A		500,000		512

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Consumer, Non-cyclical continued
Valeant Pharmaceuticals International, Inc., 8.500%, 1/31/27 144A		225,000		228
Valeant Pharmaceuticals International, Inc., 9.000%, 12/15/25 144A		800,000		830
Valeant Pharmaceuticals International, Inc., 9.250%, 4/1/26 144A		450,000		467
Vizient, Inc., 10.375%, 3/1/24 144A		2,775,000		3,059
West Street Merger Sub, Inc., 6.375%, 9/1/25 144A		1,875,000		1,791
Total				170,280
Energy (12.9%)
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.375%, 9/15/24		2,000,000		2,015
Antero Resources Corp., 5.125%, 12/1/22		465,000		466
Antero Resources Corp., 5.375%, 11/1/21		730,000		739
Antero Resources Corp., 5.625%, 6/1/23		1,000,000		1,012
Apergy Corp., 6.375%, 5/1/26 144A		300,000		305
Ascent Resources - Utica LLC / AEU Finance Corp., 10.000%, 4/1/22 144A		2,075,000		2,282
Berry Petroleum Co. LLC, 7.000%, 2/15/26 144A		1,200,000		1,227
Callon Petroleum Co., 6.125%, 10/1/24		1,502,000		1,521
Callon Petroleum Co., 6.375%, 7/1/26 144A		775,000		777
Carrizo Oil & Gas, Inc., 6.250%, 4/15/23		1,725,000		1,747
Carrizo Oil & Gas, Inc., 7.500%, 9/15/20		37,000		37
Carrizo Oil & Gas, Inc., 8.250%, 7/15/25		425,000		450
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27		575,000		570
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25		1,725,000		1,794
Cheniere Corpus Christi Holdings LLC, 7.000%, 6/30/24		1,025,000		1,117
Cheniere Energy Partners LP, 5.250%, 10/1/25 144A		2,850,000		2,780
Chesapeake Energy Corp., 5.375%, 6/15/21		250,000		245
Chesapeake Energy Corp., 5.750%, 3/15/23		225,000		213
Chesapeake Energy Corp., 8.000%, 12/15/22 144A		805,000		845
Chesapeake Energy Corp., 8.000%, 1/15/25		425,000		433
Chesapeake Energy Corp., 8.000%, 6/15/27		2,175,000		2,213
CNX Midstream Finance Corp., 6.500%, 3/15/26 144A		1,975,000		1,921
Coeur Mining, Inc., 5.875%, 6/1/24		1,850,000		1,785
CrownRock LP / CrownRock Finance, Inc., 5.625%, 10/15/25 144A		2,975,000		2,871
CVR Refining LLC / Coffeyville Finance, Inc., 6.500%, 11/1/22		3,150,000		3,213
Diamondback Energy, Inc., 5.375%, 5/31/25		425,000		425
Endeavor Energy Resources LP / EER Finance, Inc., 5.500%, 1/30/26 144A		375,000		364
Endeavor Energy Resources LP / EER Finance, Inc., 5.750%, 1/30/28 144A		750,000		731
Energy Transfer Equity LP, 5.500%, 6/1/27		500,000		500
Energy Transfer Equity LP, 5.875%, 1/15/24		2,025,000		2,076
Enviva Partners LP / Enviva Partners Finance Corp., 8.500%, 11/1/21		2,850,000		2,964
EP Energy LLC / Everest Acquisition Finance, Inc., 6.375%, 6/15/23		350,000		241
EP Energy LLC / Everest Acquisition Finance, Inc., 8.000%, 11/29/24 144A		1,275,000		1,288

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

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Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Gulfport Energy Corp., 6.000%, 10/15/24		550,000		529
Gulfport Energy Corp., 6.375%, 5/15/25		1,025,000		997
Gulfport Energy Corp., 6.375%, 1/15/26		425,000		408
Gulfport Energy Corp., 6.625%, 5/1/23		875,000		882
Holly Energy Partners LP / Holly Energy Finance Corp., 6.000%, 8/1/24 144A		3,125,000		3,156
Jagged Peak Energy LLC, 5.875%, 5/1/26 144A		600,000		588
Laredo Petroleum, Inc., 5.625%, 1/15/22		1,025,000		1,011
Laredo Petroleum, Inc., 6.250%, 3/15/23		400,000		400
NuStar Logistics LP, 5.625%, 4/28/27		2,400,000		2,322
Oasis Petroleum, Inc., 6.250%, 5/1/26 144A		1,375,000		1,389
Oasis Petroleum, Inc., 6.875%, 3/15/22		611,000		622
Parsley Energy LLC / Parsley Finance Corp., 5.250%, 8/15/25 144A		425,000		418
Parsley Energy LLC / Parsley Finance Corp., 5.375%, 1/15/25 144A		450,000		447
Parsley Energy LLC / Parsley Finance Corp., 5.625%, 10/15/27 144A		1,225,000		1,216
Parsley Energy LLC / Parsley Finance Corp., 6.250%, 6/1/24 144A		300,000		311
PDC Energy, Inc., 5.750%, 5/15/26 144A		800,000		800
PDC Energy, Inc., 6.125%, 9/15/24		575,000		586
Precision Drilling Corp., 5.250%, 11/15/24		225,000		213
Precision Drilling Corp., 6.500%, 12/15/21		202,919		207
Precision Drilling Corp., 7.125%, 1/15/26 144A		700,000		719
Precision Drilling Corp., 7.750%, 12/15/23		1,000,000		1,052
QEP Resources, Inc., 5.250%, 5/1/23		575,000		562
QEP Resources, Inc., 5.625%, 3/1/26		525,000		501
Range Resources Corp., 4.875%, 5/15/25		1,000,000		937
Range Resources Corp., 5.750%, 6/1/21		955,000		979
RSP Permian, Inc., 5.250%, 1/15/25		750,000		802
RSP Permian, Inc., 6.625%, 10/1/22		750,000		788
SESI LLC, 7.125%, 12/15/21		1,575,000		1,603
SESI LLC, 7.750%, 9/15/24		2,175,000		2,232
Shelf Drilling Holdings, Ltd., 8.250%, 2/15/25 144A		1,625,000		1,637
SM Energy Co., 5.625%, 6/1/25		1,000,000		965
SM Energy Co., 6.500%, 1/1/23		665,000		672
SM Energy Co., 6.750%, 9/15/26		725,000		727
Southwestern Energy Co., 4.100%, 3/15/22		325,000		310
Southwestern Energy Co., 7.500%, 4/1/26		300,000		310
Southwestern Energy Co., 7.750%, 10/1/27		1,775,000		1,837
SRC Energy, Inc., 6.250%, 12/1/25 144A		1,775,000		1,773
Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.500%, 8/15/22		2,355,000		2,314
Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.750%, 4/15/25		2,275,000		2,161
Sunoco LP / Sunoco Finance Corp., 4.875%, 1/15/23 144A		150,000		144
Sunoco LP / Sunoco Finance Corp., 5.500%, 2/15/26 144A		550,000		521
Sunoco LP / Sunoco Finance Corp., 5.875%, 3/15/28 144A		900,000		849
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.000%, 1/15/28 144A		1,400,000		1,302
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25		1,025,000		1,012

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Energy continued
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.375%, 2/1/27		2,150,000		2,085
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.875%, 4/15/26 144A		725,000		730
TerraForm Power Operating LLC, 4.250%, 1/31/23 144A		175,000		169
TerraForm Power Operating LLC, 5.000%, 1/31/28 144A		2,300,000		2,179
TerraForm Power Operating LLC, 6.625%, 6/15/25 144A		950,000		1,012
Tesoro Corp., 5.375%, 10/1/22		555,000		568
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 5.250%, 1/15/25		725,000		743
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.250%, 10/15/22		503,000		521
Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.375%, 5/1/24		575,000		614
TransMontaigne Partners LP / TLP Finance Corp., 6.125%, 2/15/26		900,000		909
Ultra Resources, Inc., 6.875%, 4/15/22 144A		350,000		265
Ultra Resources, Inc., 7.125%, 4/15/25 144A		1,325,000		931
USA Compression Finance Corp., 6.875%, 4/1/26 144A		1,825,000		1,889
Weatherford International LLC, 6.800%, 6/15/37		400,000		320
Weatherford International, Ltd., 7.000%, 3/15/38		1,300,000		1,037
Weatherford International, Ltd., 8.250%, 6/15/23		1,500,000		1,488
Whiting Petroleum Corp., 6.250%, 4/1/23		1,150,000		1,179
Whiting Petroleum Corp., 6.625%, 1/15/26 144A		775,000		799
WPX Energy, Inc., 5.250%, 9/15/24		1,125,000		1,107
WPX Energy, Inc., 5.750%, 6/1/26		425,000		425
WPX Energy, Inc., 6.000%, 1/15/22		74,000		77
WPX Energy, Inc., 8.250%, 8/1/23		350,000		396
Total				103,821
Financial (5.7%)
Acrisure LLC / Acrisure Finance, Inc., 7.000%, 11/15/25 144A		2,700,000		2,457
Ally Financial, Inc., 3.750%, 11/18/19		1,950,000		1,948
Ally Financial, Inc., 4.125%, 2/13/22		400,000		393
Ally Financial, Inc., 5.750%, 11/20/25		3,725,000		3,795
AmWINS Group, Inc., 7.750%, 7/1/26 144A		1,900,000		1,928
AssuredPartners, Inc., 7.000%, 8/15/25 144A		2,575,000		2,478
HUB International, Ltd., 7.000%, 5/1/26 144A		5,050,000		4,987
KIRS Midco 3 PLC, 8.625%, 7/15/23 144A		2,150,000		2,182
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24		475,000		481
National Financial Partners Corp., 6.875%, 7/15/25 144A		3,000,000		2,940
Navient Corp., 5.500%, 1/25/23		500,000		491
Navient Corp., 5.875%, 10/25/24		2,525,000		2,440
Navient Corp., 6.125%, 3/25/24		2,325,000		2,296
Navient Corp., 6.500%, 6/15/22		200,000		205
Navient Corp., 6.750%, 6/25/25		325,000		322
Navient Corp., 6.750%, 6/15/26		350,000		342
Navient Corp., 7.250%, 9/25/23		1,150,000		1,205
Quicken Loans, Inc., 5.250%, 1/15/28 144A		950,000		876

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

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Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Financial continued
Quicken Loans, Inc., 5.750%, 5/1/25 144A		4,350,000		4,258
Tempo Acquisition LLC / Tempo Acquisition Finance Corp., 6.750%, 6/1/25 144A		4,750,000		4,560
Trident Merger Sub, Inc., 6.625%, 11/1/25 144A		2,025,000		1,974
USIS Merger Sub, Inc., 6.875%, 5/1/25 144A		2,975,000		2,960
Vantiv LLC, 4.375%, 11/15/25 144A		325,000		310
Total				45,828
Industrial (11.2%)
ARD Finance SA, 7.125%, 9/15/23(c)		3,275,000		3,283
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 4.625%, 5/15/23 144A		525,000		519
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 6.000%, 6/30/21 144A		1,475,000		1,492
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 6.000%, 2/15/25 144A		2,100,000		2,045
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 7.250%, 5/15/24 144A		2,000,000		2,080
Avolon Holdings Funding, Ltd., 5.500%, 1/15/23 144A		200,000		200
Berry Plastics Corp., 5.125%, 7/15/23		1,150,000		1,140
Berry Plastics Corp., 5.500%, 5/15/22		4,205,000		4,242
Berry Plastics Corp., 6.000%, 10/15/22		275,000		283
BWAY Holding Co., 5.500%, 4/15/24 144A		2,175,000		2,121
BWAY Holding Co., 7.250%, 4/15/25 144A		4,950,000		4,826
CD&R Waterworks Merger Sub LLC, 6.125%, 8/15/25 144A		1,050,000		995
Crown Americas LLC / Crown Americas Capital Corp. VI, 4.750%, 2/1/26 144A		1,175,000		1,116
Energizer Gamma Acquisition, Inc., 6.375%, 7/15/26 144A		300,000		305
Engility Corp., 8.875%, 9/1/24		1,475,000		1,541
Flex Acquisition Co., Inc., 6.875%, 1/15/25 144A		5,000,000		4,813
Flex Acquisition Co., Inc., 7.875%, 7/15/26 144A		1,375,000		1,370
Gates Global LLC / Gates Global Co., 6.000%, 7/15/22 144A		1,951,000		1,975
The Hillman Group, Inc., 6.375%, 7/15/22 144A		2,900,000		2,777
JELD-WEN, Inc., 4.625%, 12/15/25 144A		300,000		286
JELD-WEN, Inc., 4.875%, 12/15/27 144A		175,000		163
JPW Industries Holding Corp., 9.000%, 10/1/24 144A		975,000		1,014
Koppers, Inc., 6.000%, 2/15/25 144A		1,150,000		1,150
Masonite International Corp., 5.625%, 3/15/23 144A		800,000		818
Multi-Color Corp., 4.875%, 11/1/25 144A		450,000		419
Multi-Color Corp., 6.125%, 12/1/22 144A		3,125,000		3,195
Owens-Brockway Glass Container, Inc., 5.375%, 1/15/25 144A		1,975,000		1,926
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23 144A		900,000		910
Owens-Brockway Glass Container, Inc., 6.375%, 8/15/25 144A		325,000		333
Park Aerospace Holdings, Ltd., 4.500%, 3/15/23 144A		550,000		522
Park Aerospace Holdings, Ltd., 5.250%, 8/15/22 144A		425,000		421
Park Aerospace Holdings, Ltd., 5.500%, 2/15/24 144A		5,750,000		5,677
Pisces Midco, Inc., 8.000%, 4/15/26 144A		2,425,000		2,332
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU, 5.750%, 10/15/20		3,057,535		3,069

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Industrial continued
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU, 6.875%, 2/15/21		268,566		272
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU, 7.000%, 7/15/24 144A		2,575,000		2,630
Sealed Air Corp., 4.875%, 12/1/22 144A		1,375,000		1,389
Sealed Air Corp., 5.125%, 12/1/24 144A		1,950,000		1,965
Standard Industries, Inc., 5.000%, 2/15/27 144A		2,900,000		2,704
Standard Industries, Inc., 6.000%, 10/15/25 144A		1,275,000		1,278
Tervita Escrow Corp., 7.625%, 12/1/21 144A		2,350,000		2,397
Titan Acquisition, Ltd. / Titan Co-Borrower LLC, 7.750%, 4/15/26 144A		1,775,000		1,655
TransDigm UK Holdings PLC, 6.875%, 5/15/26 144A		325,000		329
TransDigm, Inc., 6.000%, 7/15/22		520,000		523
TransDigm, Inc., 6.375%, 6/15/26		1,575,000		1,563
TransDigm, Inc., 6.500%, 7/15/24		4,875,000		4,960
TransDigm, Inc., 6.500%, 5/15/25		300,000		303
TTM Technologies, Inc., 5.625%, 10/1/25 144A		1,675,000		1,633
USG Corp., 4.875%, 6/1/27 144A		1,225,000		1,253
WESCO Distribution, Inc., 5.375%, 12/15/21		2,780,000		2,832
WESCO Distribution, Inc., 5.375%, 6/15/24		1,750,000		1,719
Wrangler Buyer Corp., 6.000%, 10/1/25 144A		1,000,000		945
Total				89,708
Other Holdings (–%)
General Motors Co. Escrow, 7.200%, 1/15/99(d),(l),*		610,000		–
General Motors Co. Escrow, 8.375%, 7/15/33(d),(l),*		4,865,000		–
Total				–
Technology (7.7%)
BMC Software Finance, Inc., 8.125%, 7/15/21 144A		3,900,000		3,988
CDK Global, Inc., 5.875%, 6/15/26		425,000		434
CDW LLC / CDW Finance Corp., 5.000%, 9/1/25		450,000		442
CDW LLC / CDW Finance Corp., 5.500%, 12/1/24		2,075,000		2,117
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 5.875%, 6/15/21 144A		450,000		456
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 6/15/24 144A		3,025,000		3,205
Entegris, Inc., 4.625%, 2/10/26 144A		1,950,000		1,857
First Data Corp., 5.375%, 8/15/23 144A		2,000,000		2,019
First Data Corp., 5.750%, 1/15/24 144A		4,600,000		4,597
First Data Corp., 7.000%, 12/1/23 144A		2,400,000		2,500
IMS Health, Inc., 5.000%, 10/15/26 144A		1,625,000		1,582
Inception Merger Sub, Inc. / Rackspace Hosting, Inc., 8.625%, 11/15/24 144A		3,675,000		3,693
Infor Software Parent LLC / Infor Software Parent, Inc., 7.125%, 5/1/21 144A(c)		4,760,000		4,772
Infor US, Inc., 6.500%, 5/15/22		3,625,000		3,639
Informatica LLC, 7.125%, 7/15/23 144A		2,775,000		2,803
JDA Escrow LLC / JDA Bond Finance, Inc., 7.375%, 10/15/24 144A		3,125,000		3,218
MSCI, Inc., 5.250%, 11/15/24 144A		300,000		303
MSCI, Inc., 5.750%, 8/15/25 144A		1,100,000		1,133
NCR Corp., 4.625%, 2/15/21		675,000		670
NCR Corp., 5.875%, 12/15/21		2,150,000		2,182
NCR Corp., 6.375%, 12/15/23		520,000		539
Nuance Communications, Inc., 5.375%, 8/15/20 144A		1,072,000		1,072

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

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Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Technology continued
Nuance Communications, Inc., 5.625%, 12/15/26		1,675,000		1,637
Nuance Communications, Inc., 6.000%, 7/1/24		1,375,000		1,387
Qorvo, Inc., 7.000%, 12/1/25		300,000		323
Riverbed Technology, Inc., 8.875%, 3/1/23 144A		2,550,000		2,417
Sensata Technologies BV, 5.625%, 11/1/24 144A		1,250,000		1,297
Sensata Technologies UK Financing Co. PLC, 6.250%, 2/15/26 144A		425,000		442
Solera LLC / Solera Finance, Inc., 10.500%, 3/1/24 144A		2,725,000		3,026
Sophia LP / Sophia Finance, Inc., 9.000%, 9/30/23 144A		2,450,000		2,572
Western Digital Corp., 4.750%, 2/15/26		1,350,000		1,313
Total				61,635
Utilities (1.8%)
AmeriGas Partners LP / AmeriGas Finance Corp., 5.500%, 5/20/25		350,000		339
AmeriGas Partners LP / AmeriGas Finance Corp., 5.625%, 5/20/24		825,000		812
AmeriGas Partners LP / AmeriGas Finance Corp., 5.750%, 5/20/27		550,000		523
AmeriGas Partners LP / AmeriGas Finance Corp., 5.875%, 8/20/26		2,775,000		2,706
Calpine Corp., 5.250%, 6/1/26 144A		550,000		518

Corporate Bonds (95.4%)	Shares/ $ Par		Value $ (000’s)
Utilities continued
Calpine Corp., 5.375%, 1/15/23		2,050,000		1,950
Calpine Corp., 5.750%, 1/15/25		1,375,000		1,257
Calpine Corp., 6.000%, 1/15/22 144A		455,000		464
NRG Energy, Inc., 5.750%, 1/15/28 144A		225,000		221
NRG Energy, Inc., 6.250%, 7/15/22		1,450,000		1,492
NRG Energy, Inc., 6.250%, 5/1/24		1,750,000		1,794
NRG Energy, Inc., 6.625%, 1/15/27		925,000		950
NRG Energy, Inc., 7.250%, 5/15/26		1,150,000		1,225
Total				14,251
Total Corporate Bonds (Cost: $779,096)				765,420
Short-Term Investments (3.5%)
Money Market Funds (3.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		28,189,711		28,190
Total Short-Term Investments (Cost: $28,190)				28,190
Total Investments (98.9%) (Cost: $807,286)(a)				793,610
Other Assets, Less Liabilities (1.1%)				8,863
Net Assets (100.0%)				802,473

# 7-day yield as of June 30, 2018.

* Non-Income Producing

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $475,284 representing 59.3% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $807,286 and the net unrealized depreciation of investments based on that cost was $13,676 which is comprised of $9,825 aggregate gross unrealized appreciation and $23,500 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(c) PIK—Payment In Kind. PIK rates of ARD Finance SA 7.875%, Alpha 2 BV 9.500%, Eagle Holding Co. II LLC 8.375%, Infor Software Parent LLC / Infor Software Parent, Inc. 7.875%, Polaris Intermediate Corp. 9.250%, Schaeffler Verwaltung Zwei GmbH 5.250%, Schaeffler Verwaltung Zwei GmbH 5.500%, Sterigenics-Nordion Topco LLC 8.875%

(d) Defaulted Security

(e) Step bond security. HD Supply, Inc. steps up to 7.000% on 4/15/24.

(l) Security valued using significant unobservable inputs.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	—	$	765,420	$	—
Short-Term Investments		28,190		—		—
Total Assets:	$	28,190	$	765,420	$	—

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

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Multi-Sector Bond Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

The Portfolio invests in lower-quality securities, which may present a significant risk for loss of principal and interest. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds. Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

Investing in bonds issued by foreign corporations and governments carries additional risk, including foreign currency risk, and may increase the volatility of the Portfolio’s performance.

The Portfolio may use derivative instruments for hedging purposes or as alternatives to direct investments. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk of mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

The Portfolio may invest a portion of its assets in fixed- and floating-rate loans, including senior loans, through loan participations and assignments. Investing in loans may expose the Portfolio to additional risks, including credit risk, interest rate risk, liquidity risk, call risk, settlement risk, and risks associated with being a lender.

The Portfolio may also invest in municipal securities, which may be more sensitive to certain adverse conditions than other fixed income securities, may be or become illiquid, and may have yields which move differently and adversely compared to the yields of the overall debt securities markets.

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

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128

Multi-Sector Bond Portfolio (unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$980.80	$  3.68
Hypothetical (5% return before expenses)	$1,000.00	$1,021.08	$  3.76

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.75%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Schedule of Investments

June 30, 2018 (unaudited)

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Basic Materials (0.8%)
Georgia-Pacific LLC, 8.875%, 5/15/31(b)		200,000		292
INEOS Finance PLC, 4.000%, 5/1/23 144A EUR(f)		1,500,000		1,782
Metinvest BV, 7.750%, 4/23/23 144A		300,000		282
Solvay Finance America LLC, 4.450%, 12/3/25 144A		200,000		204
Syngenta Finance NV, 4.892%, 4/24/25 144A		4,500,000		4,411
Total				6,971
Communications (8.5%)
Altice Financing SA, 5.250%, 2/15/23 EUR(b),(f)		2,800,000		3,368
Altice Financing SA, 6.625%, 2/15/23 144A		2,427,000		2,392
Altice Financing SA, 7.500%, 5/15/26 144A		4,200,000		4,062
Altice Luxembourg SA, 6.250%, 2/15/25 EUR(b),(f)		1,500,000		1,675
Altice Luxembourg SA, 7.625%, 2/15/25 144A		1,600,000		1,472
Altice SA, 7.250%, 5/15/22 EUR(f),(k)		4,900,000		5,751
AT&T, Inc., 3.400%, 5/15/25(b)		1,000,000		940
AT&T, Inc., 4.900%, 8/15/37 144A		200,000		190
AT&T, Inc., 5.300%, 8/15/58 144A		6,200,000		5,768
Baidu, Inc., 3.875%, 9/29/23(b)		200,000		198
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.200%, 3/15/28(b)		1,700,000		1,591
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22(b)		2,400,000		2,427
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 5.375%, 4/1/38(b)		100,000		94
CommScope Technologies LLC, 5.000%, 3/15/27 144A		100,000		94
Deutsche Telekom International Finance, 8.750%, 6/15/30(b)		700,000		927
DISH DBS Corp., 5.125%, 5/1/20(b)		1,742,000		1,725
DISH DBS Corp., 6.750%, 6/1/21(b)		3,200,000		3,204
DISH DBS Corp., 7.875%, 9/1/19(b)		100,000		104
Koninklijke KPN NV, 5.750%, 9/17/29 GBP(b),(f)		750,000		1,218
Qwest Corp., 7.250%, 9/15/25(b)		500,000		534
SFR Group SA, 5.375%, 5/15/22 EUR(b),(f)		1,800,000		2,159
SFR Group SA, 5.625%, 5/15/24 EUR(b),(f)		200,000		242
SFR Group SA, 7.375%, 5/1/26 144A		6,000,000		5,866
Sprint Communications, Inc., 7.000%, 8/15/20(b)		1,710,000		1,770
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 5.152%, 3/20/28 144A		1,300,000		1,274
Stichting Eldfell, 4.250%, 1/15/27 144A EUR(f)		500,000		576
TDC A/S, 5.625%, 2/23/23 GBP(b),(f)		400,000		559
Telenet Finance Luxembourg Notes SARL, 3.500%, 3/1/28 144A EUR(f)		1,100,000		1,214
Time Warner Cable LLC, 5.875%, 11/15/40(b)		300,000		293
Time Warner Cable LLC, 6.750%, 6/15/39(b)		200,000		213
UPCB Finance IV, Ltd., 4.000%, 1/15/27 EUR(b),(f)		350,000		413
UPCB Finance VII, Ltd., 3.625%, 6/15/29 EUR(b),(f)		2,800,000		3,156
Verizon Communications, Inc., 4.522%, 9/15/48(b)		100,000		91

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Communications continued
Verizon Communications, Inc., 4.672%, 3/15/55(b)		2,150,000		1,908
Verizon Communications, Inc., 5.012%, 4/15/49(b)		2,449,000		2,383
Verizon Communications, Inc., 5.250%, 3/16/37(b)		200,000		205
Virgin Media Investment Holdings, Ltd., 5.125%, 1/15/25 144A GBP(f)		700,000		938
Virgin Media Secured Finance PLC, 4.875%, 1/15/27 GBP(b),(f)		3,100,000		3,978
Virgin Media Secured Finance PLC, 5.000%, 4/15/27 144A GBP(f)		500,000		643
Virgin Media Secured Finance PLC, 5.500%, 1/15/25 GBP(b),(f)		189,000		254
Wind Tre SPA, 2.625%, 1/20/23 144A EUR(f)		3,000,000		2,943
Wind Tre SPA, 2.750%, (Euribor 3 Month plus 2.75%), 1/20/24 144A EUR(f)		600,000		583
Wind Tre SPA, 3.125%, 1/20/25 EUR(b),(f)		4,200,000		3,973
Ziggo Secured Finance BV, 4.250%, 1/15/27 EUR(b),(f)		200,000		230
Total				73,598
Consumer, Cyclical (4.1%)
American Airlines Pass Through Trust, Series 2011-1, Class A, 5.250%, 7/31/22(b)		94,061		97
American Airlines Pass Through Trust, Series 2014-1, Class A, 3.700%, 4/1/28(b)		482,404		471
Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/21(b)		182,798		192
Continental Airlines Pass Through Trust, Series 2010, Class A, 4.750%, 7/12/22(b)		57,695		59
DriveTime Automotive Group, Inc., 8.000%, 6/1/21 144A		1,500,000		1,515
Enterprise Inns PLC, 6.875%, 5/9/25 GBP(b),(f)		1,600,000		2,312
Ford Motor Credit Co. LLC, 4.134%, 8/4/25(b)		800,000		780
General Motors Financial Co., Inc., 3.450%, 4/10/22(b)		300,000		295
GLP Capital LP / GLP Financing II, Inc., 5.750%, 6/1/28(b)		400,000		403
Hilton Worldwide Finance Corp., 4.875%, 4/1/27(b)		700,000		675
IHO Verwaltungs GmbH, 3.750%, 9/15/26 EUR(b),(c),(f)		4,300,000		5,106
Marks & Spencer PLC, 3.000%, 12/8/23 GBP(b),(f)		300,000		402
Marks & Spencer PLC, 4.750%, 6/12/25 GBP(b),(f)		400,000		577
Melco Resorts Finance, Ltd., 4.875%, 6/6/25 144A		700,000		661
Mitchells & Butlers Finance PLC, 1.081%, (ICE LIBOR GBP 3 Month plus 0.45%), 12/15/30 GBP(b),(f)		1,478,026		1,814
Mitchells & Butlers Finance PLC, 2.791%, (3 Month LIBOR plus 0.45%), 12/15/30(b)		268,732		249
Mitchells & Butlers Finance PLC, 6.469%, 9/15/32 GBP(b),(f)		200,000		306
QVC, Inc., 4.375%, 3/15/23(b)		2,000,000		1,976
QVC, Inc., 5.450%, 8/15/34(b)		800,000		739
Spirit Issuer PLC, 6.582%, 12/28/27 GBP(b),(f)		1,100,000		1,477
Travis Perkins PLC, 4.375%, 9/15/21 GBP(b),(f)		200,000		274
Travis Perkins PLC, 4.500%, 9/7/23 GBP(b),(f)		1,900,000		2,581

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

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Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Consumer, Cyclical continued
The Unique Pub Finance Co. PLC, 5.659%, 6/30/27 GBP(b),(f)		152,677		222
The Unique Pub Finance Co. PLC, 6.542%, 3/30/21 GBP(b),(f)		595,400		828
The Unique Pub Finance Co. PLC, 7.395%, 3/28/24 GBP(b),(f)		400,000		581
United Airlines Pass Through Trust, Series 2013-1, Class A, 4.300%, 8/15/25(b)		82,741		84
US Airways Pass-Through Trust, Series 2012-1, Class A, 5.900%, 4/1/26(b)		1,037,000		1,110
Virgin Australia 2013-1A Pass Through Trust, 5.000%, 4/23/25 144A		38,040		39
Volkswagen Group of America Finance LLC, 2.125%, 5/23/19 144A		200,000		198
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.250%, 5/15/27 144A		800,000		748
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.500%, 3/1/25 144A		6,250,000		6,141
ZF North America Capital, Inc., 4.500%, 4/29/22 144A		436,000		444
ZF North America Capital, Inc., 4.750%, 4/29/25 144A		2,232,000		2,231
Total				35,587
Consumer, Non-cyclical (3.5%)
AA Bond Co., Ltd., 2.875%, 7/31/43 GBP(b),(f)		1,900,000		2,458
Amgen, Inc., 4.663%, 6/15/51(b)		1,041,000		1,028
Bacardi, Ltd., 4.700%, 5/15/28 144A		2,900,000		2,851
CHS / Community Health Systems, Inc., 5.125%, 8/1/21(b)		200,000		185
CVS Pass-Through Trust, 4.704%, 1/10/36 144A		436,316		428
CVS Pass-Through Trust, 5.926%, 1/10/34 144A		744,437		801
CVS Pass-Through Trust, 7.507%, 1/10/32 144A		78,749		92
Endo Finance LLC, 5.750%, 1/15/22 144A		2,900,000		2,596
Endo Finance LLC / Endo Finco, Inc., 5.375%, 1/15/23 144A		3,200,000		2,560
Greene King Finance PLC, 2.711%, (ICE LIBOR GBP 3 Month plus 2.08%), 3/15/36 GBP(b),(f)		450,000		511
Hamilton College, 4.750%, 7/1/13(b)		100,000		102
HCA, Inc., 4.500%, 2/15/27(b)		100,000		94
HCA, Inc., 4.750%, 5/1/23(b)		2,655,000		2,648
HCA, Inc., 6.500%, 2/15/20(b)		2,000,000		2,083
Mallinckrodt International Finance SA, 4.750%, 4/15/23(b)		700,000		586
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.750%, 8/1/22 144A		400,000		360
Pfizer, Inc., 5.800%, 8/12/23(b)		200,000		223
RAC Bond Co. PLC, 4.565%, 5/6/46 GBP(b),(f)		200,000		275
RAC Bond Co. PLC, 4.870%, 5/6/46 GBP(b),(f)		900,000		1,234
Tenet Healthcare Corp., 4.500%, 4/1/21(b)		300,000		297
Teva Pharmaceutical Finance Co. BV, 2.950%, 12/18/22(b)		120,000		109
Teva Pharmaceutical Finance Co. BV, 3.650%, 11/10/21(b)		2,600,000		2,490
Teva Pharmaceutical Finance IV BV, 3.650%, 11/10/21(b)		400,000		383

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Consumer, Non-cyclical continued
Teva Pharmaceutical Finance Netherlands II BV, 1.250%, 3/31/23 EUR(b),(f)		600,000		636
Teva Pharmaceutical Finance Netherlands III BV, 2.200%, 7/21/21(b)		400,000		371
Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/23(b)		2,300,000		1,986
Valeant Pharmaceuticals International, Inc., 4.500%, 5/15/23 EUR(b),(f)		800,000		882
Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/20 144A		1,400,000		1,419
Total				29,688
Diversified (0.4%)
Co-operative Group Holdings 2011, Ltd., 6.875%, 7/8/20 GBP(b),(f)		700,000		998
Co-operative Group Holdings 2011, Ltd., 7.500%, 7/8/26 GBP(b),(f)		1,700,000		2,691
Total				3,689
Energy (8.6%)
Andeavor Logistics LP / Tesoro Logistics Finance Corp., 4.250%, 12/1/27(b)		100,000		96
Borets Finance, Ltd., 7.625%, 9/26/18(b)		2,700,000		2,699
CNOOC Finance 2013, Ltd., 3.000%, 5/9/23(b)		500,000		482
Continental Resources, Inc., 4.375%, 1/15/28(b)		1,400,000		1,388
Dolphin Energy, Ltd., 5.500%, 12/15/21 144A		1,000,000		1,052
El Paso Natural Gas Co. LLC, 8.375%, 6/15/32(b)		200,000		251
Energy Transfer Partners LP, 3.600%, 2/1/23(b)		100,000		98
Energy Transfer Partners LP, 4.150%, 10/1/20(b)		400,000		405
Energy Transfer Partners LP, 4.650%, 6/1/21(b)		200,000		205
Energy Transfer Partners LP, 7.500%, 7/1/38(b)		100,000		114
Ensco PLC, 5.750%, 10/1/44(b)		200,000		141
Ensco PLC, 8.000%, 1/31/24(b)		80,000		80
Harvest Operations Corp., 2.330%, 4/14/21 144A		2,970,000		2,851
Kinder Morgan Energy Partners LP, 6.550%, 9/15/40(b)		2,382,000		2,616
Kinder Morgan, Inc., 7.750%, 1/15/32(b)		1,216,000		1,482
Midcontinent Express Pipeline LLC, 6.700%, 9/15/19 144A		1,700,000		1,750
Newfield Exploration Co., 5.625%, 7/1/24(b)		2,100,000		2,213
Novatek OAO via Novatek Finance, Ltd., 6.604%, 2/3/21(b)		200,000		212
Odebrecht Drilling Norbe VIII/IX, Ltd., 6.350%, 12/1/21(b)		827,333		778
Odebrecht Drilling Norbe VIII/IX, Ltd., 7.350%, 12/1/26(b),(c)		1,446,726		709
Odebrecht Oil & Gas Finance, Ltd., 0.000%, 2/9/18		782,000		10
Petrobras Global Finance BV, 5.750%, 2/1/29(b)		2,400,000		2,110
Petrobras Global Finance BV, 5.999%, 1/27/28 144A		4,403,000		3,985
Petrobras Global Finance BV, 7.375%, 1/17/27(b)		4,100,000		4,095
Petrofac, Ltd., 3.400%, 10/10/18 144A		2,510,000		2,494
Petroleos de Venezuela SA, 5.375%, 4/12/27(d)		6,500,000		1,495
Petroleos de Venezuela SA, 5.500%, 4/12/37(d)		4,300,000		967
Petroleos Mexicanos, 2.750%, 4/21/27 EUR(b),(f)		1,100,000		1,153
Petroleos Mexicanos, 3.750%, 2/21/24 EUR(b),(f)		400,000		474
Petroleos Mexicanos, 4.875%, 2/21/28 EUR(b),(f)		600,000		726

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

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131

Multi-Sector Bond Portfolio

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Energy continued
Petroleos Mexicanos, 6.500%, 3/13/27(b)		1,700,000		1,739
Petroleos Mexicanos, 6.500%, 6/2/41(b)		2,000,000		1,881
Petroleos Mexicanos, 6.625%, 6/15/38(b)		1,800,000		1,710
Petroleos Mexicanos, 6.750%, 9/21/47(b)		1,400,000		1,331
QEP Resources, Inc., 5.625%, 3/1/26(b)		700,000		668
QGOG Constellation SA, 9.500%, 11/9/24(b),(c)		200,500		84
Ras Laffan Liquefied Natural Gas Co., Ltd. III, 5.838%, 9/30/27 144A		2,300,000		2,449
Regency Energy Partners LP / Regency Energy Finance Corp., 4.500%, 11/1/23(b)		300,000		302
Regency Energy Partners LP / Regency Energy Finance Corp., 5.000%, 10/1/22(b)		1,100,000		1,139
Regency Energy Partners LP / Regency Energy Finance Corp., 5.750%, 9/1/20(b)		300,000		312
Regency Energy Partners LP / Regency Energy Finance Corp., 5.875%, 3/1/22(b)		800,000		846
Reliance Holdings USA, Inc., 4.500%, 10/19/20(b)		300,000		305
Rio Oil Finance Trust, Series 2014-3, 9.750%, 1/6/27(b)		495,776		531
Rockies Express Pipeline LLC, 5.625%, 4/15/20 144A		1,000,000		1,024
Rockies Express Pipeline LLC, 6.850%, 7/15/18 144A		4,200,000		4,205
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21(b)		1,100,000		1,150
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25(b)		4,900,000		5,211
Sabine Pass Liquefaction LLC, 5.750%, 5/15/24(b)		800,000		854
Sabine Pass Liquefaction LLC, 5.875%, 6/30/26(b)		200,000		214
Sunoco LP / Sunoco Finance Corp., 4.875%, 1/15/23 144A		100,000		96
Tallgrass Energy Partners LP, 5.500%, 1/15/28 144A		8,400,000		8,295
Transocean Guardian, Ltd., 5.875%, 1/15/24 144A		500,000		497
Williams Partners LP, 3.600%, 3/15/22(b)		2,500,000		2,487
Total				74,461
Financial (21.8%)
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, 4.250%, 7/1/20(b)		150,000		152
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, 5.000%, 10/1/21(b)		1,500,000		1,545
Alliance Data Systems Corp., 5.875%, 11/1/21 144A		2,900,000		2,958
Ally Financial, Inc., 3.250%, 11/5/18(b)		100,000		100
Ally Financial, Inc., 3.500%, 1/27/19(b)		371,000		371
Ally Financial, Inc., 3.750%, 11/18/19(b)		5,290,000		5,283
Ally Financial, Inc., 4.125%, 3/30/20(b)		537,000		538
Ally Financial, Inc., 4.250%, 4/15/21(b)		246,000		246
Ally Financial, Inc., 4.750%, 9/10/18(b)		100,000		100
Ally Financial, Inc., 8.000%, 12/31/18(b)		30,000		31
Ally Financial, Inc., 8.000%, 11/1/31(b)		1,371,000		1,631
Banco Bilbao Vizcaya Argentina SA, 6.750%, (Euro Swap Annual 5 Year plus 6.60%), 12/29/49 EUR(f),(k)		5,200,000		6,315
Banco Bilbao Vizcaya Argentina SA, 7.000%, (Euro Swap Annual 5 Year plus 6.16%), 12/29/49 EUR(b),(f)		1,200,000		1,433
Banistmo SA, 3.650%, 9/19/22 144A		200,000		189

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Financial continued
Bank of America Corp., 3.419%, (3 Month LIBOR plus 1.04%), 12/20/28(b)		973,000		916
Bank of America Corp., 4.000%, 4/1/24(b)		1,081,000		1,090
Bank of America Corp., 5.875%, (3 Month LIBOR plus 2.93%), 12/31/99(b)		4,500,000		4,399
Bank of Ireland, 7.375%, (Euro Swap Annual 5 Year plus 6.96%), 12/29/49 EUR(b),(f)		400,000		501
Barclays Bank PLC, 7.625%, 11/21/22(b)		2,000,000		2,153
Barclays Bank PLC, 14.000%, (ICE LIBOR GBP 3 Month plus 13.40%), 11/29/49 GBP(b),(f)		800,000		1,167
Barclays PLC, 2.375%, (GBP Swap Semi-Annual 1 Year plus 1.32%), 10/6/23 GBP(b),(f)		200,000		259
Barclays PLC, 3.250%, 2/12/27 GBP(b),(f)		500,000		644
Barclays PLC, 3.650%, 3/16/25(b)		3,100,000		2,904
Barclays PLC, 6.500%, (Euro Swap Annual 5 Year plus 5.88%), 12/29/49 EUR(b),(f)		2,300,000		2,765
Barclays PLC, 7.000%, (GBP Swap Semi-Annual 5 Year plus 5.08%), 6/15/49 GBP(b),(f)		800,000		1,078
Barclays PLC, 8.000%, (Euro Swap Annual 5 Year plus 6.75%), 12/15/49 EUR(b),(f)		1,300,000		1,681
Blackstone CQP Holdco LP, 6.500%, 3/20/21 144A		14,200,000		14,200
Cantor Fitzgerald LP, 6.500%, 6/17/22 144A		200,000		212
Cantor Fitzgerald LP, 7.875%, 10/15/19 144A		1,500,000		1,568
CIT Group, Inc., 3.875%, 2/19/19(b)		500,000		501
CIT Group, Inc., 5.000%, 8/15/22(b)		272,000		275
CIT Group, Inc., 5.000%, 8/1/23(b)		100,000		101
CIT Group, Inc., 5.250%, 3/7/25(b)		100,000		101
Citigroup, Inc., 3.400%, 5/1/26(b)		600,000		569
Cooperatieve Rabobank UA, 5.500%, (Euro Swap Annual 5 Year plus 5.25%), 1/22/49 EUR(b),(f)		700,000		874
Cooperatieve Rabobank UA, 6.625%, (Euro Swap Annual 5 Year plus 6.70%), 12/29/49 EUR(b),(f)		2,600,000		3,412
CPI Property Group SA, 2.125%, 10/4/24 EUR(b),(f)		400,000		458
Credit Agricole Assurances SA, 4.250%, (Euro Swap Annual 5 Year plus 4.50%), 12/31/49 EUR(b),(f)		2,000,000		2,406
Credit Suisse AG, 6.500%, 8/8/23 144A		7,400,000		7,871
Credit Suisse AG, 6.500%, 8/8/23(b)		1,700,000		1,808
Deutsche Annington Finance BV, 5.000%, 10/2/23 144A		300,000		306
Deutsche Bank AG, 3.150%, 1/22/21(b)		400,000		387
Deutsche Bank AG, 4.250%, 10/14/21(b)		4,500,000		4,430
The Doctors Co., 6.500%, 10/15/23 144A		300,000		321
Emerald Bay SA, 0.010%, 10/15/20 144A EUR(f)		3,796,000		4,139
Equinix, Inc., 2.875%, 3/15/24 EUR(b),(f)		1,200,000		1,373
Equinix, Inc., 2.875%, 2/1/26 EUR(b),(f)		1,900,000		2,092
Fairfax Financial Holdings, Ltd., 2.750%, 3/29/28 144A EUR(f)		500,000		581
Freedom Mortgage Corp., 8.125%, 11/15/24 144A		190,000		184
The Goldman Sachs Group, Inc., 3.541%, (3 Month LIBOR plus 1.20%), 9/15/20(b)		200,000		203
The Goldman Sachs Group, Inc., 3.750%, 5/22/25(b)		2,700,000		2,635
The Goldman Sachs Group, Inc., 3.850%, 7/8/24(b)		1,000,000		991
The Goldman Sachs Group, Inc., 4.000%, 3/3/24(b)		400,000		400
The Goldman Sachs Group, Inc., 4.100%, (3 Month LIBOR plus 1.77%), 2/25/21(b)		200,000		207

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

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132

Multi-Sector Bond Portfolio

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Financial continued
The Goldman Sachs Group, Inc., 5.750%, 1/24/22(b)		400,000		428
Growthpoint Properties International Pty, Ltd., 5.872%, 5/2/23 144A		300,000		304
HBOS PLC, 5.374%, 6/30/21 EUR(b),(f)		600,000		801
The Howard Hughes Corp., 5.375%, 3/15/25 144A		300,000		294
HSBC Holdings PLC, 3.600%, 5/25/23(b)		2,100,000		2,078
ING Bank NV, 5.800%, 9/25/23 144A		1,700,000		1,801
International Lease Finance Corp., 5.875%, 4/1/19(b)		1,400,000		1,429
International Lease Finance Corp., 5.875%, 8/15/22(b)		400,000		424
International Lease Finance Corp., 6.250%, 5/15/19(b)		450,000		461
International Lease Finance Corp., 8.250%, 12/15/20(b)		2,100,000		2,311
International Lease Finance Corp., 8.625%, 1/15/22(b)		400,000		459
Intesa Sanpaolo SPA, 5.017%, 6/26/24 144A		2,700,000		2,450
Intesa Sanpaolo SPA, 6.500%, 2/24/21 144A		4,100,000		4,248
Jefferies Finance LLC / JFIN Co-Issuer Corp., 6.875%, 4/15/22 144A		800,000		798
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 144A		2,000,000		2,009
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.500%, 4/15/21 144A		500,000		508
Kennedy Wilson Europe Real Estate PLC, 3.950%, 6/30/22 GBP(b),(f)		2,700,000		3,711
Lincoln Finance, Ltd., 6.875%, 4/15/21 EUR(b),(f)		3,800,000		4,582
Lloyds Bank PLC, Series EMTN, 7.625%, 4/22/25 GBP(b),(f)		1,200,000		2,037
Lloyds Banking Group PLC, 7.000%, (GBP Swap Semi-Annual 5 Year plus 5.06%), 12/29/49 GBP(b),(f)		800,000		1,076
Macquarie Group, Ltd., 6.250%, 1/14/21 144A		300,000		318
Morgan Stanley, 3.292%, (3 Month LIBOR plus 0.93%), 7/22/22(b)		1,000,000		1,008
Morgan Stanley, 4.000%, 7/23/25(b)		3,600,000		3,588
Nationwide Building Society, 6.875%, (GBP Swap Semi-Annual 5 Year plus 4.88%), 12/29/49 GBP(b),(f)		300,000		404
Navient Corp., 4.875%, 6/17/19(b)		3,648,000		3,666
Navient Corp., 5.000%, 10/26/20(b)		100,000		100
Navient Corp., 5.875%, 3/25/21(b)		400,000		406
Navient Corp., 6.500%, 6/15/22(b)		1,200,000		1,229
Navient Corp., 6.625%, 7/26/21(b)		1,300,000		1,335
Navient Corp., 7.250%, 1/25/22(b)		400,000		419
Navient Corp., 8.000%, 3/25/20(b)		1,198,000		1,264
NN Group NV, 4.500%, (Euribor 3 Month plus 4.00%), 7/15/49 EUR(b),(f)		2,600,000		3,131
OMEGA Healthcare Investors, Inc., 4.500%, 1/15/25(b)		100,000		98
OMEGA Healthcare Investors, Inc., 4.950%, 4/1/24(b)		100,000		101
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc., 6.375%, 12/15/22 144A		200,000		203
Quicken Loans, Inc., 5.250%, 1/15/28 144A		1,500,000		1,383
Rio Oil Finance Trust, Series 2014-1, 9.250%, 7/6/24 144A		1,635,153		1,750

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Financial continued
Rio Oil Finance Trust, Series 2014-1, 9.250%, 7/6/24(b)		1,430,759		1,531
Royal Bank of Scotland Group PLC, 2.500%, 3/22/23 EUR(b),(f)		100,000		123
Royal Bank of Scotland Group PLC, 4.800%, 4/5/26(b)		2,800,000		2,815
Royal Bank of Scotland Group PLC, 4.892%, (3 Month LIBOR plus 1.75%), 5/18/29(b)		3,700,000		3,682
Royal Bank of Scotland Group PLC, 7.500%, (USD Swap Semi-Annual 5Y plus 5.80%), 12/29/49(b)		2,400,000		2,447
Royal Bank of Scotland Group PLC, 8.625%, (USD 5 Year Swap Rate plus 7.60%), 12/29/49(b)		1,500,000		1,594
Santander UK Group Holdings PLC, 3.125%, 1/8/21(b)		2,100,000		2,071
Santander UK Group Holdings PLC, 6.750%, (GBP Swap Semi-Annual 5 Year plus 5.79%), 12/31/99 GBP(b),(f)		1,390,000		1,894
Sberbank of Russia Via SB Capital SA, 3.080%, 3/7/19 EUR(b),(f)		1,400,000		1,651
Sberbank of Russia Via SB Capital SA, 4.150%, 3/6/19(p)		500,000		500
SL Green Realty Corp., 5.000%, 8/15/18(b)		1,100,000		1,102
Societe Generale SA, 8.250%, (USD 5 Year Swap Rate plus 6.39%), 9/29/49(b)		200,000		202
Springleaf Finance Corp., 5.250%, 12/15/19(b)		311,000		315
Springleaf Finance Corp., 6.000%, 6/1/20(b)		418,000		429
Springleaf Finance Corp., 6.125%, 5/15/22(b)		2,900,000		2,958
Springleaf Finance Corp., 6.875%, 3/15/25(b)		1,900,000		1,886
Springleaf Finance Corp., 7.125%, 3/15/26(b)		2,700,000		2,687
Springleaf Finance Corp., 8.250%, 12/15/20(b)		206,000		222
Tesco Property Finance 2 PLC, 6.051%, 10/13/39 GBP(b),(f)		1,126,172		1,753
Tesco Property Finance 3 PLC, 5.744%, 4/13/40 GBP(b),(f)		97,311		149
Tesco Property Finance 6 PLC, 5.411%, 7/13/44 GBP(b),(f)		2,720,253		4,057
TP ICAP PLC, 5.250%, 1/26/24 GBP(b),(f)		100,000		135
UBS AG, 7.625%, 8/17/22(b)		4,400,000		4,857
UBS Group Funding AG, 4.125%, 9/24/25 144A		700,000		695
UniCredit SPA, 3.750%, 4/12/22 144A		200,000		191
VEREIT Operating Partnership LP, 4.125%, 6/1/21(b)		100,000		101
VIVAT NV, 2.375%, 5/17/24 EUR(b),(f)		500,000		605
Weyerhaeuser Co., 7.375%, 10/1/19(b)		400,000		420
Weyerhaeuser Co., 7.375%, 3/15/32(b)		1,500,000		1,906
Total				188,644
Industrial (1.7%)
Asciano Finance, Ltd., 4.625%, 9/23/20 144A		500,000		507
Avolon Holdings Funding, Ltd., 5.500%, 1/15/23 144A		500,000		499
Ball Corp., 4.875%, 3/15/26(b)		2,000,000		1,992
Cemex SAB de CV, 4.375%, 3/5/23 144A EUR(f)		1,400,000		1,694
Crown European Holdings SA, 3.375%, 5/15/25 144A EUR(f)		500,000		590
DAE Funding LLC, 4.000%, 8/1/20 144A		2,920,000		2,887

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

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133

Multi-Sector Bond Portfolio

Corporate Bonds (51.3%)	Shares/ Par		Value $ (000’s)
Industrial continued
DAE Funding LLC, 5.000%, 8/1/24 144A		400,000		384
Flex, Ltd., 4.625%, 2/15/20(b)		200,000		203
Fortress Transportation & Infrastructure, 6.750%, 3/15/22 144A		700,000		716
Lima Metro Line 2 Finance, Ltd., 5.875%, 7/5/34 144A		600,000		611
Park Aerospace Holdings, Ltd., 4.500%, 3/15/23 144A		3,900,000		3,704
Park Aerospace Holdings, Ltd., 5.250%, 8/15/22 144A		650,000		643
Park Aerospace Holdings, Ltd., 5.500%, 2/15/24 144A		500,000		494
Total				14,924
Technology (0.5%)
Dell International LLC / EMC Corp., 6.020%, 6/15/26 144A		300,000		315
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 5.450%, 6/15/23 144A		1,100,000		1,151
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 8.100%, 7/15/36 144A		300,000		350
EMC Corp., 2.650%, 6/1/20(b)		1,600,000		1,554
Fidelity National Information Services, Inc., 4.500%, 10/15/22(b)		395,000		407
Pitney Bowes, Inc., 3.625%, 9/15/20(b)		100,000		98
Quintiles IMS, Inc., 3.250%, 3/15/25 144A EUR(f)		500,000		567
Total				4,442
Utilities (1.4%)
Calpine Corp., 5.250%, 6/1/26 144A		650,000		613
Centrais Electricas Brasileiras SA, 6.875%, 7/30/19(b)		700,000		716
Dynegy, Inc., 7.375%, 11/1/22(b)		2,500,000		2,612
Dynegy, Inc., 8.125%, 1/30/26 144A		700,000		760
Exelon Generation Co. LLC, 4.250%, 6/15/22(b)		500,000		512
FirstEnergy Corp., 7.375%, 11/15/31(b)		600,000		777
Nakilat, Inc., 6.067%, 12/31/33(b)		1,000,000		1,093
Nakilat, Inc., 6.267%, 12/31/33 144A		573,573		627
National Fuel Gas Co., 5.200%, 7/15/25(b)		300,000		308
Perusahaan Listrik Negara PT, 5.450%, 5/21/28 144A		3,200,000		3,249
Puget Energy, Inc., 5.625%, 7/15/22(b)		200,000		212
Total				11,479
Total Corporate Bonds (Cost: $451,650)				443,483
Governments (20.9%)
Governments (20.9%)
Arab Republic of Egypt, 4.750%, 4/16/26 144A EUR(f)		1,400,000		1,500
Arab Republic of Egypt, 5.625%, 4/16/30 144A EUR(f)		1,550,000		1,622
Argentine Republic, 3.375%, 1/15/23 EUR(b),(f)		950,000		1,004
Argentine Republic, 5.000%, 1/15/27 EUR(b),(f)		4,900,000		4,873
Argentine Republic, 6.250%, 4/22/19(b)		150,000		151
Argentine Republic, 7.820%, 12/31/33 EUR(f),(k)		5,366,804		6,238
Australian Government, 4.250%, 4/21/26 AUD(b),(f)		2,400,000		1,989

Governments (20.9%)	Shares/ Par		Value $ (000’s)
Governments continued
Autonomous Community of Catalonia, 4.900%, 9/15/21 EUR(b),(f)		800,000		1,010
Autonomous Community of Catalonia, 4.950%, 2/11/20 EUR(b),(f)		400,000		493
Columbia Government International Bond, 5.000%, 6/15/45(k)		6,000,000		5,902
Dominican Republic, 6.875%, 1/29/26(b)		500,000		530
Ecuador Government International Bond, 9.650%, 12/13/26 144A		600,000		562
Ecuador Government International Bond, 10.750%, 3/28/22(b)		1,300,000		1,335
Export-Import Bank of India, 3.375%, 8/5/26 144A		600,000		551
Gazprom Neft OAO Via GPN Capital SA, 6.000%, 11/27/23(b)		3,000,000		3,122
Italy Buoni Poliennali Del Tesoro, 0.650%, 10/15/23 EUR(f),(k)		7,100,000		7,788
Mexico Government International Bond, 4.600%, 1/23/46(b)		4,700,000		4,324
Oman Government International Bond, 6.500%, 3/8/47(b)		1,800,000		1,611
Oman Government International Bond, 6.750%, 1/17/48 144A		2,000,000		1,810
Panama Government International Bond, 6.700%, 1/26/36(b)		1,900,000		2,328
Panama Government International Bond, 8.125%, 4/28/34(b)		100,000		135
Perusahaan Penerbit SBSN Indonesia III, 3.400%, 3/29/22 144A		600,000		587
Province of Ontario, 2.400%, 6/2/26 CAD(b),(f)		2,800,000		2,076
Province of Ontario, 2.600%, 6/2/25 CAD(b),(f)		600,000		454
Province of Quebec, 2.500%, 9/1/26 CAD(f)		4,500,000		3,360
Republic of Costa Rica, 7.158%, 3/12/45(b)		500,000		494
Republic of Croatia, 6.625%, 7/14/20(b)		5,000,000		5,258
Republic of Ecuador, 8.875%, 10/23/27 144A		900,000		795
Republic of Indonesia, 3.375%, 7/30/25 144A EUR(f)		800,000		1,005
Republic of Indonesia, 3.750%, 6/14/28 144A EUR(f)		1,900,000		2,449
Republic of Indonesia, 3.750%, 6/14/28 EUR(b),(f)		3,600,000		4,640
Republic of Indonesia, 5.125%, 1/15/45(b)		700,000		688
Republic of Indonesia, 6.750%, 1/15/44(b)		2,900,000		3,451
Republic of Kazakhstan, 5.125%, 7/21/25(k)		5,200,000		5,477
Republic of South Africa Government International Bond, 5.875%, 9/16/25(b)		500,000		513
The Republic of Trinidad & Tobago, 4.500%, 8/4/26(b)		400,000		383
Romania, 2.375%, 4/19/27 EUR(b),(f)		1,600,000		1,867
Russian Federation, 5.625%, 4/4/42(b)		2,000,000		2,089
Saudi Government International Bond, 2.875%, 3/4/23 144A		600,000		577
Saudi International Bond, 4.000%, 4/17/25 144A		3,900,000		3,881
Senegal Government International Bond, 4.750%, 3/13/28 144A EUR(f)		100,000		109

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

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Governments (20.9%)	Shares/ $ Par		Value $ (000’s)
Governments continued
Senegal Government International Bond, 6.250%, 5/23/33 144A		400,000		355
State of Qatar, 4.500%, 4/23/28 144A		1,100,000		1,110
State of Qatar, 5.103%, 4/23/48 144A		1,200,000		1,196
Turkey Government International Bond, 4.875%, 10/9/26(b)		4,000,000		3,518
Turkey Government International Bond, 5.125%, 3/25/22(k)		12,600,000		12,198
Turkey Government International Bond, 5.125%, 2/17/28(b)		4,300,000		3,785
Turkey Government International Bond, 5.750%, 3/22/24(b)		2,400,000		2,312
Turkey Government International Bond, 6.125%, 10/24/28(b)		700,000		656
Ukraine Government International Bond, 7.750%, 9/1/19(b)		3,100,000		3,092
Ukraine Government International Bond, 7.750%, 9/1/20(b)		4,400,000		4,374
United Mexican States, 4.750%, 3/8/44(b)		600,000		559
US Treasury, 2.000%, 5/31/24(k)		50,500,000		48,326
US Treasury, 2.250%, 2/15/27(b)		150,000		143
US Treasury, 2.750%, 2/15/24(k)		8,700,000		8,687
Venezuela Government International Bond, 6.000%, 12/9/20(d)		32,000		8
Venezuela Government International Bond, 7.000%, 3/31/38(d)		204,000		55
Venezuela Government International Bond, 7.650%, 4/21/25(d)		1,955,000		525
Venezuela Government International Bond, 8.250%, 10/13/24(d)		356,000		96
Venezuela Government International Bond, 9.000%, 5/7/23(d)		32,000		9
Venezuela Government International Bond, 9.250%, 5/7/28(d)		1,241,000		336
Venezuela Government International Bond, 9.375%, 1/13/34(d)		1,400,000		404
Total Governments (Cost: $189,136)				180,775
Municipal Bonds (1.5%)
Municipal Bonds (1.5%)
Alameda County Joint Powers Authority, 7.046%, 12/1/44 RB(b)		100,000		144
American Municipal Power, Inc., Series 2010B, 7.834%, 2/15/41 RB(b)		100,000		150
Bay Area Toll Authority, California, Series 2010, 6.918%, 4/1/40 RB(b)		200,000		276
City of Chicago, 7.750%, 1/1/42 GO(b)		1,300,000		1,408
City of Riverside CA Electric Revenue, 7.605%, 10/1/40 RB(b)		200,000		292
Indiana Finance Authority, Series 2009-B, 6.596%, 2/1/39 RB(b)		300,000		411

Municipal Bonds (1.5%)	Shares/ $ Par		Value $ (000’s)
Municipal Bonds continued
Irvine Ranch California Water District, 6.622%, 5/1/40 RB(b)		100,000		135
Los Angeles County California Public Works Financing Authority, 7.618%, 8/1/40 RB(b)		200,000		295
Metropolitan Government of Nashville & Davidson County Tennessee, 6.568%, 7/1/37 RB(b)		100,000		131
Municipal Electric Authority of Georgia, 6.655%, 4/1/57 RB(b)		100,000		125
New York City Transitional Finance Authority, 5.508%, 8/1/37 RB(b)		300,000		355
New York State Urban Development Corp., 5.770%, 3/15/39 RB(b)		100,000		117
Port Authority of New York & New Jersey, 5.647%, 11/1/40 RB, GO OF AUTH(b)		1,100,000		1,363
Port Authority of New York & New Jersey, Series 168, 4.926%, 10/1/51 RB(b)		200,000		234
Regents of the University of California Medical Center Pooled Revenue, 6.548%, 5/15/48 RB(b)		100,000		134
San Diego County Regional Airport Authority, Series C, 6.628%, 7/1/40 RB(b)		100,000		107
San Diego Redevelopment Agency, Series A, 7.625%, 9/1/30 RB(b)		100,000		110
State of California, 7.950%, 3/1/36 GO(b)		900,000		971
State of Illinois, 6.630%, 2/1/35 GO(b)		245,000		260
State of Illinois, 6.725%, 4/1/35 GO(b)		95,000		101
State of Illinois, 7.350%, 7/1/35 GO(b)		200,000		223
Texas Public Finance Authority, 8.250%, 7/1/24 RB(b)		200,000		204
Tobacco Settlement Finance Authority of West Virginia, Series A, 7.467%, 6/1/47 RB(b)		1,090,000		1,086
Tobacco Settlement Financing Corp., Series 2007-A, 6.706%, 6/1/46 RB(b)		3,315,000		3,276
Triborough Bridge & Tunnel Authority, 5.550%, 11/15/40 RB, GO OF AUTH(b)		800,000		963
Total Municipal Bonds (Cost: $10,415)				12,871
Structured Products (12.7%)
Asset Backed Securities (5.5%)
Accredited Mortgage Loan Trust, Series 2005-3, Class M3, 2.577%, (ICE LIBOR USD 1 Month plus 0.48%), 9/25/35(b)		50,000		48
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1, 2.991%, (ICE LIBOR USD 1 Month plus 0.90%), 12/25/34(b)		84,668		80
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2, 2.886%, (ICE LIBOR USD 1 Month plus 0.80%), 1/25/35(b)		56,931		56
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4, 3.066%, (ICE LIBOR USD 1 Month plus 0.98%), 7/25/35(b)		100,000		101
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 7/25/36(b)		8,084,932		3,036

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

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Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2, 3.091%, (ICE LIBOR USD 1 Month plus 1.00%), (AFC), 3/25/35(b)		188,037		174
Aircraft Certificate Owner Trust, Series 2003-1A, Class E, 7.001%, 9/20/22 144A		70,538		73
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1, 2.961%, (ICE LIBOR USD 1 Month plus 0.87%), 7/25/34(b)		42,924		43
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1, 3.318%, (ICE LIBOR USD 1 Month plus 1.25%), 8/15/33(b)		33,349		33
Asset Backed Securities Corp. Home Equity Loan Trust, Series WMC 2005-HE5, Class M4, 2.991%, (ICE LIBOR USD 1 Month plus 0.90%), 6/25/35(b)		200,000		199
Bear Stearns Asset Backed Securities I Trust, Series 2005-HE11, Class M1, 2.736%, (ICE LIBOR USD 1 Month plus 0.65%), 11/25/35		18,327		18
Bear Stearns Asset Backed Securities I Trust, Series 2005-SD3, Class 1A, 2.581%, (ICE LIBOR USD 1 Month plus 0.49%), 7/25/35		19,452		19
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2, 2.291%, (ICE LIBOR USD 1 Month plus 0.20%), 12/25/36(b)		47,405		47
Bear Stearns Asset Backed Securities I Trust, Series 2007-AQ1, Class A1, 2.201%, (ICE LIBOR USD 1 Month plus 0.11%), 4/25/31		9,619		13
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A2, 2.291%, (ICE LIBOR USD 1 Month plus 0.20%), 4/25/37(b)		156,612		200
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1, 3.341%, (ICE LIBOR USD 1 Month plus 1.25%), 8/25/37(b)		206,806		206
Carlyle Global Market Strategies, Series 2015-1A, Class A2MZ, 2.671%, (ICE LIBOR USD 1 Month plus 0.58%), 1/25/35(b)		784,058		783
Citigroup Mortgage Loan Trust, Inc., Series 2005-HE3, Class M2, 2.811%, (ICE LIBOR USD 1 Month plus 0.72%), 9/25/35(b)		117,319		118
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C, 2.301%, (ICE LIBOR USD 1 Month plus 0.21%), 12/25/36(b)		100,000		94
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4, 3.666%, (ICE LIBOR USD 1 Month plus 1.58%), 11/25/34(b)		100,000		87
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6, 4.616%, (AFC), 10/25/35		8,366		8
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4, 2.441%, (ICE LIBOR USD 1 Month plus 0.35%), 3/25/36(b)		95,503		87
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5, 4.788%, (AFC), 7/25/36(b)		100,000		99
Countrywide Asset-Backed Certificates, Series 2006-23, Class 2A3, 2.261%, (ICE LIBOR USD 1 Month plus 0.17%), 5/25/37(b)		114,542		114

Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A, 2.231%, (ICE LIBOR USD 1 Month plus 0.14%), 6/25/37(b)		665,450		628
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3, 2.381%, (ICE LIBOR USD 1 Month plus 0.29%), 7/25/36(b)		69,516		68
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3, 2.381%, (ICE LIBOR USD 1 Month plus 0.29%), 8/25/36(b)		110,973		109
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2, 2.411%, (ICE LIBOR USD 1 Month plus 0.32%), 2/25/37(b)		900,000		619
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3, 2.231%, (ICE LIBOR USD 1 Month plus 0.14%), 7/25/37(b)		50,504		45
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A, 2.931%, (ICE LIBOR USD 1 Month plus 0.84%), 10/25/47(b)		2,932,977		2,899
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A, 2.291%, (ICE LIBOR USD 1 Month plus 0.20%), 6/25/47(b)		1,196,823		1,060
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1, 2.510%, (ICE LIBOR USD 1 Month plus 0.55%), (AFC), 5/25/47 144A		2,530,621		2,013
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1, 2.711%, (ICE LIBOR USD 1 Month plus 0.62%), 1/25/32		6,052		6
Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 3.141%, (ICE LIBOR USD 1 Month plus 1.05%), 5/25/37 144A		409,522		403
First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 7/25/36		12,652		13
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4, 2.231%, (ICE LIBOR USD 1 Month plus 0.14%), 9/25/36(b)		81,976		81
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5, 0.010%, 4/25/36(b)		200,000		174
Fremont Home Loan Trust, Series 2005-2, Class M4, 3.021%, (ICE LIBOR USD 1 Month plus 0.93%), 6/25/35(b)		300,000		282
GSAA Home Equity Trust, Series 2006-17, Class A1, 2.151%, (ICE LIBOR USD 1 Month plus 0.06%), 11/25/36(b)		65,578		32
GSAMP Trust, Series 2004-WF, Class M2, 3.741%, (ICE LIBOR USD 1 Month plus 1.65%), 10/25/34(b)		61,051		59
GSAMP Trust, Series 2007-FM2, Class A2B, 2.181%, (ICE LIBOR USD 1 Month plus 0.09%), 1/25/37(b)		223,273		151
GSAMP Trust, Series 2007-NC1, Class A2A, 2.141%, (ICE LIBOR USD 1 Month plus 0.05%), 12/25/46		17,578		11
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4, 2.431%, (ICE LIBOR USD 1 Month plus 0.34%), 4/25/37(b)		500,000		412

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

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136

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Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B, Class 2A2, 2.251%, (ICE LIBOR USD 1 Month plus 0.16%), 7/25/37(b)		427,101		279
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4, 2.481%, (ICE LIBOR USD 1 Month plus 0.39%), 11/25/35(b)		300,000		286
Lehman XS Trust, Series 2005-4, Class 1A3, 2.891%, (ICE LIBOR USD 1 Month plus 0.80%), 10/25/35		18,930		19
Lendmark Funding Trust, Series 2016-2A, Class A, 3.260%, 4/21/25 144A		400,000		400
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4, 2.391%, (ICE LIBOR USD 1 Month plus 0.30%), 2/25/36(b)		75,340		64
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4, 2.361%, (ICE LIBOR USD 1 Month plus 0.27%), 5/25/46(b)		336,448		147
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 5/25/36(b)		1,541,905		1,034
Mastr Asset Backed Securities Trust, Series 2004-WMC2, Class M1, 2.991%, (ICE LIBOR USD 1 Month plus 0.90%), 4/25/34(b)		190,583		188
Mastr Asset Backed Securities Trust, Series 2006-FRE2, Class A1, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 3/25/36(k)		14,966,449		13,114
Mastr Asset Backed Securities Trust, Series 2006-HE3, Class A2, 2.191%, (ICE LIBOR USD 1 Month plus 0.10%), 8/25/36(b)		2,405,217		1,121
Mastr Asset Backed Securities Trust, Series 2006-WMC4, Class A5, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 10/25/36(b)		1,034,899		482
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, 2.541%, (ICE LIBOR USD 1 Month plus 0.45%), 2/25/47(b)		1,051,336		781
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE7, Class A2C, 2.411%, (ICE LIBOR USD 1 Month plus 0.32%), 11/25/35		832		1
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2, 2.796%, (ICE LIBOR USD 1 Month plus 0.71%), 1/25/35(b)		162,120		158
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5, 3.081%, (ICE LIBOR USD 1 Month plus 0.99%), 6/25/35(b)		300,000		299
Morgan Stanley ABS Capital I, Inc., Series 2006-HE7, Class A2C, 2.251%, (ICE LIBOR USD 1 Month plus 0.16%), 9/25/36(b)		79,544		48
Morgan Stanley ABS Capital I, Inc., Series 2006-HE8, Class A2C, 2.231%, (ICE LIBOR USD 1 Month plus 0.14%), 10/25/36(b)		74,151		45
Morgan Stanley ABS Capital I, Inc., Series 2007-HE5, Class A2C, 2.341%, (ICE LIBOR USD 1 Month plus 0.25%), 3/25/37(b)		72,522		40
Morgan Stanley Dean Witter Capital I, Inc., Series 2002-HE1, Class M1, 2.991%, (ICE LIBOR USD 1 Month plus 0.90%), 7/25/32		7,111		7

Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1, 3.666%, (ICE LIBOR USD 1 Month plus 1.58%), 11/25/32(b)		98,448		98
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1, 3.441%, (ICE LIBOR USD 1 Month plus 1.35%), 2/25/33(b)		38,848		39
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B, 2.251%, (ICE LIBOR USD 1 Month plus 0.16%), (AFC), 9/25/37(b)		732,351		716
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 4.100%, 3/20/28 144A		679,519		684
Park Place Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005-WCW2, Class M1, 2.841%, (ICE LIBOR USD 1 Month plus 0.75%), 7/25/35(b)		36,654		37
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2, 2.886%, (ICE LIBOR USD 1 Month plus 0.80%), (AFC), 8/25/35(b)		186,335		184
RAAC Series, Series 2007-RP4, Class A, 2.441%, (ICE LIBOR USD 1 Month plus 0.35%), (AFC), 11/25/46 144A		315,764		284
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3, 2.571%, (ICE LIBOR USD 1 Month plus 0.48%), (AFC), 9/25/35(b)		300,000		300
Residential Asset Mortgage Products, Inc., Series 2006-NC2, Class A2, 2.281%, (ICE LIBOR USD 1 Month plus 0.19%), (AFC), 2/25/36		1,713		2
Residential Asset Securities Corp., Series 2006-EMX1, Class M1, 2.501%, (ICE LIBOR USD 1 Month plus 0.41%), (AFC), 1/25/36(b)		148,921		148
Residential Asset Securities Corp., Series 2007-KS1, Class A3, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), (AFC), 1/25/37(b)		222,878		217
Residential Asset Securities Corp., Series 2007-KS3, Class AI4, 2.431%, (ICE LIBOR USD 1 Month plus 0.34%), (AFC), 4/25/37(b)		1,600,000		1,498
Rise, Ltd., Series 2014-1, Class A, 4.750%, 2/15/39(l),(p)		448,400		442
Saxon Asset Securities Trust, Series 2006-1, Class M1, 2.556%, (ICE LIBOR USD 1 Month plus 0.47%), (AFC), 3/25/36(b)		400,000		357
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2, 3.051%, (ICE LIBOR USD 1 Month plus 0.96%), 1/25/36(b)		104,666		79
SLM Private Education Loan Trust, Series 2010-A, Class 1A, 4.700%, (Prime Rate by County United States less 0.05%), 5/16/44 144A		15,115		15
SLM Private Education Loan Trust, Series 2011-B, Class A3, 4.323%, (ICE LIBOR USD 1 Month plus 2.25%), 6/16/42 144A		100,000		103
Soundview Home Loan Trust, Series 2005-3, Class M3, 2.916%, (ICE LIBOR USD 1 Month plus 0.83%), 6/25/35(b)		121,285		120
Soundview Home Loan Trust, Series 2006-2, Class M2, 2.441%, (ICE LIBOR USD 1 Month plus 0.35%), 3/25/36(b)		400,000		385

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

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137

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Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Asset Backed Securities continued
Soundview Home Loan Trust, Series 2006-3, Class A3, 2.251%, (ICE LIBOR USD 1 Month plus 0.16%), 11/25/36(b)		280,415		274
Soundview Home Loan Trust, Series 2006-OPT2, Class A4, 2.371%, (ICE LIBOR USD 1 Month plus 0.28%), 5/25/36(b)		200,000		190
Soundview Home Loan Trust, Series 2006-OPT3, Class M1, 2.401%, (ICE LIBOR USD 1 Month plus 0.31%), 6/25/36(b)		6,976,696		3,723
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3, 3.066%, (ICE LIBOR USD 1 Month plus 0.98%), 12/25/35(b)		368,622		368
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1, 3.066%, (ICE LIBOR USD 1 Month plus 0.98%), 10/25/33(b)		221,362		221
Structured Asset Investment Loan Trust, Series 2005-5, Class M2, 2.781%, (ICE LIBOR USD 1 Month plus 0.69%), 6/25/35(b)		32,664		33
Structured Asset Investment Loan Trust, Series 2005-7, Class M2, 2.856%, (ICE LIBOR USD 1 Month plus 0.77%), 8/25/35(b)		500,000		477
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 9/25/36(b)		38,162		37
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2001-WF1, Class A 6, 2.301%, (ICE LIBOR USD 1 Month plus 0.21%), 2/25/37(b)		138,326		136
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4, 2.261%, (ICE LIBOR USD 1 Month plus 0.17%), 12/25/36(b)		473,371		457
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL2, Class M1, 2.461%, (ICE LIBOR USD 1 Month plus 0.37%), 4/25/36 144A		82,770		77
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A, 2.351%, (ICE LIBOR USD 1 Month plus 0.26%), 3/25/36 144A		1,716,779		1,683
Vericrest Opportunity Loan Transferee, Series 2015-NP14, Class A1, 4.375%, (AFC), 11/27/45 144A(e)		373,685		377
Vericrest Opportunity Loan Transferee, Series 2017-NPL4, Class A1, 3.375%, (AFC), 4/25/47 144A(e)		159,271		159
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A, 2.241%, (ICE LIBOR USD 1 Month plus 0.15%), 1/25/37(b)		193,095		158
Total				47,392
Mortgage Securities (7.2%)
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 3.998%, (ICE LIBOR USD 6 Month plus 1.50%), (AFC), 9/25/45		3,231		3
Banc of America Funding Trust, Series 2005-H, Class 5A1, 3.745%, (CSTR), 11/20/35(b)		175,104		165
Banc of America Funding Trust, Series 2006-J, Class 4A1, 4.046%, (CSTR), 1/20/47(b)		83,694		80
Banc of America Funding Trust, Series 2007-6, Class A1, 2.381%, (ICE LIBOR USD 1 Month plus 0.29%), 7/25/37(b)		90,704		87

Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Banc of America Funding Trust, Series 2007-D, Class 14A, 2.314%, (ICE LIBOR USD 1 Month plus 0.23%), 6/20/47		14,168		14
Barclays Capital LLC, Series 2009-RR14, Class 2A2, 3.849%, (CSTR), 7/26/36 144A		41,948		38
Barclays Capital LLC, Series 2009-RR5, Class 3A3, 6.067%, (CSTR), 8/26/36 144A		3,115,018		2,186
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A, 4.361%, (CSTR), 7/25/34		10,610		11
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1, 3.576%, (CSTR), 11/25/36(b)		208,209		187
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3, 6.000%, 9/25/37		6,199		6
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA, 3.712%, (CSTR), 9/25/37		18,790		18
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A, 3.830%, (CSTR), 9/25/37(b)		94,981		91
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/35(b)		27,024		27
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, 2.414%, (ICE LIBOR USD 1 Month plus 0.33%), 11/20/35		8,688		8
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1, 3.038%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.48%), 1/25/36(b)		23,959		24
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3, 5.500%, 1/25/36(b)		265,600		235
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1, 6.500%, 8/25/32		12,858		13
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13, 6.000%, 2/25/37(b)		152,038		102
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1, 2.591%, (ICE LIBOR USD 1 Month plus 0.50%), 4/25/36(b)		568,741		328
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1, 3.590%, (CSTR), 5/25/36		19,554		17
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B, 2.274%, (ICE LIBOR USD 1 Month plus 0.19%), 9/20/46(b)		28,117		23
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A, 2.279%, (ICE LIBOR USD 1 Month plus 0.20%), 12/20/46(b)		44,433		37
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1, 2.294%, (ICE LIBOR USD 1 Month plus 0.21%), 5/20/46(b)		550,106		457
Countrywide Alternative Loan Trust, Series 2006-OA6, Class 2A, 2.915%, (CSTR), 7/25/46		407		–	(m)
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A, 2.294%, (ICE LIBOR USD 1 Month plus 0.21%), 7/20/46		13,820		10
Countrywide Alternative Loan Trust, Series 2006-OC9, Class A2A, 2.251%, (ICE LIBOR USD 1 Month plus 0.16%), 12/25/46		7,836		8
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2, 6.000%, 5/25/37(b)		305,587		228

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

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Structured Products (12.7%)	Shares/ Par		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1, 2.231%, (ICE LIBOR USD 1 Month plus 0.14%), 4/25/47(b)		49,881		47
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1, 3.412%, (CSTR), 10/25/35		20,716		18
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1, 3.862%, (CSTR), 12/20/35		14,250		13
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-16, Class 2A1, 6.500%, 11/25/36(b)		28,691		23
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1, 6.000%, 5/25/36(b)		202,216		169
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1, 2.518%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.96%), 4/25/46		44,030		22
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A2, 2.361%, (ICE LIBOR USD 1 Month plus 0.27%), 4/25/46(b)		1,166,797		540
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1, 3.433%, (CSTR), 3/25/37		14,998		14
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1, 6.500%, 4/25/33		1,768		2
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3, 5.500%, 12/25/35(b)		624,071		562
EMF-NL BV, Series 2008-APRX, Class A2, 0.471%, (Euribor 3 Month plus 0.80%), 4/17/41 EUR(b),(f)		197,002		219
Eurosail-NL BV, Series 2007-NL2X, Class A, 1.171%, (Euribor 3 Month plus 1.50%), 10/17/40 EUR(b),(f)		126,626		149
Federal National Mortgage Association TBA, 3.000%, 7/12/48		2,000,000		1,937
Federal National Mortgage Association TBA, 3.000%, 8/13/48		10,000,000		9,675
Federal National Mortgage Association TBA, 3.500%, 7/12/48 USD		26,700,000		26,566
Federal National Mortgage Association TBA, 3.500%, 8/13/48		9,300,000		9,242
Federal National Mortgage Association, Series 2003-W6, Class F, 2.310%, (ICE LIBOR USD 1 Month plus 0.35%), 9/25/42(b)		26,944		27
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5, 5.750%, 5/25/37(b)		339,568		261
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1, 3.923%, (CSTR), 9/25/35		10,856		11
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6, 6.000%, 2/25/36(b)		143,373		122
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 3.729%, (CSTR), 1/25/36		3,189		3
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1, 3.584%, (CSTR), 3/25/47		15,950		15

Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A, 2.395%, (ICE LIBOR USD 1 Month plus 0.31%), (AFC), 11/19/35		15,374		15
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A, 2.565%, (ICE LIBOR USD 1 Month plus 0.48%), (AFC), 6/19/35(b)		31,291		31
HomeBanc Mortgage Trust, Series 2005-1, Class A1, 2.341%, (ICE LIBOR USD 1 Month plus 0.25%), 3/25/35		10,067		9
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A, 2.311%, (ICE LIBOR USD 1 Month plus 0.22%), 11/25/35(b)		1,428,902		1,280
Impac Secured Assets Trust, Series 2007-1, Class A2, 2.251%, (ICE LIBOR USD 1 Month plus 0.16%), (AFC), 3/25/37(b)		133,132		121
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1, 3.703%, (CSTR), 10/25/34(b)		32,487		33
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A, 2.571%, (ICE LIBOR USD 1 Month plus 0.48%), (AFC), 7/25/35		2,832		3
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 2.391%, (ICE LIBOR USD 1 Month plus 0.30%), 7/25/35		16,192		15
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1, 3.634%, (CSTR), 10/25/35		15,431		14
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1, 3.853%, (CSTR), 7/25/35		15,937		16
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1, 3.702%, (CSTR), 6/25/37(b)		92,700		83
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1, 2.130%, (ICE LIBOR USD 1 Month plus 0.17%), 2/25/37		9,357		9
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3, 2.471%, (ICE LIBOR USD 1 Month plus 0.38%), 8/25/35(b)		35,753		36
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1, 3.388%, (CSTR), 12/25/35(b)		283,628		262
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A, 3.596%, (CSTR), 2/25/36		8,141		8
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 3.800%, (CSTR), 5/25/36(b)		25,513		24
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A, 3.950%, (CSTR), 7/25/35(b)		89,978		82
Morgan Stanley Mortgage Loan Trust, Series 2005-5AR, Class 1A1, 2.361%, (ICE LIBOR USD 1 Month plus 0.27%), 9/25/35		228		–	(m)
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1, 4.463%, (CSTR), 8/25/35		12,345		12
Nomura Resecuritization Trust, Series 2014-1R, Class 2A1, 2.815%, (ICE LIBOR USD 1 Month plus 0.13%), 2/26/37 144A		1,249,999		1,251
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB2, 4.049%, (CSTR), 3/25/35(b)		184,335		173

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

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Structured Products (12.7%)	Shares/ $ Par		Value $ (000’s)
Mortgage Securities continued
Residential Accredit Loans, Inc., Series 2006-QA7, Class 1A1, 2.281%, (ICE LIBOR USD 1 Month plus 0.19%), 8/25/36		14,713		14
Residential Accredit Loans, Inc., Series 2006-QA8, Class A1, 2.281%, (ICE LIBOR USD 1 Month plus 0.19%), 9/25/36(b)		31,255		29
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1, 2.231%, (ICE LIBOR USD 1 Month plus 0.14%), 1/25/37(b)		27,678		26
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2, 6.500%, 4/25/37(b)		3,820,368		2,127
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, 2.411%, (ICE LIBOR USD 1 Month plus 0.32%), 10/25/35(b)		85,393		83
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2, 2.612%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.48%), 2/25/36(b)		680,081		652
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1, 2.271%, (ICE LIBOR USD 1 Month plus 0.18%), (AFC), 7/25/46(b)		300,332		275
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-1, Class 1A1, 2.441%, (ICE LIBOR USD 1 Month plus 0.35%), 2/25/35(b)		27,330		27
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1, 2.741%, (ICE LIBOR USD 1 Month plus 0.65%), 12/25/35		21,790		18
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6, 3.425%, (CSTR, AFC), 2/25/33		1,706		2
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3, 3.405%, (CSTR), 10/25/36(b)		33,701		31
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1, 3.395%, (CSTR), 3/25/36(b)		334,661		316
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1, 3.358%, (CSTR), 8/25/36		16,423		16
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1, 3.389%, (CSTR), 2/25/37		5,561		5
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2, 2.258%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.70%), 4/25/47(b)		500,765		417
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1, 4.260%, (CSTR), 7/25/37(b)		78,736		73
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 1A1, 3.285%, (CSTR), 3/25/35(b)		27,076		27
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1, 3.913%, (CSTR), 7/25/36(b)		197,875		200
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1, 4.181%, (CSTR), 4/25/36(b)		109,674		104

Structured Products (12.7%)	Shares/ Par		Value $ (000’s)
Mortgage Securities continued
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR8, Class 1A3, 3.881%, (CSTR), 4/25/36		2,486		3
Wells Fargo Mortgage Backed Securities Trust, Series 2007-11, Class A81, 6.000%, 8/25/37(b)		134,474		134
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1, 3.713%, (CSTR), 11/25/37(b)		77,714		74
Total				62,170
Total Structured Products (Cost: $105,602)				109,562
Bank Loan Obligations (2.9%)
Bank Loan Obligations (2.9%)
Avolon TLB Borrower 1 LLC, 1.000%, 1/15/25		2,084,997		2,059
CenturyLink, Inc., 4.076%, 1/31/25		1,890,500		1,850
Charter Communications Operating LLC, 1.000%, 4/30/25		3,503,007		3,497
Chesapeake Energy Corp., 8.817%, 8/23/21		700,000		730
CHS / Community Health Systems, Inc., 4.065%, 12/31/19		2,245,299		2,214
CommScope, Inc., 3.810%, 12/29/22		141,800		142
Dell International LLC, 1.000%, 9/7/23		1,546,920		1,539
Grifols SA, 3.561%, 1/31/25		691,250		691
Hilton Worldwide Finance LLC, 3.324%, 10/25/23		1,228,041		1,227
INEOS Finance PLC, 1.000%, 3/31/24 EUR(f)		3,482,500		4,019
Las Vegas Sands LLC, 1.000%, 3/27/25		680,036		675
Sigma Bidco BV, 1.000%, 3/6/25 EUR(f)		1,600,000		1,828
Techem GmbH, 1.000%, 10/2/24 EUR(f)		3,060,000		3,562
Valeant Pharmaceuticals International, Inc., 1.000%, 6/2/25		405,637		404
Ziggo Secured Finance BV, 3.000%, 4/15/25 EUR(f)		1,000,000		1,147
Total Bank Loan Obligations (Cost: $26,167)				25,584
Short-Term Investments (15.2%)
Commercial Paper (0.3%)
Credit Suisse AG, 2.722%, (1 Month LIBOR plus 0.62%), 9/28/18(b)		2,600,000		2,602
Total				2,602
Governments (1.5%)
Argentine Republic, 0.000%, 8/15/18 ARS(f)		39,560,000		1,298
Argentine Republic, 0.000%, 9/14/18(b)		19,120,000		802
Argentine Republic, 0.000%, 9/28/18(b)		3,800,000		3,761
Argentine Republic, 0.000%, 10/12/18(b)		800,000		791
Argentine Republic, 0.000%, 10/26/18(b)		1,050,000		1,036
Argentine Republic, 0.000%, 11/16/18(b)		500,000		491
Argentine Republic, 0.000%, 4/26/19(b)		500,000		485
Argentine Republic, 0.000%, 10/17/18 ARS(f)		390,000		12
Hellenic Republic Treasury Bill, 0.000%, 8/3/18 EUR(b),(f)		1,400,000		1,634

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

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Short-Term Investments (15.2%)	Shares/ Par		Value $ (000’s)
Governments continued
Hellenic Republic Treasury Bill, 0.000%, 10/5/18 EUR(b),(f)		900,000		1,048
Hellenic Republic Treasury Bill, 0.000%, 3/15/19 EUR(b),(f)		1,400,000		1,622
Total				12,980
Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#,(b)		4,238,547		4,239
Total				4,239

Short-Term Investments (15.2%)	Shares/ $ Par		Value $ (000’s)
Repurchase Agreements (12.9%)
JP Morgan repurchase (Purchased 6/29/18, to be repurchased at $112,020,627, collateralized by US Treasury, 2.625%, due 6/15/21, par and fair value of $114,140,000 and $114,114,459,respectively), 1.930%, 7/5/18(k)		112,000,000		112,000
Total				112,000
Total Short-Term Investments (Cost: $133,078)				131,821
Total Investments (104.5%) (Cost: $916,048)(a)				904,096
Other Assets, Less Liabilities (-4.5%)				(39,220	)
Net Assets (100.0%)				864,876

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $184,173 representing 21.3% of the net assets.

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.

GO — General Obligation

RB — Revenue Bond

ARS — Argentine Peso

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

MXN — Mexican New Peso

RUB — Russian Ruble

TRY — Turkish Lira

TWD — New Taiwan Dollar

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $914,326 and the net unrealized depreciation of investments based on that cost was $12,720 which is comprised of $21,196 aggregate gross unrealized appreciation and $33,916 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts	Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
Call Options Strike @ EUR 162.50 on Euro-Bund Future	Short	EUR		3,600	36	8/18		46	$	(25	)
Call Options Strike @ EUR 165.50 on Euro-Bund Future	Short	EUR		3,500	35	8/18		9		9
Euro-Bobl Future	Long	EUR		3,300	33	9/18		5,093	$	23

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

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Futures (continued)
Issuer	Long/Short	Currency	Notional Par (000’s)	Number of Contracts	Expiration Date	Notional Value (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
Euro-Buxl Future	Long	EUR	1,400	14	9/18	2,905	$	71
Euro-Schatz Future	Long	EUR	5,900	59	9/18	7,723		6
Five-Year US Treasury Note Future	Long	USD	38,900	389	9/18	44,197		72
Put Options Strike @ EUR 157.00 on Euro-Bund Future	Short	EUR	3,600	36	8/18	2		22
Put Options Strike @ EUR 158.50 on Euro-Bund Future	Short	EUR	3,500	35	8/18	5		20
Ten-Year US Treasury Note Future	Long	USD	15,500	155	9/18	18,629		82
Two-Year US Treasury Note Future	Long	USD	250,00	1,250	9/18	264,785		225
Ultra Long Term US Treasury Bond Future	Long	USD	4,900	49	9/18	7,819		151

(c) PIK - Payment In Kind. PIK rates of IHO Verwaltungs GmbH 4.500%, Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%, QGOG Constellation SA 9.500%

(d) Defaulted Security

(e) Step bond security. Vericrest Opportunity Loan Transferee, Series 2015-NP14, Class A1 steps up to 7.375% on 12/25/18 and 8.375% on 12/25/19. Vericrest Opportunity Loan Transferee, Series 2017-NPL4, Class A1 steps up to 6.375% on 4/25/20 and 7.375% on 4/25/21.

(f) Foreign Bond—par value is foreign denominated

(h) Forward foreign currency contracts outstanding on June 30, 2018.

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	HSBC Bank USA NA	ARS		36,136		1,229	7/18	$	—	$	(156	)	$	(156	)
Buy	HSBC Bank USA NA	ARS		470		15	10/18		—		(1	)		(1	)
Sell	HSBC Bank USA NA	ARS		36,136		1,229	7/18		479		—			479
Sell	BNP Paribas	ARS		39,560		1,308	8/18		529		—			529
Buy	Bank of America NA	AUD		2,721		2,014	7/18		5		—			5
Sell	Bank of America NA	AUD		2,721		2,014	7/18		36		—			36
Sell	Bank of America NA	AUD		2,721		2,014	8/18		—		(5	)		(5	)
Buy	Bank of America NA	BRL		6,724		1,735	7/18		—		(9	)		(9	)
Buy	HSBC Bank USA NA	BRL		6,724		1,735	7/18		—		(71	)		(71	)
Buy	Bank of America NA	BRL		6,724		1,729	8/18		—		(45	)		(45	)
Sell	Bank of America NA	BRL		6,724		1,735	7/18		43		—			43
Sell	HSBC Bank USA NA	BRL		6,724		1,735	7/18		9		—			9
Buy	HSBC Bank USA NA	CAD		7,717		5,870	7/18		70		—			70
Sell	BNP Paribas	CAD		7,717		5,870	7/18		66		—			66
Sell	HSBC Bank USA NA	CAD		7,717		5,873	8/18		—		(70	)		(70	)
Buy	Bank of America NA	EUR		499		583	7/18		—		(5	)		(5	)
Buy	BNP Paribas	EUR		107,760		125,843	7/18		463		—			463
Buy	Goldman Sachs International	EUR		653		763	7/18		2		—			2
Buy	UBS AG	EUR		4,503		5,259	7/18		—		(31	)		(31	)
Sell	UBS AG	EUR		113,415		132,447	7/18		—		(1,055	)		(1,055	)
Sell	BNP Paribas	EUR		107,760		126,116	8/18		—		(457	)		(457	)
Sell	Royal Bank of Canada	EUR		1,395		1,632	8/18		118		—			118
Sell	Bank of America NA	EUR		700		823	10/18		50		—			50
Sell	Royal Bank of Scotland PLC	EUR		199		234	10/18		13		—			13
Sell	HSBC Bank USA NA	EUR		1,284		1,530	3/19		106		—			106
Sell	UBS AG	EUR		99		118	3/19		8		—			8
Buy	UBS AG	GBP		35,628		47,020	7/18		—		(89	)		(89	)
Sell	Bank of America NA	GBP		35,628		47,020	7/18		551		—			551
Sell	UBS AG	GBP		35,628		47,084	8/18		92		—			92
Sell	Goldman Sachs International	JPY		29,700		268	7/18		3		—			3

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

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Forward foreign currency contracts (continued)

Type	Counterparty		Currency		Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy		UBS AG		MXN		79,160		3,952		8/18	$	—	$	(161	)	$	(161	)
Buy		JP Morgan Chase Bank NA		RUB		238,479		3,795		7/18		62		—			62
Buy		Bank of America NA		RUB		93,870		1,486		8/18		—		(13	)		(13	)
Buy		BNP Paribas		RUB		18,771		297		8/18		—		(3	)		(3	)
Buy		Goldman Sachs International		RUB		156,645		2,481		8/18		—		(22	)		(22	)
Buy		HSBC Bank USA NA		RUB		270,494		4,284		8/18		6		—			6
Sell		HSBC Bank USA NA		RUB		238,479		3,795		7/18		—		(11	)		(11	)
Sell		Bank of America NA		RUB		534,298		8,462		8/18		51		—			51
Buy		Royal Bank of Scotland PLC		TRY		17,639		3,769		8/18		—		(242	)		(242	)
Sell		Barclays Bank PLC		TWD		131,342		4,332		9/18		—		(8	)		(8	)
											$	2,762	$	(2,454	)	$	308

(i) Written options outstanding on June 30, 2018.

Description	Counterparty		Currency		Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call — Ten-Year US Treasury Note Future		Merrill Lynch Capital Services		USD		73		$120.500		7/18		73	$	(24	)
Put — US Ten Year Treasury Note Future		Merrill Lynch Capital Services		USD		73		119.000		7/18		73		(7	)
(Premiums Received $40)													$	(31	)

(j) Swap agreements outstanding on June 30, 2018.

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)
Federative Republic of Brazil	Goldman Sachs International	1.000%	6/23	2.683%	USD	1,600	$	(86	)	$	(32	)	$	(118	)
Federative Republic of Brazil	HSBC Bank USA NA	1.000%	6/23	0.850%	USD	800		(50	)		(9	)		(59	)
Novo Banco	Morgan Stanley Capital Services	5.000%	12/21	8.955%	EUR	100		(18	)		13			(5	)
Park Aerospace Holdings, Ltd.(l)	UBS AG	5.000%	7/20	0.498%	USD	200		9			(1	)		7
Republic of Argentina	HSBC Bank USA NA	5.000%	12/18	2.707%	USD	400		3			1			4
Republic of Brazil	Barclays Bank PLC	1.000%	6/22	2.295%	USD	100		(5	)		–	(m)		(5	)
Republic of Indonesia	HSBC Bank USA NA	1.000%	12/24	1.688%	USD	9,500		(73	)		(295	)		(368	)
Republic of Peru	Barclays Bank PLC	1.000%	3/23	0.850%	USD	1,100		(15	)		22			7
Republic of South Africa	Barclays Bank PLC	1.000%	6/24	2.398%	USD	4,600		(292	)		(41	)		(332	)
Russian Federation	Goldman Sachs International	1.000%	9/20	0.956%	USD	400		(19	)		20			–	(m)
Russian Federation	Goldman Sachs International	1.000%	9/20	0.956%	USD	900		(39	)		40			1
Russian Federation	Goldman Sachs International	1.000%	6/22	1.211%	USD	2,100		(49	)		32			(16	)
Russian Federation	HSBC Bank USA NA	1.000%	6/21	1.048%	USD	4,200		(179	)		174			(6	)

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

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Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)

Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Currency	Notional Amount (000’s)	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Russian Federation	JP Morgan Chase Bank NA	1.000%	9/20	0.956%	USD	1,500	$	(73	)	$	74		$	1
Unicredit SPA	JP Morgan Chase Bank NA	1.000%	12/22	3.173%	EUR	900		(52	)		(44	)		(96	)
United Mexican States	BNP Paribas	1.000%	12/22	1.215%	USD	1,500		(44	)		31			(13	)
United Mexican States	JP Morgan Chase Bank NA	1.000%	12/22	1.215%	USD	3,800		(116	)		82			(34	)
							$	(1,098	)	$	67		$	(1,032	)

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)
3-Month USD-LIBOR		3.000%		5/28		14,500		USD	$	—		$	43		$	43
									$	—		$	43		$	43
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)
6-Month Euribor		1.250%		12/28		8,800		EUR	$	(150	)	$	(124	)	$	(274	)
6-Month Euribor		1.250%		9/28		3,700		EUR		(57	)		(81	)		(138	)
6-Month GBP-LIBOR		1.750%		9/48		2,200		GBP		(115	)		27			(88	)
6-Month GBP-LIBOR		1.500%		9/28		3,900		GBP		87			(63	)		24
6-Month JPY-LIBOR		0.450%		3/29		1,280,000		JPY		(65	)		(60	)		(125	)
									$	(300	)	$	(301	)	$	(601	)

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)
Ally Financial, Inc.	5.000%	6/22	1.065%	1,300	USD	$	202		$	(11	)	$	191
Berkshire Hathaway, Inc.	1.000%	12/22	0.540%	800	USD		15			1			16
Ford Motor Co.	5.000%	12/23	1.556%	200	USD		40			(6	)		34
Ford Motor Co.	5.000%	6/23	1.374%	3,800	USD		650			(23	)		627
Ford Motor Credit Co.	5.000%	12/22	1.001%	200	USD		34			–	(m)		34
Marks & Spencer PLC	1.000%	12/22	1.300%	2,900	EUR		(35	)		(6	)		(41	)
Navient Corp.	5.000%	12/22	2.676%	100	USD		9			–	(m)		9
Navient Corp.	5.000%	12/21	1.998%	650	USD		65			(1	)		64
Novo Banco SA	5.000%	12/21	8.955%	600	EUR		(103	)		60			(43	)
Telefonica Emisiones SAU	1.000%	6/23	1.056%	3,000	EUR		50			(58	)		(8	)
Telefonica Emisiones SAU	1.000%	12/22	0.957%	1,500	EUR		24			(19	)		5
Volkswagen International Finance NV	1.000%	6/23	1.003%	1,200	EUR		29			(29	)		–	(m)
						$	980		$	(92	)	$	888

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

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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)
Markit CDX Emerging Markets	1.000%	6/23	1.900%	91,800	USD	$	(2,230	)	$	(1,458	)	$	(3,688	)
Markit CDX North America High Yield	5.000%	6/23	3.594%	40,100	USD		2,364			(60	)		2,304
Markit CDX North America Investment Grade	1.000%	6/23	0.670%	42,400	USD		676			(49	)		627
Markit Roll CDX	1.000%	12/22	1.688%	6,499	USD		(65	)		(119	)		(184	)
						$	745		$	(1,686	)	$	(941	)

(k) Cash or securities with an aggregate value of $235,156 (in thousands) has been pledged as collateral for swap contracts outstanding, short sales or written options on June 30, 2018.

(l) Security valued using significant unobservable inputs.

(m) Amount is less than one thousand.

(p) Restricted securities (excluding 144A issues) on June 30, 2018.

Description	Coupon	Maturity Date	Acquisition Date	Cost (000’s)		Value (000’s)		Value as a Percentage of Net Assets
Sberbank of Russia Via SB Capital SA	4.150%	3/6/19	1/16/18	$	502	$	500	0.058%
Rise, Ltd., Series 2014-1, Class A	4.750%	2/15/39	2/21/14		450		442	0.051%

Reverse Repurchase Agreements

Reference Entity	Counterparty		Interest Rate		Borrowing Date		Maturity Date		Amount Borrowed (000’s)		Payable for Reverse Repurchase Agreements (000’s)
Altice SA		Barclays Bank PLC		(0.350)%		3/1/2018		Open	$	1,600	$	1,465
Mallinckrodt International Finance SA		Deutsche Bank AG		(4.000)%		5/16/2018		Open		700		544
											$	2,009

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

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The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	—		$	25,584		$	—
Municipal Bonds		—			12,871			—
Corporate Bonds		—			443,483			—
Governments		—			180,775			—
Structured Products
Asset Backed Securities		—			46,950			442
All Others		—			62,170			—
Short-Term Investments		—			—			—
Money Market Funds		4,239			—			—
All Others		—			127,582			—
Other Financial Instruments^
Futures		681			—			—
Forward Currency Contracts		—			2,762			—
Interest Rate Swaps		—			67			—
Credit Default Swaps		—			3,924			7
Total Assets:	$	4,920		$	906,168		$	449
Liabilities:
Other Financial Instruments^
Futures		(25	)		—			—
Forward Currency Contracts		—			(2,454	)		—
Written Options		—			(31	)		—
Interest Rate Swaps		—			(625	)		—
Credit Default Swaps		—			(5,016	)		—
Reverse Repurchase Agreements		—			(2,009	)		—
Total Liabilities:	$	(25	)	$	(10,160	)	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

For the period ended June 30, 2018, there was a transfer from Level 3 to Level 2 in the amount of $1,570 (in thousands). This transfer was the result of an increase in the quantity of observable inputs for securities that were previously priced by a third-party vendor utilizing a broker quote.

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

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Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

The Investment Grade Segment includes bonds of companies and governments headquarteed outside the United States.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards. Small cap stocks also may carry additional risk. Smaller or newer issuers are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both volatile and more speculative. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.    

The Portfolio may obtain its exposure to domestic and foreign equity securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.

The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation, to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.    

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.    

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical

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147

Balanced Portfolio (unaudited)

expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these

transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,008.14	$  0.30
Hypothetical (5% return before expenses)	$1,000.00	$1,024.50	$  0.30

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.06%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Balanced Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Investment Companies (94.0%)	Shares/ $ Par		Value $ (000’s)
Domestic Equity (39.0%)
iShares Core S&P Mid-Cap ETF		141,000		27,464
iShares Russell 2000 ETF		84,800		13,888
iShares Russell Mid-Cap ETF		3,100		658
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio(q)		41,250,059		70,084
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio(q)		38,252,927		70,997
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio(q)		26,345,654		73,952
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio(q)		46,112,490		154,246
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio(q)		58,558,692		71,969
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio(q)		36,295,669		72,483
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio(q)		67,476,618		70,581
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio(q)		26,808,676		99,567
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio(q)		51,428,675		93,497
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio(q)		7,249,310		22,647
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio(q)		12,863,556		33,741
Total				875,774
Fixed Income (46.5%)
iShares Core U.S. Aggregate Bond ETF		254,600		27,069
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio(q)		186,728,658		138,739
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio(q)		709,515,699		876,962
Total				1,042,770
Foreign Equity (8.5%)
iShares MSCI EAFE ETF		57,079		3,823
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio(q)		1,780,409		1,764
Northwestern Mutual Series Fund, Inc., International Equity Portfolio(q)		20,719,526		38,518
Northwestern Mutual Series Fund, Inc., International Growth Portfolio(q)		25,710,587		40,751
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio(q)		102,433,714		104,994
Total				189,850
Total Investment Companies (Cost: $1,953,926)				2,108,394

Short-Term Investments (6.0%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper (4.6%)
Apple, Inc., 0.000%, 9/27/18 144A		5,000,000		4,974
General Mills, Inc., 0.000%, 7/2/18 144A		1,805,000		1,805
General Mills, Inc., 0.000%, 7/13/18 144A		10,000,000		9,991
Mondelez International, Inc., 0.000%, 7/11/18 144A		2,600,000		2,598
Mondelez International, Inc., 0.000%, 8/14/18 144A		8,000,000		7,975
Pfizer, Inc., 0.000%, 8/20/18 144A		2,000,000		1,994
Pfizer, Inc., 0.000%, 9/4/18 144A		5,000,000		4,981
Pfizer, Inc., 0.000%, 9/6/18 144A		3,000,000		2,988
Pfizer, Inc., 0.000%, 9/10/18 144A		5,000,000		4,979
Roche Holdings, Inc., 0.000%, 7/24/18 144A		5,000,000		4,993
Roche Holdings, Inc., 0.000%, 9/17/18 144A		5,000,000		4,977
Societe Generale SA, 0.000%, 8/16/18 144A		6,000,000		5,984
Societe Generale SA, 0.000%, 8/29/18 144A		4,000,000		3,986
The Southern Co., 0.000%, 7/17/18 144A		10,000,000		9,988
United Parcel Service, Inc., 0.000%, 7/2/18 144A		5,500,000		5,499
United Parcel Service, Inc., 0.000%, 9/4/18 144A		4,500,000		4,483
Walgreens Boots Alliance, Inc., 0.000%, 7/20/18 144A		5,000,000		4,993
Walgreens Boots Alliance, Inc., 0.000%, 8/8/18 144A		1,300,000		1,296
Walmart, Inc., 0.000%, 7/12/18 144A		5,000,000		4,996
The Walt Disney Co., 0.000%, 8/27/18 144A		4,000,000		3,987
The Walt Disney Co., 0.000%, 10/9/18 144A		6,000,000		5,963
Total				103,430
Money Market Funds (0.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		19,850,974		19,851
Total				19,851
US Government & Agencies (0.5%)
Federal Home Loan Bank, 0.000%, 7/3/18		3,000,000		3,000
Federal Home Loan Bank, 0.000%, 7/10/18		5,000,000		4,998
Federal Home Loan Bank, 0.000%, 10/18/18(b)		3,000,000		2,982
Total				10,980
Total Short-Term Investments (Cost: $134,274)				134,261
Total Investments (100.0%) (Cost: $2,088,200)(a)				2,242,655
Other Assets, Less Liabilities (0.0%)				(116	)
Net Assets (100.0%)				2,242,539

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $103,430 representing 4.6% of the net assets.

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

Balanced Portfolio

149

Balanced Portfolio

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,088,200 and the net unrealized appreciation of investments based on that cost was $153,701 which is comprised of $169,931 aggregate gross unrealized appreciation and $16,230 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts	Expiration Date	Notional Value (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)
E-Mini S&P 500 Future	Long	USD	$	11	225	9/18	$30,618	$	(754	)

(q) Affiliated Company

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description	Level 1 - Quoted     Prices			Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
				(Amounts in thousands)
Assets:
Investment Companies	$	2,108,394		$	—	$	—
Short-Term Investments
Money Market Funds		19,851			—		—
All Others		—			114,410		—
Total Assets:	$	2,128,245		$	114,410	$	—
Liabilities:
Other Financial Instruments^
Futures	$	(754	)	$	—	$	—
Total Liabilities:	$	(754	)	$	—	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

Balanced Portfolio

150

Asset Allocation Portfolio (unaudited)

Sector Allocation 6/30/18

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Investors should be aware of the risks of investments in foreign securities, particularly investments in securities of companies in developing nations. These include the risks of currency fluctuation, of political and economic instability and of less well-developed government supervision and regulation of business and industry practices, as well as differences in accounting standards. Small cap stocks also may carry additional risk. Smaller or newer issuers are more likely to realize more substantial growth as well as suffer more significant losses than larger or more established issuers. Investments in such companies can be both volatile and more speculative. Bonds and other debt obligations are affected by changes in interest rates, inflation risk and the creditworthiness of their issuers. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.    

The Portfolio obtains its exposure to equity and fixed income securities by investing in other Series Fund portfolios (Underlying Portfolios). Each of the Underlying Portfolios has its own investment risks, and the Portfolio is indirectly exposed to all the risks of the Underlying Portfolios in which it invests, including that risk that an Underlying Portfolio will not perform as expected. To the extent that the Portfolio invests a significant portion of its assets in a single Underlying Portfolio, it will be particularly sensitive to the risks associated with that Underlying Portfolio may have a significant effect on the Portfolio’s net asset value. The Portfolio will bear a pro rata share of the Underlying Portfolio’s expenses.    

The Portfolio may use derivative instruments to gain exposure to certain markets, sectors or regions as alternatives to direct investments, to adjust the Portfolio duration, to provide increased flexibility in asset allocation, to earn income and to otherwise seek to enhance returns or to hedge foreign currency exposure. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, mispricing or improper valuation. Certain derivatives involve leverage, which could magnify losses, and portfolios investing in derivatives could lose more than the principal amount invested in those investments.    

Currently, interest rates remain at historically low levels on a relative basis, although the U.S. federal funds rate has been subject to modest increases over the course of the last two years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.    

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and

Asset Allocation Portfolio

151

Asset Allocation Portfolio (unaudited)

an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs or separate account charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs or separate account charges were included, your costs would have been higher.

	Beginning Account Value January 1, 2018	Ending Account Value June 30, 2018	Expenses Paid During Period January 1, 2018 to June 30, 2018*
Actual	$1,000.00	$1,014.08	$  0.45
Hypothetical (5% return before expenses)	$1,000.00	$1,024.35	$  0.45

* Expenses are equal to the Portfolio’s annualized expense ratio of 0.09%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Asset Allocation Portfolio

152

Asset Allocation Portfolio

Schedule of Investments

June 30, 2018 (unaudited)

Investment Companies (93.6%)	Shares/ $ Par		Value $ (000’s)
Domestic Equity (49.7%)
iShares Core S&P Mid-Cap ETF		20,800		4,051
iShares Russell 2000 ETF		13,000		2,129
iShares Russell Mid-Cap ETF		3,500		743
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio(q)		6,134,184		10,422
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio(q)		5,690,433		10,562
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio(q)		3,866,168		10,852
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio(q)		6,854,039		22,927
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio(q)		9,798,846		12,043
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio(q)		6,072,720		12,127
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio(q)		10,025,991		10,487
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio(q)		3,902,088		14,492
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio(q)		7,435,490		13,518
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio(q)		1,727,121		5,396
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio(q)		2,622,285		6,878
Total				136,627
Fixed Income (31.3%)
iShares Core U.S. Aggregate Bond ETF		27,250		2,897
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio(q)		29,879,203		22,201
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio(q)		49,221,787		60,838
Total				85,936
Foreign Equity (12.6%)
iShares MSCI EAFE ETF		8,197		549
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio(q)		437,416		433
Northwestern Mutual Series Fund, Inc., International Equity Portfolio(q)		4,124,536		7,667
Northwestern Mutual Series Fund, Inc., International Growth Portfolio(q)		5,076,800		8,047
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio(q)		17,630,800		18,072
Total				34,768
Total Investment Companies (Cost: $231,079)				257,331

Short-Term Investments (6.3%)	Shares/ $ Par		Value $ (000’s)
Commercial Paper (3.6%)
Apple, Inc., 0.000%, 9/27/18 144A		1,000,000		995
General Mills, Inc., 0.000%, 7/13/18 144A		1,000,000		999
Mondelez International, Inc., 0.000%, 7/11/18 144A		500,000		499
Mondelez International, Inc., 0.000%, 8/28/18 144A		500,000		498
Pfizer, Inc., 0.000%, 9/4/18 144A		500,000		498
Pfizer, Inc., 0.000%, 9/10/18 144A		500,000		498
Roche Holdings, Inc., 0.000%, 7/24/18 144A		500,000		499
Roche Holdings, Inc., 0.000%, 9/17/18 144A		500,000		498
The Southern Co., 0.000%, 7/17/18 144A		1,000,000		999
United Parcel Service, Inc., 0.000%, 7/9/18 144A		500,000		500
United Parcel Service, Inc., 0.000%, 8/2/18 144A		500,000		499
Walgreens Boots Alliance, Inc., 0.000%, 7/20/18 144A		500,000		499
Walgreens Boots Alliance, Inc., 0.000%, 8/8/18 144A		500,000		499
Walmart, Inc., 0.000%, 7/9/18 144A		500,000		500
Walmart, Inc., 0.000%, 7/16/18 144A		500,000		499
The Walt Disney Co., 0.000%, 8/27/18 144A		1,000,000		997
Total				9,976
Money Market Funds (1.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.820%#		4,438,671		4,439
Total				4,439
US Government & Agencies (1.1%)
Federal Home Loan Bank, 0.000%, 7/3/18		1,000,000		1,000
Federal Home Loan Bank, 0.000%, 7/10/18		1,000,000		999
Federal Home Loan Bank, 0.000%, 10/18/18(b)		1,000,000		994
Total				2,993
Total Short-Term Investments (Cost: $17,409)				17,408
Total Investments (99.9%) (Cost: $248,488)(a)				274,739
Other Assets, Less Liabilities (0.1%)				251
Net Assets (100.0%)				274,990

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

Asset Allocation Portfolio

153

Asset Allocation Portfolio

# 7-day yield as of June 30, 2018.

144A after the name of a security represents a 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, 2018 the value of these securities (in thousands) was $9,976 representing 3.6% of the net assets.

(a) At June 30, 2018, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $248,488 and the net unrealized appreciation of investments based on that cost was $26,120 which is comprised of $27,324 aggregate gross unrealized appreciation and $1,204 aggregate gross unrealized depreciation. Because certain tax adjustments are only calculated annually, these amounts do not reflect all 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.

(b) All or a portion of the securities have been pledged as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.

Issuer	Long/Short	Currency	Notional Par (000’s)		Number of Contracts	Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)
E-Mini S&P 500 Future	Long	USD	$	2	39	9/18	$	5,307	$	(131	)

(q) Affiliated Company

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2018. 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	$	257,331		$	—	$	—
Short-Term Investments
Money Market Funds		4,439			—		—
All Others		—			12,969		—
Total Assets:	$	261,770		$	12,969	$	—
Liabilities:
Other Financial Instruments^
Futures	$	(131	)	$	—	$	—
Total Liabilities:	$	(131	)	$	—	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and short sales, written options and swaps contracts, which are valued at market value.

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

Asset Allocation Portfolio

154

Statements of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

June 30, 2018 (Amounts in thousands; unaudited)

	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)	$	1,016,683	$	939,292	$	584,139	$	169,454	$	3,272,342
Cash		—		—		1		—		18
Foreign Currency, at Value (4)		—		—		—		—		—
Receivable for Portfolio Shares Sold		18		101		14		—		822
Receivable for Investment Securities Sold		1,501		—		15,471		—		3,412
Futures Variation Margin		—		—		—		—		31
Outstanding Swap Contracts, at Value (8)		—		—		—		—		—
Receivable for Foreign Currency		—		—		—		—		—
Prepaid Expenses and Other Assets		6		8		7		3		25
Dividends and Interest Receivable		21		873		618		164		2,671
Total Assets		1,018,229		940,274		600,250		169,621		3,279,321
Liabilities
Payable for Portfolio Shares Redeemed		213		199		233		3		457
Payable for Investment Securities Purchased		—		—		17,356		173		1,595
Contingent Liability		—		—		—		—		—
Payable to Custodian		—		—		—		—		—
Payable for Foreign Currency		—		—		—		—		—
Collateral from Counterparty		—		—		—		—		—
Investment Advisory Fees		342		483		204		106		524
Compliance Fees Payable		2		2		1		1		3
Accrued Expenses		41		47		35		26		117
Total Liabilities		598		731		17,829		309		2,696
Net Assets	$	1,017,631	$	939,543	$	582,421	$	169,312	$	3,276,625
Represented By:
Aggregate Paid in Capital (10) (11)	$	593,369	$	619,750	$	343,988	$	113,574	$	1,399,671
Undistributed Net Investment Income (Loss)		10,303		9,450		12,302		2,336		81,070
Undistributed Accumulated Net Realized Gain (Loss)		149,398		61,490		185,301		17,315		50,989
Net Unrealized Appreciation (Depreciation)		264,561		248,853		40,830		36,087		1,744,895
Net Assets for Shares Outstanding (10) (11)	$	1,017,631	$	939,543	$	582,421	$	169,312	$	3,276,625
Net Asset Value, Offering and Redemption Price per Share	$	3.34	$	2.81	$	2.00	$	1.23	$	5.05
(1) Unaffiliated Investments, at Cost	$	752,122	$	690,439	$	543,309	$	133,367	$	1,526,466
(4) Foreign Currency, at Cost		—		—		—		—		—
(10) Shares Outstanding		304,243		334,726		291,566		137,717		648,642
(11) Shares Authorized, $.01 Par Value		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000

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

Statements of Assets and Liabilities

155

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
$	191,647	$	815,996	$	804,278	$	1,121,886	$	920,403	$	536,521	$	644,598	$	252,527	$	654,349
	—		—		—		—		—		—		—		—		2
	—		—		88		—		—		—		—		—		—
	2		90		191		192		166		45		134		177		23
	544		—		922		923		5,862		1,696		8,424		248		2,774
	—		—		—		—		18		—		—		—		—
	—		—		—		—		—		—		—		43		—
	33		—		—		—		—		71		—		—		—
	12		5		4		10		11		9		7		13		7
	347		1,326		1,740		523		856		806		214		247		404
	192,585		817,417		807,223		1,123,534		927,316		539,148		653,377		253,255		657,559
	45		115		249		280		205		71		166		16		137
	876		2,699		529		2,077		3,113		2,954		3,273		582		8,302
	—		—		1,312		—		—		—		—		—		—
	5		—		—		—		—		—		—		—		—
	25		—		—		—		—		60		—		—		—
	780		—		—		—		—		858		—		232		—
	107		351		396		490		175		319		291		50		454
	1		2		2		2		2		2		1		1		1
	30		41		54		47		65		58		49		58		54
	1,869		3,208		2,542		2,896		3,560		4,322		3,780		939		8,948
$	190,716	$	814,209	$	804,681	$	1,120,638	$	923,756	$	534,826	$	649,597	$	252,316	$	648,611
$	156,863	$	526,358	$	566,768	$	808,075	$	564,565	$	411,607	$	388,311	$	173,166	$	347,740
	5,408		22,231		25,606		2,922		16,150		13,017		405		4,664		5,096
	17,714		45,523		86,498		194,678		101,430		70,229		116,591		22,676		97,158
	10,731		220,097		125,809		114,963		241,611		39,973		144,290		51,810		198,617
$	190,716	$	814,209	$	804,681	$	1,120,638	$	923,756	$	534,826	$	649,597	$	252,316	$	648,611
$	1.05	$	1.70	$	1.86	$	3.71	$	2.18	$	1.82	$	3.12	$	1.58	$	2.62
$	180,923	$	595,900	$	678,468	$	1,006,924	$	678,334	$	496,559	$	500,307	$	200,760	$	455,733
	—		—		88		—		—		—		—		—		—
	182,255		479,300		433,508		301,712		423,794		294,160		207,908		159,361		247,276
	2,000,000		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000		2,000,000

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

Statements of Assets and Liabilities

156

Statements of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

June 30, 2018 (Amounts in thousands; unaudited)

	International Growth Portfolio			Research International Core Portfolio		International Equity Portfolio		Emerging Markets Equity Portfolio			Government Money Market Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	680,650		$	639,204	$	1,824,680	$	651,814		$	271,249
Affiliated Investments, at Value (2)		—			—		—		—			—
Investments in Repurchase Agreements, at Value (3)		—			—		—		—			139,000
Cash		29			—		—		—			—
Foreign Currency, at Value (4)		303			265		145		290			—
Cash Collateral for Derivative Positions		—			—		—		—			—
Receivable for Portfolio Shares Sold		96			88		286		188			117
Receivable for Investment Securities Sold		81			5,490		993		624			5,000
Receivable for Financing Transactions		—			—		—		—			—
Futures / Cleared Swaps Variation Margin		—			—		—		—			—
Outstanding Swap Contracts, at Value (8)		—			—		—		—			—
Receivable for Foreign Currency		—			1		—		—			—
Prepaid Expenses and Other Assets		14			7		15		2			11
Dividends and Interest Receivable		2,303			2,816		6,318		1,818			193
Total Assets		683,476			647,871		1,832,437		654,736			415,570
Liabilities
Payable for Portfolio Shares Redeemed		146			70		335		175			399
Payable for Investment Securities Purchased		278			6,588		—		3,646			—
Payable for Financing Transactions		—			—		—		—			—
Futures / Cleared Swaps Variation Margin		—			—		—		—			—
Outstanding Options Written, at Value (6)		—			—		—		—			—
Securities Sold Short, at Value (7)		—			—		—		—			—
Payable for Reverse Repurchase Agreements		—			—		—		—			—
Outstanding Swap Contracts, at Value (9)		—			—		—		—			—
Payable for Foreign Currency		1			2		—		1			—
Collateral from Counterparty		—			—		—		—			—
Investment Advisory Fees		342			389		781		526			104
Compliance Fees Payable		2			2		2		2			1
Deferred Income for Financing Transactions		—			—		—		—			—
Accrued Expenses		84			99		174		154			41
Total Liabilities		853			7,150		1,292		4,504			545
Net Assets	$	682,623		$	640,721	$	1,831,145	$	650,232		$	415,025
Represented By:
Aggregate Paid in Capital (10) (11)	$	559,781		$	532,285	$	1,533,960	$	624,043		$	415,025
Undistributed Net Investment Income (Loss)		16,694			20,206		78,552		15,272			—
Undistributed Accumulated Net Realized Gain (Loss)		(7,158	)		11,411		58,086		(11,741	)		—
Net Unrealized Appreciation (Depreciation)		113,306			76,819		160,547		22,658			—
Net Assets for Shares Outstanding (10) (11)	$	682,623		$	640,721	$	1,831,145	$	650,232		$	415,025
Net Asset Value, Offering and Redemption Price per Share	$	1.59		$	1.02	$	1.86	$	0.99		$	1.00
(1) Unaffiliated Investments, at Cost	$	567,336		$	562,218	$	1,664,052	$	628,458		$	271,249
(2) Affiliated Investments, at Cost		—			—		—		—			—
(3) Investments in Repurchase Agreements, at Cost		—			—		—		—			139,000
(4) Foreign Currency, at Cost		302			265		145		290			—
(6) Premiums Received on Options Written		—			—		—		—			—
(7) Proceeds Received from Short Sales		—			—		—		—			—
(8) Premiums Paid on Swap Contracts		—			—		—		—			—
(9) Premiums Received on Swap Contracts		—			—		—		—			—
(10) Shares Outstanding		430,615			625,125		985,145		655,817			415,023
(11) Shares Authorized, $.01 Par Value		2,000,000			2,000,000		3,000,000		2,000,000			2,000,000

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

Statements of Assets and Liabilities

157

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
$	301,370		$	3,302,126		$	129,485		$	360,064		$	793,610		$	792,096		$	207,163	$	27,777
	—			—			—			—			—			—			2,035,492		246,962
	—			—			—			—			—			112,000			—		—
	—			—			—			—			—			—			—		—
	—			—			—			—			—			548			—		—
	—			—			1,335			—			—			8,766			—		—
	48			441			42			254			67			431			191		307
	216			584,091			12,929			—			581			23,243			—		—
	—			—			100,162			—			—			—			—		—
	3			—			17			12			—			49			24		4
	—			—			—			1,741			—			22			—		—
	—			—			—			57			—			2,782			—		—
	3			16			1			3			11			13			8		4
	1,459			15,974			888			1,647			12,662			10,239			127		20
	303,099			3,902,648			244,859			363,778			806,931			950,189			2,243,005		275,074
	273			436			10			128			315			203			326		43
	2,146			863,816			16,162			3,495			3,798			72,400			—		—
	—			—			100,169			—			—			—			—		—
	8			—			1			8			—			171			—		—
	—			—			5			—			—			31			—		—
	—			—			3,646			—			—			—			—		—
	—			—			11,913			—			—			2,009			—		—
	—			—			—			3,067			—			1,053			—		—
	—			—			—			—			—			2,474			—		—
	4			—			1,228			1,541			—			6,388			—		—
	82			730			22			144			277			495			93		11
	1			3			1			1			2			2			2		1
	—			—			1			—			—			—			—		—
	54			108			42			57			66			87			45		29
	2,568			865,093			133,200			8,441			4,458			85,313			466		84
$	300,531		$	3,037,555		$	111,659		$	355,337		$	802,473		$	864,876		$	2,242,539	$	274,990
$	298,541		$	3,037,255		$	116,113		$	356,563		$	754,980		$	852,675		$	1,951,006	$	231,213
	7,521			104,662			3,679			12,215			65,697			39,825			53,582		5,455
	(3,132	)		(55,948	)		(5,298	)		(4,061	)		(4,529	)		(14,782	)		84,250		12,202
	(2,399	)		(48,414	)		(2,835	)		(9,380	)		(13,675	)		(12,842	)		153,701		26,120
$	300,531		$	3,037,555		$	111,659		$	355,337		$	802,473		$	864,876		$	2,242,539	$	274,990
$	1.03		$	1.24		$	1.04		$	1.10		$	0.74		$	1.07		$	1.49	$	1.22
$	303,804		$	3,350,540		$	133,229		$	367,925		$	807,286		$	804,048		$	207,004	$	27,704
	—			—			—			—			—			—			1,881,196		220,784
	—			—			—			—			—			112,000			—		—
	—			—			—			—			—			747			—		—
	—			—			8			—			—			40			—		—
	—			—			3,637			—			—			—			—		—
	—			—			428			1			—			4,257			—		—
	—			—			(27	)		—			—			3,930			—		—
	290,495			2,458,201			107,101			322,037			1,079,339			805,784			1,508,596		224,690
	2,000,000			6,000,000			2,000,000			2,000,000			3,000,000			2,000,000			4,000,000		2,000,000

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

Statements of Assets and Liabilities

158

Statements of Operations

Northwestern Mutual Series Fund, Inc.

For the Six Months Ended June 30, 2018 (unaudited)

(Amounts in thousands)

	Growth Stock Portfolio			Focused Appreciation Portfolio			Large Cap Core Stock Portfolio			Large Cap Blend Portfolio			Index 500 Stock Portfolio			Large Company Value Portfolio
Investment Income
Income
Interest (1)	$	96		$	87		$	19		$	113		$	360		$	18
Unaffiliated Dividends (1)		5,430			6,565			4,863			1,631			30,939			2,501
Total Income		5,526			6,652			4,882			1,744			31,299			2,519
Expenses
Investment Advisory Fees		2,043			3,470			1,250			651			3,245			677
Custodian Fees		1			6			12			2			9			19
Shareholder Reporting Fees		19			24			14			7			43			7
Audit Fees		14			13			14			13			24			13
Valuation Services		—			—			1			—			3			—
Compliance Fees		3			4			3			3			6			3
Directors Fees		31			25			25			24			43			17
Professional Fees		8			8			7			6			11			7
Trade Name Fees		—			—			—			—			58			—
Other Expenses		6			5			3			1			21			1
Total Expenses		2,125			3,555			1,329			707			3,463			744
Less Waived Fees:
Paid by Affiliate		(49	)		(573	)		(20	)		—			(126	)		(19	)
Net Expenses		2,076			2,982			1,309			707			3,337			725
Net Investment Income (Loss)		3,450			3,670			3,573			1,037			27,962			1,794
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		44,279			37,242			18,263			9,860			27,527			5,249
Futures Contracts		—			—			—			—			2,074			—
Swap Contracts		—			—			—			—			—			—
Foreign Currency Transactions		—			—			1			—			—			218
Net Realized Gain (Loss) on Investments		44,279			37,242			18,264			9,860			29,601			5,467
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		48,702			(7,019	)		(9,377	)		(7,303	)		25,320			(10,207	)
Futures Contracts		—			—			—			—			(1,138	)		—
Swap Contracts		—			—			—			—			—			—
Foreign Currency Transactions		—			—			—			—			—			199
Net Change in Unrealized Appreciation (Depreciation) of Investments		48,702			(7,019	)		(9,377	)		(7,303	)		24,182			(10,008	)
Net Gain (Loss) on Investments		92,981			30,223			8,887			2,557			53,783			(4,541	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	96,431		$	33,893		$	12,460		$	3,594		$	81,745		$	(2,747	)
(1) Net of Foreign Tax	$	—		$	270		$	37		$	36		$	—		$	37

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

Statements of Operations

159

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
$	72		$	213		$	11		$	197		$	99		$	73		$	120	$	59		$	132		$	65
	9,869			11,486			3,587			7,138			5,941			2,111			1,511		4,343			9,787			12,608
	9,941			11,699			3,598			7,335			6,040			2,184			1,631		4,402			9,919			12,673
	2,156			2,584			2,880			1,126			2,301			1,695			283		2,734			2,091			2,551
	1			10			11			6			25			6			9		8			68			61
	21			24			24			27			28			26			15		32			27			27
	15			15			16			13			13			14			12		13			14			14
	—			1			—			3			1			1			4		1			7			7
	3			3			4			3			3			3			3		3			3			3
	27			29			28			28			21			25			22		26			18			25
	8			8			9			8			7			7			7		8			17			17
	—			—			—			48			—			—			11		—			—			—
	6			6			6			6			3			2			1		4			5			3
	2,237			2,680			2,978			1,268			2,402			1,779			367		2,829			2,250			2,708
	(48	)		(139	)		(9	)		(101	)		(352	)		—			—		(37	)		—			(164	)
	2,189			2,541			2,969			1,167			2,050			1,779			367		2,792			2,250			2,544
	7,752			9,158			629			6,168			3,990			405			1,264		1,610			7,669			10,129
	16,865			27,468			14,395			42,124			24,534			65,855			11,915		51,434			14,171			21,068
	—			—			—			1,455			—			—			—		—			—			—
	—			—			—			—			—			—			994		—			—			—
	—			5			—			—			117			—			—		—			(113	)		(413	)
	16,865			27,473			14,395			43,579			24,651			65,855			12,909		51,434			14,058			20,655
	(13,761	)		(39,897	)		64,973			(19,040	)		(32,654	)		(13,458	)		6,749		(31,552	)		(25,121	)		(38,594	)
	—			—			—			(580	)		—			—			—		—			—			—
	—			—			—			—			—			—			33		—			—			—
	—			(4	)		—			—			294			—			—		—			(15	)		(53	)
	(13,761	)		(39,901	)		64,973			(19,620	)		(32,360	)		(13,458	)		6,782		(31,552	)		(25,136	)		(38,647	)
	3,104			(12,428	)		79,368			23,959			(7,709	)		52,397			19,691		19,882			(11,078	)		(17,992	)
$	10,856		$	(3,270	)	$	79,997		$	30,127		$	(3,719	)	$	52,802		$	20,955	$	21,492		$	(3,409	)	$	(7,863	)
$	—		$	112		$	34		$	4		$	57		$	—		$	—	$	7		$	126		$	406

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

Statements of Operations

160

Statements of Operations

Northwestern Mutual Series Fund, Inc.

For the Six Months Ended June 30, 2018 (unaudited)

(Amounts in thousands)

	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
Investment Income
Income
Interest (1)	$	297		$	75		$	3,404	$	3,460		$	41,356		$	1,990
Unaffiliated Dividends (1)		38,100			9,610			—		—			—			—
Total Income		38,397			9,685			3,404		3,460			41,356			1,990
Expenses
Investment Advisory Fees		6,236			3,789			637		487			4,444			301
Custodian Fees		144			105			25		15			37			6
Shareholder Reporting Fees		59			32			11		15			41			7
Audit Fees		18			14			13		15			20			20
Valuation Services		7			7			2		18			25			3
Compliance Fees		5			3			3		3			6			3
Directors Fees		34			30			19		25			38			25
Professional Fees		56			18			6		6			11			9
Interest Expense		—			—			—		—			—			176
Other Expenses		10			2			4		2			17			1
Total Expenses		6,569			4,000			720		586			4,639			551
Less Waived Fees:
Paid by Affiliate		(1,402	)		(401	)		—		—			(98	)		(20	)
Net Expenses		5,167			3,599			720		586			4,541			531
Net Investment Income (Loss)		33,230			6,086			2,684		2,874			36,815			1,459
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		84,006			6,274			—		(192	)		(42,557	)		(2,497	)
Affiliated Investment Securities		—			—			—		—			—			—
Futures Contracts		—			—			—		(327	)		—			(401	)
Options Written		—			—			—		—			—			18
Short Sales		—			—			—		—			—			17
Swap Contracts		—			—			—		—			—			(102	)
Foreign Currency Transactions		(282	)		(141	)		—		—			—			—
Reverse Repurchase Agreements		—			—			—		—			—			—
Net Realized Gain (Loss) on Investments		83,724			6,133			—		(519	)		(42,557	)		(2,965	)
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(171,748	)		(86,065	)		—		(1,898	)		(44,596	)		(3,115	)
Affiliated Investment Securities		—			—			—		—			—			—
Futures Contracts		—			—			—		124			—			274
Options Written		—			—			—		—			—			3
Short Sales		—			—			—		—			—			(9	)
Swap Contracts		—			—			—		—			—			593
Foreign Currency Transactions		(141	)		(18	)		—		—			—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments		(171,889	)		(86,083	)		—		(1,774	)		(44,596	)		(2,254	)
Net Gain (Loss) on Investments		(88,165	)		(79,950	)		—		(2,293	)		(87,153	)		(5,219	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(54,935	)	$	(73,864	)	$	2,684	$	581		$	(50,337	)	$	(3,760	)
(1) Net of Foreign Tax	$	883		$	272		$	—	$	2		$	(6	)	$	—

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

Statements of Operations

161

Inflation Protection Portfolio			High Yield Bond Portfolio			Multi-Sector Bond Portfolio			Balanced Portfolio			Asset Allocation Portfolio
$	6,148		$	24,202		$	21,058		$	1,213		$	142
	—			—			—			346			52
	6,148			24,202			21,058			1,559			194
	984			1,673			3,281			3,388			723
	10			2			65			4			4
	25			37			24			17			8
	14			20			23			15			15
	12			16			19			—			1
	3			3			3			5			3
	26			22			19			46			24
	6			8			9			10			6
	3			—			51			—			—
	4			4			5			16			1
	1,087			1,785			3,499			3,501			785
	(70	)		—			(325	)		(2,823	)		(654	)
	1,017			1,785			3,174			678			131
	5,131			22,417			17,884			881			63
	(1,055	)		446			4,621			3,377			333
	—			—			—			31,092			4,415
	1,544			—			(6,873	)		1,209			220
	—			—			354			—			—
	—			—			—			—			—
	(244	)		—			(33	)		—			—
	23			—			1,674			—			—
	—			—			3			—			—
	268			446			(254	)		35,678			4,968
	(12,241	)		(25,898	)		(34,387	)		(1,151	)		(44	)
	—			—			—			(16,650	)		(1,066	)
	(674	)		—			1,132			(692	)		(130	)
	—			—			8			—			—
	—			—			—			—			—
	2,838			—			(3,818	)		—			—
	133			—			3,295			—			—
	(9,944	)		(25,898	)		(33,770	)		(18,493	)		(1,240	)
	(9,676	)		(25,452	)		(34,024	)		17,185			3,728
$	(4,545	)	$	(3,035	)	$	(16,140	)	$	18,066		$	3,791
$	—		$	—		$	4		$	—		$	—

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

Statements of Operations

162

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Growth Stock Portfolio						Focused Appreciation Portfolio						Large Cap Core Stock Portfolio
	For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
Change in Net Assets
Operations
Net Investment Income (Loss)	$	3,450		$	7,118		$	3,670		$	5,780		$	3,573		$	8,766
Net Realized Gain (Loss) on Investments		44,279			105,442			37,242			25,025			18,264			167,854
Net Change in Unrealized Appreciation (Depreciation) of Investments		48,702			84,809			(7,019	)		219,761			(9,377	)		(52,818	)
Net Increase (Decrease) in Net Assets Resulting from Operations		96,431			197,369			33,893			250,566			12,460			123,802
Distributions to Shareholders from:
Net Investment Income		—			(7,919	)		—			(6,369	)		—			(9,903	)
Net Realized Gain on Investments		—			(41,619	)		—			(16,079	)		—			—
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(49,538	)		—			(22,448	)		—			(9,903	)
Capital Transactions:
Shares Sold		13,946			23,840			20,793			42,642			8,241			15,135
Reinvestment of Distributions Paid		—			49,538			—			22,448			—			9,903
Shares Redeemed		(52,600	)		(99,335	)		(60,528	)		(119,623	)		(30,857	)		(60,855	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(38,654	)		(25,957	)		(39,735	)		(54,533	)		(22,616	)		(35,817	)
Total Increase (Decrease) in Net Assets		57,777			121,874			(5,842	)		173,585			(10,156	)		78,082
Net Assets
Beginning of Period		959,854			837,980			945,385			771,800			592,577			514,495
End of Period	$	1,017,631		$	959,854		$	939,543		$	945,385		$	582,421		$	592,577
Undistributed Net Investment Income (Loss)	$	10,303		$	6,853		$	9,450		$	5,780		$	12,302		$	8,722
Portfolio Share Transactions:
Shares Sold		4,360			8,407			7,433			17,606			4,130			8,587
Reinvestment of Distributions Paid		—			17,724			—			9,019			—			5,459
Shares Redeemed		(16,436	)		(34,493	)		(21,424	)		(48,788	)		(15,398	)		(33,701	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(12,076	)		(8,362	)		(13,991	)		(22,163	)		(11,268	)		(19,655	)

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

Statements of Changes in Net Assets

163

Large Cap Blend Portfolio						Index 500 Stock Portfolio						Large Company Value Portfolio						Domestic Equity Portfolio						Equity Income Portfolio
For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
$	1,037		$	1,299		$	27,962		$	53,447		$	1,794		$	4,241		$	7,752		$	14,479		$	9,158		$	16,534
	9,860			8,073			29,601			32,498			5,467			13,747			16,865			28,658			27,473			60,819
	(7,303	)		20,698			24,182			488,462			(10,008	)		2,963			(13,761	)		57,061			(39,901	)		45,354
	3,594			30,070			81,745			574,407			(2,747	)		20,951			10,856			100,198			(3,270	)		122,707
	—			(1,520	)		—			(52,281	)		—			(3,917	)		—			(12,408	)		—			(17,838	)
	—			(8,213	)		—			(30,749	)		—			(7,833	)		—			(18,505	)		—			(37,935	)
	—			(9,733	)		—			(83,030	)		—			(11,750	)		—			(30,913	)		—			(55,773	)
	3,056			7,134			122,217			217,672			4,991			10,861			32,985			73,348			14,985			29,597
	—			9,733			—			83,030			—			11,750			—			30,913			—			55,773
	(13,559	)		(25,736	)		(149,474	)		(248,856	)		(11,364	)		(27,749	)		(48,845	)		(75,273	)		(51,432	)		(106,073	)
	(10,503	)		(8,869	)		(27,257	)		51,846			(6,373	)		(5,138	)		(15,860	)		28,988			(36,447	)		(20,703	)
	(6,909	)		11,468			54,488			543,223			(9,120	)		4,063			(5,004	)		98,273			(39,717	)		46,231
	176,221			164,752			3,222,137			2,678,914			199,836			195,773			819,213			720,940			844,398			798,167
$	169,312		$	176,220		$	3,276,625		$	3,222,137		$	190,716		$	199,836		$	814,209		$	819,213		$	804,681		$	844,398
$	2,336		$	1,299		$	81,071		$	53,108		$	5,408		$	3,613		$	22,231		$	14,479		$	25,606		$	16,447
	2,491			6,254			24,389			48,043			4,713			10,382			19,346			46,374			8,022			16,579
	—			8,800			—			18,370			—			11,797			—			20,204			—			32,540
	(11,009	)		(22,159	)		(29,720	)		(54,718	)		(10,637	)		(26,318	)		(28,412	)		(47,254	)		(27,383	)		(59,237	)
	(8,518	)		(7,105	)		(5,331	)		11,695			(5,924	)		(4,139	)		(9,066	)		19,324			(19,361	)		(10,118	)

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

Statements of Changes in Net Assets

164

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Mid Cap Growth Stock Portfolio						Index 400 Stock Portfolio						Mid Cap Value Portfolio
	For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
Change in Net Assets
Operations
Net Investment Income (Loss)	$	629		$	1,469		$	6,168		$	10,024		$	3,990		$	9,617
Net Realized Gain (Loss) on Investments		14,395			199,640			43,579			58,294			24,651			49,049
Net Change in Unrealized Appreciation (Depreciation) of Investments		64,973			(8,354	)		(19,620	)		55,201			(32,360	)		1,707
Net Increase (Decrease) in Net Assets Resulting from Operations		79,997			192,755			30,127			123,519			(3,719	)		60,373
Distributions to Shareholders from:
Net Investment Income		—			(2,583	)		—			(8,964	)		—			(7,902	)
Net Realized Gain on Investments		—			—			—			(47,765	)		—			(19,110	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(2,583	)		—			(56,729	)		—			(27,012	)
Capital Transactions:
Shares Sold		15,753			24,615			37,141			72,075			20,735			42,853
Reinvestment of Distributions Paid		—			2,583			—			56,729			—			27,012
Shares Redeemed		(72,545	)		(103,333	)		(40,071	)		(72,192	)		(46,814	)		(56,819	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(56,792	)		(76,135	)		(2,930	)		56,612			(26,079	)		13,046
Total Increase (Decrease) in Net Assets		23,205			114,038			27,197			123,402			(29,798	)		46,407
Net Assets
Beginning of Period		1,097,433			983,395			896,559			773,157			564,624			518,217
End of Period	$	1,120,638		$	1,097,433		$	923,756		$	896,559		$	534,826		$	564,624
Undistributed Net Investment Income (Loss)	$	2,922		$	2,294		$	16,150		$	9,983		$	13,017		$	9,027
Portfolio Share Transactions:
Shares Sold		4,332			7,810			17,431			35,541			11,345			24,158
Reinvestment of Distributions Paid		—			809			—			29,779			—			15,974
Shares Redeemed		(20,048	)		(32,507	)		(18,714	)		(35,640	)		(25,262	)		(32,153	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(15,716	)		(23,888	)		(1,283	)		29,680			(13,917	)		7,979

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

Statements of Changes in Net Assets

165

Small Cap Growth Stock Portfolio						Index 600 Stock Portfolio						Small Cap Value Portfolio						International Growth Portfolio						Research International Core Portfolio
For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
$	405		$	(83	)	$	1,264		$	2,021		$	1,610		$	3,578		$	7,669		$	8,245		$	10,129		$	10,144
	65,855			51,269			12,909			11,348			51,434			46,804			14,058			(478	)		20,655			12,238
	(13,458	)		63,084			6,782			11,407			(31,552	)		20,016			(25,136	)		151,395			(38,647	)		120,014
	52,802			114,270			20,955			24,776			21,492			70,398			(3,409	)		159,162			(7,863	)		142,396
	—			(625	)		—			(3,771	)		—			(4,984	)		—			(8,203	)		—			(9,827	)
	—			(6,457	)		—			(6,956	)		—			(33,520	)		—			—			—			—
	—			(7,082	)		—			(10,727	)		—			(38,504	)		—			(8,203	)		—			(9,827	)
	18,408			25,314			20,800			42,637			10,444			35,589			34,984			72,456			38,094			72,547
	—			7,082			—			10,727			—			38,504			—			8,203			—			9,827
	(49,514	)		(56,735	)		(11,787	)		(18,948	)		(56,559	)		(80,582	)		(46,533	)		(57,159	)		(47,515	)		(56,587	)
	(31,106	)		(24,339	)		9,013			34,416			(46,115	)		(6,489	)		(11,549	)		23,500			(9,421	)		25,787
	21,696			82,849			29,968			48,465			(24,623	)		25,405			(14,958	)		174,459			(17,284	)		158,356
	627,901			545,052			222,348			173,883			673,234			647,830			697,581			523,122			658,005			499,649
$	649,597		$	627,901		$	252,316		$	222,348		$	648,611		$	673,235		$	682,623		$	697,581		$	640,721		$	658,005
$	405		$	—		$	4,664		$	3,400		$	5,096		$	3,487		$	16,694		$	9,025		$	20,206		$	10,078
	6,101			9,657			13,840			30,997			4,129			14,351			21,710			49,958			36,467			76,894
	—			2,722			—			8,329			—			16,858			—			5,520			—			10,173
	(16,551	)		(21,694	)		(7,848	)		(13,768	)		(22,385	)		(33,318	)		(28,824	)		(39,225	)		(45,220	)		(59,961	)
	(10,450	)		(9,315	)		5,992			25,558			(18,256	)		(2,109	)		(7,114	)		16,253			(8,753	)		27,106

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

Statements of Changes in Net Assets

166

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	International Equity Portfolio						Emerging Markets Equity Portfolio						Government Money Market Portfolio
	For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
Change in Net Assets
Operations
Net Investment Income (Loss)	$	33,230		$	43,342		$	6,086		$	10,101		$	2,684		$	2,770
Net Realized Gain (Loss) on Investments		83,724			44,972			6,133			29,701			—			5
Net Change in Unrealized Appreciation (Depreciation) of Investments		(171,889	)		269,911			(86,083	)		109,969			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		(54,935	)		358,225			(73,864	)		149,771			2,684			2,775
Distributions to Shareholders from:
Net Investment Income		—			(42,550	)		—			(5,748	)		(2,684	)		(2,770	)
Net Realized Gain on Investments		—			—			—			—			—			(5	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(42,550	)		—			(5,748	)		(2,684	)		(2,775	)
Capital Transactions:
Shares Sold		58,137			108,920			56,651			101,162			89,429			198,453
Reinvestment of Distributions Paid		—			42,550			—			5,748			2,684			2,774
Shares Redeemed		(99,730	)		(167,739	)		(50,836	)		(54,452	)		(116,526	)		(263,423	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(41,593	)		(16,269	)		5,815			52,458			(24,413	)		(62,196	)
Total Increase (Decrease) in Net Assets		(96,528	)		299,406			(68,049	)		196,481			(24,413	)		(62,196	)
Net Assets
Beginning of Period		1,927,673			1,628,267			718,281			521,800			439,438			501,635
End of Period	$	1,831,145		$	1,927,673		$	650,232		$	718,281		$	415,025		$	439,439
Undistributed Net Investment Income (Loss)	$	78,552		$	45,322		$	15,272		$	9,186		$	—		$	—
Portfolio Share Transactions:
Shares Sold		30,247			60,655			52,129			99,983			89,429			198,452
Reinvestment of Distributions Paid		—			23,547			—			5,490			2,684			2,774
Shares Redeemed		(51,757	)		(93,626	)		(46,491	)		(53,874	)		(116,526	)		(263,423	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(21,510	)		(9,424	)		5,638			51,599			(24,413	)		(62,197	)

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

Statements of Changes in Net Assets

167

Short-Term Bond Portfolio						Select Bond Portfolio						Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
$	2,874		$	4,510		$	36,815		$	62,247		$	1,459		$	3,003		$	5,131		$	7,264		$	22,417		$	43,254
	(519	)		(256	)		(42,557	)		9,220			(2,965	)		793			268			(2,060	)		446			5,357
	(1,774	)		(669	)		(44,596	)		31,121			(2,254	)		5,288			(9,944	)		7,580			(25,898	)		3,538
	581			3,585			(50,338	)		102,588			(3,760	)		9,084			(4,545	)		12,784			(3,035	)		52,149
	—			(3,730	)		—			(59,951	)		—			(2,157	)		—			(2,412	)		—			(43,155	)
	—			—			—			(38,818	)		—			(4,416	)		—			(1,002	)		—			—
	—			(3,730	)		—			(98,769	)		—			(6,573	)		—			(3,414	)		—			(43,155	)
	23,681			52,650			262,730			261,713			7,910			16,641			27,551			90,861			28,172			61,645
	—			3,730			—			98,769			—			6,573			—			3,414			—			43,155
	(17,245	)		(32,554	)		(118,771	)		(259,412	)		(8,204	)		(20,403	)		(69,380	)		(28,861	)		(34,542	)		(58,863	)
	6,436			23,826			143,959			101,070			(294	)		2,811			(41,829	)		65,414			(6,370	)		45,938
	7,017			23,681			93,621			104,889			(4,054	)		5,322			(46,374	)		74,784			(9,405	)		54,931
	293,514			269,833			2,943,934			2,839,045			115,713			110,391			401,711			326,927			811,878			756,947
$	300,531		$	293,514		$	3,037,555		$	2,943,934		$	111,659		$	115,713		$	355,337		$	401,711		$	802,473		$	811,878
$	7,521		$	4,647		$	104,662		$	67,846		$	3,679		$	2,221		$	12,215		$	7,085		$	65,697		$	43,280
	22,964			50,772			212,827			206,659			7,711			15,440			25,069			82,521			37,890			81,679
	—			3,610			—			78,952			—			6,189			—			3,121			—			58,635
	(16,722	)		(31,382	)		(96,372	)		(204,707	)		(7,946	)		(18,859	)		(63,371	)		(26,253	)		(46,460	)		(77,840	)
	6,242			23,000			116,455			80,904			(235	)		2,770			(38,302	)		59,389			(8,570	)		62,473

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

Statements of Changes in Net Assets

168

Statements of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

(Amounts in thousands)

	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017			For the Six Months Ended June 30, 2018 (unaudited)			For the Year Ended December 31, 2017
Change in Net Assets
Operations
Net Investment Income (Loss)	$	17,884		$	31,339		$	881		$	39,456		$	63		$	4,435
Net Realized Gain (Loss) on Investments		(254	)		(2,606	)		35,678			63,304			4,968			8,344
Net Change in Unrealized Appreciation (Depreciation) of Investments		(33,770	)		31,875			(18,493	)		152,879			(1,240	)		23,925
Net Increase (Decrease) in Net Assets Resulting from Operations		(16,140	)		60,608			18,066			255,639			3,791			36,704
Distributions to Shareholders from:
Net Investment Income		—			(30,040	)		—			(49,621	)		—			(5,486	)
Net Realized Gain on Investments		—			—			—			(82,890	)		—			(11,468	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(30,040	)		—			(132,511	)		—			(16,954	)
Capital Transactions:
Shares Sold		80,667			153,044			54,310			110,602			10,850			17,526
Reinvestment of Distributions Paid		—			30,040			—			132,511			—			16,954
Shares Redeemed		(40,632	)		(62,520	)		(137,307	)		(261,605	)		(16,864	)		(27,416	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		40,035			120,564			(82,997	)		(18,492	)		(6,014	)		7,064
Total Increase (Decrease) in Net Assets		23,895			151,132			(64,931	)		104,636			(2,223	)		26,814
Net Assets
Beginning of Period		840,981			689,849			2,307,470			2,202,834			277,213			250,399
End of Period	$	864,876		$	840,981		$	2,242,539		$	2,307,470		$	274,990		$	277,213
Undistributed Net Investment Income (Loss)	$	39,825		$	21,941		$	53,582		$	52,700		$	5,455		$	5,391
Portfolio Share Transactions:
Shares Sold		74,542			140,652			36,678			76,125			8,875			14,931
Reinvestment of Distributions Paid		—			27,866			—			93,913			—			14,858
Shares Redeemed		(37,568	)		(57,521	)		(92,547	)		(180,257	)		(13,784	)		(23,360	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		36,974			110,997			(55,869	)		(10,219	)		(4,909	)		6,429

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

Statements of Changes in Net Assets

169

Statement of Cash Flows

Northwestern Mutual Series Fund, Inc.

For the Six Months Ended June 30, 2017 (unaudited)

(Amounts in thousands)

	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(3,760	)
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(88,993	)
Proceeds from Disposition of Investment Securities		101,345
Proceeds from Disposition (Purchase) of Short-Term Investments, net		(163	)
Proceeds from (Payments for) Closed Futures Contracts		309
Proceeds from (Payments for) Securities Sold Short		12,884
Cash Paid for Terminated Options Written		(9	)
Premiums Received for Options Written		35
Amortization (Accretion) of Premium/Discount, net		(78	)
(Increase) Decrease in:
Receivable for Investment Securities Sold		(7,133	)
Dividends and Interest Receivable		151
Increase (Decrease) in:
Payable for Investment Securities Purchased		5,532
Collateral from Counterparty		810
Payable for Investment Advisory Fees		(24	)
Accrued Expenses		(1	)
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		3,115
Futures Contracts		(274	)
Options Written		(3	)
Short Sales		9
Swap Contracts		(593	)
Net Realized (Gain) Loss from:
Investment Securities		2,497
Futures Contracts		401
Options Written		(18	)
Paydowns		(1	)
Short Sales		(17	)
Swap Contracts		102
Total Adjustments		29,883
Net Cash (Used in) Provided by Operating Activities		26,123
Cash Flows from Financing Activities
Cash Received from Financing Transactions		565,573
Cash Used for Financing Transactions		(603,131	)
Cash Received from Reverse Repurchase Agreements		11,913
Proceeds from Capital Shares Sold		7,885
Payment on Capital Shares Redeemed		(8,300	)
Net Cash (Used in) Provided by Financing Activities		(26,060	)
Net Increase (Decrease) in Cash and Cash Equivalents		63
Cash and Restricted Cash, Beginning of Period		1,272
Cash and Restricted Cash, End of Period	$	1,335

Supplemental disclosure of cash flow information:

Interest paid was $177 for the period ended June 30, 2018.

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

Statement of Cash Flows

170

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period
Growth Stock Portfolio
2018(j)	$	3.03	$	0.01		$	0.30		$	0.31		$	—		$	—		$	—		$	3.34
2017		2.58		0.02			0.59			0.61			(0.03	)		(0.13	)		(0.16	)		3.03
2016		2.81		0.03			0.04			0.07			(0.02	)		(0.28	)		(0.30	)		2.58
2015		2.87		0.02			0.15			0.17			(0.02	)		(0.21	)		(0.23	)		2.81
2014		2.94		0.02			0.22			0.24			(0.02	)		(0.29	)		(0.31	)		2.87
2013		2.35		0.02			0.78			0.80			(0.02	)		(0.19	)		(0.21	)		2.94
Focused Appreciation Portfolio
2018(j)	$	2.71	$	0.01		$	0.09		$	0.10		$	—		$	—		$	—		$	2.81
2017		2.08		0.02			0.68			0.70			(0.02	)		(0.05	)		(0.07	)		2.71
2016		2.68		0.02			0.17			0.19			(0.01	)		(0.78	)		(0.79	)		2.08
2015		2.63		0.01			0.34			0.35			—			(0.30	)		(0.30	)		2.68
2014		2.69		0.00	(e)		0.22			0.22			(0.00	)(e)		(0.28	)		(0.28	)		2.63
2013		2.09		0.00	(e)		0.61			0.61			(0.01	)		—			(0.01	)		2.69
Large Cap Core Stock Portfolio
2018(j)	$	1.96	$	0.01		$	0.03		$	0.04		$	—		$	—		$	—		$	2.00
2017		1.60		0.03			0.36			0.39			(0.03	)		—			(0.03	)		1.96
2016		1.54		0.03			0.09			0.12			(0.03	)		(0.03	)		(0.06	)		1.60
2015		1.65		0.03			(0.08	)		(0.05	)		(0.04	)		(0.02	)		(0.06	)		1.54
2014		1.70		0.04			0.10			0.14			(0.03	)		(0.16	)		(0.19	)		1.65
2013		1.34		0.03			0.35			0.38			(0.02	)		—			(0.02	)		1.70
Large Cap Blend Portfolio
2018(j)	$	1.21	$	0.01		$	0.01		$	0.02		$	—		$	—		$	—		$	1.23
2017		1.07		0.01			0.20			0.21			(0.01	)		(0.06	)		(0.07	)		1.21
2016		1.03		0.01			0.12			0.13			(0.01	)		(0.08	)		(0.09	)		1.07
2015		1.12		0.01			(0.03	)		(0.02	)		(0.01	)		(0.06	)		(0.07	)		1.03
2014		1.04		0.01			0.11			0.12			(0.00	)(e)		(0.04	)		(0.04	)		1.12
2013		0.83		0.01			0.25			0.26			(0.01	)		(0.04	)		(0.05	)		1.04
Index 500 Stock Portfolio
2018(j)	$	4.93	$	0.04		$	0.08		$	0.12		$	—		$	—		$	—		$	5.05
2017		4.17		0.08			0.81			0.89			(0.08	)		(0.05	)		(0.13	)		4.93
2016		3.88		0.08			0.37			0.45			(0.07	)		(0.09	)		(0.16	)		4.17
2015		3.98		0.07			(0.03	)		0.04			(0.07	)		(0.07	)		(0.14	)		3.88
2014		3.61		0.07			0.41			0.48			(0.06	)		(0.05	)		(0.11	)		3.98
2013		2.84		0.06			0.84			0.90			(0.06	)		(0.07	)		(0.13	)		3.61
Large Company Value Portfolio
2018(j)	$	1.06	$	0.01		$	(0.02	)	$	(0.01	)	$	—		$	—		$	—		$	1.05
2017		1.02		0.02			0.08			0.10			(0.02	)		(0.04	)		(0.06	)		1.06
2016		0.99		0.02			0.12			0.14			(0.02	)		(0.09	)		(0.11	)		1.02
2015		1.15		0.02			(0.06	)		(0.04	)		(0.02	)		(0.10	)		(0.12	)		0.99
2014		1.07		0.02			0.12			0.14			—			(0.06	)		(0.06	)		1.15
2013		0.84		0.02			0.24			0.26			(0.01	)		(0.02	)		(0.03	)		1.07
Domestic Equity Portfolio
2018(j)	$	1.68	$	0.02		$	0.00	(e)	$	0.02		$	—		$	—		$	—		$	1.70
2017		1.54		0.03			0.18			0.21			(0.03	)		(0.04	)		(0.07	)		1.68
2016		1.41		0.03			0.19			0.22			(0.03	)		(0.06	)		(0.09	)		1.54
2015		1.44		0.03			(0.03	)		—			(0.03	)		—			(0.03	)		1.41
2014		1.29		0.03			0.14			0.17			(0.02	)		—			(0.02	)		1.44
2013		0.98		0.02			0.31			0.33			(0.02	)		—			(0.02	)		1.29

^(j)  For the six months ended June 30, 2018. (Unaudited)

^(e)  Amount is less than $0.005.

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

Financial Highlights

171

Total Return(d)			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
	10.25	%		$	1,017,631		0.43	%(c)		0.42	%(c)		0.70	%(c)		21.29	%
	24.27				959,854		0.43			0.42			0.78			57.70
	2.47				837,980		0.43			0.43			0.97			65.66
	6.01				860,348		0.43			0.42			0.82			50.12
	9.02				885,880		0.43			0.41			0.76			42.36
	35.86				847,384		0.44			0.43			0.79			85.54
	3.54	%		$	939,543		0.75	%(c)		0.63	%(c)		0.77	%(c)		6.95	%
	33.62				945,385		0.75			0.63			0.66			3.50
	5.87				771,800		0.76			0.63			0.83			9.38
	13.64				778,837		0.76			0.63			0.27			131.33
	9.43				722,379		0.77			0.64			(0.02	)		54.58
	29.01				624,512		0.79			0.71			0.04			63.90
	2.04	%		$	582,421		0.45	%(c)		0.44	%(c)		1.21	%(c)		37.98	%
	24.87				592,577		0.45			0.44			1.56			100.72
	7.57				514,495		0.45			0.45			1.96			6.83
	(3.06	)			509,411		0.45			0.44			2.04			13.36
	8.56				555,639		0.45			0.44			2.08			5.92
	28.58				538,368		0.46			0.46			1.78			72.60
	1.99	%		$	169,312		0.82	%(c)		0.82	%(c)		1.21	%(c)		13.76	%
	19.02				176,221		0.81			0.81			0.75			16.09
	13.99				164,752		0.82			0.81			0.97			21.12
	(2.42	)			153,841		0.81			0.81			0.99			16.11
	12.58				166,948		0.82			0.82			0.91			27.31
	30.86				151,099		0.83			0.83			1.01			55.43
	2.54	%		$	3,276,625		0.21	%(c)		0.21	%(c)		1.72	%(c)		1.76	%
	21.52				3,222,137		0.21			0.21			1.82			2.92
	11.73				2,678,914		0.21			0.21			1.97			3.28
	1.17				2,386,253		0.21			0.21			1.87			4.17
	13.46				2,370,298		0.21			0.22			1.84			2.65
	32.05				2,164,501		0.21			0.22			1.90			3.76
	(1.51	)%		$	190,716		0.76	%(c)		0.74	%(c)		1.84	%(c)		32.07	%
	11.10				199,836		0.75			0.73			2.15			53.45
	15.36				195,773		0.75			0.72			2.07			79.86
	(3.85	)			174,429		0.74			0.71			1.49			52.53
	13.03				190,954		0.75			0.72			1.55			55.92
	31.29				170,062		0.78			0.76			1.73			49.12
	1.31	%		$	814,209		0.55	%(c)		0.53	%(c)		1.89	%(c)		6.82	%
	13.78				819,214		0.55			0.54			1.93			12.37
	14.98				720,940		0.55			0.55			2.00			12.24
	(0.09	)			610,458		0.56			0.55			2.06			14.15
	13.87				620,021		0.56			0.56			1.92			7.97
	34.03				570,648		0.57			0.57			2.10			17.09

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(c)  Computed on an annualized basis.

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

Financial Highlights

172

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period
Equity Income Portfolio
2018(j)	$	1.86	$	0.02		$	(0.02	)	$	0.00	(e)	$	—		$	—		$	—		$	1.86
2017		1.72		0.04			0.23			0.27			(0.04	)		(0.09	)		(0.13	)		1.86
2016		1.56		0.04			0.24			0.28			(0.03	)		(0.09	)		(0.12	)		1.72
2015		1.77		0.03			(0.14	)		(0.11	)		(0.03	)		(0.07	)		(0.10	)		1.56
2014		1.72		0.03			0.10			0.13			(0.02	)		(0.06	)		(0.08	)		1.77
2013		1.34		0.03			0.37			0.40			(0.02	)		—			(0.02	)		1.72
Mid Cap Growth Stock Portfolio
2018(j)	$	3.46	$	0.00	(e)	$	0.25		$	0.25		$	—		$	—		$	—		$	3.71
2017		2.88		0.00	(e)		0.59			0.59			(0.01	)		—			(0.01	)		3.46
2016		3.11		0.01			0.02			0.03			(0.01	)		(0.25	)		(0.26	)		2.88
2015		3.40		0.01			0.02			0.03			(0.00	)(e)		(0.32	)		(0.32	)		3.11
2014		3.92		0.01			0.27			0.28			(0.01	)		(0.79	)		(0.80	)		3.40
2013		3.26		0.02			0.80			0.82			(0.01	)		(0.15	)		(0.16	)		3.92
Index 400 Stock Portfolio
2018(j)	$	2.11	$	0.01		$	0.06		$	0.07		$	—		$	—		$	—		$	2.18
2017		1.96		0.02			0.27			0.29			(0.02	)		(0.12	)		(0.14	)		2.11
2016		1.77		0.02			0.33			0.35			(0.02	)		(0.14	)		(0.16	)		1.96
2015		1.96		0.02			(0.07	)		(0.05	)		(0.02	)		(0.12	)		(0.14	)		1.77
2014		1.90		0.02			0.15			0.17			(0.02	)		(0.09	)		(0.11	)		1.96
2013		1.49		0.02			0.47			0.49			(0.02	)		(0.06	)		(0.08	)		1.90
Mid Cap Value Portfolio
2018(j)	$	1.83	$	0.01		$	(0.02	)	$	(0.01	)	$	—		$	—		$	—		$	1.82
2017		1.73		0.03			0.16			0.19			(0.03	)		(0.06	)		(0.09	)		1.83
2016		1.54		0.03			0.32			0.35			(0.03	)		(0.13	)		(0.16	)		1.73
2015		1.77		0.02			(0.04	)		(0.02	)		(0.03	)		(0.18	)		(0.21	)		1.54
2014		1.67		0.03			0.24			0.27			(0.02	)		(0.15	)		(0.17	)		1.77
2013		1.30		0.02			0.37			0.39			(0.01	)		(0.01	)		(0.02	)		1.67
Small Cap Growth Stock Portfolio
2018(j)	$	2.88	$	0.00	(e)	$	0.24		$	0.24		$	—		$	—		$	—		$	3.12
2017		2.39		0.00	(e)		0.52			0.52			(0.00	)(e)		(0.03	)		(0.03	)		2.88
2016		2.37		0.00	(e)		0.28			0.28			(0.01	)		(0.25	)		(0.26	)		2.39
2015		2.50		0.01			(0.01	)		—			(0.00	)(e)		(0.13	)		(0.13	)		2.37
2014		2.60		0.00	(e)		0.20			0.20			—			(0.30	)		(0.30	)		2.50
2013		1.88		0.00	(e)		0.73			0.73			(0.01	)		—			(0.01	)		2.60
Index 600 Stock Portfolio
2018(j)	$	1.45	$	0.01		$	0.12		$	0.13		$	—		$	—		$	—		$	1.58
2017		1.36		0.01			0.16			0.17			(0.03	)		(0.05	)		(0.08	)		1.45
2016		1.13		0.01			0.29			0.30			(0.01	)		(0.06	)		(0.07	)		1.36
2015		1.16		0.01			(0.04	)		(0.03	)		—			(0.00	)(e)		(0.00	)(e)		1.13
2014		1.33		0.01			0.06			0.07			(0.02	)		(0.22	)		(0.24	)		1.16
2013		1.01		0.01			0.39			0.40			(0.04	)		(0.04	)		(0.08	)		1.33
Small Cap Value Portfolio
2018(j)	$	2.54	$	0.01		$	0.07		$	0.08		$	—		$	—		$	—		$	2.62
2017		2.42		0.02			0.25			0.27			(0.02	)		(0.13	)		(0.15	)		2.54
2016		2.10		0.02			0.61			0.63			(0.02	)		(0.29	)		(0.31	)		2.42
2015		2.38		0.02			(0.14	)		(0.12	)		(0.02	)		(0.14	)		(0.16	)		2.10
2014		2.45		0.02			(0.02	)		0.00	(e)		(0.01	)		(0.06	)		(0.07	)		2.38
2013		1.89		0.01			0.59			0.60			(0.03	)		(0.01	)		(0.04	)		2.45

^(j)  For the six months ended June 30, 2018. (Unaudited)

^(e)  Amount is less than $0.005.

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

Financial Highlights

173

Total Return(d)			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
	(0.48	)%		$	804,681		0.65	%(c)		0.62	%(c)		2.23	%(c)		9.25	%
	16.24				844,398		0.65			0.62			2.04			21.27
	19.17				798,167		0.66			0.64			2.42			23.09
	(6.74	)			732,781		0.65			0.65			2.08			37.97
	7.43				781,735		0.66			0.66			1.94			13.56
	29.94				676,031		0.67			0.67			1.77			15.98
	7.43	%		$	1,120,638		0.54	%(c)		0.54	%(c)		0.11	%(c)		16.24	%
	20.29				1,097,433		0.54			0.54			0.14			148.03
	0.83				983,395		0.54			0.54			0.29			57.23
	0.71				1,025,151		0.53			0.52			0.17			68.54
	8.49				1,098,155		0.54			0.51			0.25			82.51
	25.53				1,073,332		0.54			0.52			0.44			137.80
	3.37	%		$	923,756		0.28	%(c)		0.26	%(c)		1.37	%(c)		10.06	%
	15.96				896,559		0.28			0.26			1.22			18.08
	20.38				773,157		0.28			0.27			1.31			19.44
	(2.38	)			634,401		0.28			0.27			1.23			18.70
	9.42				652,404		0.28			0.27			1.25			12.20
	33.16				624,092		0.29			0.28			1.15			11.21
	(0.82	)%		$	534,826		0.89	%(c)		0.76	%(c)		1.47	%(c)		28.18	%
	11.81				564,624		0.88			0.76			1.79			46.45
	23.23				518,217		0.89			0.77			1.71			53.81
	(1.33	)			410,233		0.89			0.77			1.38			71.46
	16.69				427,853		0.90			0.78			1.56			66.16
	30.24				343,933		0.91			0.85			1.54			68.43
	8.62	%		$	649,597		0.56	%(c)		0.56	%(c)		0.13	%(c)		31.25	%
	21.61				627,901		0.56			0.56			(0.01	)		43.11
	12.25				545,052		0.58			0.58			0.19			44.26
	0.32				494,932		0.57			0.56			0.22			48.21
	8.66				529,548		0.57			0.57			0.12			27.07
	38.60				520,492		0.59			0.59			0.00			155.34
	9.17	%		$	252,316		0.31	%(c)		0.31	%(c)		1.08	%(c)		22.00	%
	12.93				222,348		0.33			0.33			1.04			36.46
	26.12				173,883		0.36			0.35			1.00			52.14
	(2.35	)			113,993		0.36			0.34			0.95			46.59
	5.34				101,286		0.39			0.35			0.93			49.73
	40.67				123,487		0.38			0.35			0.76			47.23
	3.47	%		$	648,611		0.88	%(c)		0.87	%(c)		0.50	%(c)		13.54	%
	11.65				673,234		0.88			0.86			0.56			14.51
	32.39				647,830		0.89			0.88			0.93			24.02
	(5.45	)			514,970		0.88			0.88			1.00			35.53
	0.22				583,367		0.88			0.88			0.81			16.29
	31.76				576,830		0.88			0.88			0.46			9.17

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(c)  Computed on an annualized basis.

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

Financial Highlights

174

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period
International Growth Portfolio
2018(j)	$	1.59	$	0.02		$	(0.02	)	$	0.00	(e)	$	—		$	—		$	—		$	1.59
2017		1.24		0.02			0.35			0.37			(0.02	)		—			(0.02	)		1.59
2016		1.30		0.02			(0.07	)		(0.05	)		(0.01	)		—			(0.01	)		1.24
2015		1.34		0.02			(0.04	)		(0.02	)		(0.02	)		—			(0.02	)		1.30
2014		1.43		0.02			(0.09	)		(0.07	)		(0.02	)		—			(0.02	)		1.34
2013		1.21		0.02			0.22			0.24			(0.02	)		—			(0.02	)		1.43
Research International Core Portfolio
2018(j)	$	1.04	$	0.02		$	(0.04	)	$	(0.02	)	$	—		$	—		$	—		$	1.02
2017		0.82		0.02			0.22			0.24			(0.02	)		—			(0.02	)		1.04
2016		0.85		0.02			(0.03	)		(0.01	)		(0.01	)		(0.01	)		(0.02	)		0.82
2015		0.90		0.02			(0.03	)		(0.01	)		(0.02	)		(0.02	)		(0.04	)		0.85
2014		0.99		0.02			(0.09	)		(0.07	)		(0.01	)		(0.01	)		(0.02	)		0.90
2013		0.83		0.01			0.15			0.16			(0.00	)(e)		—			(0.00	)(e)		0.99
International Equity Portfolio
2018(j)	$	1.91	$	0.03		$	(0.08	)	$	(0.05	)	$	—		$	—		$	—		$	1.86
2017		1.60		0.04			0.31			0.35			(0.04	)		—			(0.04	)		1.91
2016		1.61		0.04			(0.00	)(e)		0.04			(0.03	)		(0.02	)		(0.05	)		1.60
2015		1.77		0.04			(0.08	)		(0.04	)		(0.05	)		(0.07	)		(0.12	)		1.61
2014		2.13		0.06			(0.24	)		(0.18	)		(0.04	)		(0.14	)		(0.18	)		1.77
2013		1.79		0.04			0.34			0.38			(0.04	)		(0.00	)(e)		(0.04	)		2.13
Emerging Markets Equity Portfolio
2018(j)	$	1.10	$	0.01		$	(0.12	)	$	(0.11	)	$	—		$	—		$	—		$	0.99
2017		0.87		0.02			0.22			0.24			(0.01	)		—			(0.01	)		1.10
2016		0.80		0.01			0.07			0.08			(0.01	)		—			(0.01	)		0.87
2015		0.93		0.01			(0.13	)		(0.12	)		(0.01	)		—			(0.01	)		0.80
2014		0.99		0.01			(0.06	)		(0.05	)		(0.01	)		(0.00	)(e)		(0.01	)		0.93
2013		1.06		0.01			(0.07	)		(0.06	)		(0.01	)		(0.00	)(e)		(0.01	)		0.99
Government Money Market Portfolio
2018(j)	$	1.00	$	0.01		$	—		$	0.01		$	(0.01	)	$	—		$	(0.01	)	$	1.00
2017		1.00		0.01			0.00	(e)		0.01			(0.01	)		(0.00	)(e)		(0.01	)		1.00
2016		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		(0.00	)(e)		(0.00	)(e)		1.00
2015		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		(0.00	)(e)		(0.00	)(e)		1.00
2014		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		—			(0.00	)(e)		1.00
2013		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		—			(0.00	)(e)		1.00
Short-Term Bond Portfolio
2018(j)	$	1.03	$	0.01		$	(0.01	)	$	0.00	(e)	$	—		$	—		$	—		$	1.03
2017		1.03		0.02			(0.01	)		0.01			(0.01	)		—			(0.01	)		1.03
2016		1.03		0.01			—			0.01			(0.01	)		—			(0.01	)		1.03
2015		1.03		0.01			(0.00	)(e)		0.01			(0.01	)		—			(0.01	)		1.03
2014		1.03		0.01			—			0.01			(0.01	)		—			(0.01	)		1.03
2013		1.03		0.01			(0.01	)		0.00	(e)		(0.00	)(e)		—			(0.00	)(e)		1.03
Select Bond Portfolio
2018	$	1.26	$	0.02		$	(0.04	)	$	(0.02	)	$	—		$	—		$	—		$	1.24
2017		1.26		0.03			0.02			0.05			(0.03	)		(0.02	)		(0.05	)		1.26
2016		1.25		0.02			0.03			0.05			(0.03	)		(0.01	)		(0.04	)		1.26
2015		1.27		0.02			(0.01	)		(0.01	)		(0.02	)		(0.01	)		(0.03	)		1.25
2014		1.23		0.02			0.05			0.07			(0.03	)		—			(0.03	)		1.27
2013		1.30		0.03			(0.05	)		(0.02	)		(0.03	)		(0.02	)		(0.05	)		1.23

^(j)  For the six months ended June 30, 2018. (Unaudited)

^(e)  Amount is less than $0.005.

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

Financial Highlights

175

Total Return(d)			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
	(0.50	)%		$	682,623		0.64	%(c)		0.64	%(c)		2.19	%(c)		20.17	%
	30.03				697,581		0.67			0.67			1.32			19.52
	(3.41	)			523,122		0.71			0.71			1.67			25.57
	(1.73	)			485,313		0.74			0.74			1.12			134.92
	(4.52	)			436,931		0.74			0.74			1.75			64.20
	19.81				420,218		0.76			0.76			1.20			77.33
	(1.25	)%		$	640,721		0.82	%(c)		0.77	%(c)		3.08	%(c)		15.35	%
	28.21				658,005		0.86			0.81			1.74			27.88
	(1.12	)			499,649		0.92			0.88			1.98			40.08
	(1.11	)			498,395		0.91			0.91			1.78			32.43
	(6.71	)			457,008		0.94			0.94			2.45			25.24
	18.92				412,413		0.98			0.98			1.65			30.41
	(2.92	)%		$	1,831,145		0.69	%(c)		0.54	%(c)		3.48	%(c)		13.02	%
	22.30				1,927,673		0.70			0.57			2.40			20.68
	2.89				1,628,267		0.71			0.62			2.65			16.25
	(2.21	)			1,605,948		0.73			0.64			2.05			18.80
	(8.80	)			1,635,378		0.72			0.66			2.91			17.84
	21.38				1,778,202		0.73			0.66			2.10			34.06
	(10.32	)%		$	650,232		1.12	%(c)		1.01	%(c)		1.71	%(c)		9.61	%
	27.84				718,281		1.18			1.06			1.61			98.21
	9.06				521,800		1.25			1.16			1.24			47.33
	(12.24	)			444,297		1.32			1.32			0.91			45.83
	(6.25	)			416,997		1.35			1.35			1.02			45.75
	(5.15	)			357,253		1.46			1.40			0.81			31.60
	0.63	%		$	415,025		0.34	%(c)		0.34	%(c)		1.26	%(c)		—%
	0.60				439,438		0.33			0.33			0.59			—
	0.13				501,635		0.32			0.32			0.11			—
	0.01				445,287		0.33			0.26			0.01			—
	0.07				438,752		0.33			0.07			0.07			—
	0.10				483,182		0.32			0.07			0.10			—
	0.19	%		$	300,531		0.40	%(c)		0.40	%(c)		1.95	%(c)		23.75	%(g)
	1.33				293,514		0.42			0.41			1.60			45.77
	1.67				269,833		0.43			0.43			1.33			36.61
	0.72				244,204		0.43			0.42			1.17			35.76
	0.38				234,487		0.41			0.41			0.76			196.15
	0.55				196,198		0.42			0.42			0.76			199.33
	(1.67	)%		$	3,037,555		0.31	%(c)		0.31	%(c)		2.48	%(c)		130.18	%(g)
	3.58				2,943,934		0.32			0.31			2.15			390.26	(g)
	3.06				2,839,045		0.32			0.31			1.91			524.79	(g)
	0.53				2,856,958		0.31			0.31			1.76			476.41	(g)
	5.56				2,841,156		0.32			0.32			1.97			308.80	(g)
	(2.16	)			1,712,896		0.32			0.32			1.99			131.49	(g)

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(c)  Computed on an annualized basis.

^(g)  Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

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

Financial Highlights

176

Financial Highlights

(For a share outstanding throughout the period)

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments			Total Distributions			Net Asset Value, End of Period
Long-Term U.S. Government Bond Portfolio
2018(j)	$	1.08	$	0.01		$	(0.05	)	$	(0.04	)	$	—		$	—		$	—		$	1.04
2017		1.06		0.03			0.05			0.08			(0.02	)		(0.04	)		(0.06	)		1.08
2016		1.08		0.03			(0.01	)		0.02			(0.02	)		(0.02	)		(0.04	)		1.06
2015		1.12		0.03			(0.05	)		(0.02	)		(0.02	)		—			(0.02	)		1.08
2014		0.92		0.03			0.19			0.22			(0.02	)		—			(0.02	)		1.12
2013		1.07		0.03			(0.18	)		(0.15	)		(0.00	)(e)		(0.00	)(e)		(0.00	)(e)		0.92
Inflation Protection Portfolio
2018(j)	$	1.11	$	0.02		$	(0.03	)	$	(0.01	)	$	—		$	—		$	—		$	1.10
2017		1.09		0.02			0.01			0.03			(0.01	)		(0.00	)(e)		(0.01	)		1.11
2016		1.05		0.02			0.03			0.05			(0.01	)		—			(0.01	)		1.09
2015		1.10		0.01			(0.03	)		(0.02	)		(0.03	)		—			(0.03	)		1.05
2014		1.08		0.01			0.03			0.04			(0.01	)		(0.01	)		(0.02	)		1.10
2013		1.22		0.01			(0.12	)		(0.11	)		(0.01	)		(0.02	)		(0.03	)		1.08
High Yield Bond Portfolio
2018(j)	$	0.75	$	0.02		$	(0.03	)	$	(0.01	)	$	—		$	—		$	—		$	0.74
2017		0.74		0.04			0.01			0.05			(0.04	)		—			(0.04	)		0.75
2016		0.68		0.04			0.06			0.10			(0.04	)		—			(0.04	)		0.74
2015		0.72		0.04			(0.05	)		(0.01	)		(0.03	)		—			(0.03	)		0.68
2014		0.75		0.04			(0.03	)		0.01			(0.04	)		—			(0.04	)		0.72
2013		0.75		0.04			—			0.04			(0.04	)		—			(0.04	)		0.75
Multi-Sector Bond Portfolio
2018(j)	$	1.09	$	0.02		$	(0.04	)	$	(0.02	)	$	—		$	—		$	—		$	1.07
2017		1.05		0.04			0.04			0.08			(0.04	)		—			(0.04	)		1.09
2016		0.99		0.04			0.07			0.11			(0.05	)		—			(0.05	)		1.05
2015		1.08		0.04			(0.05	)		(0.01	)		(0.06	)		(0.02	)		(0.08	)		0.99
2014		1.08		0.04			(0.01	)		0.03			(0.03	)		—			(0.03	)		1.08
2013		1.14		0.04			(0.05	)		(0.01	)		(0.04	)		(0.01	)		(0.05	)		1.08
Balanced Portfolio
2018(j)	$	1.47	$	0.00	(e)	$	0.02		$	0.02		$	—		$	—		$	—		$	1.49
2017		1.40		0.03			0.12			0.15			(0.03	)		(0.05	)		(0.08	)		1.47
2016		1.38		0.02			0.07			0.09			(0.03	)		(0.04	)		(0.07	)		1.40
2015		1.48		0.02			(0.02	)		0.00	(e)		(0.03	)		(0.07	)		(0.10	)		1.38
2014		1.56		0.02			0.07			0.09			(0.04	)		(0.13	)		(0.17	)		1.48
2013		1.51		0.03			0.14			0.17			(0.05	)		(0.07	)		(0.12	)		1.56
Asset Allocation Portfolio
2018(j)	$	1.21	$	0.00	(e)	$	0.01		$	0.01		$	—		$	—		$	—		$	1.22
2017		1.12		0.02			0.15			0.17			(0.03	)		(0.05	)		(0.08	)		1.21
2016		1.11		0.02			0.06			0.08			(0.03	)		(0.04	)		(0.07	)		1.12
2015		1.20		0.02			(0.03	)		(0.01	)		(0.02	)		(0.06	)		(0.08	)		1.11
2014		1.28		0.01			0.05			0.06			(0.03	)		(0.11	)		(0.14	)		1.20
2013		1.13		0.02			0.17			0.19			(0.04	)		—			(0.04	)		1.28

^(j)  For the six months ended June 30, 2018. (Unaudited)

^(e)  Amount is less than $0.005.

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

Financial Highlights

177

Total Return(d)			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
	(3.25	)%		$	111,667		1.01	%(c) (s)		0.97	%(c) (s)		2.68	%(c)		22.10	%(g)
	8.28				115,713		0.94	(s)		0.92	(s)		2.64			50.94	(g)
	1.09				110,391		0.77	(s)		0.77	(s)		2.19			126.34	(g)
	(1.47	)			104,513		0.69	(s)		0.67	(s)		2.32			32.93	(g)
	23.73				109,250		0.68	(s)		0.67	(s)		2.67			116.62	(g)
	(13.27	)			87,627		0.69	(s)		0.68	(s)		2.69			129.77	(g)
	(0.99	)%		$	355,337		0.59	%(c)		0.56	%(c)		2.80	%(c)		14.99	%
	3.58				401,711		0.61			0.57			2.05			20.82
	4.68				326,927		0.64			0.59			1.54			33.80
	(2.20	)			287,089		0.63			0.59			0.52			17.29
	3.14				285,685		0.63			0.59			1.26			20.25
	(8.33	)			252,708		0.64			0.62			0.91			31.82
	(0.40	)%		$	802,473		0.45	%(c)		0.45	%(c)		5.59	%(c)		10.02	%
	6.88				811,878		0.45			0.45			5.48			31.59
	14.59				756,947		0.47			0.46			5.83			35.58
	(1.36	)			688,124		0.46			0.46			5.55			27.49
	1.18				701,988		0.47			0.47			5.43			96.48
	5.84				518,387		0.48			0.48			5.70			53.07
	(1.92	)%		$	864,876		0.82	%(c)		0.75	%(c)		4.21	%(c)		20.73	%(g)
	8.38				840,981		0.82			0.75			4.06			48.84
	11.09				689,849		0.84			0.78			3.86			42.81
	(2.22	)			580,634		0.85			0.79			4.13			58.14	(g)
	3.25				546,059		0.86			0.81			3.89			58.51	(g)
	(1.58	)			459,258		0.88			0.88			3.91			65.10	(g)
	0.81	%		$	2,242,539		0.31	%(c) (v)		0.06	%(c) (v)		0.08	%(c) (u)		10.43	%
	11.98				2,307,470		0.31			0.06			1.75			16.58
	6.58				2,202,834		0.31			0.07			1.73			23.64
	(0.12	)			2,219,466		0.31			0.08			1.43			13.53
	5.56				2,367,127		0.32			0.16			1.29			56.83	(g) (h)
	12.08				2,366,285		0.32			0.32			1.91			112.58	(g)
	1.41	%		$	274,990		0.57	%(c) (v)		0.09	%(c) (v)		0.05	%(c) (u)		14.25	%
	14.87				277,213		0.57	(v)		0.09	(v)		1.68			22.05
	7.79				250,399		0.58	(v)		0.09	(v)		1.69			25.59
	(0.43	)			249,413		0.58	(v)		0.08	(v)		1.47			15.36
	5.15				266,409		0.62	(v)		0.23	(v)		1.13			39.50	(g) (h)
	16.67				260,576		0.65			0.60			1.65			105.28	(g)

^(c)  Computed on an annualized basis.

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(g)  Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

^(h)  Portfolio Turnover Rate excludes the impact of in kind transactions.

^(s)  The ratios of gross expenses to average net assets and net expenses to average net assets include interest expense. Excluding interest expense, the ratios would be 0.68% and 0.65% respectively for the period ended June 30, 2018, 0.67% and 0.65% respectively for the period ended December 31, 2017, 0.64% and 0.64% respectively in 2016, 0.67% and 0.64% respectively in 2015, 0.67% and 0.65% respectively in 2014, and 0.67% and 0.65% respectively in 2013.

^(u)  Net investment income is affected by the timing of dividend declaration by investee funds.

^(v)  The ratios do not reflect the fund of fund’s proportionate share of income and expenses of the underlying investee funds.

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

Financial Highlights

178

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 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 an affiliated fund of funds).

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 (2014 to 2017) 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. During 2017 and 2016, the Government Money Market Portfolio utilized earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes.

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 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 or more Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature

Notes to Financial Statements

179

Notes to Financial Statements (unaudited)

and type of expenses and the relative net assets of the Portfolios. The Portfolios consider highly liquid temporary cash investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in the short-term investments on the Schedule of Investments as well as in investments on the Statement of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.

F. New Accounting Pronouncements — In August 2016, the FASB issued an Accounting Standards Update (“ASU”) 2016-15 which amends ASC 230 to clarify guidance on the classification of certain cash receipts and cash payments in the statement of cash flows. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods within those annual periods. In November 2016, the FASB issued ASU 2016-18 which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted cash and restricted cash equivalents on the statement of cash flows. The ASU has been adopted.

In March 2017, the FASB issued ASU No. 2017-08, “Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities.” ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is evaluating the impact that adopting ASU 2017-08 will have on the financial statements.

Note 3. Security Valuation

For purposes of calculating a net asset value, Portfolio securities and other assets are valued as of the close of trading on the New York Stock Exchange (“Exchange”) on each day during which the Exchange is open for trading.

The Fair Value Measurements and Disclosures Topic of the Financial Accounting Standards Codification defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

• Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

• Level 2 — fair value is determined by other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation)

• Level 3 — fair value is determined by significant unobservable inputs (including the Portfolios’ own assumptions in determining fair value)

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolios’ perceived risk of that instrument.

The following is a description of the valuation techniques and significant inputs used in determining the value of the Portfolios’ investments classified as Level 1 and Level 2 in the fair value hierarchy:

• Equity securities (common and preferred stock) for which market quotations are readily available are valued at the last sale or 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 valued at the last quoted bid price. Equity securities traded only in the over-the-counter market and not on a securities exchange are valued at the last sale price or closing bid price, if no sales have occurred. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Additionally, for foreign securities, fair value procedures are used if a significant event occurs between the close of the foreign market and the U.S. market close. The fair value price is reflected as Level 2 in the fair value hierarchy where applicable.

• Fixed income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, 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.

Notes to Financial Statements

180

Notes to Financial Statements (unaudited)

• Fixed income securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 in the fair value hierarchy.

• Mortgage related and asset backed securities are generally issued as separate tranches, or classes, of securities within each deal. These securities are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage related and asset backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

• Investments in open-end mutual funds (including other Portfolios) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 in the fair value hierarchy. Investments in privately held mutual funds are valued at the mutual fund’s closing net asset value per share and are categorized as Level 2 in the fair value hierarchy.

• Money market investments, other than in the Government Money Market Portfolio, are generally valued by a pricing service. All securities in the Government Money Market Portfolio are valued using amortized cost, unless the current market value differs substantially from the amortized cost, at which time the securities are marked to market. Because the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy.

• Listed derivatives, such as futures or option contracts, which are actively traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation and are categorized as Level 1 in the fair value hierarchy.

• Centrally cleared swaps are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. These securities are categorized as Level 2 in the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate forward rate to produce the daily settlement price. These securities are categorized as Level 2 in the fair value hierarchy.

• Over-the-counter financial derivatives, such as foreign currency contracts, futures 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, 2018 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration 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. The Portfolios recognize transfers between levels as of the end of the period. The amounts of transfers between Levels 1 and 2 are disclosed in the Notes to Schedules of Investments for the Portfolio. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported

Notes to Financial Statements

181

Notes to Financial Statements (unaudited)

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.

The Series Fund has adopted policies and procedures which govern the pricing of Portfolio securities. The Board has delegated the day-to-day responsibility for pricing Portfolio securities and other investments to Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser, Northwestern Mutual in its capacity as fund administrator, and State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of a Pricing Committee appointed by the Board and comprised of representatives of MSA, Northwestern Mutual and Series Fund officers. The Pricing Committee is charged with the primary and day-to-day operational responsibility for executing the valuation process. The Pricing Committee has been delegated the authority to approve the override of any prices as permitted under the pricing procedures approved by the Board and any variances from these pricing procedures when appropriate. All such actions are subject to further review and approval by the Board at its next regular meeting.

Note 4. Securities and Other Investments

A. Delayed Delivery Transactions and When-Issued Securities — Certain Portfolios may engage in securities transactions on a when-issued or delayed delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations. When delayed delivery purchases are outstanding, a Portfolio will earmark liquid assets on its records in amounts sufficient to meet the purchase price. A Portfolio may dispose of or renegotiate a delayed delivery transaction, which may result in a capital gain or loss.

B. Repurchase Agreements — Certain Portfolios may engage in repurchase transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Portfolio’s custodian or designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

C. Restricted Securities — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.

D. Foreign Currency Transactions — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.

The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

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 dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent of the amounts actually received or paid.

Notes to Financial Statements

182

Notes to Financial Statements (unaudited)

E. Mortgage Backed and Asset Backed Securities — Certain Portfolios may invest in mortgage backed securities, including collateralized mortgage obligations, and asset backed securities. Mortgage backed securities are interests in pools of residential or commercial mortgage loans and asset backed securities are interests in pools of other assets, including various types of loans and credit card receivables. These securities provide a monthly payment, consisting of both a principal and interest component. Interest payments may be based on either fixed rates or adjustable rates. Receipt of principal payment reduces the outstanding par amount of the security and may generate realized gains or losses. Yields on mortgage backed securities are affected by interest and prepayment rates, which, in turn, are influenced by a variety of economic, geographical, social and other factors. Maturities on mortgage backed securities represent stated maturity dates. Actual maturity dates may differ based on prepayment rates. Unlike mortgage backed securities issued or guaranteed by the U.S. government or one of its sponsored entities, mortgage backed securities and asset backed securities issued by private issuers do not have a government or government sponsored entity guarantee. These issuers may provide credit enhancements through external entities such as financial institutions or through the structuring of the transaction itself. There is no guarantee that credit enhancements, if any, will be sufficient to prevent losses.

F. Inflation-Indexed Bonds — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio’s Statement of Operations even though investors do not receive their principal until maturity.

G. Short Sales — Certain Portfolios may enter into short sale transactions. A short sale is a transaction in which a Portfolio sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested.

H. Financing Transactions — Certain Portfolios may enter into financing transactions. In a financing transaction, the Portfolio transfers a security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. For U.S. GAAP purposes, a financing transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, the Portfolio is entitled to the interest on the security. The difference between the sale price and repurchase price is included in net investment income with the cost of the secured borrowing transaction being recorded in interest expense over the term of the borrowing. The Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the financing transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio’s net investment income and dividends to shareholders may be adversely impacted. Financing transactions involve the risk that the market value of the securities that the Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities.

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. For the period ended June 30, 2018, only the Multi Sector Bond Portfolio invested in loan participations and assignments.

Notes to Financial Statements

183

Notes to Financial Statements (unaudited)

J. Reverse Repurchase Agreements — Certain Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. When effecting reverse repurchase transactions, the Portfolio will hold securities of a dollar amount equal in value to the securities subject to the reverse repurchase agreement in a segregated account. As of June 30, 2018, there were reverse repurchase agreements held in the Long -Term U.S. Government Bond Portfolio and the Multi-Sector Bond Portfolio.

K. Zero Strike Warrants – Certain Portfolios may invest in low exercise price call warrants (zero strike warrants). Zero strike warrants are issued by banks or broker-dealers and allow the Portfolio to gain exposure to common stocks in markets that place restrictions on direct investments by foreign investors and may or may not be traded on an exchange. Income received from zero strike warrants is recorded as dividend income in the Statement of Operations. To the extent a Portfolio invests in zero strike warrants whose returns correspond to the performance of a foreign stock, investing in zero strike warrants will involve risks similar to the risks of investing in foreign securities. Additional risks associated with zero strike warrants include the potential inability of the counterparty to fulfill their obligations under the warrant, inability to transfer or liquidate the warrants and potential delays or an inability to redeem before expiration under certain market conditions.

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

Notes to Financial Statements

184

Notes to Financial Statements (unaudited)

writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.

D. Swap Agreements — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).

Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

Interest Rate Swaps — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.

Total Return Swaps — Total return swap agreements involve commitments to pay or receive a financing rate in exchange for the total return of an underlying reference entity, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

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.

Notes to Financial Statements

185

Notes to Financial Statements (unaudited)

As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. The Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the footnotes to 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, 2018, 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 – Futures Variation Margin	$	31	Payables – Futures Variation Margin	$	–
Large Company Value Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		33	Payables – Foreign Currency Purchased		25
Index 400 Stock Portfolio
Equity contracts	Receivables – Futures Variation Margin		18	Payables – Futures Variation Margin		–
Mid Cap Value Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		71	Payables – Foreign Currency Purchased		60
Index 600 Portfolio
Equity contracts	Receivables – Outstanding Swaps Contracts, at Value		43	Payables – Outstanding Swaps Contracts, at Value		–
International Growth Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		–	Payables – Foreign Currency Purchased		1
Research International Core Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		1	Payables – Foreign Currency Purchased		2
Emerging Markets Equity Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		–	Payables – Foreign Currency Purchased		1
Short-Term Bond Portfolio
Interest rate contracts	Receivables – Futures Variation Margin		3	Payables – Futures Variation Margin		8

Notes to Financial Statements

186

Notes to Financial Statements (unaudited)

	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 – Futures Variation Margin	$	9	Payables – Futures Variation Margin	$	–
Interest rate contracts	Receivables – Cleared Swap Variation Margin		8	Payables – Cleared Swap Variation Margin		1
Interest rate contracts	Receivables – Outstanding Options Written, at Value		–	Payables – Outstanding Options Written, at Value		5
Inflation Protection Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		57	Payables – Foreign Currency Purchased		–
Interest rate contracts	Receivables – Futures Variation Margin		2	Payables – Futures Variation Margin		8
Other contracts	Receivables – Cleared Swap Variation Margin		10	Payables – Cleared Swap Variation Margin		–
Other contracts	Receivables – Outstanding Swaps Contracts, at Value		1,741	Payables – Outstanding Swaps Contracts, at Value		3,067
Multi-Sector Bond Portfolio
Credit contracts	Receivables – Outstanding Swaps Contracts, at Value		22	Payables – Outstanding Swaps Contracts, at Value		1,053
Credit contracts	Receivables – Cleared Swap Variation Margin		15	Payables – Cleared Swap Variation Margin		100
Foreign exchange contracts	Receivables – Foreign Currency Sold		2,782	Payables – Foreign Currency Purchased		2,474
Interest rate contracts	Receivables – Outstanding Options Written, at Value		–	Payables – Outstanding Options Written, at Value		31
Interest rate contracts	Receivables – Futures Variation Margin		18	Payables – Futures Variation Margin		51
Interest rate contracts	Receivables – Cleared Swap Variation Margin		16	Payables – Cleared Swap Variation Margin		20
Balanced Portfolio
Equity contracts	Receivables – Futures Variation Margin		24	Payables – Futures Variation Margin		–
Asset Allocation Portfolio
Equity contracts	Receivables – Futures Variation Margin		4	Payables – Futures Variation Margin		–

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2018 are (amounts in thousands):

Realized Gain (Loss) on Derivatives Instruments

Portfolio

Options / Options Written

Futures

Forward Currency Contracts

Swaps

Total

Large Cap Core Portfolio

Foreign currency exchange contracts

$

–

$

–

$

1

$

–

$

1

Index 500 Stock Portfolio

Equity contracts

–

2,074

–

–

2,074

Large Company Value Portfolio

Foreign currency exchange contracts

–

–

218

–

218

Equity Income Portfolio

Foreign currency exchange contracts

–

–

5

–

5

Index 400 Stock Portfolio

Equity contracts

–

1,455

–

–

1,455

Mid Cap Value Portfolio

Foreign currency exchange contracts

–

–

117

–

117

Index 600 Stock Portfolio

Equity contracts

–

–

–

994

994

International Growth Portfolio

Foreign currency exchange contracts

–

–

(113

)

–

(113

)

Research International Core Portfolio

Foreign currency exchange contracts

–

–

(413

)

–

(413

)

International Equity Portfolio

Foreign currency exchange contracts

–

–

(282

)

–

(282

)

Emerging Markets Equity Portfolio

Foreign currency exchange contracts

–

–

(141

)

–

(141

)

Short-Term Bond Portfolio

Interest rate contracts

–

(327

)

–

–

(327

)

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

18

(401

)

–

(102

)

(485

)

Notes to Financial Statements

187

Notes to Financial Statements (unaudited)

	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options / Options Written		Futures			Forward Currency Contracts		Swaps			Total
Inflation Protection Portfolio
Foreign currency exchange contracts	$	–	$	–		$	23	$	–		$	23
Interest rate contracts		1,544		–			–		–			1,544
Other contracts		–		–			–		(244	)		(244	)
Multi-Sector Bond Portfolio
Credit contracts		–		–			–		(27	)		(27	)
Foreign currency exchange contracts		–		–			1,674		–			1,674
Interest rate contracts		354		(6,873	)		–		(6	)		(6,525	)
Balanced Portfolio
Equity contracts		–		1,209			–		–			1,209
Asset Allocation Portfolio
Equity contracts		–		220			–		–			220

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2018 are (amounts in thousands):

	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options / Options Written		Futures			Forward Currency Contracts			Swaps			Total
Index 500 Stock Portfolio
Equity contracts	$	–	$	(1,138	)	$	–		$	–		$	(1,138	)
Large Company Value Portfolio
Foreign currency exchange contracts		–		–			199			–			199
Equity Income Portfolio
Foreign currency exchange contracts		–		–			(4	)		–			(4	)
Index 400 Stock Portfolio
Equity contracts		–		(580	)		–			–			(580	)
Mid Cap Value Portfolio
Foreign currency exchange contracts		–		–			294			–			294
Index 600 Stock Portfolio
Equity Contracts		–		–			–			33			33
International Growth Portfolio
Foreign currency exchange contracts		–		–			(15	)		–			(15	)
Research International Core Portfolio
Foreign currency exchange contracts		–		–			(53	)		–			(53	)
International Equity Portfolio
Foreign currency exchange contracts		–		–			(141	)		–			(141	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		–		–			(18	)		–			(18	)
Short-Term Bond Portfolio
Interest rate contracts		–		124			–			–			124
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		3		274			–			593			870
Inflation Protection Portfolio
Foreign currency exchange contracts		–		–			133			–			133
Interest rate contracts		–		(674	)		–			–			(674	)
Other contracts		–		–			–			2,838			2,838
Multi-Sector Bond Portfolio
Credit contracts		–		–			–			(3,448	)		(3,448	)
Foreign currency exchange contracts		–		–			3,295			–			3,295
Interest rate contracts		8		1,132			–			(370	)		770
Balanced Portfolio
Equity contracts		–		(692	)		–			–			(692	)
Asset Allocation Portfolio
Equity contracts		–		(130	)		–			–			(130	)

Notes to Financial Statements

188

Notes to Financial Statements (unaudited)

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2018 are:

	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
Portfolio	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps
Index 500 Stock Portfolio
Equity contracts		–		302	$	–	$	–
Large Company Value Portfolio
Foreign currency exchange contracts		–		–		13,344		–
Index 400 Stock Portfolio
Equity contracts		–		95		–		–
Mid Cap Value Portfolio
Foreign currency exchange contracts		–		–		18,085		–
Index 600 Stock Portfolio
Equity contracts		–		–		–		13,264
Short-Term Bond Portfolio
Interest rate contracts		–		285		–		–
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		19		232		–		21,710
Inflation Protection Portfolio
Foreign currency exchange contracts		–		–		3,184		–
Interest rate contracts		–		430		–		–
Other contracts		–		–		–		120,550
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		186,945
Foreign currency exchange contracts		–		–		493,705		–
Interest rate contracts		230		1,964		–		1,303,233
Balanced Portfolio
Equity contracts		–		144		–		–
Asset Allocation Portfolio
Equity contracts		–		28		–		–

Note 6. Portfolio Risk

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Portfolios’ income. Similar to credit risk, the Portfolios may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Portfolios’ investments may be illiquid and the Portfolios may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Portfolio is required to liquidate all or a portion of its investments quickly, the Portfolio may realize significantly less than the value at which it previously recorded those investments.

Master Netting Arrangements

The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that govern 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 govern 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.

Notes to Financial Statements

189

Notes to Financial Statements (unaudited)

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 counter-party 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, 2018, has been limited such that the net amount cannot be less than zero.

Large Company Value Portfolio

Offsetting of Financial Assets and Derivative Assets
			(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Foreign Currency			$	33	$	–	$	33
Financial Assets, Derivative Assets, and Collateral Held
		(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Assets in the Statement of     Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial     Instruments		Cash Collateral         Received		Net Amount
Goldman Sachs International	$	8	$	(1)	$	–	$	7
Morgan Stanley Capital Services		25		(24)	$	(1)	$	–
Total	$	33	$	(25)	$	(1)	$	7
				(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Foreign Currency			$	25	$	–	$	25
Financial Liabilities, Derivative Liabilities, and Collateral Pledged
		(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Pledged		Net Amount
Goldman Sachs International	$	1	$	(1)	$	–	$	–
Morgan Stanley Capital Services		24		(24)		–		–
Total	$	25	$	(25)	$	–	$	–

Notes to Financial Statements

190

Notes to Financial Statements (unaudited)

Government Money Market Portfolio

Offsetting of Financial Assets and Derivative Assets
				(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreements			$	139,000	$	–	$	139,000
Financial Assets, Derivative Assets, and Collateral Held
		(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Assets in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Bank of Nova Scotia	$	9,000	$	(9,000)	$	–	$	–
Bank of Montreal		5,000		(5,000)		–		–
BNP Paribas SA		20,000		(20,000)		–		–
Citigroup Global Markets		20,000		(20,000)		–		–
Credit Agricole SA		10,000		(10,000)		–		–
Goldman Sachs & Co.		10,000		(10,000)		–		–
HSBC Bank USA		12,000		(12,000)		–		–
Mitsubishi UFJ Securities USA		10,000		(10,000)		–		–
Mizuho Bank		10,000		(10,000)		–		–
Natixis SA		20,000		(20,000)		–		–
TD Securities USA		13,000		(13,000)		–		–
Total	$	139,000	$	(139,000)	$	–	$	–

Long-Term U.S. Government Bond Portfolio

Offsetting of Financial Liabilities and Derivative Liabilities
				(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Financing Transactions			$	100,169	$	–	$	100,169
Options Written				5		–		5
Reverse Repurchase Agreements				11,913		–		11,913
Total			$	112,086	$	–	$	112,086
Financial Liabilities, Derivative Liabilities, and Collateral Pledged
		(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Pledged		Net Amount
Bank of Montreal	$	10,608	$	–	$	(9,600)	$	1,008
Goldman Sachs & Co.		100,174		(100,162)		(5)		7
JPMorgan		1,304		–		(1,290)		14
Total	$	112,086	$	(100,162)	$	(10,895)	$	1,029

Notes to Financial Statements

191

Notes to Financial Statements (unaudited)

Inflation Protection Portfolio

Offsetting of Financial Assets and Derivative Assets
				(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Foreign Currency			$	57	$	–	$	57
Swaps				1,741				1,741
Total			$	1,798	$	–	$	1,798
Financial Assets, Derivative Assets, and Collateral Held
		(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Assets in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Bank of America, N.A.	$	189	$	(189)	$	–	$	–
Barclays Bank PLC		4		(4)		–		–
Goldman Sachs International		1,548		–		(1,530)		18
Morgan Stanley Capital Services		57		–		–		57
Total	$	1,798	$	(193)	$	(1,530)	$	75
Offsetting of Financial Liabilities and Derivative Liabilities
				(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Swaps			$	3,067	$	–	$	3,067
Financial Liabilities, Derivative Liabilities, and Collateral Pledged
		(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Pledged		Net Amount
Bank of America, N.A.	$	1,526	$	(1,526)	$	–	$	–
Barclays Bank PLC		1,541		(1,333)		–		208
Total	$	3,067	$	(2,859)	$	–	$	208

Multi-Sector Bond Portfolio

Offsetting of Financial Assets and Derivative Assets
		(i)		(ii)		(iii) = (i) - (ii)
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreements	$	112,000	$	–	$	112,000
Swaps		22		–		22
Foreign Currency		2,782		–		2,782
Total	$	114,804	$	–	$	114,804

Notes to Financial Statements

192

Notes to Financial Statements (unaudited)

Multi-Sector Bond Portfolio (continued)

Financial Assets, Derivative Assets, and Collateral Held
	(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Assets in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities				Net Amount
Counterparty			Financial Instruments		Cash Collateral Received
Bank of America, N.A.	$	736	$	(108)	$	(628)	$	–
Barclays Bank PLC		7		(7)		–		–
BNP Paribas SA		1,059		(473)		(550)		36
Goldman Sachs International		6		(6)		–		–
HSBC Bank USA		679		(679)		–		–
JPMorgan Chase Bank, N.A.		112,063		(112,063)		–		–
Royal Bank of Canada		118		–		(118)		–
Royal Bank of Scotland		13		(13)		–		–
UBS AG		123		(123)		–		–
Total	$	114,804	$	(113,472)	$	(1,296)	$	36
Offsetting of Financial Liabilities and Derivative Liabilities
			(i)		(ii)		(iii) = (i) - (ii)
Description			Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Options Written			$	31	$	–	$	31
Reverse Repurchase Agreements				2,009		–		2,009
Swaps				1,053		–		1,053
Foreign Currency				2,474		–		2,474
Total			$	5,567	$	–	$	5,567
Financial Liabilities, Derivative Liabilities, and Collateral Pledged
	(iii)		(iv)				(v) = (iii) - (iv)
	Net Amounts of Liabilities in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities				Net Amount
Counterparty			Financial Instruments		Cash Collateral Pledged
Bank of America, N.A.	$	108	$	(108)	$	–	$	–
Barclays Bank PLC		345		(345)		–		–
Barclays Capital, Inc.		1,465		(1,465)		–		–
BNP Paribas SA		473		(473)		–		–
Deutsche Bank		544		(544)		–		–
Goldman Sachs International		157		(157)		–		–
HSBC Bank USA		747		(747)		–		–
JPMorgan Chase Bank, N.A.		130		(130)		–		–
Morgan Stanley Capital Services		5		–		–		5
Royal Bank of Scotland		242		(13)		–		229
UBS AG		1,351		(123)		–		1,228
Total	$	5,567	$	(4,105)	$	–	$	1,462

Notes to Financial Statements

193

Notes to Financial Statements (unaudited)

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, a wholly owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay at a fixed annual rate based on the average daily net asset values of the Portfolio.

Portfolio	Fee
Index 500 Stock Portfolio	0.20%
Index 400 Stock Portfolio	0.25%
Mid Cap Value Portfolio	0.85%
Small Cap Value Portfolio	0.85%
Government Money Market Portfolio	0.30%
Select Bond Portfolio	0.30%
Balanced Portfolio	0.30%

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:

Portfolio	First $50 Million	Next $50 Million	Excess Over $100 Million
Growth Stock Portfolio	0.60%	0.50%	0.40%
Large Cap Core Stock Portfolio	0.60%	0.50%	0.40%
Mid Cap Growth Stock Portfolio	0.80%	0.65%	0.50%
Small Cap Growth Stock Portfolio	0.80%	0.65%	0.50%
High Yield Bond Portfolio	0.60%	0.50%	0.40%
Portfolio	First $100 Million	Next $400 Million	Excess Over $500 Million
Focused Appreciation Portfolio	0.80%	0.75%	0.70%
Portfolio	First $100 Million	Next $150 Million	Excess Over $250 Million
Large Company Value Portfolio	0.72%	0.67%	0.62%
Domestic Equity Portfolio	0.65%	0.55%	0.50%
International Growth Portfolio	0.75%	0.65%	0.55%
Short-Term Bond Portfolio	0.35%	0.33%	0.30%
Long-Term U.S. Government Bond Portfolio	0.555%	0.515%	0.495%
Inflation Protection Portfolio	0.58%	0.55%	0.49%
Multi-Sector Bond Portfolio	0.79%	0.78%	0.77%
Asset Allocation Portfolio	0.60%	0.50%	0.40%
Portfolio	First $150 Million	Next $150 Million	Next $200 Million	Excess Over $500 Million
Large Cap Blend Portfolio	0.77%	0.70%	0.62%		0.56%
Research International Core Portfolio	0.88%	0.82%	0.75%		0.68%
Portfolio	First $500 Million	Excess Over $500 Million
Equity Income Portfolio	0.65%	0.60%
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%

Notes to Financial Statements

194

Notes to Financial Statements (unaudited)

MSA, which is the manager and investment adviser of the Series Fund, contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses (excluding taxes, brokerage, other investment-related costs, interest and dividend expenses and charges, acquired fund fees and expenses and such non-recurring and extraordinary expenses as they may arise) will not exceed the following amounts:

Portfolio			Expiration
Focused Appreciation Portfolio	0.90	%		April 30, 2019
Large Cap Blend Portfolio	0.85	%		April 30, 2019
Large Company Value Portfolio	0.80	%		April 30, 2019
Domestic Equity Portfolio	0.75	%		April 30, 2019
Equity Income Portfolio	0.75	%		April 30, 2019
Mid Cap Value Portfolio	1.00	%		April 30, 2019
Index 600 Stock Portfolio	0.35	%		April 30, 2019
Small Cap Value Portfolio	1.00	%		April 30, 2019
International Growth Portfolio	1.10	%		April 30, 2019
Research International Core Portfolio	1.15	%		April 30, 2019
Emerging Markets Equity Portfolio	1.50	%		April 30, 2019
Short-Term Bond Portfolio	0.45	%		April 30, 2019
Long-Term U.S. Government Bond Portfolio	0.65	%		April 30, 2019
Inflation Protection Portfolio	0.65	%		April 30, 2019
Multi-Sector Bond Portfolio	0.90	%		April 30, 2019
Asset Allocation Portfolio	0.75	%		April 30, 2019

Growth Stock Portfolio – For the period from January 1, 2018 through April 30, 2018, 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 0.38% on average net assets in excess of $500 million. Effective May 1, 2018, 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, 0.38% on the next $500 million, and 0.36% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Focused Appreciation Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.66% on the Portfolio’s first $100 million of average net assets, 0.61% on the next $400 million, 0.60% on the next $500 million, and 0.57% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Large Cap Core Stock Portfolio – For the period from January 1, 2018 through April 30, 2018, 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 0.35% on average net assets in excess of $500 million. Effective May 1, 2018, 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, 2019.

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, 2019.

Large Company Value Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.70% on the Portfolio’s first $100 million of average net assets, 0.65% on the next $150 million, 0.59% on the next $250 million, and 0.57% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Domestic Equity Portfolio – For the period from January 1, 2018 through April 30, 2018, 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, and 0.47% on the average net assets in excess of $500 million. Effective May 1, 2018, 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, 0.47% on the next $500 million, and 0.45% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Equity Income Portfolio – For the period from January 1, 2018 through April 30, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.63% on the Portfolio’s first $500 million of average net assets, 0.55% on

Notes to Financial Statements

195

Notes to Financial Statements (unaudited)

the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. Effective May 1, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.62% on the Portfolio’s first $500 million of average net assets, 0.55% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Mid Cap Growth Stock Portfolio – For the period from January 1, 2018 through April 30, 2018, 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 0.48% on average net assets in excess of $1 billion. Effective May 1, 2018, 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, 2019.

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, 2019.

Mid Cap Value Portfolio – For the period from January 1, 2018 through April 30, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, 0.70% on the next $350 million, and 0.67% on the average net assets in excess of $500 million. Effective May 1, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, 0.69% on the next $350 million, and 0.66% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

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, 2018.

International Growth Portfolio – Effective May 1, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.75% on the Portfolio’s first $100 million of average net assets, 0.65% of 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, 2019.

Research International Core Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.83% on the Portfolio’s first $150 million of average net assets, 0.77% of the next $150 million, 0.70% on the next $200 million, and 0.63% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

International Equity Portfolio – For the period from January 1, 2018 through April 30, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.77% on the Portfolio’s first $50 million of average net assets, 0.57% on the next $450 million, 0.54% on the next $500 million, 0.47% on the next $500 million, and 0.42% on the average net assets in excess of $1.5 billion. Effective May 1, 2018, MSA has agreed to waive a portion of its management fee such that the management fee is 0.77% on the Portfolio’s first $50 million of average net assets, 0.57% on the next $450 million, 0.54% on the next $500 million, 0.47% on the next $500 million, and 0.41% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Emerging Markets Equity Portfolio – MSA has agreed to waive a portion of its management fee such that its management fee is 1.01% on the Portfolio’s first $250 million of average net assets, 0.93% on the next $250 million, 0.91% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

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, 2019. In addition, MSA has voluntarily agreed to waive its advisory fee and/or reimburse expenses in excess of the Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio. This voluntary waiver will be reviewed periodically by MSA in light of market and economic developments and may be revised or discontinued at any time without advance notice.

Short-Term Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.35% on the Portfolio’s first $100 million of average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million, and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Notes to Financial Statements

196

Notes to Financial Statements (unaudited)

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, 2019.

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% on 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, 2019.

Inflation Protection Portfolio – MSA agreed to waive a portion of its management fee such that the management fee is 0.55% on the Portfolio’s first $100 million of average net assets, 0.50% on the next $150 million, and 0.46% on average net assets in excess of $250 million. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

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, 2019.

Multi-Sector Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.67% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Balanced Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Asset Allocation Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.05% on all average net assets. MSA may terminate this fee waiver agreement at any time after April 30, 2019.

Waivers are not recoupable in future periods.

With respect to certain Portfolios, MSA has engaged and oversees 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, corporate actions, 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, corporate actions and paydowns on structured product investments.

Notes to Financial Statements

197

Notes to Financial Statements (unaudited)

A summary of the Portfolios’ capital loss carryovers as of December 31, 2017 is provided below:

	Short-Term Loss Carryover		Long-Term Loss Carryover		Losses Utilized		Losses Expired
	(Amounts in thousands)
Large Cap Core Stock Portfolio	$	–	$	–	$	837	$	–
Mid Cap Growth Stock Portfolio		–		–		16,965		–
International Growth Portfolio		16,110		2,426		–		7,111
Research International Core Portfolio		–		5,832		10,894		–
International Equity Portfolio		13,732		8,138		44,876		–
Emerging Markets Equity Portfolio		–		17,231		28,060		–
Short-Term Bond Portfolio		1,179		1,246		–		–
Select Bond Portfolio		2,235		414		–		–
Inflation Protection Portfolio		725		1,132		–		–
High Yield Bond Portfolio		–		4,975		5,331		19,925
Multi-Sector Bond Portfolio		13,094		–		6,249		–

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the period ended December 31, 2017 was as follows:

	2017 DistributionsPaid From:
Portfolio	Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	7,919	$	41,619
Focused Appreciation Portfolio		7,447		15,000
Large Cap Core Stock Portfolio		9,903		—
Large Cap Blend Portfolio		1,572		8,161
Index 500 Stock Portfolio		53,611		29,420
Large Company Value Portfolio		6,519		5,231
Domestic Equity Portfolio		16,927		13,986
Equity Income Portfolio		19,168		36,605
Mid Cap Growth Stock Portfolio		2,583		—
Index 400 Stock Portfolio		9,365		47,364
Mid Cap Value Portfolio		11,745		15,266
Small Cap Growth Stock Portfolio		625		6,457
Index 600 Stock Portfolio		5,210		5,517
Small Cap Value Portfolio		4,984		33,520
International Growth Portfolio		8,203		—
Research International Core Portfolio		9,827		—
International Equity Portfolio		42,550		—
Emerging Markets Equity Portfolio		5,748		—
Government Money Market Portfolio		2,770		5
Short-Term Bond Portfolio		3,730		—
Select Bond Portfolio		98,769		—
Long-Term U.S. Government Bond Portfolio		4,589		1,984
Inflation Protection Portfolio		3,414		—
High Yield Bond Portfolio		43,155		—
Multi-Sector Bond Portfolio		30,040		—
Balanced Portfolio		56,193		76,318
Asset Allocation Portfolio		6,212		10,741

As of December 31, 2017, the components of distributable earnings on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses		Unrealized Appreciation (Depreciation)
	(Amounts in thousands)
Growth Stock Portfolio	$	19,285	$	92,900	$	–	$	215,852
Focused Appreciation Portfolio		6,290		24,536		–		255,073
Large Cap Core Stock Portfolio		13,132		162,866		–		49,974
Large Cap Blend Portfolio		1,436		7,945		–		42,762
Index 500 Stock Portfolio		56,053		28,215		–		1,710,942
Large Company Value Portfolio		6,624		11,246		–		18,729
Domestic Equity Portfolio		16,392		26,745		–		233,858

Notes to Financial Statements

198

Notes to Financial Statements (unaudited)

Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)
	(Amounts in thousands)
Equity Income Portfolio	$	18,673	$	58,411	$	–		$	164,096
Mid Cap Growth Stock Portfolio		49,554		135,034		–			47,978
Index 400 Stock Portfolio		11,288		57,309		–			260,802
Mid Cap Value Portfolio		14,596		43,616		–			68,739
Small Cap Growth Stock Portfolio		6,699		44,317		–			157,467
Index 600 Stock Portfolio		5,864		7,520		–			44,836
Small Cap Value Portfolio		4,946		45,060		–			229,373
International Growth Portfolio		9,449		–		(18,536	)		135,731
Research International Core Portfolio		10,585		–		(5,832	)		112,138
International Equity Portfolio		45,977		–		(21,870	)		328,607
Emerging Markets Equity Portfolio		9,192		–		(17,231	)		109,096
Short-Term Bond Portfolio		4,647		–		(2,426	)		(519	)
Select Bond Portfolio		67,892		–		(2,649	)		(14,575	)
Long-Term U.S. Government Bond Portfolio		4,123		671		–			(5,323	)
Inflation Protection Portfolio		7,026		–		(1,857	)		647
High Yield Bond Portfolio		43,280		–		(4,975	)		12,222
Multi-Sector Bond Portfolio		26,934		–		(13,094	)		23,773
Balanced Portfolio		55,332		46,465		–			171,824
Asset Allocation Portfolio		6,104		6,578		–			27,315

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 65% of the foreign dividend taxes withheld attributable to the portion of the Portfolio owned by Northwestern Mutual. Reimbursements are recorded when foreign dividend taxes are accrued and are included in Unaffiliated Dividends on the Statement of Operations.

Voluntary reimbursements for the periods ended June 30, 2018 and December 31, 2017 are summarized below:

Portfolio	2018 Reimbursements		2017 Reimbursements
International Growth Portfolio	$	894,063	$	972,733
Research International Core Portfolio		881,900		1,277,132
International Equity Portfolio		3,114,474		3,938,457
Emerging Markets Equity Portfolio		1,043,017		991,056

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 loss to be remote.

Note 11. Investment Income and Securities Transactions

For the period ended June 30, 2018, transactions in securities other than short term investments were:

Portfolio	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	$	207,230	$	–	$	248,343	$	–
Focused Appreciation Portfolio		65,245		–		105,440		–
Large Cap Core Stock Portfolio		222,521		–		240,657		–
Large Cap Blend Portfolio		21,511		–		24,670		–
Index 500 Stock Portfolio		57,074		–		56,519		–
Large Company Value Portfolio		61,844		–		69,427		–
Domestic Equity Portfolio		55,111		–		65,399		–
Equity Income Portfolio		75,001		–		101,414		–
Mid Cap Growth Stock Portfolio		179,389		–		235,818		–
Index 400 Stock Portfolio		94,359		–		93,817		–
Mid Cap Value Portfolio		149,858		–		174,586		–
Small Cap Growth Stock Portfolio		195,147		–		226,595		–
Index 600 Stock Portfolio		61,192		–		48,814		–

Notes to Financial Statements

199

Notes to Financial Statements (unaudited)

Portfolio	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)
Small Cap Value Portfolio	$	86,200	$	–	$	128,683	$	–
International Growth Portfolio		141,890		–		137,692		–
Research International Core Portfolio		104,259		–		99,287		–
International Equity Portfolio		241,687		–		244,687		–
Emerging Markets Equity Portfolio		76,073		–		67,417		–
Short-Term Bond Portfolio		83,180		6,694		57,015		12,569
Select Bond Portfolio		1,659,554		2,827,133		1,254,635		2,905,122
Long-Term U.S. Government Bond Portfolio		403		28,466		202		48,657
Inflation Protection Portfolio		23,048		29,794		26,244		43,736
High Yield Bond Portfolio		93,685		–		77,259		–
Multi-Sector Bond Portfolio		164,199		–		210,220		–
Balanced Portfolio		223,242		–		328,289		–
Asset Allocation Portfolio		37,264		–		47,731		–

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, 2018 are as follows:

Portfolio	Value at 12/31/2017		Purchases		Sales		Value at 6/30/2018		Change in Unrealized Appreciation/ Depreciation			Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2018
					(Amounts in thousands)
Balanced:
Growth Stock	$	151,087	$	–	$	11,800	$	154,246	$	12,793		$	2,166		$	–	$	–		15.2	%
Focused Appreciation		75,676		–		4,600		73,952		1,815			1,061			–		–		7.9	%
Large Cap Core Stock		75,636		–		4,800		72,483		440			1,206			–		–		12.4	%
Large Cap Blend		75,787		–		5,400		71,969		339			1,243			–		–		42.5	%
Large Company Value		75,686		–		4,100		70,581		(1,402	)		397			–		–		37.0	%
Domestic Equity		75,695		–		6,850		70,084		(1,153	)		2,391			–		–		8.6	%
Equity Income		75,677		–		4,500		70,997		(1,093	)		914			–		–		8.8	%
Mid Cap Growth Stock		111,510		–		19,750		99,567		7,805			2			–		–		8.9	%
Mid Cap Value		113,530		–		19,750		93,497		(4,144	)		3,862			–		–		17.5	%
Small Cap Growth Stock		37,601		–		17,250		22,647		(1,888	)		4,184			–		–		3.5	%
Small Cap Value		50,129		–		17,250		33,741		(1,041	)		1,903			–		–		5.2	%
International Growth		53,067		–		12,300		40,751		(2,365	)		2,349			–		–		6.0	%
Research International Core		125,619		–		19,600		104,994		(7,298	)		6,273			–		–		16.4	%
International Equity		51,900		–		12,300		38,518		(3,694	)		2,611			–		–		2.1	%
Emerging Markets Equity		13,467		–		11,100		1,764		(1,706	)		1,103			–		–		0.3	%
Select Bond		790,177		114,500		14,500		876,962		(12,775	)		(440	)		–		–		28.9	%
Inflation Protection		45,885		–		45,030		–		(723	)		(133	)		–		–		0.0	%
High Yield Bond		139,300		–		–		138,739		(560	)		–			–		–		17.3	%
	$	2,137,429	$	114,500	$	230,880	$	2,035,492	$	(16,650	)	$	31,092		$	–	$	–
Asset Allocation:
Growth Stock	$	22,019	$	–	$	1,307	$	22,927	$	1,962		$	252		$	–	$	–		2.3	%
Focused Appreciation		11,034		–		605		10,852		278			145			–		–		1.2	%
Large Cap Core Stock		12,405		–		540		12,127		129			134			–		–		2.1	%
Large Cap Blend		12,428		–		635		12,043		109			142			–		–		7.1	%
Large Company Value		11,030		–		394		10,487		(191	)		42			–		–		5.5	%
Domestic Equity		11,027		–		775		10,422		(99	)		269			–		–		1.3	%
Equity Income		11,030		–		430		10,562		(123	)		85			–		–		1.3	%
Mid Cap Growth Stock		16,133		–		2,750		14,492		1,131			(22	)		–		–		1.3	%
Mid Cap Value		16,348		–		2,750		13,518		(588	)		507			–		–		2.5	%
Small Cap Growth Stock		7,444		–		2,550		5,396		(168	)		670			–		–		0.8	%
Small Cap Value		9,237		–		2,550		6,878		(151	)		342			–		–		1.1	%
International Growth		9,716		–		1,650		8,047		(332	)		313			–		–		1.2	%
Research International Core		20,881		–		2,615		18,072		(1,027	)		832			–		–		2.8	%
International Equity		9,544		–		1,650		7,667		(572	)		346			–		–		0.4	%
Emerging Markets Equity		5,314		–		4,750		433		(567	)		437			–		–		0.1	%
Select Bond		43,628				2,000		60,838		(679	)		(60	)		–		–		2.0	%
Inflation Protection		5,607		–		5,501		–		(87	)		(19	)		–		–		0.0	%
High Yield Bond		22,290		–		–		22,201		(91	)		–			–		–		2.8	%
	$	257,115	$	19,950	$	33,452	$	246,962	$	(1,066	)	$	4,415		$	–	$	–

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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, 2018, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):

Portfolio	Cross Trade Purchases
Large Cap Core Portfolio	$	2,543
Large Company Value Portfolio		1,025
Mid Cap Growth Stock Portfolio		315
Mid Cap Value Portfolio		1,367
Small Cap Growth Portfolio		762
Small Cap Value Portfolio		305
International Growth Portfolio		5,066
Research International Core Portfolio		262
High Yield Bond Portfolio		5,985

		Cross Trade Sales
Portfolio		Proceeds		Net Realized Gains (Losses) on Sales
Large Cap Core Portfolio	$	910	$	(102	)
Large Company Value Portfolio		883		(19	)
Mid Cap Value Portfolio		2,681		379
Small Cap Growth Portfolio		4,497		1,659
Small Cap Value Portfolio		472		(218	)
International Growth Portfolio		16,482		716
Research International Core Portfolio		1,309		374

Note 12. Litigation

The Index 500 Stock, Small Cap Value and Equity Income Portfolios are among the defendants in two lawsuits relating to their receipt of proceeds from the 2007 Tribune Co. leveraged buy-out (“Tribune LBO”) transaction. One lawsuit, filed in a U.S. Bankruptcy Court by a group of unsecured creditors, asserts that the directors and officers of Tribune Co. intentionally defrauded Tribune creditors because Tribune was either insolvent or rendered insolvent by the transactions. Counsel for the Series Fund and other institutional defendants filed a motion to dismiss the intentional fraudulent transfer case in the Southern District of New York and the district court judge granted the motion to dismiss without leave to amend. The trustee’s counsel has filed a motion to certify the dismissal for appeal to the U.S. Court of Appeals for the Second Circuit. The other set of lawsuits, filed by a group of secured creditors in various U.S. federal courts, asserts that the transfer of proceeds to the above-noted Portfolios (and other shareholders) as part of the Tribune LBO were constructively fraudulent. Following the grant of a motion to dismiss the secured creditors’ constructive fraud claim by the District Court, the affirmation of that dismissal by the U.S. Court of Appeals for the Second Circuit, followed by a denial of a motion for reconsideration, the Plaintiffs requested review of the decision by the U.S. Supreme Court. The case subsequently was remanded to the U.S. Court of Appeals for the Second Circuit for consideration of the impact of the U.S. Supreme Court’s decision in another case that presented a common legal issue. The lawsuits allege no misconduct by the Portfolios or management, and management intends to vigorously defend all claims and allegations. The plaintiffs in both lawsuits seek to recover amounts paid to Tribune shareholders in the leveraged buyout transaction, plus interest and attorneys’ fees and expenses. The value of the proceeds received by these Portfolios in 2007, and the percentage the proceeds represent of each Portfolio’s net assets as of June 30, 2018, were: Index 500 Stock Portfolio $977,000 (0.03% of net assets); Small Cap Value Portfolio $618,000 (0.09% of net assets); and Equity Income Portfolio $2,873,000 (0.36% of net assets). Management has not concluded that a loss is reasonably likely to occur, and therefore no loss accrual has been recorded.

In 2016, the Series Fund was a participant in an appraisal action relating to the share of Dell, Inc. (“Dell”) held by the Equity Income Portfolio. In consultation with T. Rowe Price Associates, Inc. (“T. Rowe Price”), the sub-adviser for the Equity Income Portfolio, the Equity Income Portfolio declined to receive consideration of $13.75 per share, plus a special dividend of $0.13 per share, in connection with a going private transaction approved by Dell shareholders in September 2013. Instead, the Portfolio was seeking an appraisal of the fair value of its Dell shares in the Delaware Chancery Court. Ultimately, the Chancery Court issued a finding that the correct value of the Dell shares at the time of the merger was $17.62 per share, or $3.87 over the merger price of $13.75. However, due to an inadvertent error in the voting process by T. Rowe Price, the Equity Income Portfolio lost the right to seek appraisal and benefit from the higher share valuation as determined by the Court, and was therefore only entitled to receive the consideration offered by Dell.

T. Rowe Price subsequently informed the Series Fund that they intended to reimburse the Equity Income Portfolio by an amount designed to put the Portfolio in the same position it would have been in had its valuation rights not been lost due to the voting error, and payment to the Portfolio was made in the amount of $2,084,801.77. The Series Fund received the merger share price for the Dell Shares held by the Portfolio. Pursuant to the settlement agreement with T. Rowe Price, the Equity Income Portfolio is required to repay T. Rowe Price if the valuation decision is reversed or reduced on appeal. On December 14, 2017, the Delaware Supreme Court issued an opinion reversing the trial court’s judgment and remanding the case to the trial court for further proceedings. Although it is not clear how the trial court will eventually rule or what the ultimate

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valuation would be, the Supreme Court’s opinion suggested that the trial court’s valuation of $17.62 would be reduced. Based upon the Supreme Court’s opinion and an assessment of the projected reduction in the per share value anticipated in connection with the Chancery Court’s reconsideration, an updated contingent liability has been recorded for $1,312,190 (the estimated amount of the reduction in value).

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202

Proxy Voting and Portfolio Holdings

Proxy Voting Guidelines

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

Quarterly Filing of Portfolio Holdings

Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q filings are available on the SEC website at http://www.sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Portfolios also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at www.northwesternmutual.com.

Proxy Voting and Portfolio Holdings

203

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements

Annual Contract Review Process

Under Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), contracts for investment advisory services are required to be reviewed, evaluated and approved by a majority of an investment company’s independent directors each year. In addition, each investment company is required to disclose in its annual or semi-annual report, as applicable, the material factors and conclusions that formed the basis for the board’s approval or renewal of any investment advisory agreements within the investment company’s most recently completed fiscal half-year period.

At least annually, the Board of Directors (the “Board”) of Northwestern Mutual Series Fund, Inc. (the “Series Fund”) considers and votes upon the renewal of the investment sub-advisory agreements between Mason Street Advisors, LLC (“Mason Street Advisors”) and each of the sub-advisers of those portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”) for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.

Board Approvals During the Six-Month Period Ended June 30, 2018

At its February 21, 2018 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 21, 2018 meeting, the Board, including the Independent Directors, unanimously approved the continuance of an Amended and Restated Investment Sub-Advisory Agreement between (1) Mason Street Advisors and BNY Mellon Asset Management North America Corporation (“BNY Mellon”) relating to the Series Fund’s Growth Stock Portfolio, and between (2) Mason Street Advisors and Wellington Management Company LLP (“Wellington”) relating to the Series Fund’s Small Cap Growth Stock Portfolio.

At its June 6, 2018 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Massachusetts Financial Services Company (“MFS”) relating to the Series Fund’s Research International Core Portfolio, (2) an Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and FIAM LLC (“FIAM”) relating to the Series Fund’s International Growth Portfolio, (3) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Templeton Investment Counsel, LLC (“Templeton”) relating to the Series Fund’s International Equity Portfolio, (4) an Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“FMI”) relating to the Series Fund’s Large Cap Blend Portfolio, and (5) an Investment Sub-Advisory Agreement between Mason Street Advisors and Aberdeen Asset Managers Limited (“Aberdeen”) relating to the Series Fund’s Emerging Markets Equity Portfolio. BNY Mellon, Wellington, MFS, FIAM, Templeton, FMI and Aberdeen are sometimes collectively referred to herein as the “Sub-Advisers,” their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios” and the respective Investment Sub-Advisory Agreements with the Sub-Advisers are collectively referred to herein as the “Sub-Advisory Agreements.”

In determining whether to approve the continuance of the Advisory Agreement and the Sub-Advisory Agreements on behalf of the Series Fund, the Board requested and received detailed information from Mason Street Advisors and the Sub-Advisers in advance of each meeting to assist them in their evaluation, including information compiled by certain independent providers of evaluative data. While particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to Mason Street Advisors and the Sub-Advisers and the nature, extent and quality of the services they provide to the Portfolios is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was informed by information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the review of the Advisory Agreement and Sub-Advisory Agreements, and summarizing the legal standards governing the review and approval of these Agreements. The Independent Directors reviewed these standards with their counsel during the

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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 21, 2018 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 contained 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 Morningstar Associates, LLC (“Morningstar Report”) for each of the Portfolios. The Morningstar 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 Morningstar peer group for each Portfolio as selected by Morningstar 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 Morningstar Report included an executive summary of the performance and expense information compiled by Morningstar 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 21, 2018 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 their knowledge of the nature and quality of the services provided by Mason Street Advisors acquired from serving as directors throughout the year, and the performance of each Portfolio over various time periods as presented at the 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, including investment management and administrative services and services in connection with the oversight and evaluation of the various sub-advisers appointed to manage the majority of the Series Fund’s Portfolios. 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 directors commented specifically on the nature of the administrative services, including the shift in services related to fund accounting to the Portfolios’ custodian, provided by Mason Street Advisors and its affiliates as part of the Advisory Agreement, noting that they considered the volume and quality of such services to be high, particularly in relation to the fees charged under the Advisory Agreement. The risk management infrastructure implemented by Mason Street Advisors, the Series Fund’s compliance program and compliance infrastructure, and its various compliance policies and procedures, oversight of brokerage and trading, and succession planning were also considered by the directors.

Based on their review of these factors, and reflecting upon their experience with Mason Street Advisors’ services provided to the Portfolios, the Board concluded, within the context 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 associated with the Portfolios.

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements

Investment Performance. The Morningstar Report assisted the Board in its evaluation of the performance of the Portfolios. The directors considered the investment performance of each of the Portfolios over a variety of periods. In addition to absolute performance and risk-adjusted 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 (as applicable) performance to the returns of appropriate benchmarks and indices, and to the performance averages of each Portfolio’s respective Morningstar and Lipper categories for the same periods; (ii) the Morningstar and Lipper overall ratings for each Portfolio; and (iii) the Morningstar and Lipper rankings for the one-, three- and five-year periods. The directors evaluated each Portfolio’s performance against these peer groups and industry benchmarks and indices. They viewed this information as providing an objective comparative benchmark 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 Morningstar regarding each Portfolio’s net returns versus net expenses relative to each Portfolio’s category for the five-year period ended December 31, 2017. The directors reviewed and considered the five Portfolios that placed in the fourth quartile, and discussed the steps that had already had been taken to improve the performance returns of four of these Portfolios, (the Emerging Markets Equity, International Growth, Large Cap Core, and Mid Cap Growth Portfolios), which included the relatively recent appointment of new sub-advisers with respect to three of the Portfolios. The directors noted that the fifth Portfolio was the Growth Stock Portfolio, observing that there had been significant attention focused on performance improvement plans at the February 21, 2018 meeting.

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 regarding performance, investment process and investment strategies between the Board, the Sub-Advisers and the portfolio managers of the Portfolios that occurred at meetings from time to time. While attentive to short-term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance.

The directors considered the performance returns of the Portfolios, which indicated that 9 of the 27 Portfolios were ranked in the first quartile of their respective Morningstar category groups for the one-year period ended December 31, 2017, that 9 of the 27 Portfolios were ranked in the first or second quartile for each of the one-, three- and five-year periods ended December 31, 2017, and that 17 of the 27 Portfolios were ranked in the first or second quartile for the five-year period ended December 31, 2017. The directors took into consideration information provided by Mason Street Advisors with respect to performance results for the Portfolios that ranked in Morningstar’s third and fourth quartiles, and the steps being taken by Mason Street Advisors to address performance concerns.

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, and the steps being taken or being considered to address performance concerns, the Board concluded that, in the totality of circumstances and within the context of its overall determinations regarding the Advisory Agreement, it was satisfied with the relative investment performance of each Portfolio over time and that, with respect to those Portfolios that had ranked in Morningstar’s third and fourth quartiles over various periods, the performance was being sufficiently monitored and appropriate actions had been taken or were being considered.

Management Fees and Other Expenses. The Morningstar 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 total expenses of each Portfolio and a comparison of those expenses with each Portfolio’s respective peer group as a guide to help assess the reasonableness of each Portfolio’s advisory fees and net and total expense ratios. The Morningstar Report also included additional comparative information relating to other fee components, including costs relating to custodial services, shareholder reporting and audit expenses. 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

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for certain Portfolios, and the amounts waived or reimbursed by Mason Street Advisors under the 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 would often result under a typical investment management contract, and concluded that as a result of these additional services, a comparison of Mason Street Advisors’ management fees to Morningstar averages might not provide a complete frame of reference.

The directors considered information made available regarding compensation paid to Mason Street Advisors by other clients and differences between the fees paid by these clients and the fees paid by the Series Fund. The directors recognized that Mason Street Advisors’ other clients were affiliated institutional accounts. The directors were informed that the advisory fees charged to these other clients were based on different factors and considerations, including differences in the level and nature of services provided by Mason Street Advisors, differences in the applicable regulatory structure, differences in the investment objectives and policies of these other clients and, moreover, the affiliated nature of the other relationships. Accordingly, the directors did not consider the advisory fees charged to these other clients as particularly relevant in assessing the advisory fees charged under the Advisory Agreement.

The directors also evaluated each Portfolio’s total operating expenses over various periods. Commenting favorably on the strong expense controls in place for the Portfolios, the directors observed that all of the Portfolios were ranked in Morningstar’s first or second quartile (meaning lowest expenses) for total expenses within their respective category groups at December 31, 2017, with 23 of the Portfolios ranking in the first quartile. The directors also considered the savings that had been achieved by the recent change in the Portfolios’ custodian, and the resulting favorable impact on certain Portfolios’ expense rankings.

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 expense waivers and fee caps that were in place) 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’ quarterly presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Portfolios on an aggregate and a per Portfolio basis, and reviewed Mason Street Advisors’ allocation methodology with respect to its revenues and expenses, which had remained consistent with prior years. The profitability information presented for the directors’ consideration was supplemented by information regarding the range of peer expenses in each Portfolio’s respective Morningstar category and the ranking of each Portfolio within the categories. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolios, the directors considered services provided by affiliates of Mason Street Advisors.

The directors considered the allocation of fees as between Mason Street Advisors and each sub-adviser as well as applicable asset levels, breakpoints, total expenses and management fee waivers that are in place for those Portfolios. As part of the allocation of fees, the Board considered Mason Street Advisors’ decision for the upcoming year to increase fee waivers with respect to six Portfolios, to reduce the fee waivers with respect to two Portfolios, and maintain all other existing fee waivers and expense caps at their current level for an additional one-year period. The directors also considered the impact to Mason Street Advisors’ profitability of the recent change in the model for the delivery of fund accounting services to the Series Fund.

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 certain mutual fund programs 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 mutual fund programs maintained by the brokerage affiliate of Mason Street Advisors.

The directors also considered that the assets of certain of the Portfolios are invested in certain exchange traded funds (“ETFs”) beyond the limitations of the 1940 Act in reliance on certain exemptive orders issued by the Securities and Exchange Commission to such ETFs. The Board concluded that the advisory fees payable to Mason Street Advisors by such Portfolios were based on services that were in addition to, and not duplicative of, services provided by the ETFs. The Board also considered the fund of funds model employed by the Asset Allocation and Balanced Portfolios in connection with their operation as funds of funds in consideration for these reduced advisory fees.

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The directors recognized the difficulty in obtaining reliable comparative data about mutual fund managers’ profitability, since such information generally is not publicly available and may be impacted by numerous factors specific to the investment adviser and its method of allocating revenues and expenses. Based on their review of the profitability provided for each Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability arising from each Portfolio was not excessive.

Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with Portfolio investors. The directors considered the breakpoints contained in the management fee schedules for 20 of the 27 Portfolios that have breakpoints and 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 Morningstar or benefited from advisory fee waivers and/or expense limitation agreements put in place by Mason Street Advisors. Also considered was Mason Street Advisors’ commitment to continue to regularly work with the Board to evaluate the need for additional breakpoints or fee waivers as each Portfolio’s assets grow over time. In particular, the directors considered that Mason Street Advisors had agreed to increase fee waivers with respect to six of the Portfolios and reduce waivers with respect to two of the Portfolios. The directors also discussed the importance of continuing to achieve economies of scale by, among other things, seeking to increase assets in the Portfolios. Based on this information, the Board concluded that, within the context of its overall determinations regarding the Advisory Agreement, each Portfolio’s fee structure reflected appropriate economies of scale for the benefit of Portfolio investors.

Continuation of the Sub-Advisory Agreements Between Mason Street Advisors and Certain Sub-Advisers

At its February 21, 2018 and June 6, 2018 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Sub-Advisory Agreements with respect to the Sub-Advised Portfolios. At those meetings, the directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about the Sub-Advisers during the course of those meetings, the 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 expenses, performance, brokerage commissions, portfolio turnover, style consistency and other factors with respect to each of the Sub-Advised Portfolios, as well as 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, 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 firm updates 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 certain of the Sub-Advisers.

With respect to the Sub-Advisory Agreements reviewed in February, the directors took into consideration a recent internal reorganization involving BNY Mellon, resulting in the merger of two affiliated investment advisers, and the steps that were

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being taken to retain personnel in light of the merger, and evaluated whether the internal reorganization was likely to materially impact services being provided to the Growth Stock Portfolio. The directors viewed favorably the presentation provided by Wellington and expressed confidence in Wellington’s portfolio manager for the Small Cap Growth Portfolio.

With respect to the Sub-Advisory Agreements considered for continuance in June, the directors considered the investment strategy employed by MFS for the Research International Core Portfolio, and commented favorably on the increased stability in, and succession planning for, the sector lead positions. The directors noted positively the continued involvement of the firm’s global director of research in directing the work of the investment analysts and focusing on improving performance. With respect to FIAM, the directors considered certain leadership changes to the firm’s equity division, and the potential impact on the firm’s ability to provide services to the International Growth Portfolio. The directors commented favorably on the presentation provided by FIAM regarding the positioning of the International Growth Portfolio in light of market developments. The directors also commented favorably on FIAM’s consistent investment approach, and expressed continued confidence in FIAM’s sub-advisory services. With respect to the International Equity Portfolio, the directors considered the new duties assumed by the portfolio manager and the balancing of the manager’s existing responsibilities. The directors also considered whether the recent acquisition by Templeton’s parent company of another asset management firm would be impactful to the services provided by Templeton to the International Equity Portfolio. The directors concluded that Templeton would continue to operate autonomously and that no significant changes to the investment process employed for the Portfolio would be occurring. With respect to FMI, the directors recognized the strong growth in assets under management experienced by the firm over the prior decade. The directors considered FMI’s plans to transition ownership of the firm and its ongoing commitment to independent ownership. The directors commented favorably on the succession plan in place dealing with the firm’s key investment personnel, particularly as it addressed the firm’s chief investment officer. The directors observed that FMI had continued to manage the Large Cap Blend Portfolio in a manner that was consistent with the Portfolio’s articulated investment strategy. With respect to the Emerging Markets Equity Portfolio, the directors considered the August 2017 merger of Aberdeen’s parent company with Standard Life plc and concluded that the merger had not reduced or changed the nature or quality of the services provided by Aberdeen to the Emerging Markets Equity Portfolio. The directors observed that the merger had not resulted in changes to the lead portfolio manager or the portfolio management team for the Portfolio, or the investment process utilized by Aberdeen in managing the Portfolio. The directors noted the benefit to the Portfolio of enhanced supporting resources provided in connection with the merger, which resulted in the acquisition of a new director of research.

The directors also considered each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. Consideration was also given to the Sub-Advisers’ respective reputations and experience in providing investment management services and the performance of each Sub-Advised Portfolio. Based on their review of these factors, their discussions with the Sub-Advisers and their experience with the services provided by the Sub-Advisers for 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 a variety of time periods. In addition to absolute performance and risk-adjusted performance for each Sub-Advised Portfolio for both short and long term periods, the directors considered (i) a comparison of each Sub-Advised Portfolio’s one-, three-, and five-year performance to the returns of appropriate benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Morningstar and Lipper categories for the same periods, (ii) the Morningstar and Lipper overall ratings for each Sub-Advised Portfolio and (iii) the Morningstar and Lipper rankings for the one-, three-, and five-year periods. The directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and industry benchmarks and indices, and viewed this information as providing an objective comparative benchmark against which they could assess the performance of the Sub-Advised Portfolios. The directors 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.

The directors discussed at length the investment strategy being employed by BNY Mellon for the Growth Stock Portfolio and considered the investment policy and portfolio construction process changes planned for the Growth Portfolio in order to address the Portfolio’s underperformance. The directors also considered changes made to analyst coverage in the Technology sector and the addition of new Health Care sector analysts by the sub-adviser, BNY Mellon. The directors considered that previous analyst changes made by the firm had aided sector-based performance. The directors concluded that the core features

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of the BNY Mellon’s investment process remained consistent. While acknowledging that the short-term performance for the Small Cap Growth Stock Portfolio had lagged, the directors commented positively on the continued strong performance of the Portfolio achieved by Wellington for the three-year, five-year and since inception periods ended December 31, 2017.    

With respect to the Research International Core Portfolio managed by MFS, the directors noted the improved year-to-date and one-year performance returns. With respect to the International Growth Portfolio, the directors viewed favorably FIAM’s success in taking advantage of market dislocations. The directors commented favorably on Portfolio performance during FIAM’s tenure as sub-adviser, observing that the Portfolio had achieved modest outperformance and that its performance returns were in the middle of its peer group on a comparative basis. With respect to the International Equity Portfolio, the directors considered that the Portfolio was in the top quartile for peer performance and had outperformed its benchmark for the quarter ended March 31, 2018. With respect to the Portfolio’s longer-term performance, the directors acknowledged that it had been a difficult market for value managers, and expressed confidence in Templeton’s ability to continue to perform well over a full market cycle. With respect to the Large Cap Blend Portfolio, the directors noted that the defensive positioning of the Portfolio had resulted in performance slightly under that of its benchmark index, but considered that the performance achieved by FMI was consistent with the Portfolio’s stated investment style, which was designed to provide downside protection. With regard to the Emerging Markets Equity Portfolio, the directors noted that it was somewhat premature to assess the Portfolio’s performance given Aberdeen’s recent appointment as a sub-adviser. With respect to the Portfolio’s near-term underperformance, the directors considered the portfolio manager’s rationale for underweighting certain components of the Portfolio’s benchmark index. The directors commented favorably on Aberdeen’s commitment to its strategy and the consistency in the firm’s investment process despite performance challenges. The directors concluded that they remained confident in Aberdeen’s sub-advisory services and the positioning of the Portfolio.

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, in the totality of circumstances and 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, and the steps being taken with respect to the Growth Portfolio to address performance concerns.

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 part of their evaluation, the directors reviewed an independent analysis prepared by Morningstar of comparative expense data for each Sub-Advised Portfolio. Morningstar provided data as of December 31, 2017 comparing each Sub-Advised Portfolio’s net and total expenses with those of a peer group of funds underlying variable insurance products, as well as a universe of funds underlying variable insurance products across each fund’s investment classification and objective, each as selected by Morningstar. 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 all of the Sub-Advised Portfolios were in the first or second Morningstar quartiles (meaning lowest) for total expenses associated with their respective category groups for the period ended December 31, 2017, and that six of the seven Sub-Advised Portfolios at issue were ranked in Morningstar’s first quartile for total expenses for the same period.

The directors also reviewed the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios. The directors took into consideration the advisory fee waiver and/or expense limitation agreements that were in place with respect to each of the Sub-Advised Portfolios, except for the Small Cap Growth Stock Portfolio, which ranked in the first quartile of its peer group for both net and total expenses (meaning lowest expenses).

Based on their review of the above information and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios and the expense caps and waivers that were in place or were being implemented.

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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’ quarterly presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Sub-Advised Portfolios on an aggregate and a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the ranking of each Sub-Advised Portfolio within the Portfolio’s respective Morningstar category. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided. In all instances, including those where profitability information had not been provided, the directors recognized that sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and each Sub-Adviser. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information had been developed using a variety of assumptions and other factors. The directors concluded that they had received sufficient information to evaluate the Sub-Advisers’ costs and profitability.

The directors considered certain fall-out benefits that may be realized by Mason Street Advisors and its affiliates due to their relationship with the Sub-Advised Portfolios, including (as applicable) the participation of fund families advised by certain Sub-Advisers to the Sub-Advised Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in certain mutual fund programs offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and mutual fund programs maintained by the brokerage affiliate of Mason Street Advisors. The directors also reviewed information concerning certain of the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

Economies of Scale. The directors also considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with such Portfolio’s investors. The directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios and the extent to which the Sub-Advised Portfolios may benefit from economies of scale through those breakpoints. The directors also took into account the expense limitation arrangements in place for the Large Cap Blend, International Growth, Research International Core and Emerging Markets Equity Portfolios, and the fee waiver arrangements in place with respect to the Growth Stock, International Growth, Research International Core, International Equity and Emerging Markets Equity Portfolios. The directors also considered the total assets and expense ratio of each Sub-Advised Portfolio. Based on this information, the Board concluded, within the context of its overall determinations regarding the Sub-Advisory Agreements, that each Sub-Advised Portfolio’s fee structure reflected appropriate economies of scale for the benefit of such Portfolio’s investors.

Other Information

The directors were presented with other information to assist them in their consideration of the continuation of the Advisory Agreement and Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Portfolios and information regarding Mason Street Advisors’ and the Sub-Advisers’ brokerage practices and commissions. The directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to each Sub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which a Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The directors also considered information regarding each Sub-Adviser’s code of ethics and business continuity plans, portfolio manager compensation, portfolio turnover, succession planning and other matters they deemed relevant.

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Conclusions of the Directors

Based on a consideration of all information deemed relevant in its totality, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment concluded that the terms of the Advisory Agreement and the Sub-Advisory Agreements were fair and reasonable and approved the continuation of each Agreement for another year as being in the best interests of each Portfolio.

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Item 2. Code of Ethics

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Full Schedule of Investments is included in Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

Not applicable.

Item 11. Disclosure Controls and Procedures

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this filing was recorded, processed, summarized, and reported timely.

(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits

(a)(1) Not applicable.

(a)(2) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as exhibit EX-99.CERT.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached as exhibit EX-99.906CERT. The certifications furnished pursuant to this paragraph are not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

NORTHWESTERN MUTUAL SERIES FUND, INC.

By:	/s/ Kate M. Fleming
	Kate M. Fleming, President
Date: August 21, 2018

Pursuant to the requirements of the Securities and Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Kate M. Fleming
	Kate M. Fleming, President
Date: August 21, 2018

By:	/s/ Todd M. Jones
	Todd M. Jones, Vice President,
	Chief Financial Officer and Treasurer
Date: August 21, 2018