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, 2019

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

[Attached EDGARIZED SEMI-ANNUAL REPORT]

Semi-Annual Report June 30, 2019

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 Portfolios

·  Growth Stock Portfolio	·  International Growth Portfolio
·  Focused Appreciation Portfolio	·  Research International Core Portfolio
·  Large Cap Core Stock Portfolio	·  International Equity Portfolio
·  Large Cap Blend Portfolio	·  Emerging Markets Equity Portfolio
·  Index 500 Stock Portfolio	·  Government Money Market Portfolio
·  Large Company Value Portfolio	·  Short-Term Bond Portfolio
·  Domestic Equity Portfolio	·  Select Bond Portfolio
·  Equity Income Portfolio	·  Long-Term U.S. Government Bond Portfolio
·  Mid Cap Growth Stock Portfolio	·  Inflation Protection Portfolio
·  Index 400 Stock Portfolio	·  High Yield Bond Portfolio
·  Mid Cap Value Portfolio	·  Multi-Sector Bond Portfolio
·  Small Cap Growth Stock Portfolio	·  Balanced Portfolio
·  Index 600 Stock Portfolio	·  Asset Allocation Portfolio
·  Small Cap Value Portfolio

Beginning on or after January 1, 2021 as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail unless you specifically request paper copies of the reports from us at (888) 455-2232, free of charge. Instead, your Fund annual and semi-annual reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change, will continue to receive reports electronically, and you need not take any action. You may elect to receive shareholder reports (and other communications) electronically by signing up for eDelivery at NorthwesternMutal.com/Paperless.

You may elect to receive all future reports in paper free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by contacting us at (888) 455-2232. Your election to receive reports in paper will apply to all future shareholder reports.

Northwestern Mutual Series Fund, Inc.

Table of Contents

Expense Examples	1
Series Fund Overviews and Schedules of Investments:
Growth Stock Portfolio	4
Focused Appreciation Portfolio	7
Large Cap Core Stock Portfolio	9
Large Cap Blend Portfolio	13
Index 500 Stock Portfolio	15
Large Company Value Portfolio	22
Domestic Equity Portfolio	25
Equity Income Portfolio	28
Mid Cap Growth Stock Portfolio	32
Index 400 Stock Portfolio	35
Mid Cap Value Portfolio	41
Small Cap Growth Stock Portfolio	45
Index 600 Stock Portfolio	49
Small Cap Value Portfolio	57
International Growth Portfolio	61
Research International Core Portfolio	64
International Equity Portfolio	68
Emerging Markets Equity Portfolio	71
Government Money Market Portfolio	74
Short-Term Bond Portfolio	78
Select Bond Portfolio	96
Long-Term U.S. Government Bond Portfolio	111
Inflation Protection Portfolio	116
High Yield Bond Portfolio	126
Multi-Sector Bond Portfolio	135
Balanced Portfolio	155
Asset Allocation Portfolio	158
Statements of Assets and Liabilities	161
Statements of Operations	167
Statements of Changes in Net Assets	173
Statement of Cash Flows	182
Financial Highlights	184
Notes to Financial Statements	192
Abbreviations	216
Proxy Voting and Portfolio Holdings	217
Approval and Continuance of Investment Advisory and Sub-Advisory Agreements	218

Mason Street Advisors, LLC (“Mason Street Advisors”), adviser to the Northwestern Mutual Series Fund, Inc., is a wholly owned subsidiary of The Northwestern Mutual Life Insurance Company. Mason Street Advisors is the principal investment adviser for all the Portfolios of the Northwestern Mutual Series Fund, Inc., and has engaged and oversees sub-advisers who provide day-to-day management for certain of the Portfolios. Each sub-adviser may be replaced without the approval of shareholders. Please see the Series Fund prospectus for more information.

The views expressed in the portfolio manager commentaries set forth in the following pages reflect those of the portfolio managers only through the end of the period covered by this report and do not necessarily represent the views of any affiliated organization. The views expressed are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein. These views are subject to change at any time based upon market conditions or other events and should not be relied upon as investment advice. Mason Street Advisors disclaims any responsibility to update these views.

Expense Examples (unaudited)

EXAMPLE

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2019 to June 30, 2019).

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

	Beginning Account Value January 1, 2019		Ending Account Value     June 30, 2019		Expenses Paid During     Period January 1, 2019     to June 30, 2019*		Annualized Expense Ratio
Growth Stock Portfolio Actual		$1,000.00		$1,208.79		$2.30		0.42%
Hypothetical (5% return before expenses)		1,000.00		1,022.71		2.11		0.42
Focused Appreciation Portfolio Actual		1,000.00		1,220.49		3.47		0.63
Hypothetical (5% return before expenses)		1,000.00		1,021.67		3.16		0.63
Large Cap Core Stock Portfolio Actual		1,000.00		1,193.45		2.45		0.45
Hypothetical (5% return before expenses)		1,000.00		1,022.56		2.26		0.45
Large Cap Blend Portfolio Actual		1,000.00		1,165.45		4.40		0.82
Hypothetical (5% return before expenses)		1,000.00		1,020.73		4.11		0.82
Index 500 Stock Portfolio Actual		1,000.00		1,183.92		1.08		0.20
Hypothetical (5% return before expenses)		1,000.00		1,023.80		1.00		0.20

1

Expense Examples (unaudited)

	Beginning Account Value January 1, 2019		Ending Account Value     June 30, 2019		Expenses Paid During     Period January 1, 2019     to June 30, 2019*		Annualized Expense Ratio
Large Company Value Portfolio Actual		$1,000.00		$1,164.04		$4.02		0.75%
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.76		0.75
Domestic Equity Portfolio Actual		1,000.00		1,112.98		2.78		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.17		2.66		0.53
Equity Income Portfolio Actual		1,000.00		1,157.96		3.26		0.61
Hypothetical (5% return before expenses)		1,000.00		1,021.77		3.06		0.61
Mid Cap Growth Stock Portfolio Actual		1,000.00		1,260.87		3.03		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.12		2.71		0.54
Index 400 Stock Portfolio Actual		1,000.00		1,178.67		1.40		0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.51		1.30		0.26
Mid Cap Value Portfolio Actual		1,000.00		1,172.97		4.04		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.76		0.75
Small Cap Growth Stock Portfolio Actual		1,000.00		1,237.43		3.11		0.56
Hypothetical (5% return before expenses)		1,000.00		1,022.02		2.81		0.56
Index 600 Stock Portfolio Actual		1,000.00		1,135.24		1.64		0.31
Hypothetical (5% return before expenses)		1,000.00		1,023.26		1.56		0.31
Small Cap Value Portfolio Actual		1,000.00		1,174.17		4.69		0.87
Hypothetical (5% return before expenses)		1,000.00		1,020.48		4.36		0.87
International Growth Portfolio Actual		1,000.00		1,211.62		3.56		0.65
Hypothetical (5% return before expenses)		1,000.00		1,021.57		3.26		0.65
Research International Core Portfolio Actual		1,000.00		1,173.47		4.15		0.77
Hypothetical (5% return before expenses)		1,000.00		1,020.98		3.86		0.77
International Equity Portfolio Actual		1,000.00		1,069.62		2.77		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.12		2.71		0.54
Emerging Markets Equity Portfolio Actual		1,000.00		1,153.19		5.29		0.99
Hypothetical (5% return before expenses)		1,000.00		1,019.89		4.96		0.99

2

Expense Examples (unaudited)

	Beginning Account Value January 1, 2019		Ending Account Value     June 30, 2019		Expenses Paid During     Period January 1, 2019     to June 30, 2019*		Annualized Expense Ratio
Government Money Market Portfolio Actual		$1,000.00		$1,010.60		$1.65		0.33%
Hypothetical (5% return before expenses)		1,000.00		1,023.16		1.66		0.33
Short-Term Bond Portfolio Actual		1,000.00		1,030.07		2.01		0.40
Hypothetical (5% return before expenses)		1,000.00		1,022.81		2.01		0.40
Select Bond Portfolio Actual		1,000.00		1,061.17		1.53		0.30
Hypothetical (5% return before expenses)		1,000.00		1,023.31		1.51		0.30
Long-Term U.S. Government Bond Portfolio Actual		1,000.00		1,099.11		5.31		1.02
Hypothetical (5% return before expenses)		1,000.00		1,019.74		5.11		1.02
Inflation Protection Portfolio Actual		1,000.00		1,066.79		2.82		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.07		2.76		0.55
High Yield Bond Portfolio Actual		1,000.00		1,101.89		2.29		0.44
Hypothetical (5% return before expenses)		1,000.00		1,022.61		2.21		0.44
Multi-Sector Bond Portfolio Actual		1,000.00		1,098.38		3.90		0.75
Hypothetical (5% return before expenses)		1,000.00		1,021.08		3.76		0.75
Balanced Portfolio Actual		1,000.00		1,119.85		0.32		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.50		0.30		0.06
Asset Allocation Portfolio Actual		1,000.00		1,139.60		0.48		0.09
Hypothetical (5% return before expenses)		1,000.00		1,024.35		0.45		0.09

* Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses are based on the direct expenses of the Portfolio and do not include the effect of the underlying Portfolios’ expenses which are disclosed in the Fee and Expense table and described more fully in a footnote to that table in the Prospectus.

3

Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Information Technology	35.4%
Health Care	16.7%
Consumer Discretionary	14.6%
Industrials	9.9%
Communication Services	9.1%
Consumer Staples	6.2%
Financials	3.1%
Materials	2.2%
Utilities	1.4%
Short-Term Investments & Other Net Assets	0.8%
Energy	0.6%
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.

4

Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Communication Services (9.1%)
Alphabet, Inc. - Class A *		15,945		17,265
Alphabet, Inc. - Class C *		36,159		39,085
T-Mobile US, Inc. *		231,858		17,190
Twitter, Inc. *		328,532		11,466
Verizon Communications, Inc.		178,266		10,184
Total				95,190
Consumer Discretionary (14.6%)
Amazon.com, Inc. *		36,879		69,835
Chipotle Mexican Grill, Inc. *		16,263		11,919
McDonald’s Corp.		88,535		18,385
Netflix, Inc. *		54,764		20,116
O’Reilly Automotive, Inc. *		50,156		18,524
PVH Corp.		80,379		7,607
Wayfair, Inc. - Class A *		41,997		6,131
Total				152,517
Consumer Staples (6.2%)
Colgate-Palmolive Co.		191,593		13,731
Costco Wholesale Corp.		12,309		3,253
PepsiCo, Inc.		196,604		25,781
The Procter & Gamble Co.		95,285		10,448
Walmart, Inc.		102,506		11,326
Total				64,539
Energy (0.6%)
Marathon Petroleum Corp.		121,492		6,789
Total				6,789
Financials (3.1%)
Ameriprise Financial, Inc.		80,202		11,642
The Progressive Corp.		259,894		20,773
Total				32,415
Health Care (16.7%)
Align Technology, Inc. *		19,437		5,320
Anthem, Inc.		63,080		17,802
BioMarin Pharmaceutical, Inc. *		79,633		6,821
Boston Scientific Corp. *		503,183		21,627
Charles River Laboratories International, Inc. *		56,102		7,961
Danaher Corp.		90,179		12,888
Edwards Lifesciences Corp. *		48,167		8,898

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Eli Lilly & Co.		121,674		13,480
Illumina, Inc. *		25,495		9,386
Merck & Co., Inc.		284,612		23,865
Neurocrine Biosciences, Inc. *		58,382		4,929
Sage Therapeutics, Inc. *		40,048		7,332
Sarepta Therapeutics, Inc. *		50,980		7,747
Varian Medical Systems, Inc. *		81,768		11,131
Vertex Pharmaceuticals, Inc. *		43,422		7,963
Zoetis, Inc.		68,475		7,771
Total				174,921
Industrials (9.9%)
CoStar Group, Inc. *		19,609		10,864
Fortive Corp.		215,971		17,606
Honeywell International, Inc.		131,672		22,989
Ingersoll-Rand PLC		105,255		13,333
Union Pacific Corp.		126,407		21,377
United Technologies Corp.		133,049		17,323
Total				103,492
Information Technology (35.4%)
Apple, Inc.		230,530		45,626
Broadcom, Inc.		73,252		21,086
FleetCor Technologies, Inc. *		34,333		9,642
HubSpot, Inc. *		48,813		8,324
International Business Machines Corp.		142,978		19,717
Microchip Technology, Inc.		81,843		7,096
Microsoft Corp.		507,038		67,923
Palo Alto Networks, Inc. *		51,981		10,592
PayPal Holdings, Inc. *		191,409		21,909
QUALCOMM, Inc.		271,000		20,615
salesforce.com, Inc. *		119,158		18,080
ServiceNow, Inc. *		58,421		16,041
Splunk, Inc. *		70,086		8,813
SS&C Technologies Holdings, Inc.		271,126		15,619
Teradata Corp. *		177,498		6,363
Twilio, Inc. - Class A *		87,939		11,990
Visa, Inc. - Class A		259,733		45,077
Xilinx, Inc.		133,386		15,729
Total				370,242

Common Stocks (99.2%)	Shares/ Par +		Value $ (000’s)
Materials (2.2%)
CF Industries Holdings, Inc.		238,149		11,124
Newmont Mining Corp.		318,972		12,271
Total				23,395
Utilities (1.4%)
NextEra Energy, Inc.		68,892		14,113
Total				14,113
Total Common Stocks (Cost: $783,695)				1,037,613
Short-Term Investments (3.1%)
Money Market Funds (3.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		32,323,334		32,323
Total				32,323
Total Short-Term Investments (Cost: $32,323)				32,323
Total Investments (102.3%) (Cost: $816,018)@				1,069,936
Other Assets, Less Liabilities (-2.3%)				(24,134	)
Net Assets (100.0%)				1,045,802

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

5

Growth Stock Portfolio

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $816,018 and the net unrealized appreciation of investments based on that cost was $253,918 which is comprised of $267,028 aggregate gross unrealized appreciation and $13,110 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	1,037,613	$	—	$	—
Short-Term Investments		32,323		—		—
Total Assets:	$	1,069,936	$	—	$	—

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

6

Focused Appreciation Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Information Technology	29.4%
Consumer Discretionary	18.9%
Health Care	13.9%
Consumer Staples	13.5%
Communication Services	11.1%
Industrials	5.3%
Financials	5.2%
Energy	1.5%
Short-Term Investments & Other Net Assets	1.2%
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.

7

Focused Appreciation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Communication Services (11.1%)
Alphabet, Inc. - Class A *		22,806		24,694
Alphabet, Inc. - Class C *		22,850		24,699
Facebook, Inc. - Class A *		304,890		58,844
Total				108,237
Consumer Discretionary (18.9%)
Alibaba Group Holding, Ltd., ADR *		296,384		50,222
Amazon.com, Inc. *		34,789		65,877
Starbucks Corp.		408,816		34,271
Yum China Holdings, Inc.		303,481		14,021
Yum! Brands, Inc.		175,871		19,464
Total				183,855
Consumer Staples (13.5%)
The Coca-Cola Co.		471,484		24,008
Colgate-Palmolive Co.		260,273		18,654
Danone SA, ADR		1,573,690		26,643
Monster Beverage Corp. *		516,247		32,952
The Procter & Gamble Co.		266,169		29,185
Total				131,442
Energy (1.5%)
Schlumberger, Ltd.		376,731		14,971
Total				14,971

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Financials (5.2%)
American Express Co.		95,542		11,794
FactSet Research Systems, Inc.		64,401		18,455
SEI Investments Co.		360,650		20,232
Total				50,481
Health Care (13.9%)
Alcon, Inc. *		33,614		2,086
Amgen, Inc.		78,944		14,548
Cerner Corp.		317,443		23,268
Merck & Co., Inc.		135,917		11,397
Novartis AG, ADR		167,153		15,263
Novo Nordisk A/S, ADR		515,218		26,297
Regeneron Pharmaceuticals, Inc. *		81,818		25,609
Varian Medical Systems, Inc. *		123,407		16,799
Total				135,267
Industrials (5.3%)
Deere & Co.		153,935		25,509
Expeditors International of Washington, Inc.		347,555		26,365
Total				51,874
Information Technology (29.4%)
Autodesk, Inc. *		247,375		40,297
Automatic Data Processing, Inc.		57,046		9,431
Cisco Systems, Inc.		544,141		29,781

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Microsoft Corp.		265,459		35,561
NVIDIA Corp.		134,138		22,029
Oracle Corp.		905,310		51,576
QUALCOMM, Inc.		406,216		30,901
Visa, Inc. - Class A		385,702		66,939
Total				286,515
Total Common Stocks (Cost: $620,538)				962,642
Short-Term Investments (0.4%)
Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		4,082,459		4,082
Total				4,082
Total Short-Term Investments (Cost: $4,082)				4,082
Total Investments (99.2%) (Cost: $624,620)@				966,724
Other Assets, Less Liabilities (0.8%)				7,438
Net Assets (100.0%)				974,162

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $624,620 and the net unrealized appreciation of investments based on that cost was $342,104 which is comprised of $360,718 aggregate gross unrealized appreciation and $18,614 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	962,642	$	—	$	—
Short-Term Investments		4,082		—		—
Total Assets:	$	966,724	$	—	$	—

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

8

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Information Technology	18.8%
Health Care	14.5%
Consumer Discretionary	12.3%
Financials	11.2%
Industrials	10.9%
Communication Services	10.7%
Consumer Staples	5.8%
Energy	5.0%
Utilities	4.2%
Materials	3.2%
Real Estate	2.3%
Short-Term Investments & Other Net Assets	0.5%
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.

9

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Communication Services (10.7%)
Alphabet, Inc. - Class A *		16,240		17,585
Charter Communications, Inc. - Class A *		10,818		4,275
Comcast Corp. - Class A		246,512		10,423
Facebook, Inc. - Class A *		77,913		15,037
Liberty Media Corp. - Liberty Formula One - Class C *		36,312		1,358
Spotify Technology SA *		5,212		762
Verizon Communications, Inc.		191,558		10,944
The Walt Disney Co.		23,761		3,318
Total				63,702
Consumer Discretionary (12.3%)
Amazon.com, Inc. *		16,374		31,006
Expedia, Inc.		40,757		5,422
Lennar Corp. - Class A		120,712		5,850
Lowe’s Companies, Inc.		71,573		7,222
Marriott International, Inc. - Class A		10,687		1,499
McDonald’s Corp.		31,278		6,495
MGM Resorts International		51,319		1,466
Netflix, Inc. *		10,068		3,698
NIKE, Inc. - Class B		26,915		2,260
The TJX Cos., Inc.		153,811		8,134
Total				73,052
Consumer Staples (5.8%)
The Coca-Cola Co.		238,634		12,151
Mondelez International, Inc.		82,114		4,426
Monster Beverage Corp. *		35,006		2,234
Philip Morris International, Inc.		64,313		5,051
The Procter & Gamble Co.		96,089		10,536
Total				34,398
Energy (5.0%)
Chevron Corp.		34,968		4,351
Concho Resources, Inc.		9,700		1,001
Diamondback Energy, Inc.		12,610		1,374
Encana Corp.		244,961		1,257
Exxon Mobil Corp.		128,173		9,822
Marathon Petroleum Corp.		57,831		3,232

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Energy continued
Noble Energy, Inc.		62,932		1,410
Schlumberger, Ltd.		81,090		3,222
TC Energy Corp.		81,324		4,027
Total				29,696
Financials (11.1%)
American Express Co.		28,189		3,480
American International Group, Inc.		100,612		5,361
Athene Holding, Ltd. - Class A *		78,438		3,378
AXA Equitable Holdings, Inc.		69,762		1,458
Bank of America Corp.		651,700		18,899
Berkshire Hathaway, Inc. - Class B *		21,423		4,567
The Hartford Financial Services Group, Inc.		68,082		3,793
HCP, Inc.		63,922		2,044
Marsh & McLennan Cos., Inc.		47,412		4,729
The Progressive Corp.		27,709		2,215
Prudential Financial, Inc.		35,486		3,584
Public Storage		12,018		2,862
Raymond James Financial, Inc.		33,565		2,838
TD Ameritrade Holding Corp.		143,322		7,155
Total				66,363
Health Care (14.5%)
Abbott Laboratories		117,567		9,887
Allergan PLC		41,613		6,967
Alnylam Pharmaceuticals, Inc. *		5,447		395
Anthem, Inc.		24,189		6,826
AstraZeneca PLC, ADR		178,134		7,353
Baxter International, Inc.		44,504		3,645
Biogen, Inc. *		2,952		690
Boston Scientific Corp. *		176,371		7,581
Bristol-Myers Squibb Co.		127,018		5,760
Danaher Corp.		37,635		5,379
Elanco Animal Health, Inc. *		2,770		94
HCA Healthcare, Inc.		26,927		3,640
Incyte Corp. *		10,894		926
Mylan NV *		75,638		1,440
Pfizer, Inc.		176,363		7,640
Regeneron Pharmaceuticals, Inc. *		1,211		379
Seattle Genetics, Inc. *		17,558		1,215

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Teva Pharmaceutical Industries, Ltd., ADR *		96,631		892
Thermo Fisher Scientific, Inc.		23,436		6,883
UnitedHealth Group, Inc.		23,990		5,854
Vertex Pharmaceuticals, Inc. *		15,263		2,799
Total				86,245
Industrials (11.5%)
3M Co.		4,132		716
AMETEK, Inc.		23,449		2,130
The Boeing Co.		21,603		7,864
Caterpillar, Inc.		14,798		2,017
Deere & Co.		9,512		1,576
Equifax, Inc.		10,242		1,385
Fortive Corp.		31,681		2,583
General Electric Co.		69,869		734
IHS Markit, Ltd. *		117,297		7,474
Illinois Tool Works, Inc.		19,514		2,943
Ingersoll-Rand PLC		29,707		3,763
J.B. Hunt Transport Services, Inc.		10,117		925
Jacobs Engineering Group, Inc.		32,754		2,764
L3Harris Technologies, Inc.		16,612		3,142
Lockheed Martin Corp.		19,440		7,067
Norfolk Southern Corp.		33,078		6,593
Raytheon Co.		23,578		4,100
Rockwell Automation, Inc.		5,300		868
Southwest Airlines Co.		32,183		1,634
Wabtec Corp.		60,637		4,351
Waste Management, Inc.		30,637		3,535
Total				68,164
Information Technology (18.8%)
Adobe Systems, Inc. *		7,949		2,342
Advanced Micro Devices, Inc. *		138,024		4,192
Apple, Inc.		76,771		15,194
Autodesk, Inc. *		5,309		865
FleetCor Technologies, Inc. *		17,416		4,891
Global Payments, Inc.		41,818		6,696
GoDaddy, Inc. *		36,888		2,588
Intel Corp.		93,145		4,459
KLA-Tencor Corp.		18,129		2,143
Marvell Technology Group, Ltd.		201,771		4,816
Micron Technology, Inc. *		76,468		2,951

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

10

Large Cap Core Stock Portfolio

Common Stocks (99.4%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Microsoft Corp.		172,078		23,052
PayPal Holdings, Inc. *		38,829		4,444
salesforce.com, Inc. *		24,914		3,780
ServiceNow, Inc. *		4,926		1,352
Splunk, Inc. *		6,248		786
SS&C Technologies Holdings, Inc.		121,958		7,026
Texas Instruments, Inc.		28,029		3,217
Total System Services, Inc.		12,934		1,659
Visa, Inc. - Class A		51,594		8,954
Western Digital Corp.		57,831		2,750
Workday, Inc. - Class A *		10,571		2,173
Xilinx, Inc.		13,413		1,582
Total				111,912
Materials (3.2%)
Alcoa Corp. *		4,353		102
Ball Corp.		39,535		2,767
Celanese Corp. - Class A		26,043		2,807
Crown Holdings, Inc. *		25,737		1,573
Dow, Inc.		23,053		1,137
DuPont de Nemours, Inc.		12,122		910
FMC Corp.		22,378		1,856
Freeport-McMoRan, Inc.		16,392		190
International Paper Co.		34,830		1,509
Linde PLC		12,930		2,596
Nucor Corp.		10,681		589
PPG Industries, Inc.		19,143		2,234
Southern Copper Corp.		7,939		308
Vulcan Materials Co.		3,821		525
Total				19,103
Real Estate (2.3%)
Alexandria Real Estate Equities, Inc.		20,839		2,940
American Tower Corp.		33,435		6,836
Equinix, Inc.		7,505		3,785
Total				13,561
Utilities (4.2%)
Edison International		62,040		4,182
Exelon Corp.		79,152		3,795
National Grid PLC		11,105		591
NextEra Energy, Inc.		17,557		3,597
NRG Energy, Inc.		131,478		4,617
PG&E Corp. *		21,917		502
Sempra Energy		56,229		7,728
Total				25,012
Total Common Stocks (Cost: $516,290)				591,208

Short-Term Investments (0.5%)	Shares/ Par +		Value $ (000’s)
Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		3,258,695		3,259
Total				3,259
Total Short-Term Investments (Cost: $3,259)				3,259
Total Investments (99.9%) (Cost: $519,549)@				594,467
Other Assets, Less Liabilities (0.1%)				722
Net Assets (100.0%)				595,189

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

11

Large Cap Core Stock Portfolio

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $519,549 and the net unrealized appreciation of investments based on that cost was $74,918 which is comprised of $89,670 aggregate gross unrealized appreciation and $14,752 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	591,208	$	—	$	—
Short-Term Investments		3,259		—		—
Total Assets:	$	594,467	$	—	$	—

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

12

Large Cap Blend Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Industrials	17.1%
Consumer Discretionary	16.2%
Financials	15.5%
Health Care	14.5%
Consumer Staples	10.0%
Short-Term Investments & Other Net Assets	7.9%
Communication Services	5.9%
Information Technology	5.7%
Materials	5.0%
Energy	2.2%
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.

13

Large Cap Blend Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (92.1%)	Shares/ Par +		Value $ (000’s)
Communication Services (5.9%)
Fox Corp. - Class A		54,320		1,990
Fox Corp. - Class B		57,333		2,095
Omnicom Group, Inc.		70,860		5,807
Total				9,892
Consumer Discretionary (16.2%)
Booking Holdings, Inc. *		1,145		2,146
Dollar General Corp.		53,400		7,218
Dollar Tree, Inc. *		59,250		6,363
eBay, Inc.		163,980		6,477
The TJX Cos., Inc.		97,795		5,171
Total				27,375
Consumer Staples (10.0%)
Nestle SA, ADR		55,330		5,721
PepsiCo, Inc.		40,065		5,254
Unilever PLC, ADR		94,740		5,871
Total				16,846
Energy (2.2%)
Schlumberger, Ltd.		94,130		3,741
Total				3,741
Financials (15.5%)
The Bank of New York Mellon Corp.		90,205		3,983
Berkshire Hathaway, Inc. - Class B *		39,415		8,402
Chubb, Ltd.		36,665		5,400

Common Stocks (92.1%)	Shares/ Par +		Value $ (000’s)
Financials continued
Franklin Resources, Inc.		56,950		1,982
JPMorgan Chase & Co.		57,775		6,459
Total				26,226
Health Care (14.5%)
Cerner Corp.		77,670		5,693
Quest Diagnostics, Inc.		60,690		6,179
Smith & Nephew PLC, ADR		115,500		5,029
UnitedHealth Group, Inc.		30,622		7,472
Total				24,373
Industrials (17.1%)
Expeditors International of Washington, Inc.		60,900		4,620
HD Supply Holdings, Inc. *		69,950		2,817
Honeywell International, Inc.		45,735		7,985
Masco Corp.		162,125		6,362
PACCAR, Inc.		53,360		3,824
Stanley Black & Decker, Inc.		21,965		3,176
Total				28,784

Common Stocks (92.1%)	Shares/ Par +		Value $ (000’s)
Information Technology (5.7%)
Accenture PLC - Class A		28,995		5,357
TE Connectivity, Ltd.		44,670		4,279
Total				9,636
Materials (5.0%)
Nutrien, Ltd.		83,095		4,442
PPG Industries, Inc.		34,355		4,010
Total				8,452
Total Common Stocks (Cost: $117,593)				155,325
Short-Term Investments (7.7%)
Money Market Funds (7.7%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		12,971,956		12,972
Total				12,972
Total Short-Term Investments (Cost: $12,972)				12,972
Total Investments (99.8%) (Cost: $130,565)@				168,297
Other Assets, Less Liabilities (0.2%)				293
Net Assets (100.0%)				168,590

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $130,565 and the net unrealized appreciation of investments based on that cost was $37,732 which is comprised of $42,112 aggregate gross unrealized appreciation and $4,380 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	155,325	$	—	$	—
Short-Term Investments		12,972		—		—
Total Assets:	$	168,297	$	—	$	—

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

14

Index 500 Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Information Technology	21.2%
Health Care	14.0%
Financials	12.9%
Consumer Discretionary	10.0%
Communication Services	10.0%
Industrials	9.1%
Consumer Staples	7.2%
Energy	5.0%
Utilities	3.3%
Real Estate	3.0%
Materials	2.8%
Short-Term Investments & Other Net Assets	0.6%
Governments	0.2%
Sector Allocation is subject to change.

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

The Portfolio may invest in 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.

15

Index 500 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Communication Services (10.1%)
Activision Blizzard, Inc.		109,246		5,156
Alphabet, Inc. - Class A *		42,705		46,241
Alphabet, Inc. - Class C *		43,708		47,245
AT&T, Inc.		1,040,821		34,878
CBS Corp. - Class B		50,195		2,505
CenturyLink, Inc.		136,839		1,609
Charter Communications, Inc. - Class A *		24,534		9,695
Comcast Corp. - Class A		645,963		27,311
Discovery Communications, Inc. - Class A *		22,512		691
Discovery Communications, Inc. - Class C *		51,421		1,463
DISH Network Corp. - Class A *		32,906		1,264
Electronic Arts, Inc. *		42,307		4,284
Facebook, Inc. - Class A *		342,644		66,130
Fox Corp. - Class A		50,537		1,852
Fox Corp. - Class B		23,156		846
The Interpublic Group of Companies, Inc.		55,199		1,247
Netflix, Inc. *		62,355		22,904
News Corp. - Class A		54,983		742
News Corp. - Class B		17,651		246
Omnicom Group, Inc.		31,400		2,573
Take-Two Interactive Software, Inc. *		16,050		1,822
TripAdvisor, Inc. *		14,762		683
Twitter, Inc. *		104,139		3,635
Verizon Communications, Inc.		589,823		33,697
Viacom, Inc. - Class B		50,435		1,507
The Walt Disney Co.		248,968		34,766
Total				354,992
Consumer Discretionary (10.1%)
Advance Auto Parts, Inc.		10,231		1,577
Amazon.com, Inc. *		58,981		111,688
Aptiv PLC		36,772		2,972
AutoZone, Inc. *		3,498		3,846
Best Buy Co., Inc.		33,134		2,310
Booking Holdings, Inc. *		6,174		11,574
BorgWarner, Inc.		29,560		1,241
Capri Holdings, Ltd. *		21,527		747
CarMax, Inc. *		23,702		2,058
Carnival Corp.		57,105		2,658
Chipotle Mexican Grill, Inc. *		3,478		2,549

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
D.R. Horton, Inc.		48,431		2,089
Darden Restaurants, Inc.		17,539		2,135
Dollar General Corp.		36,841		4,979
Dollar Tree, Inc. *		33,883		3,639
eBay, Inc.		116,837		4,615
Expedia, Inc.		16,875		2,245
Foot Locker, Inc.		16,018		672
Ford Motor Co.		558,874		5,717
The Gap, Inc.		30,188		543
Garmin, Ltd.		17,293		1,380
General Motors Co.		188,128		7,249
Genuine Parts Co.		20,831		2,158
H&R Block, Inc.		28,994		850
Hanesbrands, Inc.		51,552		888
Harley-Davidson, Inc.		22,686		813
Hasbro, Inc.		16,513		1,745
Hilton Worldwide Holdings, Inc.		41,511		4,057
The Home Depot, Inc.		156,920		32,635
Kohl’s Corp.		23,108		1,099
L Brands, Inc.		32,711		854
Leggett & Platt, Inc.		18,721		718
Lennar Corp. - Class A		40,707		1,973
LKQ Corp. *		44,781		1,192
Lowe’s Companies, Inc.		111,657		11,267
Macy’s, Inc.		44,051		945
Marriott International, Inc. - Class A		39,417		5,530
McDonald’s Corp.		108,896		22,613
MGM Resorts International		72,783		2,079
Mohawk Industries, Inc. *		8,779		1,295
Newell Brands, Inc.		55,513		856
NIKE, Inc. - Class B		179,231		15,046
Nordstrom, Inc.		14,998		478
Norwegian Cruise Line Holdings, Ltd. *		30,719		1,648
O’Reilly Automotive, Inc. *		11,164		4,123
PulteGroup, Inc.		36,363		1,150
PVH Corp.		10,684		1,011
Ralph Lauren Corp.		7,443		845
Ross Stores, Inc.		52,403		5,194
Royal Caribbean Cruises, Ltd.		24,518		2,972
Starbucks Corp.		172,738		14,481
Tapestry, Inc.		41,379		1,313
Target Corp.		73,068		6,328
Tiffany & Co.		15,410		1,443
The TJX Cos., Inc.		172,947		9,145
Tractor Supply Co.		17,206		1,872
Ulta Beauty, Inc. *		7,920		2,747

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Under Armour, Inc. - Class A *		26,814		680
Under Armour, Inc. - Class C *		27,706		615
VF Corp.		46,446		4,057
Whirlpool Corp.		9,033		1,286
Wynn Resorts, Ltd.		13,819		1,713
Yum! Brands, Inc.		43,637		4,829
Total				355,026
Consumer Staples (7.2%)
Altria Group, Inc.		266,826		12,634
Archer-Daniels-Midland Co.		79,889		3,259
Brown-Forman Corp. - Class B		23,724		1,315
Campbell Soup Co.		27,488		1,101
Church & Dwight Co., Inc.		35,115		2,566
The Clorox Co.		18,165		2,781
The Coca-Cola Co.		547,580		27,883
Colgate-Palmolive Co.		122,439		8,775
Conagra Brands, Inc.		69,300		1,838
Constellation Brands, Inc. - Class A		23,847		4,696
Costco Wholesale Corp.		62,721		16,575
Coty, Inc. - Class A		42,866		574
The Estee Lauder Cos., Inc. - Class A		31,272		5,726
General Mills, Inc.		85,398		4,485
The Hershey Co.		19,866		2,663
Hormel Foods Corp.		38,829		1,574
The J.M. Smucker Co.		16,222		1,869
Kellogg Co.		35,449		1,899
Kimberly-Clark Corp.		49,031		6,535
The Kraft Heinz Co.		88,733		2,754
The Kroger Co.		115,047		2,498
Lamb Weston Holdings, Inc.		20,861		1,322
McCormick & Co., Inc.		17,464		2,707
Molson Coors Brewing Co. - Class B		26,782		1,500
Mondelez International, Inc.		205,431		11,073
Monster Beverage Corp. *		55,817		3,563
PepsiCo, Inc.		199,924		26,216
Philip Morris International, Inc.		221,885		17,425
The Procter & Gamble Co.		357,731		39,225
Sysco Corp.		67,438		4,769
Tyson Foods, Inc. - Class A		42,044		3,395
Walgreens Boots Alliance, Inc.		110,835		6,059

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

16

Index 500 Stock Portfolio

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Consumer Staples continued
Walmart, Inc.		199,495		22,042
Total				253,296
Energy (5.0%)
Anadarko Petroleum Corp.		71,611		5,053
Apache Corp.		53,612		1,553
Baker Hughes		73,434		1,809
Cabot Oil & Gas Corp.		60,368		1,386
Chevron Corp.		271,674		33,807
Cimarex Energy Co.		14,466		858
Concho Resources, Inc.		28,608		2,952
ConocoPhillips		161,183		9,832
Devon Energy Corp.		59,214		1,689
Diamondback Energy, Inc.		22,076		2,406
EOG Resources, Inc.		82,764		7,710
Exxon Mobil Corp.		603,427		46,241
Halliburton Co.		124,644		2,834
Helmerich & Payne, Inc.		15,761		798
Hess Corp.		36,351		2,311
HollyFrontier Corp.		22,406		1,037
Kinder Morgan, Inc.		277,650		5,797
Marathon Oil Corp.		116,648		1,657
Marathon Petroleum Corp.		94,501		5,281
National Oilwell Varco, Inc.		55,039		1,223
Noble Energy, Inc.		68,204		1,528
Occidental Petroleum Corp.		106,680		5,364
ONEOK, Inc.		58,866		4,051
Phillips 66		59,569		5,572
Pioneer Natural Resources Co.		24,020		3,696
Schlumberger, Ltd.		197,543		7,850
TechnipFMC PLC		60,068		1,558
Valero Energy Corp.		59,506		5,094
The Williams Cos., Inc.		172,819		4,846
Total				175,793
Financials (12.9%)
Affiliated Managers Group, Inc.		7,302		673
AFLAC, Inc.		106,317		5,827
The Allstate Corp.		47,507		4,831
American Express Co.		97,660		12,055
American International Group, Inc.		124,042		6,609
Ameriprise Financial, Inc.		19,097		2,772
Aon PLC		34,303		6,620
Arthur J. Gallagher & Co.		26,420		2,314
Assurant, Inc.		8,768		933
Bank of America Corp.		1,261,113		36,572
The Bank of New York Mellon Corp.		125,634		5,547
BB&T Corp.		109,233		5,367

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Financials continued
Berkshire Hathaway, Inc. - Class B *		276,364		58,913
BlackRock, Inc.		16,969		7,964
Capital One Financial Corp.		66,973		6,077
CBOE Holdings, Inc.		15,932		1,651
The Charles Schwab Corp.		169,452		6,810
Chubb, Ltd.		65,300		9,618
Cincinnati Financial Corp.		21,636		2,243
Citigroup, Inc.		329,798		23,096
Citizens Financial Group, Inc.		65,369		2,311
CME Group, Inc.		51,053		9,910
Comerica, Inc.		21,986		1,597
Discover Financial Services		46,169		3,582
E*TRADE Financial Corp.		34,894		1,556
Everest Re Group, Ltd.		5,809		1,436
Fifth Third Bancorp		103,705		2,893
First Republic Bank		23,500		2,295
Franklin Resources, Inc.		41,985		1,461
The Goldman Sachs Group, Inc.		48,523		9,928
The Hartford Financial Services Group, Inc.		51,556		2,873
Huntington Bancshares, Inc.		149,239		2,062
Intercontinental Exchange, Inc.		80,417		6,911
Invesco, Ltd.		57,131		1,169
Jefferies Financial Group, Inc.		36,136		695
JPMorgan Chase & Co.		462,647		51,724
KeyCorp		143,800		2,552
Lincoln National Corp.		28,858		1,860
Loews Corp.		38,264		2,092
M&T Bank Corp.		19,485		3,314
MarketAxess Holdings, Inc.		5,342		1,717
Marsh & McLennan Cos., Inc.		72,927		7,274
MetLife, Inc.		135,539		6,732
Moody’s Corp.		23,525		4,595
Morgan Stanley		182,336		7,988
MSCI, Inc.		12,077		2,884
Nasdaq, Inc.		16,543		1,591
Northern Trust Corp.		31,044		2,794
People’s United Financial, Inc.		56,244		944
PNC Financial Services Group, Inc.		64,383		8,838
Principal Financial Group, Inc.		36,945		2,140
The Progressive Corp.		83,286		6,657
Prudential Financial, Inc.		57,903		5,848

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Financials continued
Raymond James Financial, Inc.		18,021		1,524
Regions Financial Corp.		144,503		2,159
S&P Global, Inc.		35,095		7,994
State Street Corp.		53,220		2,984
SunTrust Banks, Inc.		63,297		3,978
SVB Financial Group *		7,462		1,676
Synchrony Financial		90,444		3,136
T. Rowe Price Group, Inc.		33,725		3,700
Torchmark Corp.		14,425		1,290
The Travelers Cos., Inc.		37,353		5,585
U.S. Bancorp		213,432		11,184
Unum Group		30,217		1,014
Wells Fargo & Co.		576,874		27,298
Willis Towers Watson PLC		18,431		3,530
Zions Bancorporation		26,037		1,197
Total				456,964
Health Care (14.0%)
Abbott Laboratories		251,603		21,160
AbbVie, Inc.		210,836		15,332
ABIOMED, Inc. *		6,436		1,676
Agilent Technologies, Inc.		45,066		3,365
Alexion Pharmaceuticals, Inc. *		31,980		4,189
Align Technology, Inc. *		10,383		2,842
Allergan PLC		43,945		7,358
AmerisourceBergen Corp.		22,181		1,891
Amgen, Inc.		86,987		16,030
Anthem, Inc.		36,681		10,352
Baxter International, Inc.		67,666		5,542
Becton Dickinson and Co.		38,469		9,695
Biogen, Inc. *		27,653		6,467
Boston Scientific Corp. *		198,331		8,524
Bristol-Myers Squibb Co.		233,283		10,579
Cardinal Health, Inc.		42,508		2,002
Celgene Corp. *		100,582		9,298
Centene Corp. *		58,953		3,091
Cerner Corp.		46,411		3,402
Cigna Corp.		54,117		8,526
The Cooper Cos., Inc.		7,058		2,378
CVS Health Corp.		185,273		10,096
Danaher Corp.		89,852		12,842
DaVita, Inc. *		18,036		1,015
DENTSPLY SIRONA, Inc.		33,369		1,947
Edwards Lifesciences Corp. *		29,736		5,493
Eli Lilly & Co.		123,227		13,652
Gilead Sciences, Inc.		181,346		12,252

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

17

Index 500 Stock Portfolio

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Health Care continued
HCA Healthcare, Inc.		38,079		5,147
Henry Schein, Inc. *		21,260		1,486
Hologic, Inc. *		38,228		1,836
Humana, Inc.		19,258		5,109
IDEXX Laboratories, Inc. *		12,266		3,377
Illumina, Inc. *		20,965		7,718
Incyte Corp. *		25,384		2,157
Intuitive Surgical, Inc. *		16,465		8,637
IQVIA Holdings, Inc. *		22,504		3,621
Johnson & Johnson		378,657		52,739
Laboratory Corp. of America Holdings *		14,048		2,429
McKesson Corp.		27,092		3,641
Medtronic PLC		191,207		18,622
Merck & Co., Inc.		367,189		30,789
Mettler-Toledo International, Inc. *		3,537		2,971
Mylan NV *		73,514		1,400
Nektar Therapeutics *		24,859		884
PerkinElmer, Inc.		15,819		1,524
Perrigo Co. PLC		17,843		850
Pfizer, Inc.		791,784		34,300
Quest Diagnostics, Inc.		19,164		1,951
Regeneron Pharmaceuticals, Inc. *		11,216		3,511
ResMed, Inc.		20,450		2,495
Stryker Corp.		44,165		9,079
Teleflex, Inc.		6,582		2,180
Thermo Fisher Scientific, Inc.		57,044		16,753
UnitedHealth Group, Inc.		135,535		33,072
Universal Health Services, Inc. - Class B		11,821		1,541
Varian Medical Systems, Inc. *		12,970		1,766
Vertex Pharmaceuticals, Inc. *		36,527		6,698
Waters Corp. *		9,908		2,133
WellCare Health Plans, Inc. *		7,175		2,045
Zimmer Biomet
Holdings, Inc.		29,208		3,439
Zoetis, Inc.		68,265		7,747
Total				494,643
Industrials (9.2%)
3M Co.		82,208		14,250
A.O. Smith Corp.		20,129		949
Alaska Air Group, Inc.		17,614		1,126
Allegion PLC		13,398		1,481
American Airlines Group, Inc.		56,462		1,841
AMETEK, Inc.		32,494		2,952
Arconic, Inc.		56,945		1,470
The Boeing Co.		74,624		27,164

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Industrials continued
C.H. Robinson Worldwide, Inc.		19,476		1,643
Caterpillar, Inc.		81,559		11,116
Cintas Corp.		12,080		2,866
Copart, Inc. *		28,754		2,149
CSX Corp.		109,631		8,482
Cummins, Inc.		20,664		3,541
Deere & Co.		45,209		7,492
Delta Air Lines, Inc.		84,961		4,822
Dover Corp.		20,726		2,077
Eaton Corp. PLC		60,342		5,025
Emerson Electric Co.		87,656		5,848
Equifax, Inc.		17,232		2,330
Expeditors International of Washington, Inc.		24,530		1,861
Fastenal Co.		81,622		2,660
FedEx Corp.		34,189		5,613
Flowserve Corp.		18,703		985
Fortive Corp.		42,056		3,428
Fortune Brands Home & Security, Inc.		19,949		1,140
General Dynamics Corp.		38,726		7,041
General Electric Co.		1,243,738		13,059
Honeywell International, Inc.		103,789		18,121
Huntington Ingalls Industries, Inc.		5,926		1,332
IHS Markit, Ltd. *		51,880		3,306
Illinois Tool Works, Inc.		42,744		6,446
Ingersoll-Rand PLC		34,393		4,357
J.B. Hunt Transport Services, Inc.		12,406		1,134
Jacobs Engineering Group, Inc.		16,366		1,381
Johnson Controls International PLC		113,493		4,688
Kansas City Southern		14,345		1,747
L3Harris Technologies, Inc.		31,570		5,971
Lockheed Martin Corp.		35,057		12,745
Masco Corp.		41,865		1,643
Nielsen Holdings PLC		50,699		1,146
Norfolk Southern Corp.		37,931		7,561
Northrop Grumman Corp.		24,216		7,824
PACCAR, Inc.		49,409		3,541
Parker Hannifin Corp.		18,296		3,110
Pentair PLC		22,554		839
Quanta Services, Inc.		20,263		774
Raytheon Co.		39,725		6,907
Republic Services, Inc.		30,729		2,662
Robert Half International, Inc.		16,897		963
Rockwell Automation, Inc.		16,881		2,766
Rollins, Inc.		21,020		754
Roper Technologies, Inc.		14,810		5,424
Snap-on, Inc.		7,902		1,309
Southwest Airlines Co.		69,706		3,540

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Stanley Black & Decker, Inc.		21,611		3,125
Textron, Inc.		33,196		1,761
TransDigm Group, Inc. *		6,978		3,376
Union Pacific Corp.		100,950		17,072
United Continental Holdings, Inc. *		31,523		2,760
United Parcel Service, Inc. - Class B		99,479		10,273
United Rentals, Inc. *		11,213		1,487
United Technologies Corp.		115,682		15,062
Verisk Analytics, Inc.		23,342		3,419
W.W. Grainger, Inc.		6,405		1,718
Wabtec Corp.		23,073		1,656
Waste Management, Inc.		55,722		6,429
Xylem, Inc.		25,662		2,146
Total				326,686
Information Technology (21.2%)
Accenture PLC - Class A		90,966		16,808
Adobe Systems, Inc. *		69,590		20,505
Advanced Micro Devices, Inc. *		126,489		3,841
Akamai Technologies, Inc. *		23,403		1,876
Alliance Data Systems Corp.		6,425		900
Amphenol Corp. - Class A		42,605		4,088
Analog Devices, Inc.		52,734		5,952
ANSYS, Inc. *		11,970		2,452
Apple, Inc.		623,383		123,380
Applied Materials, Inc.		133,505		5,996
Arista Networks, Inc. *		7,540		1,958
Autodesk, Inc. *		31,322		5,102
Automatic Data Processing, Inc.		62,071		10,262
Broadcom, Inc.		56,455		16,251
Broadridge Financial Solutions, Inc.		16,564		2,115
Cadence Design Systems, Inc. *		40,080		2,838
Cisco Systems, Inc.		610,506		33,413
Citrix Systems, Inc.		17,837		1,751
Cognizant Technology Solutions Corp. - Class A		81,190		5,147
Corning, Inc.		111,920		3,719
DXC Technology Co.		38,260		2,110
F5 Networks, Inc. *		8,514		1,240
Fidelity National Information Services, Inc.		46,185		5,666
Fiserv, Inc. *		55,969		5,102
FleetCor Technologies, Inc. *		12,293		3,452
FLIR Systems, Inc.		19,313		1,045

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

18

Index 500 Stock Portfolio

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Fortinet, Inc. *		20,700		1,590
Gartner, Inc. *		12,848		2,068
Global Payments, Inc.		22,346		3,578
Hewlett Packard Enterprise Co.		190,986		2,855
HP, Inc.		214,823		4,466
Intel Corp.		638,498		30,565
International Business Machines Corp.		126,451		17,438
Intuit, Inc.		36,972		9,662
IPG Photonics Corp. *		5,078		783
Jack Henry & Associates, Inc.		11,011		1,475
Juniper Networks, Inc.		49,106		1,308
Keysight Technologies, Inc. *		26,836		2,410
KLA-Tencor Corp.		23,050		2,724
Lam Research Corp.		21,382		4,016
Mastercard, Inc. - Class A		128,181		33,908
Maxim Integrated Products, Inc.		38,852		2,324
Microchip Technology, Inc.		33,932		2,942
Micron Technology, Inc. *		157,833		6,091
Microsoft Corp.		1,092,851		146,398
Motorola Solutions, Inc.		23,501		3,918
NetApp, Inc.		35,223		2,173
NVIDIA Corp.		86,854		14,264
Oracle Corp.		346,066		19,715
Paychex, Inc.		45,617		3,754
PayPal Holdings, Inc. *		167,566		19,180
Qorvo, Inc. *		16,993		1,132
QUALCOMM, Inc.		173,380		13,189
Red Hat, Inc. *		25,351		4,760
salesforce.com, Inc. *		110,749		16,804
Seagate Technology PLC		35,929		1,693
Skyworks Solutions, Inc.		24,629		1,903
Symantec Corp.		88,166		1,918
Synopsys, Inc. *		21,378		2,751
TE Connectivity, Ltd.		48,043		4,602
Texas Instruments, Inc.		133,804		15,355
Total System Services, Inc.		23,220		2,978
VeriSign, Inc. *		14,958		3,129
Visa, Inc. - Class A		248,010		43,042
Western Digital Corp.		41,787		1,987
Western Union Co.		61,426		1,222
Xerox Corp.		27,871		987
Xilinx, Inc.		36,213		4,270
Total				748,296
Materials (2.8%)
Air Products and Chemicals, Inc.		31,395		7,107
Albemarle Corp.		15,111		1,064
Amcor PLC *		231,481		2,660
Avery Dennison Corp.		12,039		1,393

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Materials continued
Ball Corp.		47,741		3,341
Celanese Corp. - Class A		18,057		1,947
CF Industries Holdings, Inc.		31,529		1,473
Corteva, Inc. *		106,794		3,158
Dow, Inc.		106,795		5,266
DuPont de Nemours, Inc.		106,791		8,017
Eastman Chemical Co.		19,764		1,538
Ecolab, Inc.		36,175		7,142
FMC Corp.		18,777		1,558
Freeport-McMoRan, Inc.		206,886		2,402
International Flavors & Fragrances, Inc.		14,455		2,097
International Paper Co.		56,667		2,455
Linde PLC		77,408		15,543
LyondellBasell Industries NV - Class A		43,308		3,730
Martin Marietta Materials, Inc.		8,911		2,050
The Mosaic Co.		50,618		1,267
Newmont Mining Corp.		116,893		4,497
Nucor Corp.		43,468		2,395
Packaging Corp. of America		13,476		1,284
PPG Industries, Inc.		33,672		3,930
Sealed Air Corp.		22,206		950
The Sherwin-Williams Co.		11,586		5,310
Vulcan Materials Co.		18,839		2,587
WestRock Co.		36,659		1,337
Total				97,498
Real Estate (3.0%)
Alexandria Real Estate Equities, Inc.		16,107		2,272
American Tower Corp.		63,040		12,888
Apartment Investment & Management Co. - Class A		21,226		1,064
AvalonBay Communities, Inc.		19,881		4,039
Boston Properties, Inc.		22,037		2,843
CBRE Group, Inc. *		44,602		2,288
Crown Castle International Corp.		59,292		7,729
Digital Realty Trust, Inc.		29,705		3,499
Duke Realty Corp.		51,261		1,620
Equinix, Inc.		11,990		6,046
Equity Residential		52,834		4,011
Essex Property Trust, Inc.		9,372		2,736
Extra Space Storage, Inc.		18,177		1,929
Federal Realty Investment Trust		10,683		1,376
HCP, Inc.		68,168		2,180

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Host Hotels & Resorts, Inc.		105,664		1,925
Iron Mountain, Inc.		40,914		1,281
Kimco Realty Corp.		60,190		1,112
The Macerich Co.		15,107		506
Mid-America Apartment Communities, Inc.		16,258		1,915
Prologis, Inc.		89,962		7,206
Public Storage		21,405		5,098
Realty Income Corp.		44,898		3,097
Regency Centers Corp.		23,832		1,591
SBA Communications Corp. *		16,151		3,631
Simon Property Group, Inc.		44,067		7,040
SL Green Realty Corp.		12,027		967
UDR, Inc.		40,189		1,804
Ventas, Inc.		52,684		3,601
Vornado Realty Trust		24,757		1,587
Welltower, Inc.		57,752		4,708
Weyerhaeuser Co.		106,220		2,798
Total				106,387
Utilities (3.3%)
The AES Corp.		94,658		1,586
Alliant Energy Corp.		33,700		1,654
Ameren Corp.		35,027		2,631
American Electric Power Co., Inc.		70,373		6,194
American Water Works Co., Inc.		25,745		2,986
Atmos Energy Corp.		16,685		1,761
CenterPoint Energy, Inc.		71,619		2,050
CMS Energy Corp.		40,468		2,344
Consolidated Edison, Inc.		46,650		4,090
Dominion Resources, Inc.		114,431		8,848
DTE Energy Co.		26,129		3,341
Duke Energy Corp.		103,832		9,162
Edison International		46,467		3,132
Entergy Corp.		27,087		2,788
Evergy, Inc.		34,812		2,094
Eversource Energy		45,794		3,469
Exelon Corp.		138,475		6,639
FirstEnergy Corp.		72,004		3,083
NextEra Energy, Inc.		68,305		13,993
NiSource, Inc.		53,211		1,532
NRG Energy, Inc.		38,100		1,338
Pinnacle West Capital Corp.		16,013		1,507
PPL Corp.		102,933		3,192
Public Service Enterprise Group, Inc.		72,083		4,240
Sempra Energy		39,132		5,378
The Southern Co.		148,441		8,206
WEC Energy Group, Inc.		44,987		3,751

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

19

Index 500 Stock Portfolio

Common Stocks (98.8%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Xcel Energy, Inc.		73,401		4,367
Total				115,356
Total Common Stocks (Cost: $1,562,118)				3,484,937
Short-Term Investments (1.2%)
Commercial Paper (0.8%)
Apple, Inc. 0.000%, 9/18/19 144A		1,900,000		1,890
General Mills, Inc. 0.000%, 7/9/19 144A		3,000,000		2,998
Marriott International, Inc.
0.000%, 8/26/19 144A		3,000,000		2,987
0.000%, 8/27/19 144A		3,000,000		2,987
Mondelez International, Inc. 0.000%, 7/19/19 144A		1,000,000		998
QUALCOMM, Inc.
0.000%, 7/23/19 144A		1,000,000		998
0.000%, 8/6/19 144A		1,000,000		998
Societe Generale SA 0.000%, 10/15/19 144A		3,000,000		2,979
The Southern Co. 0.000%, 7/8/19 144A		3,000,000		2,998
Walgreens Boots Alliance, Inc. 0.000%, 8/16/19 144A		3,000,000		2,989
The Walt Disney Co.
0.000%, 9/20/19 144A		3,000,000		2,984
0.000%, 9/26/19 144A		1,500,000		1,492
Total				27,298
Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		10,225,081		10,225
Total				10,225

Short-Term Investments (1.2%)	Shares/ Par +		Value $ (000’s)
US Government & Agencies (0.1%)
Federal Home Loan Bank
0.000%, 7/9/19 ß		3,000,000		2,999
0.000%, 8/16/19		3,000,000		2,991
Total				5,990
Total Short-Term Investments (Cost: $43,519)				43,513
Total Investments (100.0%) (Cost: $1,605,637)@				3,528,450
Other Assets, Less Liabilities (0.0%)				644
Net Assets (100.0%)				3,529,094

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

20

Index 500 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
E-Mini S&P 500 Futures		Long		USD		15		291		9/19	$	42,838	$	281	$	193
													$	281	$	193

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Variation Margin (000’s)

Market Value (000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

193

$

193

$

–

$

–

$

–

$

–

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

* Non income producing

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $27,298 representing 0.8% of the net assets.

# 7-Day yield as of 6/30/2019.

ß Cash or securities with an aggregate value of $2,999 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,605,637 and the net unrealized appreciation of investments based on that cost was $1,923,094 which is comprised of $1,996,707 aggregate gross unrealized appreciation and $73,613 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	3,484,937	$	—	$	—
Short-Term Investments
Money Market Funds			10,225		—		—
All Others			—		33,288		—
Other Financial Instruments^
Futures			281		—		—
Total Assets:		$	3,495,443	$	33,288	$	—

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

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

21

Large Company Value Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Financials	23.8%
Health Care	20.2%
Industrials	10.8%
Consumer Staples	9.7%
Energy	9.2%
Information Technology	6.1%
Utilities	4.6%
Consumer Discretionary	4.1%
Investment Companies	3.4%
Communication Services	3.1%
Real Estate	2.3%
Short-Term Investments & Other Net Assets	1.7%
Materials	1.0%
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.

22

Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (94.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (3.1%)
Verizon Communications, Inc.		106,030		6,057
Total				6,057
Consumer Discretionary (4.1%)
Advance Auto Parts, Inc.		14,090		2,172
BorgWarner, Inc.		31,390		1,318
Carnival Corp.		33,330		1,551
Honda Motor Co., Ltd., ADR		65,380		1,689
PulteGroup, Inc.		35,320		1,117
Total				7,847
Consumer Staples (9.7%)
Colgate-Palmolive Co.		22,790		1,633
Conagra Brands, Inc.		56,510		1,499
Kellogg Co.		15,860		850
Mondelez International, Inc.		66,580		3,589
PepsiCo, Inc.		17,470		2,291
The Procter & Gamble Co.		47,180		5,173
Sysco Corp.		14,260		1,008
Unilever NV		15,410		939
Walmart, Inc.		15,290		1,689
Total				18,671
Energy (9.2%)
Baker Hughes		67,150		1,654
Chevron Corp.		38,940		4,846
Royal Dutch Shell PLC - Class B, ADR		22,780		1,497
Schlumberger, Ltd.		88,600		3,521
Total SA, ADR		112,970		6,303
Total				17,821
Financials (23.8%)
AFLAC, Inc.		45,530		2,496
Ameriprise Financial, Inc.		22,670		3,291
Bank of America Corp.		48,460		1,405
The Bank of New York Mellon Corp.		103,760		4,581
BB&T Corp.		97,480		4,789
Berkshire Hathaway, Inc. - Class B *		9,070		1,933
Chubb, Ltd.		30,320		4,466
Invesco, Ltd.		76,820		1,572
JPMorgan Chase & Co.		65,970		7,375
PNC Financial Services Group, Inc.		41,190		5,655
U.S. Bancorp		92,000		4,821
Wells Fargo & Co.		75,960		3,594
Total				45,978

Common Stocks (94.9%)	Shares/ Par +		Value $ (000’s)
Health Care (20.2%)
Cerner Corp.		28,680		2,102
Gilead Sciences, Inc.		29,440		1,989
Hologic, Inc. *		44,950		2,159
Johnson & Johnson		47,610		6,631
McKesson Corp.		10,960		1,473
Medtronic PLC		76,580		7,458
Merck & Co., Inc.		16,940		1,420
Pfizer, Inc.		126,100		5,463
Quest Diagnostics, Inc.		27,410		2,791
Roche Holding AG		6,950		1,955
Zimmer Biomet Holdings, Inc.		46,700		5,498
Total				38,939
Industrials (10.8%)
Atlas Copco AB		66,110		1,896
Cummins, Inc.		16,360		2,803
Eaton Corp. PLC		29,820		2,483
Emerson Electric Co.		39,680		2,647
Johnson Controls International PLC		63,230		2,612
Siemens AG		21,260		2,529
Southwest Airlines Co.		51,410		2,611
Union Pacific Corp.		5,900		998
United Parcel Service, Inc. - Class B		22,510		2,325
Total				20,904
Information Technology (6.1%)
Applied Materials, Inc.		42,920		1,927
Cisco Systems, Inc.		17,260		945
Intel Corp.		62,600		2,997
Maxim Integrated Products, Inc.		27,710		1,658
Oracle Corp.		33,530		1,910
TE Connectivity, Ltd.		25,310		2,424
Total				11,861
Materials (1.0%)
DuPont de Nemours, Inc.		26,120		1,961
Total				1,961
Real Estate (2.3%)
Welltower, Inc.		24,200		1,973
Weyerhaeuser Co.		95,920		2,527
Total				4,500
Utilities (4.6%)
Eversource Energy		38,710		2,933
Pinnacle West Capital Corp.		25,870		2,434
Xcel Energy, Inc.		57,740		3,435
Total				8,802
Total Common Stocks (Cost: $169,109)				183,341

Investment Companies (3.4%)	Shares/ Par +		Value $ (000’s)
Investment Companies (3.4%)
iShares Russell 1000
Value Index Fund		51,590		6,563
Total				6,563
Total Investment Companies (Cost: $6,345)				6,563
Short-Term
Investments (1.7%)
Money Market Funds (1.7%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		3,310,741		3,311
Total				3,311
Total Short-Term Investments (Cost: $3,311)				3,311
Total Investments (100.0%) (Cost: $178,765)@				193,215
Other Assets, Less Liabilities (0.0%)				(1)
Net Assets (100.0%)				193,214

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

23

Large Company Value Portfolio

Over the Counter Derivatives

Forward Contracts

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	1,632		1,685		9/19	$	—p	$	(9)	$	(9)
Sell	Morgan Stanley Capital Services Inc	EUR	7,386		8,457		9/19		—		(34)		(34)
Sell	Morgan Stanley Capital Services Inc	GBP	1,011		1,289		9/19		—		(2)		(2)
Sell	Morgan Stanley Capital Services Inc	JPY	154,864		1,446		9/19		2		—		2
Sell	Goldman Sachs International	SEK	13,894		1,506		9/19		—p		(16)		(16)
								$	2	$	(61)	$	(59)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	2		—	$	2	$	(61)		—		—	$	(61)

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $178,765 and the net unrealized appreciation of investments based on that cost was $14,391 which is comprised of $18,770 aggregate gross unrealized appreciation and $4,379 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

p 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, 2019. 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	$	183,341	$	—	$	—
Investment Companies		6,563		—		—
Short-Term Investments		3,311		—		—
Other Financial Instruments^
Forward Currency Contracts		—		2		—
Total Assets:	$	193,215	$	2	$	—
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		—		(61)		—
Total Liabilities:	$	—	$	(61)	$	—

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

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

24

Domestic Equity Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Health Care	21.1%
Financials	14.9%
Information Technology	12.6%
Energy	9.9%
Industrials	9.7%
Consumer Staples	8.8%
Consumer Discretionary	6.4%
Communication Services	6.1%
Utilities	3.3%
Real Estate	3.1%
Materials	3.0%
Short-Term Investments & Other Net Assets	1.0%
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.

25

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Communication Services (6.1%)
AT&T, Inc.		774,500		25,954
Verizon Communications, Inc.		462,600		26,428
Total				52,382
Consumer Discretionary (6.4%)
Dollar Tree, Inc. *		263,200		28,265
Lowe’s Companies, Inc.		262,400		26,479
Total				54,744
Consumer Staples (8.8%)
Archer-Daniels-Midland Co.		542,300		22,126
CVS Health Corp.		452,800		24,673
Mondelez International, Inc.		530,700		28,605
Total				75,404
Energy (9.9%)
ConocoPhillips		373,900		22,808
Halliburton Co.		954,200		21,699
Marathon Oil Corp.		1,571,145		22,326
Occidental Petroleum Corp.		358,800		18,040
Total				84,873
Financials (14.9%)
The Allstate Corp.		270,300		27,487
American International Group, Inc.		515,000		27,439
The Bank of New York Mellon Corp.		489,500		21,611

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Financials continued
BB&T Corp.		493,500		24,246
Marsh & McLennan Cos., Inc.		269,000		26,833
Total				127,616
Health Care (21.1%)
Abbott Laboratories		337,600		28,392
Cardinal Health, Inc.		479,100		22,566
Cigna Corp.		139,103		21,916
Johnson & Johnson		191,000		26,602
Merck & Co., Inc.		333,200		27,939
Pfizer, Inc.		616,900		26,724
Quest Diagnostics, Inc.		255,000		25,961
Total				180,100
Industrials (9.7%)
Northrop Grumman Corp.		86,500		27,949
Raytheon Co.		146,800		25,526
Waste Management, Inc.		253,300		29,223
Total				82,698
Information Technology (12.6%)
Broadcom, Inc.		91,400		26,311
Cisco Systems, Inc.		503,200		27,540
Intel Corp.		493,000		23,600
Oracle Corp.		526,600		30,000
Total				107,451

Common Stocks (98.9%)	Shares/ Par +		Value $ (000’s)
Materials (3.0%)
DuPont de Nemours, Inc.		343,684		25,800
Total				25,800
Real Estate (3.1%)
Equity Residential		353,595		26,845
Total				26,845
Utilities (3.3%)
Edison International		421,500		28,413
Total				28,413
Total Common Stocks (Cost: $624,342)				846,326
Short-Term Investments (1.0%)
Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		8,440,358		8,440
Total				8,440
Total Short-Term Investments (Cost: $8,440)				8,440
Total Investments (99.9%) (Cost: $632,782)@				854,766
Other Assets, Less Liabilities (0.1%)				1,093
Net Assets (100.0%)				855,859

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $632,782 and the net unrealized appreciation of investments based on that cost was $221,984 which is comprised of $254,889 aggregate gross unrealized appreciation and $32,905 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

26

Domestic Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	846,326	$	—	$	—
Short-Term Investments			8,440		—		—
Total Assets:		$	854,766	$	—	$	—

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

27

Equity Income Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Financials	22.8%
Health Care	12.0%
Industrials	11.6%
Energy	9.6%
Consumer Staples	8.9%
Information Technology	8.5%
Utilities	7.7%
Communication Services	6.6%
Materials	4.5%
Real Estate	3.0%
Consumer Discretionary	2.5%
Short-Term Investments & Other Net Assets	1.7%
Corporate Bonds	0.4%
Convertible Corporate Bonds	0.2%
Sector Allocation is subject to change.

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

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

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.

28

Equity Income Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (95.1%)	Shares/ Par +		Value $ (000’s)
Communication Services (6.6%)
AT&T, Inc.		123,362		4,134
CenturyLink, Inc.		85,013		1,000
Comcast Corp. - Class A		216,185		9,140
Fox Corp. - Class B *		212,901		7,777
News Corp. - Class A		474,945		6,407
Telefonica SA		494,823		4,063
Verizon Communications, Inc.		266,908		15,249
The Walt Disney Co.		26,936		3,761
Total				51,531
Consumer Discretionary (2.5%)
Adient PLC		15,845		385
Kohl’s Corp.		72,159		3,431
L Brands, Inc.		114,300		2,983
Las Vegas Sands Corp.		123,615		7,304
Mattel, Inc. *		281,603		3,157
MGM Resorts International		42,100		1,203
Snap-on, Inc.		3,400		563
Total				19,026
Consumer Staples (8.9%)
Bunge, Ltd.		66,800		3,721
Conagra Brands, Inc.		301,658		8,000
Coty, Inc. - Class A		41,753		559
CVS Health Corp.		168,838		9,200
Kellogg Co.		24,800		1,329
Kimberly-Clark Corp.		97,500		12,995
PepsiCo, Inc.		16,636		2,181
Philip Morris International, Inc.		121,889		9,572
Tyson Foods, Inc. - Class A		166,593		13,451
Walmart, Inc.		73,600		8,132
Total				69,140
Energy (9.6%)
Chevron Corp.		57,300		7,130
Equitrans Midstream Corp.		62,152		1,225
Exxon Mobil Corp.		215,100		16,483
Hess Corp.		66,100		4,202
Occidental Petroleum Corp.		181,500		9,126
Pioneer Natural Resources Co.		31,300		4,816
Targa Resources Corp.		45,600		1,790
TC Energy Corp.		274,956		13,616
Total SA, ADR		293,012		16,347
Total				74,735

Common Stocks (95.1%)	Shares/ Par +		Value $ (000’s)
Financials (22.8%)
American International Group, Inc.		243,660		12,982
Ameriprise Financial, Inc.		8,137		1,181
AXA Equitable Holdings, Inc.		49,404		1,033
Bank of America Corp.		15,723		456
The Bank of New York Mellon Corp.		56,800		2,508
Brighthouse Financial, Inc. *		73,778		2,707
Chubb, Ltd.		93,600		13,786
Citigroup, Inc.		87,187		6,106
Fifth Third Bancorp		377,187		10,524
Franklin Resources, Inc.		164,600		5,728
JPMorgan Chase & Co.		216,446		24,199
KeyCorp		19,291		342
Loews Corp.		147,361		8,056
Marsh & McLennan Cos., Inc.		26,847		2,678
MetLife, Inc.		228,000		11,325
Morgan Stanley		300,191		13,151
Northern Trust Corp.		25,400		2,286
PNC Financial Services Group, Inc.		60,600		8,319
State Street Corp.		159,600		8,947
U.S. Bancorp		188,200		9,862
Wells Fargo & Co.		568,273		26,891
Willis Towers Watson PLC		25,616		4,906
Total				177,973
Health Care (11.2%)
Allergan PLC		23,900		4,002
Anthem, Inc.		43,449		12,262
Becton Dickinson and Co.		10,964		2,763
Bristol-Myers Squibb Co.		129,500		5,873
Gilead Sciences, Inc.		137,100		9,262
GlaxoSmithKline PLC		253,152		5,069
GlaxoSmithKline PLC, ADR		6,200		248
Johnson & Johnson		111,146		15,480
Medtronic PLC		110,945		10,805
Merck & Co., Inc.		41,330		3,466
Pfizer, Inc.		363,326		15,739
Zimmer Biomet Holdings, Inc.		18,600		2,190
Total				87,159
Industrials (11.6%)
Alaska Air Group, Inc.		90,355		5,775
The Boeing Co.		39,600		14,415
Delta Air Lines, Inc.		61,093		3,467
Emerson Electric Co.		65,800		4,390

Common Stocks (95.1%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Flowserve Corp.		8,081		426
General Electric Co.		884,100		9,283
Illinois Tool Works, Inc.		4,500		679
Johnson Controls International PLC		237,898		9,828
L3Harris Technologies, Inc.		75,352		14,251
Nielsen Holdings PLC		278,956		6,304
Northrop Grumman Corp.		2,256		729
nVent Electric PLC		38,900		964
PACCAR, Inc.		32,100		2,300
Pentair PLC		25,700		956
Southwest Airlines Co.		38,900		1,975
Stericycle, Inc. *		88,599		4,231
United Parcel Service, Inc. - Class B		96,100		9,924
United Technologies Corp.		5,900		768
Total				90,665
Information Technology (8.5%)
Applied Materials, Inc.		105,500		4,738
Cisco Systems, Inc.		207,400		11,351
Cognizant Technology Solutions Corp. - Class A		63,400		4,019
Hewlett Packard Enterprise Co.		61,400		918
Microsoft Corp.		120,322		16,118
NXP Semiconductors NV		17,186		1,677
QUALCOMM, Inc.		238,000		18,105
TE Connectivity, Ltd.		15,200		1,456
Texas Instruments, Inc.		55,000		6,312
Western Digital Corp.		29,300		1,393
Total				66,087
Materials (4.5%)
Akzo Nobel NV, ADR		40,177		1,257
CF Industries Holdings, Inc.		152,484		7,122
Corteva, Inc. *		102,234		3,023
Dow, Inc.		97,934		4,829
DuPont de Nemours, Inc.		102,234		7,675
International Paper Co.		155,437		6,734
Nucor Corp.		29,600		1,631
PPG Industries, Inc.		8,200		957
Vulcan Materials Co.		12,000		1,648
Total				34,876
Real Estate (3.0%)
Equity Residential		95,200		7,228
Rayonier, Inc.		146,906		4,451
SL Green Realty Corp.		49,744		3,998

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

29

Equity Income Portfolio

Common Stocks (95.1%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Weyerhaeuser Co.		301,544		7,943
Total				23,620
Utilities (5.9%)
Duke Energy Corp.		24,800		2,188
Edison International		92,006		6,202
Evergy, Inc.		68,377		4,113
NiSource, Inc.		396,752		11,427
PG&E Corp. *		32,767		751
Sempra Energy		25,007		3,437
The Southern Co.		319,579		17,666
Total				45,784
Total Common Stocks (Cost: $634,437)				740,596
Corporate Bonds (0.4%)
Consumer, Cyclical (0.2%)
Mattel, Inc., 6.750%, 12/31/25 144A		1,632,000		1,679
Total				1,679
Utilities (0.2%)
Pacific Gas & Electric Co., 3.950%, 12/1/47 j		890,000		800
Pacific Gas & Electric Co., 4.000%, 12/1/46 j		770,000		699
Total				1,499
Total Corporate Bonds (Cost: $2,871)				3,178
Convertible Corporate Bonds (0.2%)
Financial (0.2%)
AXA SA, 7.250%, 5/15/21 144A		1,561,000		1,603
Total				1,603
Total Convertible Corporate Bonds (Cost: $1,561)				1,603
Convertible Preferred Stocks (2.6%)
Health Care (0.8%)
Becton Dickinson and Co., 6.125%, 5/1/20		100,450		6,219
Total				6,219
Utilities (1.8%)
Aqua America, Inc., 6.000%, 4/30/22 *		20,428		1,164
DTE Energy Co., 6.500%, 10/1/19		13,017		732
NextEra Energy, Inc., 6.123%, 9/1/19		108,213		7,026

Convertible Preferred Stocks (2.6%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Sempra Energy, 6.750%, 7/15/21		11,107		1,239
Sempra Energy, 6.000%, 1/15/21		36,037		4,018
Total				14,179
Total Convertible Preferred Stocks (Cost: $16,733)				20,398
Short-Term Investments (1.4%)
Money Market Funds (1.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		11,229,261		11,229
Total				11,229
Total Short-Term Investments (Cost: $11,229)				11,229
Total Investments (99.7%) (Cost: $666,831)@				777,004
Other Assets, Less Liabilities (0.3%)				2,313
Net Assets (100.0%)				779,317

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

30

Equity Income Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
E-Mini S&P 500 Futures		Long		USD		1		11		9/19	$	1,619	$	(8	)	$	7
													$	(8	)	$	7

Financial Derivative Assets

Financial Derivative Liabilities

Market Value

Variation Margin (000’s)

Variation Margin (000’s)

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

7

$

7

$

–

$

–

$

–

$

–

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

* Non income producing

F Defaulted Security

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $3,282 representing 0.4% of the net assets.

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $666,831 and the net unrealized appreciation of investments based on that cost was $110,156 which is comprised of $146,820 aggregate gross unrealized appreciation and $36,664 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	740,596		$	—	$	—
Convertible Corporate Bonds		—			1,603		—
Convertible Preferred Stocks		20,398			—		—
Corporate Bonds		—			3,178		—
Short-Term Investments		11,229			—		—
Total Assets:	$	772,223		$	4,781	$	—
Liabilities:
Other Financial Instruments^
Futures		(8	)		—		—
Total Liabilities:	$	(8	)	$	—	$	—

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

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

31

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Information Technology	29.4%
Health Care	19.9%
Industrials	17.9%
Financials	13.2%
Consumer Discretionary	9.5%
Materials	2.9%
Utilities	2.6%
Real Estate	1.9%
Communication Services	1.5%
Energy	1.0%
Short-Term Investments & Other Net Assets	0.2%
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.

32

Mid Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.5%)
CarGurus, Inc. *		179,064		6,466
TripAdvisor, Inc. *		232,007		10,740
Total				17,206
Consumer Discretionary (9.5%)
CarMax, Inc. *		132,301		11,488
Carter’s, Inc.		129,064		12,589
Choice Hotels International, Inc.		179,395		15,609
Etsy, Inc. *		113,226		6,949
GrubHub, Inc. *		88,545		6,906
NVR, Inc. *		5,375		18,115
Roku, Inc. *		83,947		7,604
Service Corp. International		277,275		12,971
Under Armour, Inc. - Class C *		375,788		8,342
YETI Holdings, Inc. *		228,759		6,622
Total				107,195
Energy (1.0%)
Diamondback Energy, Inc.		54,966		5,990
WPX Energy, Inc. *		508,359		5,851
Total				11,841
Financials (13.2%)
Alleghany Corp. *		12,289		8,370
Credit Acceptance Corp. *		25,579		12,376
Cullen / Frost Bankers, Inc.		104,919		9,827
FactSet Research Systems, Inc.		39,124		11,211
Fairfax Financial Holdings, Ltd.		3,735		1,833
First Citizens BancShares, Inc. - Class A		17,656		7,950
First Republic Bank		126,940		12,396
FNF Group		159,697		6,436
M&T Bank Corp.		71,539		12,167
Markel Corp. *		16,629		18,119
Northern Trust Corp.		109,856		9,887
Pinnacle Financial Partners, Inc.		74,581		4,287
Prosperity Bancshares, Inc.		144,760		9,561
South State Corp.		84,383		6,216
W.R. Berkley Corp.		135,406		8,927
White Mountains Insurance Group, Ltd.		9,128		9,324
Total				148,887

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Health Care (19.9%)
Aerie Pharmaceuticals, Inc. *		203,176		6,004
Alnylam Pharmaceuticals, Inc. *		102,024		7,403
Bio-Techne Corp.		56,079		11,692
Bluebird Bio, Inc. *		75,006		9,541
Hill-Rom Holdings, Inc.		116,525		12,191
Integra LifeSciences Holdings Corp. *		208,761		11,659
Ionis Pharmaceuticals, Inc. *		162,665		10,454
Masimo Corp. *		69,462		10,337
Mettler-Toledo International, Inc. *		13,323		11,191
Molina Healthcare, Inc. *		27,716		3,967
NuVasive, Inc. *		208,984		12,234
PRA Health Sciences, Inc. *		110,509		10,957
Repligen Corp. *		106,759		9,176
Sage Therapeutics, Inc. *		76,666		14,037
Seattle Genetics, Inc. *		195,093		13,502
STERIS PLC		93,304		13,891
Teleflex, Inc.		51,280		16,981
Ultragenyx Pharmaceutical, Inc. *		158,041		10,036
Varian Medical Systems, Inc. *		92,320		12,568
Veeva Systems, Inc.- Class A *		101,640		16,477
Total				224,298
Industrials (17.9%)
AMERCO		27,646		10,466
Cimpress NV *		59,326		5,392
Cintas Corp.		50,661		12,021
CoStar Group, Inc. *		26,023		14,418
Fastenal Co.		342,917		11,176
Gardner Denver Holdings, Inc. *		350,671		12,133
Genesee & Wyoming, Inc. - Class A *		165,859		16,586
Healthcare Services Group, Inc.		220,769		6,694
HEICO Corp. - Class A		79,845		8,254
IAA Spinco, Inc. *		206,402		8,004
IDEX Corp.		117,935		20,301
KAR Auction Services, Inc.		206,402		5,160
Lennox International, Inc.		72,761		20,009
Lincoln Electric Holdings, Inc.		115,858		9,538
PACCAR, Inc.		130,284		9,336

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Industrials continued
TransUnion		275,946		20,285
Waste Connections, Inc.		122,592		11,717
Total				201,490
Information Technology (29.4%)
2U, Inc. *		119,889		4,513
Akamai Technologies, Inc. *		162,109		12,991
Aspen Technology, Inc. *		61,206		7,607
Black Knight, Inc. *		183,337		11,028
Blackbaud, Inc.		175,296		14,637
CDW Corp.		182,807		20,292
CommScope Holding Co., Inc. *		438,102		6,891
EPAM Systems, Inc. *		64,787		11,215
F5 Networks, Inc. *		56,874		8,283
Fair Isaac Corp. *		51,994		16,327
Genpact, Ltd.		783,369		29,839
Global Payments, Inc.		120,499		19,296
Guidewire Software, Inc. *		133,115		13,495
II-VI, Inc. *		335,843		12,278
Keysight Technologies, Inc. *		138,496		12,438
MKS Instruments, Inc.		118,550		9,234
Monolithic Power Systems		75,034		10,188
National Instruments Corp.		237,520		9,973
PTC, Inc. *		126,814		11,383
Q2 Holdings, Inc. *		24,138		1,843
Silicon Laboratories, Inc. *		105,064		10,864
Teradata Corp. *		381,707		13,684
Total System Services, Inc.		85,229		10,932
VeriSign, Inc. *		118,627		24,812
WEX, Inc. *		133,821		27,848
Total				331,891
Materials (2.9%)
Ball Corp.		277,377		19,413
Packaging Corp. of America		77,128		7,352
Silgan Holdings, Inc.		176,526		5,402
Total				32,167
Real Estate (1.9%)
Douglas Emmett, Inc.		166,151		6,619
Equity Commonwealth		263,524		8,570
Redfin Corp. *		363,060		6,528
Total				21,717

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

33

Mid Cap Growth Stock Portfolio

Common Stocks (99.8%)	Shares/ Par +		Value $ (000’s)
Utilities (2.6%)
Black Hills Corp.		83,178		6,502
NiSource, Inc.		166,536		4,796
UGI Corp.		332,259		17,746
Total				29,044
Total Common Stocks (Cost: $953,259)				1,125,736
Short-Term Investments (0.1%)
Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		1,242,946		1,243
Total				1,243
Total Short-Term Investments (Cost: $1,243)				1,243
Total Investments (99.9%) (Cost: $954,502)@				1,126,979
Other Assets, Less Liabilities (0.1%)				967
Net Assets (100.0%)				1,127,946

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $954,502 and the net unrealized appreciation of investments based on that cost was $172,477 which is comprised of $220,559 aggregate gross unrealized appreciation and $48,082 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	1,125,736	$	—	$	—
Short-Term Investments		1,243		—		—
Total Assets:	$	1,126,979	$	—	$	—

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

34

Index 400 Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Financials	15.9%
Industrials	15.8%
Information Technology	15.4%
Consumer Discretionary	12.1%
Real Estate	9.9%
Health Care	9.5%
Materials	6.3%
Utilities	4.6%
Energy	3.0%
Consumer Staples	2.6%
Communication Services	2.5%
Short-Term Investments & Other Net Assets	2.4%
Sector Allocation is subject to change.

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

Investing in 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.

35

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.5%)
AMC Networks, Inc. - Class A *		24,160		1,317
Cable One, Inc.		2,643		3,095
Cars.com, Inc. *		32,672		644
Cinemark Holdings, Inc.		56,800		2,051
John Wiley & Sons, Inc. - Class A		24,016		1,101
Live Nation
Entertainment, Inc. *		74,450		4,932
Meredith Corp.		21,358		1,176
The New York Times Co. - Class A		75,726		2,470
TEGNA, Inc.		115,318		1,747
Telephone and Data Systems, Inc.		50,084		1,523
World Wrestling Entertainment, Inc.- Class A		23,272		1,680
Yelp, Inc. *		37,891		1,295
Total				23,031
Consumer Discretionary (12.1%)
Aaron’s, Inc.		36,073		2,215
Adient PLC		46,365		1,125
Adtalem Global Education, Inc. *		30,159		1,359
American Eagle Outfitters, Inc.		87,209		1,474
AutoNation, Inc. *		30,432		1,276
Bed Bath & Beyond, Inc.		70,406		818
Boyd Gaming Corp.		42,590		1,147
Brinker International, Inc.		19,988		787
Brunswick Corp.		46,414		2,130
Caesars Entertainment Corp. *		311,958		3,687
Carter’s, Inc.		24,097		2,350
The Cheesecake Factory, Inc.		22,169		969
Churchill Downs, Inc.		18,856		2,170
Cracker Barrel Old Country Store, Inc.		12,816		2,188
Dana Holding Corp.		76,709		1,530
Deckers Outdoor Corp. *		15,533		2,733
Delphi Technologies PLC		46,883		938
Dick’s Sporting Goods, Inc.		35,997		1,247
Dillard’s, Inc. - Class A		9,497		591
Domino’s Pizza, Inc.		21,909		6,097
Dunkin’ Brands Group, Inc.		44,051		3,509
Eldorado Resorts, Inc. *		34,687		1,598

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Five Below, Inc. *		29,828		3,580
Gentex Corp.		136,230		3,353
The Goodyear Tire & Rubber Co.		123,912		1,896
Graham Holdings Co. - Class B		2,319		1,600
Helen of Troy, Ltd. *		13,333		1,741
International Speedway Corp. - Class A		12,716		571
Jack in the Box, Inc.		13,759		1,120
KB Home		45,064		1,160
Marriott Vacations Worldwide Corp.		20,788		2,004
Mattel, Inc. *		184,118		2,064
The Michaels Cos., Inc. *		48,055		418
Murphy USA, Inc. *		15,947		1,340
NVR, Inc. *		1,799		6,063
Ollie’s Bargain Outlet Holdings, Inc. *		27,747		2,417
Papa John’s International, Inc.		12,027		538
Penn National Gaming, Inc. *		56,818		1,094
Polaris Industries, Inc.		30,599		2,792
Pool Corp.		21,200		4,049
Sally Beauty Holdings, Inc. *		64,272		857
Scientific Games Corp. - Class A *		29,718		589
Service Corp. International		97,139		4,544
Signet Jewelers, Ltd.		27,819		497
Six Flags Entertainment Corp.		38,174		1,896
Skechers USA, Inc. - Class A *		71,630		2,256
Sotheby’s*		17,640		1,025
Tempur Sealy International, Inc. *		24,505		1,798
Texas Roadhouse, Inc.		35,608		1,911
Thor Industries, Inc.		27,882		1,630
Toll Brothers, Inc.		70,551		2,584
TRI Pointe Homes, Inc. *		75,800		907
Tupperware Brands Corp.		25,978		494
Urban Outfitters, Inc. *		36,552		832
Visteon Corp. *		15,070		883
Weight Watchers International, Inc. *		20,712		396
The Wendy’s Co.		97,144		1,902
Williams-Sonoma, Inc.		42,006		2,730
Wyndham Destinations, Inc.		49,900		2,191

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Wyndham Hotels & Resorts, Inc.		51,859		2,891
Total				112,551
Consumer Staples (2.6%)
The Boston Beer Co., Inc. - Class A *		4,663		1,761
Casey’s General Stores, Inc.		19,525		3,046
Edgewell Personal Care Co. *		28,852		777
Energizer Holdings, Inc.		33,893		1,310
Flowers Foods, Inc.		98,059		2,282
The Hain Celestial Group, Inc. *		47,742		1,045
Ingredion, Inc.		35,545		2,932
Lancaster Colony Corp.		10,409		1,547
Nu Skin Enterprises, Inc.		29,576		1,459
Post Holdings, Inc. *		35,557		3,697
Sanderson Farms, Inc.		10,391		1,419
Sprouts Farmers Market, Inc. *		62,873		1,188
Tootsie Roll Industries, Inc.		10,085		372
TreeHouse Foods, Inc. *		29,923		1,619
Total				24,454
Energy (3.0%)
Apergy Corp. *		41,251		1,384
Callon Petroleum Co. *		121,482		801
Chesapeake Energy Corp. *		557,301		1,087
CNX Resources Corp. *		104,189		762
Core Laboratories NV		23,641		1,236
Ensco Rowan PLC		104,932		895
EQT Corp.		136,190		2,153
Equitrans Midstream Corp.		108,742		2,143
Matador Resources Co. *		55,313		1,100
McDermott
International, Inc. *		96,827		935
Murphy Oil Corp.		86,994		2,144
Oasis Petroleum, Inc. *		144,185		819
Oceaneering International, Inc. *		52,731		1,075
Patterson-UTI Energy, Inc.		111,158		1,279
PBF Energy, Inc.		63,882		2,000
QEP Resources, Inc. *		126,883		917
Range Resources Corp.		111,109		776
SM Energy Co.		55,042		689

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

36

Index 400 Stock Portfolio

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Energy continued
Southwestern Energy Co. *		288,447		912
Transocean, Ltd. *		270,589		1,734
World Fuel Services Corp.		35,846		1,289
WPX Energy, Inc. *		211,572		2,435
Total				28,565
Financials (15.9%)
Alleghany Corp. *		7,698		5,243
American Financial Group, Inc.		37,766		3,870
Associated Banc-Corp.		87,364		1,847
BancorpSouth Bank		49,021		1,424
Bank of Hawaii Corp.		21,847		1,811
Bank OZK		64,434		1,939
Brighthouse Financial, Inc. *		61,729		2,265
Brown & Brown, Inc.		124,777		4,180
Cathay General Bancorp		40,705		1,462
Chemical Financial Corp.		38,139		1,568
CNO Financial Group, Inc.		85,282		1,422
Commerce Bancshares, Inc.		52,424		3,128
Cullen / Frost Bankers, Inc.		33,630		3,150
East West Bancorp, Inc.		77,579		3,628
Eaton Vance Corp.		60,801		2,622
Evercore, Inc. - Class A		21,888		1,939
F.N.B. Corp.		173,098		2,037
FactSet Research Systems, Inc.		20,383		5,841
Federated Investors, Inc. - Class B		51,253		1,666
First American Financial Corp.		59,751		3,209
First Financial Bankshares, Inc.		72,332		2,227
First Horizon National Corp.		168,093		2,510
Fulton Financial Corp.		89,979		1,473
Genworth Financial, Inc. - Class A *		268,276		995
Green Dot Corp. - Class A *		25,498		1,247
Hancock Holding Co.		45,690		1,830
Hanover Insurance Group, Inc.		21,694		2,783
Home BancShares, Inc.		82,383		1,587
Interactive Brokers Group, Inc. - Class A		40,021		2,169
International Bancshares Corp.		29,042		1,095
Janus Henderson Group PLC		87,378		1,870
Kemper Corp.		33,311		2,874

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Financials continued
Legg Mason, Inc.		46,160		1,767
LendingTree, Inc. *		3,982		1,672
Mercury General Corp.		14,457		904
Navient Corp.		113,525		1,550
New York Community Bancorp, Inc.		249,106		2,486
Old Republic International Corp.		151,789		3,397
PacWest Bancorp		63,340		2,459
Pinnacle Financial Partners, Inc.		38,559		2,216
Primerica, Inc.		22,569		2,707
Prosperity Bancshares, Inc.		35,376		2,337
Reinsurance Group of America, Inc.		33,346		5,203
RenaissanceRe Holdings, Ltd.		23,538		4,190
SEI Investments Co.		68,289		3,831
Signature Bank		29,367		3,549
SLM Corp.		230,408		2,240
Sterling Bancorp		111,700		2,377
Stifel Financial Corp.		37,719		2,228
Synovus Financial Corp.		83,951		2,938
TCF Financial Corp.		87,514		1,819
Texas Capital Bancshares, Inc. *		26,797		1,644
Trustmark Corp.		34,507		1,147
UMB Financial Corp.		23,538		1,549
Umpqua Holdings Corp.		117,522		1,950
United Bankshares, Inc.		54,431		2,019
Valley National Bancorp		176,828		1,906
W.R. Berkley Corp.		77,109		5,084
Washington Federal, Inc.		42,877		1,498
Webster Financial Corp.		49,114		2,346
Wintrust Financial Corp.		30,203		2,210
Total				148,134
Health Care (9.5%)
Acadia Healthcare Co., Inc. *		47,279		1,652
Allscripts Healthcare Solutions, Inc. *		88,715		1,032
Amedisys, Inc. *		15,543		1,887
Avanos Medical, Inc. *		25,321		1,104
Bio-Rad Laboratories, Inc. - Class A *		10,678		3,338
Bio-Techne Corp.		20,187		4,209
Cantel Medical Corp.		19,369		1,562
Catalent, Inc. *		77,669		4,210
Charles River Laboratories International, Inc. *		25,987		3,688
Chemed Corp.		8,496		3,066

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Covetrus, Inc. *		51,202		1,252
Encompass Health Corp.		52,690		3,338
Exelixis, Inc. *		160,848		3,437
Globus Medical, Inc. - Class A *		40,804		1,726
Haemonetics Corp. *		27,294		3,285
HealthEquity, Inc. *		29,087		1,902
Hill-Rom Holdings, Inc.		35,591		3,723
ICU Medical, Inc. *		8,900		2,242
Inogen, Inc. *		9,585		640
Integra LifeSciences Holdings Corp. *		37,816		2,112
Ligand Pharmaceuticals, Inc. - Class B *		10,446		1,192
LivaNova PLC *		25,756		1,853
Mallinckrodt PLC *		44,675		410
Masimo Corp. *		26,165		3,894
Medidata Solutions, Inc. *		33,186		3,004
MEDNAX, Inc. *		46,126		1,164
Molina Healthcare, Inc. *		33,377		4,778
NuVasive, Inc. *		27,656		1,619
Patterson Cos., Inc.		44,132		1,011
PRA Health Sciences, Inc. *		31,500		3,123
Prestige Brands Holdings, Inc. *		27,609		875
STERIS PLC		45,068		6,710
Syneos Health, Inc. *		32,629		1,667
Tenet Healthcare Corp. *		44,527		920
United Therapeutics Corp. *		23,352		1,823
West Pharmaceutical Services, Inc.		39,168		4,902
Total				88,350
Industrials (15.8%)
Acuity Brands, Inc.		21,271		2,933
AECOM*		83,867		3,174
AGCO Corp.		34,379		2,667
ASGN, Inc. *		28,143		1,705
Avis Budget Group, Inc. *		33,988		1,195
Axon Enterprise, Inc. *		31,510		2,023
The Brink’s Co.		26,581		2,158
Carlisle Cos., Inc.		30,415		4,271
Clean Harbors, Inc. *		27,100		1,927
Colfax Corp. *		50,755		1,423
Crane Co.		27,133		2,264
Curtiss-Wright Corp.		22,799		2,898
Deluxe Corp.		23,260		946
Donaldson Co., Inc.		67,974		3,457
Dycom Industries, Inc. *		16,781		988
EMCOR Group, Inc.		29,899		2,634
EnerSys		22,844		1,565
Fluor Corp.		74,584		2,513

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

37

Index 400 Stock Portfolio

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Industrials continued
GATX Corp.		19,295		1,530
Genesee & Wyoming, Inc. - Class A *		30,125		3,013
Graco, Inc.		88,757		4,454
Granite Construction, Inc.		24,953		1,202
Healthcare Services Group, Inc.		39,483		1,197
Herman Miller, Inc.		31,349		1,401
HNI Corp.		23,101		817
Hubbell, Inc.		29,054		3,789
IDEX Corp.		40,353		6,946
Insperity, Inc.		20,011		2,444
ITT, Inc.		46,799		3,064
JetBlue Airways Corp. *		160,411		2,966
Kennametal, Inc.		43,915		1,624
Kirby Corp. *		28,735		2,270
Knight-Swift Transportation Holdings		66,439		2,182
Landstar System, Inc.		21,407		2,312
Lennox International, Inc.		18,814		5,174
Lincoln Electric Holdings, Inc.		33,474		2,756
ManpowerGroup, Inc.		31,886		3,080
MasTec, Inc. *		32,934		1,697
MSA Safety, Inc.		18,766		1,978
MSC Industrial Direct Co., Inc. - Class A		23,974		1,780
Nordson Corp.		27,560		3,895
NOW, Inc. *		57,950		855
nVent Electric PLC		84,720		2,100
Old Dominion Freight Line, Inc.		34,517		5,152
Oshkosh Corp.		37,267		3,111
Regal Beloit Corp.		22,823		1,865
Resideo Technologies, Inc. *		65,401		1,434
Ryder System, Inc.		28,410		1,656
Stericycle, Inc. *		45,615		2,178
Teledyne Technologies, Inc. *		19,314		5,290
Terex Corp.		33,397		1,049
The Timken Co.		36,516		1,875
The Toro Co.		56,732		3,795
Trex Co., Inc. *		31,183		2,236
Trinity Industries, Inc.		69,206		1,436
Valmont Industries, Inc.		11,650		1,477
Watsco, Inc.		17,179		2,809
Werner Enterprises, Inc.		23,096		718
Woodward, Inc.		29,799		3,372
XPO Logistics, Inc. *		49,014		2,834
Total				147,554
Information Technology (15.4%)
ACI Worldwide, Inc. *		58,932		2,024
Arrow Electronics, Inc. *		45,158		3,218
Avnet, Inc.		56,658		2,565

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Belden, Inc.		21,030		1,253
Blackbaud, Inc.		26,217		2,189
CACI International, Inc. - Class A *		13,257		2,712
CDK Global, Inc.		64,833		3,205
Ciena Corp. *		76,286		3,138
Cirrus Logic, Inc. *		30,977		1,354
Cognex Corp.		91,339		4,382
Coherent, Inc. *		12,894		1,758
CommVault Systems, Inc. *		20,452		1,015
CoreLogic, Inc. *		43,008		1,799
Cree, Inc. *		56,099		3,152
Cypress Semiconductor Corp.		195,050		4,338
Fair Isaac Corp. *		15,452		4,852
First Solar, Inc. *		40,432		2,655
InterDigital, Inc.		16,909		1,089
j2 Global, Inc.		24,781		2,203
Jabil Circuit, Inc.		74,153		2,343
KBR, Inc.		75,404		1,881
Leidos Holdings, Inc.		76,868		6,138
Littelfuse, Inc.		13,180		2,332
LiveRamp Holdings, Inc. *		36,763		1,782
LogMeIn, Inc.		26,557		1,957
Lumentum Holdings, Inc. *		40,723		2,175
Manhattan Associates, Inc. *		34,430		2,387
MAXIMUS, Inc.		34,013		2,467
MKS Instruments, Inc.		28,973		2,257
Monolithic Power Systems		21,114		2,867
National Instruments Corp.		59,744		2,509
NCR Corp. *		64,016		1,991
NetScout Systems, Inc. *		37,160		943
Perspecta, Inc.		74,595		1,746
Plantronics, Inc.		17,484		648
PTC, Inc. *		55,188		4,954
Sabre Corp.		146,426		3,251
Science Applications International Corp.		27,128		2,348
Semtech Corp. *		35,540		1,708
Silicon Laboratories, Inc. *		23,102		2,389
Synaptics, Inc. *		18,388		536
SYNNEX Corp.		22,114		2,176
Tech Data Corp. *		19,448		2,034
Teradata Corp. *		62,417		2,238
Teradyne, Inc.		91,357		4,377
Trimble Navigation, Ltd. *		134,121		6,050
Tyler Technologies, Inc. *		20,437		4,415
Universal Display Corp.		22,647		4,259
Versum Materials, Inc.		58,228		3,003
ViaSat, Inc. *		30,362		2,454

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Vishay Intertechnology, Inc.		70,539		1,165
WEX, Inc. *		23,053		4,797
Zebra Technologies Corp. - Class A *		28,771		6,027
Total				143,505
Materials (6.3%)
Allegheny Technologies, Inc. *		67,179		1,693
AptarGroup, Inc.		33,683		4,188
Ashland Global Holdings, Inc.		33,435		2,674
Cabot Corp.		31,164		1,487
Carpenter Technology Corp.		25,258		1,212
The Chemours Co.		87,396		2,097
Commercial Metals Co.		62,854		1,122
Compass Minerals International, Inc.		18,060		992
Domtar Corp.		33,634		1,498
Eagle Materials, Inc.		23,516		2,180
Grief, Inc. - Class A		14,001		456
Ingevity Corp. *		22,304		2,346
Louisiana-Pacific Corp.		65,799		1,725
Minerals Technologies, Inc.		18,781		1,005
NewMarket Corp.		4,651		1,865
Olin Corp.		87,873		1,925
Owens-Illinois, Inc.		82,741		1,429
PolyOne Corp.		41,477		1,302
Reliance Steel & Aluminum Co.		35,838		3,391
Royal Gold, Inc.		34,923		3,579
RPM International, Inc.		69,866		4,270
The Scotts Miracle-Gro Co. - Class A		20,993		2,068
Sensient Technologies Corp.		22,557		1,657
Silgan Holdings, Inc.		41,469		1,269
Sonoco Products Co.		53,327		3,484
Steel Dynamics, Inc.		118,461		3,578
United States Steel Corp.		91,888		1,407
Valvoline, Inc.		100,311		1,959
Worthington Industries, Inc.		20,773		836
Total				58,694
Real Estate (9.9%)
Alexander & Baldwin, Inc.		36,143		835
American Campus Communities, Inc.		73,162		3,377
Brixmor Property Group, Inc.		158,833		2,840
Camden Property Trust		51,532		5,379
CoreCivic, Inc.		63,466		1,318
CoreSite Realty Corp.		19,667		2,265
Corporate Office Properties Trust		59,654		1,573

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

38

Index 400 Stock Portfolio

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Cousins Properties, Inc.		77,455		2,802
CyrusOne, Inc.		60,323		3,482
Douglas Emmett, Inc.		86,227		3,435
EastGroup Properties, Inc.		19,590		2,272
EPR Properties		40,241		3,002
First Industrial Realty Trust, Inc.		67,419		2,477
The GEO Group, Inc.		64,605		1,357
Healthcare Realty Trust, Inc.		68,873		2,157
Highwoods Properties, Inc.		55,270		2,283
Hospitality Properties Trust		87,650		2,191
JBG SMITH Properties		64,327		2,531
Jones Lang LaSalle, Inc.		24,380		3,430
Kilroy Realty Corp.		53,821		3,973
Lamar Advertising Co. - Class A		45,609		3,681
Liberty Property Trust		79,034		3,955
Life Storage, Inc.		24,856		2,363
Mack-Cali Realty Corp.		48,152		1,121
Medical Properties Trust, Inc.		210,236		3,666
National Retail Properties, Inc.		86,711		4,597
OMEGA Healthcare Investors, Inc.		114,346		4,202
Pebblebrook Hotel Trust		69,630		1,962
Potlatch Corp.		36,026		1,404
PS Business Parks, Inc.		10,668		1,798
Rayonier, Inc.		69,099		2,094
Sabra Health Care REIT, Inc.		95,677		1,884
Senior Housing Properties Trust		126,714		1,048
Tanger Factory Outlet
Centers, Inc.		50,159		813
Taubman Centers, Inc.		32,603		1,331
Uniti Group, Inc.		98,159		932
Urban Edge Properties		64,179		1,112
Weingarten Realty Investors		63,771		1,749
Total				92,691
Utilities (4.6%)
ALLETE, Inc.		27,517		2,290
Aqua America, Inc.		114,993		4,757
Black Hills Corp.		28,960		2,264
Hawaiian Electric Industries, Inc.		58,065		2,529
IDACORP, Inc.		26,856		2,697
MDU Resources Group, Inc.		105,582		2,724
National Fuel Gas Co.		46,003		2,426

Common Stocks (97.6%)	Shares/ Par +		Value $ (000’s)
Utilities continued
New Jersey Resources Corp.		47,557		2,367
NorthWestern Corp.		26,886		1,940
OGE Energy Corp.		106,697		4,541
ONE Gas, Inc.		28,083		2,536
PNM Resources, Inc.		42,457		2,161
Southwest Gas Holdings, Inc.		28,462		2,551
Spire, Inc.		27,049		2,270
UGI Corp.		92,843		4,959
Total				43,012
Total Common Stocks (Cost: $710,675)				910,541
Short-Term Investments (1.9%)
Commercial Paper (1.3%)
Exxon Mobil Corp. 0.000%, 7/10/19		1,500,000		1,499
General Mills, Inc. 0.000%, 7/9/19 144A		1,500,000		1,499
Marriott International, Inc. 0.000%, 7/31/19 144A		1,500,000		1,497
Mondelez International, Inc. 0.000%, 8/13/19 144A		1,500,000		1,495
QUALCOMM, Inc. 0.000%, 7/24/19 144A		1,500,000		1,497
Societe Generale SA 0.000%, 7/8/19 144A		1,000,000		999
The Southern Co. 0.000%, 7/8/19 144A		1,500,000		1,499
Walgreens Boots Alliance, Inc. 0.000%, 8/16/19 144A		1,500,000		1,495
Total				11,480
Money Market Funds (0.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		2,099,068		2,099
Total				2,099
US Government & Agencies (0.4%)
Federal Home Loan Bank
0.000%, 7/9/19 b		2,000,000		1,999
0.000%, 8/16/19		2,000,000		1,994
Total				3,993
Total Short-Term Investments (Cost: $17,574)				17,572

Short-Term Investments (1.9%)	Shares/ Par +	Value $ (000’s)
US Government & Agencies continued
Total Investments (99.5%) (Cost: $728,249)@			928,113
Other Assets, Less Liabilities (0.5%)			5,017
Net Assets (100.0%)			933,130

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

39

Index 400 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
S&P 400 Mini Index Futures		Long		USD		9		91		9/19	$	17,745	$	403	$	205
													$	403	$	205

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Variation Margin (000’s)

Market Value (000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

205

$

205

$

–

$

–

$

–

$

–

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

* Non income producing

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $9,981 representing 1.1% of the net assets.

# 7-Day yield as of 6/30/2019.

b Cash or securities with an aggregate value of $1,999 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $728,249 and the net unrealized appreciation of investments based on that cost was $200,267 which is comprised of $269,313 aggregate gross unrealized appreciation and $69,046 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	910,541	$	—	$	—
Short-Term Investments
Money Market Funds			2,099		—		—
All Others			—		15,473		—
Other Financial Instruments^
Futures			403		—		—
Total Assets:		$	913,043	$	15,473	$	—

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

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

40

Mid Cap Value Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Financials	22.1%
Industrials	17.8%
Health Care	10.6%
Utilities	9.5%
Consumer Discretionary	8.6%
Information Technology	5.9%
Consumer Staples	5.9%
Real Estate	5.0%
Energy	4.7%
Materials	4.4%
Investment Companies	3.1%
Short-Term Investments & Other Net Assets	2.4%
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.

41

Mid Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary (8.6%)
Advance Auto Parts, Inc.		44,493		6,858
Aptiv PLC		15,822		1,279
BorgWarner, Inc.		124,062		5,208
Carnival Corp.		110,324		5,136
Genuine Parts Co.		41,181		4,266
Honda Motor Co., Ltd., ADR *		212,127		5,481
PulteGroup, Inc.		185,116		5,853
Sodexo SA		43,376		5,070
Target Corp.		42,508		3,682
Thor Industries, Inc.		63,902		3,735
Total				46,568
Consumer Staples (5.9%)
Conagra Brands, Inc.		182,213		4,832
The J.M. Smucker Co.		25,111		2,893
Kellogg Co.		48,633		2,605
Kimberly-Clark Corp.		39,965		5,327
Koninklijke Ahold Delhaize NV		241,980		5,442
Molson Coors Brewing Co. - Class B		43,277		2,423
Mondelez International, Inc.		65,960		3,555
Sysco Corp.		72,901		5,156
Total				32,233
Energy (4.7%)
Baker Hughes		211,449		5,208
Cimarex Energy Co.		33,774		2,004
Devon Energy Corp.		126,796		3,616
EQT Corp.		188,300		2,977
Equitrans Midstream Corp.		144,707		2,852
Exxon Mobil Corp.		97,723		2,706
Halliburton Co.		35,822		815
National Oilwell Varco, Inc.		43,345		963
Noble Energy, Inc.		205,935		4,613
Total				25,754
Financials (22.1%)
AFLAC, Inc.		65,958		3,615
Ameriprise Financial, Inc.		55,194		8,012
Arthur J. Gallagher & Co.		16,669		1,460
BB&T Corp.		239,226		11,753
Brown & Brown, Inc.		83,244		2,789
Capitol Federal Financial, Inc.		395,471		5,446
Chubb, Ltd.		56,010		8,250
Comerica, Inc.		94,720		6,880
Commerce Bancshares, Inc.		88,921		5,305
First Hawaiian, Inc.		255,295		6,604

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Financials continued
Invesco, Ltd.		190,064		3,889
M&T Bank Corp.		39,329		6,689
Northern Trust Corp.		179,385		16,145
ProAssurance Corp.		100,210		3,619
Prosperity Bancshares, Inc.		42,543		2,810
Reinsurance Group of America, Inc.		36,073		5,628
State Street Corp.		82,386		4,618
SunTrust Banks, Inc.		39,278		2,469
Torchmark Corp.		21,773		1,948
The Travelers Cos., Inc.		13,871		2,074
UMB Financial Corp.		95,390		6,278
Westamerica Bancorporation		67,699		4,171
Total				120,452
Health Care (10.6%)
Cardinal Health, Inc.		145,610		6,858
Cerner Corp.		66,990		4,910
Henry Schein, Inc. *		56,416		3,943
Hologic, Inc. *		80,123		3,848
McKesson Corp.		42,210		5,673
Quest Diagnostics, Inc.		73,389		7,472
Siemens Healthineers AG		96,460		4,070
Universal Health Services, Inc. - Class B		39,263		5,120
Zimmer Biomet Holdings, Inc.		135,143		15,912
Total				57,806
Industrials (17.8%)
Atlas Copco AB		142,329		4,083
BAE Systems PLC		808,090		5,084
Cummins, Inc.		43,098		7,384
Eaton Corp. PLC		68,734		5,724
Emerson Electric Co.		138,849		9,264
Heartland Express, Inc.		287,440		5,194
Hubbell, Inc.		98,166		12,801
IMI, PLC		422,479		5,569
Johnson Controls International PLC		175,396		7,246
MSC Industrial Direct Co., Inc. - Class A		109,300		8,117
nVent Electric PLC		189,860		4,707
PACCAR, Inc.		51,985		3,725
Republic Services, Inc.		32,204		2,790
Schneider Electric SE		52,144		4,729
Southwest Airlines Co.		163,113		8,283
Textron, Inc.		37,861		2,008
Total				96,708

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Information Technology (5.9%)
Applied Materials, Inc.		205,327		9,221
HP, Inc.		191,563		3,983
Maxim Integrated Products, Inc.		124,044		7,420
Microchip Technology, Inc.		47,396		4,109
TE Connectivity, Ltd.		58,516		5,605
Teradyne, Inc.		41,712		1,998
Total				32,336
Materials (4.4%)
Graphic Packaging Holding Co.		496,160		6,936
Orkla ASA		864,386		7,669
Packaging Corp. of America		51,088		4,870
Sonoco Products Co.		40,809		2,666
WestRock Co.		44,929		1,639
Total				23,780
Real Estate (5.0%)
American Tower Corp.		11,819		2,416
Empire State Realty Trust, Inc. - Class A		272,597		4,037
MGM Growth Properties LLC - Class A		178,761		5,479
Piedmont Office Realty Trust, Inc. - Class A		230,397		4,592
Weyerhaeuser Co.		399,094		10,512
Total				27,036
Utilities (9.5%)
Ameren Corp.		79,827		5,996
Atmos Energy Corp.		38,913		4,107
Edison International		55,346		3,731
Eversource Energy		51,028		3,866
NorthWestern Corp.		97,546		7,038
Pinnacle West Capital Corp.		72,268		6,800
Spire, Inc.		51,610		4,331
WEC Energy Group, Inc.		54,018		4,503
Xcel Energy, Inc.		185,017		11,007
Total				51,379
Total Common Stocks (Cost: $490,844)				514,052

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

42

Mid Cap Value Portfolio

Investment Companies (3.1%)	Shares/ Par +		Value $ (000’s)
Investment Companies (3.1%)
iShares Russell Midcap Value Index Fund		193,536		17,250
Total				17,250
Total Investment Companies (Cost: $16,514)				17,250
Short-Term Investments (2.5%)
Money Market Funds (2.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		13,489,524		13,490
Total				13,490
Total Short-Term Investments (Cost: $13,490)				13,490
Total Investments (100.1%) (Cost: $520,848)@				544,792
Other Assets, Less Liabilities (-0.1%)				(732	)
Net Assets (100.0%)				544,060

Over the Counter Derivatives

Forward Contracts

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		90		69		9/19	$	—p	$	—	$	—p
Sell	Morgan Stanley Capital Services, Inc.	CAD		3,112		2,380		9/19		—		(21)		(21)
Sell	Morgan Stanley Capital Services, Inc.	EUR		14,345		16,427		9/19		—		(65)		(65)
Sell	Morgan Stanley Capital Services, Inc.	GBP		7,057		8,998		9/19		—		(15)		(15)
Sell	Morgan Stanley Capital Services, Inc.	JPY		354,678		3,311		9/19		5		—		5
Sell	Goldman Sachs International	NOK		56,119		6,595		9/19		—		(14)		(14)
Sell	Goldman Sachs International	SEK		32,217		3,491		9/19		—		(38)		(38)
									$	5	$	(153)	$	(148)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	5		—	$	5	$	(153)		—		—	$	(153)

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

* Non income producing

# 7-Day yield as of 6/30/2019.

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

43

Mid Cap Value Portfolio

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $520,848 and the net unrealized appreciation of investments based on that cost was $23,796 which is comprised of $55,232 aggregate gross unrealized appreciation and $31,436 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

p 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, 2019. 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		$	514,052	$	—	$	—
Investment Companies			17,250		—		—
Short-Term Investments			13,490		—		—
Other Financial Instruments^
Forward Currency Contracts			—		5		—
Total Assets:		$	544,792	$	5	$	—
Liabilities:
Other Financial Instruments^
Forward Currency Contracts			—		(153)		—
Total Liabilities:		$	—	$	(153)	$	—

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

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

44

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Health Care	27.2%
Information Technology	18.1%
Industrials	17.1%
Consumer Discretionary	13.2%
Financials	7.7%
Investment Companies	4.6%
Consumer Staples	3.3%
Materials	3.0%
Real Estate	2.7%
Energy	1.3%
Short-Term Investments & Other Net Assets	0.9%
Communication Services	0.9%
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.

45

Small Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Communication Services (0.9%)
CarGurus, Inc. *		90,040		3,251
ORBCOMM, Inc. *		286,130		2,075
Total				5,326
Consumer Discretionary (13.2%)
American Outdoor Brands Corp. *		5,800		52
Caleres, Inc.		201,812		4,020
Carter’s, Inc.		54,825		5,348
Cooper Tire & Rubber Co.		82,820		2,613
Core-Mark Holding Co., Inc.		69,355		2,755
Dunkin’ Brands Group, Inc.		51,037		4,066
Etsy, Inc. *		35,203		2,160
Five Below, Inc. *		29,983		3,599
Floor & Decor Holdings, Inc. *		94,550		3,962
Foot Locker, Inc.		61,923		2,596
Liberty Expedia Holdings, Inc. *		62,599		2,992
Marriott Vacations Worldwide Corp.		59,658		5,751
Oxford Industries, Inc.		75,046		5,688
Steven Madden, Ltd.		213,343		7,243
TopBuild Corp. *		90,722		7,508
Urban Outfitters, Inc. *		101,713		2,314
Visteon Corp. *		45,153		2,645
Wingstop, Inc.		67,023		6,350
Wolverine World Wide, Inc.		235,527		6,486
YETI Holdings, Inc. *		132,775		3,844
Total				81,992
Consumer Staples (3.3%)
Casey’s General Stores, Inc.		22,740		3,547
Freshpet, Inc. *		54,726		2,490
Hostess Brands, Inc. *		326,228		4,711
Performance Food Group Co. *		160,697		6,433
Post Holdings, Inc. *		29,775		3,096
Total				20,277
Energy (1.3%)
Kosmos Energy, Ltd.		367,303		2,303
PDC Energy, Inc. *		64,265		2,317
ProPetro Holding Corp. *		160,700		3,327
Total				7,947
Financials (7.7%)
Blucora, Inc. *		119,887		3,641
Evercore, Inc. - Class A		54,371		4,816
First Busey Corp.		104,637		2,763
First Hawaiian, Inc.		125,849		3,256

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Financials continued
IBERIABANK Corp.		57,358		4,350
James River Group Holdings, Ltd.		133,830		6,277
MGIC Investment Corp. *		408,023		5,361
OneMain Holdings, Inc.		83,785		2,833
Seacoast Banking Corp. of Florida *		109,390		2,783
SLM Corp.		471,110		4,579
Sterling Bancorp		215,806		4,592
Triumph Bancorp, Inc. *		100,234		2,912
Total				48,163
Health Care (27.2%)
Abeona Therapeutics, Inc. *		106,156		507
Aerie Pharmaceuticals, Inc. *		67,607		1,998
Agios Pharmaceuticals, Inc. *		27,997		1,396
Alder Biopharmaceuticals, Inc. *		215,259		2,534
Amicus Therapeutics, Inc. *		301,009		3,757
Amneal Pharmaceuticals, Inc. *		206,620		1,481
Apellis Pharmaceuticals, Inc. *		135,551		3,435
Arena Pharmaceuticals, Inc. *		86,603		5,078
Array BioPharma, Inc. *		118,833		5,506
Assembly Biosciences, Inc. *		48,150		650
AtriCure, Inc. *		112,652		3,362
Audentes Therapeutics, Inc. *		70,688		2,676
Biohaven Pharmaceutical Holding Co., Ltd. *		56,041		2,454
Blueprint Medicines Corp. *		62,593		5,904
Cardiovascular Systems, Inc. *		105,701		4,538
Catalent, Inc. *		87,897		4,765
Cymabay Therapeutics, Inc. *		217,907		1,560
CytomX Therapeutics, Inc. *		5,128		58
Flexion Therapeutics, Inc. *		74,270		913
G1 Therapeutics, Inc. *		60,936		1,868
Globus Medical, Inc. - Class A *		122,262		5,172

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Health Care continued
GlycoMimetics, Inc. *		87,330		1,041
Haemonetics Corp. *		52,679		6,339
Heron Therapeutics, Inc. *		151,408		2,815
HMS Holdings Corp. *		170,221		5,513
ICU Medical, Inc. *		19,275		4,856
Insmed, Inc. *		70,167		1,796
Insulet Corp. *		41,251		4,925
Integer Holdings Corp. *		45,163		3,790
Integra LifeSciences Holdings Corp. *		73,796		4,121
Intersect ENT, Inc. *		89,466		2,036
Iovance Biotherapeutics, Inc. *		22,300		547
Karyopharm Therapeutics, Inc. *		59,046		354
LHC Group, Inc. *		37,501		4,484
Ligand Pharmaceuticals, Inc. - Class B *		20,922		2,388
Madrigal Pharmaceuticals, Inc. *		7,803		818
Medidata Solutions, Inc. *		35,981		3,257
Merit Medical Systems, Inc. *		102,700		6,117
MyoKardia, Inc. *		69,959		3,508
Nanostring Technologies, Inc. *		124,607		3,782
Omnicell, Inc. *		89,044		7,660
OraSure Technologies, Inc. *		211,534		1,963
Orthofix Medical, Inc. *		25,584		1,353
Portola Pharmaceuticals, Inc. *		74,876		2,031
The Providence Service Corp. *		41,661		2,389
R1 RCM, Inc. *		321,973		4,050
Reata Pharmaceuticals, Inc. *		34,961		3,299
REGENXBIO, Inc. *		45,353		2,330
Revance Therapeutics, Inc. *		124,428		1,614
Rigel Pharmaceuticals, Inc. *		469,492		1,225
Spark Therapeutics, Inc. *		17,006		1,741
Syneos Health, Inc. *		68,827		3,516
Tandem Diabetes Care, Inc. *		51,360		3,314
Teladoc, Inc. *		51,906		3,447

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

46

Small Cap Growth Stock Portfolio

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Ultragenyx Pharmaceutical, Inc. *		68,447		4,346
US Physical Therapy, Inc.		22,416		2,747
Total				169,124
Industrials (17.1%)
Aerojet Rocketdyne Holdings, Inc. *		121,405		5,435
Altra Industrial Motion Corp.		125,252		4,494
American Woodmark Corp. *		33,576		2,841
Applied Industrial Technologies, Inc.		84,636		5,208
Armstrong World Industries, Inc.		39,967		3,885
ASGN, Inc. *		92,934		5,632
Axon Enterprise, Inc. *		61,637		3,958
AZZ, Inc.		62,408		2,872
Clean Harbors, Inc. *		63,498		4,515
EnerSys		50,949		3,490
Exponent, Inc.		94,517		5,533
Generac Holdings, Inc. *		77,092		5,351
Genesee & Wyoming, Inc. - Class A *		55,081		5,508
Huron Consulting Group, Inc. *		41,758		2,104
Insperity, Inc.		37,300		4,556
ITT, Inc.		90,031		5,895
JELD-WEN Holding, Inc. *		119,730		2,542
John Bean Technologies Corp.		63,543		7,697
Marten Transport, Ltd.		115,472		2,096
Mercury Systems, Inc. *		48,593		3,419
Milacron Holdings Corp. *		195,025		2,691
MSA Safety, Inc.		43,240		4,557
Patrick Industries, Inc. *		78,509		3,862
Rexnord Corp. *		146,833		4,437
SPX Flow, Inc. *		49,104		2,055
Welbilt, Inc. *		104,866		1,751
Total				106,384
Information Technology (18.1%)
2U, Inc. *		52,244		1,966
8x8, Inc. *		129,186		3,113
Blackbaud, Inc.		74,544		6,224
CACI International, Inc. - Class A *		25,072		5,129
Carbonite, Inc. *		102,727		2,675
Cirrus Logic, Inc. *		61,573		2,691
Cohu, Inc.		184,430		2,846
CTS Corp.		116,745		3,220
Entegris, Inc.		140,100		5,229
Everbridge, Inc. *		44,921		4,017
Five9, Inc. *		109,223		5,602

Common Stocks (94.5%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
ForeScout Technologies, Inc. *		129,224		4,376
FormFactor, Inc. *		237,342		3,719
HubSpot, Inc. *		19,991		3,409
Instructure, Inc. *		64,989		2,762
Itron, Inc. *		77,252		4,834
LiveRamp Holdings, Inc. *		56,087		2,719
Lumentum Holdings, Inc. *		104,170		5,564
New Relic, Inc. *		37,510		3,245
Paylocity Holding Corp. *		55,219		5,181
Pegasystems, Inc.		62,187		4,428
PROS Holdings, Inc. *		57,893		3,662
Q2 Holdings, Inc. *		42,256		3,227
Rapid7, Inc. *		81,448		4,711
Rogers Corp. *		24,870		4,292
SailPoint Technologies Holdings, Inc. *		150,024		3,006
Science Applications International Corp.		78,030		6,754
SVMK, Inc. *		156,578		2,585
The Trade Desk, Inc. *		5,866		1,336
Total				112,522
Materials (3.0%)
Boise Cascade Co.		77,692		2,184
Graphic Packaging Holding Co.		288,170		4,028
Livent Corp. *		204,957		1,418
Louisiana-Pacific Corp.		107,595		2,821
Omnova Solutions, Inc. *		239,282		1,491
PolyOne Corp.		112,296		3,525
Summit Materials, Inc. - Class A *		157,136		3,025
Total				18,492
Real Estate (2.7%)
Columbia Property Trust, Inc.		138,303		2,868
CoreSite Realty Corp.		28,447		3,276
Corporate Office Properties Trust		105,402		2,780
Independence Realty Trust, Inc.		7,200		83
Pebblebrook Hotel Trust		111,196		3,134
PS Business Parks, Inc.		28,688		4,835
Total				16,976
Total Common Stocks (Cost: $488,630)				587,203

Investment Companies (4.6%)	Shares/ Par +		Value $ (000’s)
Investment Companies (4.6%)
iShares Russell 2000 Growth Index Fund		142,038	28,531
Total			28,531
Total Investment Companies (Cost: $24,975)			28,531
Short-Term Investments (1.5%)
Money Market Funds (1.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		9,524,534	9,525
Total			9,525
Total Short-Term Investments (Cost: $9,525)			9,525
Total Investments (100.6%) (Cost: $523,130)@			625,259
Other Assets, Less Liabilities (-0.6%)			(4,019)
Net Assets (100.0%)			621,240

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

47

Small Cap Growth Stock Portfolio

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $523,130 and the net unrealized appreciation of investments based on that cost was $102,129 which is comprised of $140,964 aggregate gross unrealized appreciation and $38,835 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	587,203	$	—	$	—
Investment Companies			28,531		—		—
Short-Term Investments			9,525		—		—
Total Assets:		$	625,259	$	—	$	—

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

48

Index 600 Stock Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Industrials	17.9%
Financials	16.7%
Information Technology	13.7%
Consumer Discretionary	12.9%
Health Care	11.2%
Real Estate	6.5%
Short-Term Investments & Other Net Assets	4.6%
Materials	4.0%
Energy	3.5%
Consumer Staples	3.3%
Utilities	2.0%
Investment Companies	1.9%
Communication Services	1.8%
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.

49

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Communication Services (1.8%)
ATN International, Inc.		3,630		210
Care.com, Inc. *		8,889		98
Cincinnati Bell, Inc. *		16,812		83
Cogent Communications Holdings, Inc.		13,928		827
Consolidated Communications Holdings, Inc.		24,032		118
The E.W. Scripps Co. - Class A		18,846		288
Frontier Communications Corp. *		35,147		61
Gannett Co., Inc.		38,227		312
Iridium Communications, Inc. *		32,079		746
The Marcus Corp.		7,280		240
New Media Investment Group, Inc.		18,184		172
QuinStreet, Inc. *		13,058		207
Scholastic Corp.		9,297		309
Spok Holdings, Inc.		5,964		90
TechTarget, Inc. *		7,277		155
Vonage Holdings Corp. *		74,453		843
Total				4,759
Consumer Discretionary (12.9%)
Abercrombie & Fitch Co. - Class A		22,237		357
American Axle & Manufacturing Holdings, Inc. *		37,543		479
American Public Education, Inc. *		5,536		164
Asbury Automotive Group, Inc. *		6,515		549
Ascena Retail Group, Inc. *		58,034		35
Barnes & Noble Education, Inc. *		11,710		39
Barnes & Noble, Inc.		19,060		128
Big Lots, Inc.		13,318		381
BJ’s Restaurants, Inc.		6,921		304
Bloomin’ Brands, Inc.		30,611		579
Boot Barn Holdings, Inc. *		9,465		337
The Buckle, Inc.		9,532		165
Caleres, Inc.		14,102		281
Callaway Golf Co.		29,509		506
Career Education Corp. *		23,400		446
The Cato Corp. - Class A		7,679		95
Cavco Industries, Inc. *		2,855		450

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Century Communities, Inc. *		9,209		245
Chico’s FAS, Inc.		39,370		133
The Children’s Place, Inc.		5,290		505
Chuy’s Holdings, Inc. *		5,620		129
Conn’s, Inc. *		8,205		146
Cooper Tire & Rubber Co.		16,740		528
Cooper-Standard Holding, Inc. *		5,439		249
Core-Mark Holding Co., Inc.		15,312		608
Crocs, Inc. *		21,827		431
Dave & Buster’s Entertainment, Inc.		12,150		492
Designer Brands, Inc.		19,152		367
DineEquity, Inc.		5,853		559
Dorman Products, Inc. *		9,675		843
El Pollo Loco Holdings, Inc. *		7,312		78
Ethan Allen Interiors, Inc.		8,251		174
Express, Inc. *		22,423		61
Fiesta Restaurant Group, Inc. *		7,881		104
Fossil Group, Inc. *		15,234		175
Fox Factory Holding Corp. *		12,741		1,051
GameStop Corp. - Class A		34,137		187
Garrett Motion, Inc. *		24,894		382
Genesco, Inc. *		5,789		245
Gentherm, Inc. *		11,241		470
G-III Apparel Group, Ltd. *		13,885		408
Group 1 Automotive, Inc.		5,872		481
Guess?, Inc.		16,747		270
Haverty Furniture Cos., Inc.		6,280		107
Hibbett Sports, Inc. *		6,137		112
Installed Building Products, Inc. *		7,013		415
iRobot Corp. *		9,365		858
J.C. Penney Co., Inc. *		105,754		121
Kirkland’s, Inc. *		4,728		11
Kontoor Brands, Inc. *		15,503		434
La-Z-Boy, Inc.		15,575		478
LCI Industries		8,350		752
LGI Homes, Inc. *		6,275		448
Liquidity Services, Inc. *		8,945		54
Lithia Motors, Inc. - Class A		7,460		886

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Lumber Liquidators Holdings, Inc. *		9,575		111
M.D.C. Holdings, Inc.		16,428		539
M/I Homes, Inc. *		9,203		263
MarineMax, Inc. *		7,623		125
Meritage Homes Corp. *		12,006		616
Monarch Casino & Resort, Inc. *		3,962		169
Monro Muffler Brake, Inc.		11,075		945
Motorcar Parts of America, Inc. *		6,278		134
Movado Group, Inc.		5,495		148
Nautilus, Inc. *		9,904		22
Office Depot, Inc.		182,347		376
Oxford Industries, Inc.		5,682		431
PetMed Express, Inc.		6,717		105
Red Robin Gourmet Burgers, Inc. *		4,328		132
Regis Corp. *		9,845		163
Rent-A-Center, Inc. *		14,978		399
Restoration Hardware, Inc. *		5,393		623
Ruth’s Hospitality Group, Inc.		9,462		215
Shake Shack, Inc. - Class A *		8,725		630
Shoe Carnival, Inc.		3,249		90
Shutterfly, Inc. *		11,449		579
Shutterstock, Inc. *		6,230		244
Sleep Number Corp. *		10,085		407
Sonic Automotive, Inc. - Class A		7,981		186
Stamps.com, Inc. *		5,434		246
Standard Motor Products, Inc.		6,716		305
Steven Madden, Ltd.		26,067		885
Strategic Education, Inc.		7,321		1,303
Sturm, Ruger & Co., Inc.		5,827		317
Superior Industries International, Inc.		7,713		27
Tailored Brands, Inc.		16,750		97
The Tile Shop Holdings, Inc.		12,852		51
TopBuild Corp. *		11,491		951
Unifi, Inc. *		4,858		88
Universal Electronics, Inc. *		4,626		190
Vera Bradley, Inc. *		6,983		84
Vista Outdoor, Inc. *		19,270		171
Vitamin Shoppe, Inc. *		5,206		21
William Lyon Homes - Class A *		11,014		201

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

50

Index 600 Stock Portfolio

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Consumer Discretionary continued
Wingstop, Inc.		9,813		930
Winnebago Industries, Inc.		9,682		374
Wolverine World Wide, Inc.		29,626		816
Zumiez, Inc. *		6,358		166
Total				34,167
Consumer Staples (3.3%)
The Andersons, Inc.		8,787		239
Avon Products, Inc. *		147,947		574
B&G Foods, Inc.		21,807		454
Calavo Growers, Inc.		5,229		506
Cal-Maine Foods, Inc.		10,110		422
Central Garden & Pet Co. *		3,446		93
Central Garden & Pet Co. - Class A *		13,807		340
The Chefs’ Warehouse, Inc. *		7,695		270
Coca-Cola Bottling Co. Consolidated		1,549		463
Darling Ingredients, Inc. *		54,993		1,094
Dean Foods Co.		30,625		28
Inter Parfums, Inc.		5,774		384
J & J Snack Foods Corp.		5,025		809
John B. Sanfilippo & Son, Inc.		2,935		234
Medifast, Inc.		3,972		510
MGP Ingredients, Inc.		4,260		282
Seneca Foods Corp. - Class A *		2,210		61
SpartanNash Co.		12,121		141
United Natural Foods, Inc. *		17,593		158
Universal Corp.		8,341		507
USANA Health Sciences, Inc. *		4,439		353
WD-40 Co.		4,605		732
Total				8,654
Energy (3.5%)
Archrock, Inc.		43,505		461
Bonanza Creek Energy, Inc. *		6,265		131
C&J Energy Services, Inc. *		20,507		242
Carrizo Oil & Gas, Inc. *		28,716		288
CONSOL Energy, Inc. *		9,217		245
Denbury Resources, Inc. *		153,955		191
Diamond Offshore Drilling, Inc. *		21,602		192
DMC Global, Inc.		4,752		301
Dril-Quip, Inc. *		12,093		580
ERA Group, Inc. *		6,828		57
Exterran Corp. *		10,550		150

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Energy continued
Geospace Technologies Corp. *		4,550		69
Green Plains, Inc.		12,986		140
Gulf Island Fabrication, Inc. *		4,628		33
Gulfport Energy Corp. *		48,394		238
Helix Energy Solutions Group, Inc. *		46,687		403
HighPoint Resources Corp. *		37,104		67
KLX Energy Services Holdings, Inc. *		7,727		158
Laredo Petroleum, Inc. *		51,325		149
Matrix Service Co. *		8,948		181
Nabors Industries, Ltd.		110,311		320
Newpark Resources, Inc. *		30,211		224
Noble Corp. PLC *		83,168		155
Oil States International, Inc. *		20,175		369
Par Pacific Holdings, Inc. *		10,089		207
PDC Energy, Inc. *		22,125		798
Penn Virginia Corp. *		4,488		138
ProPetro Holding Corp. *		24,805		513
Renewable Energy Group, Inc. *		12,557		199
REX American Resources Corp. *		1,885		137
Ring Energy, Inc. *		19,919		65
SEACOR Holdings, Inc. *		5,814		276
SRC Energy, Inc. *		81,244		403
Superior Energy Services, Inc. *		52,058		68
TETRA Technologies, Inc. *		41,928		68
Unit Corp. *		18,515		165
US Silica Holdings, Inc.		24,552		314
Whiting Petroleum Corp. *		30,469		569
Total				9,264
Financials (16.7%)
Ambac Financial Group, Inc. *		15,195		256
American Equity Investment Life Holding Co.		30,336		824
Ameris Bancorp		19,351		758
AMERISAFE, Inc.		6,434		410
Appollo Commercial Real Estate Finance, Inc.		45,953		845
ARMOUR Residential REIT, Inc.		17,496		326
Axos Financial, Inc. *		18,002		491
Banc of California, Inc.		14,291		200
Banner Corp.		10,434		565

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Financials continued
Berkshire Hills Bancorp, Inc.		15,197		477
Blucora, Inc. *		16,153		491
Boston Private Financial Holdings, Inc.		27,965		338
Brookline Bancorp, Inc.		26,628		410
Capstead Mortgage Corp.		28,567		239
Central Pacific Financial Corp.		9,557		286
City Holding Co.		5,501		420
Columbia Banking System, Inc.		24,553		888
Community Bank System, Inc.		17,200		1,132
Customers Bancorp, Inc. *		9,565		201
CVB Financial Corp.		34,117		717
Dime Community Bancshares		10,230		194
Donnelley Financial Solutions, Inc. *		11,416		152
Eagle Bancorp, Inc.		10,607		574
eHealth, Inc. *		6,351		547
Employers Holdings, Inc.		10,699		452
Encore Capital Group, Inc. *		8,580		291
Enova International, Inc. *		11,258		259
EZCORP, Inc. - Class A *		17,516		166
First BanCorp		72,545		801
First Commonwealth Financial Corp.		32,879		443
First Financial Bancorp		32,917		797
First Midwest Bancorp, Inc.		37,253		763
FirstCash, Inc.		14,400		1,440
Flagstar Bancorp, Inc.		9,615		319
Franklin Financial Network, Inc.		4,130		115
Glacier Bancorp, Inc.		28,236		1,145
Granite Point Mortgage Trust, Inc.		17,939		344
Great Western Bancorp, Inc.		19,006		679
Greenhill & Co., Inc.		5,975		81
Hanmi Financial Corp.		10,324		230
HCI Group, Inc.		2,242		91
Heritage Financial Corp. of Washington		11,085		327
HomeStreet, Inc. *		9,002		267
Hope Bancorp, Inc.		40,166		553
Horace Mann Educators Corp.		13,737		553
Independent Bank Corp.		11,453		872
INTL FCStone, Inc. *		5,363		212

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

51

Index 600 Stock Portfolio

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Financials continued
Invesco Mortgage Capital, Inc.		42,923		692
James River Group Holdings, Ltd.		10,068		472
LegacyTexas Financial Group, Inc.		15,119		615
Meta Financial Group, Inc.		9,218		259
National Bank Holding Corp. - Class A		8,690		315
NBT Bancorp, Inc.		14,606		548
New York Mortgage Trust, Inc.		69,461		431
NMI Holdings, Inc. - Class A *		22,543		640
Northfield Bancorp, Inc.		15,785		246
Northwest Bancshares, Inc.		35,456		624
OFG Bancorp		14,564		346
Old National Bancorp		49,944		829
Opus Bank		7,211		152
Oritani Financial Corp.		12,791		227
Pacific Premier Bancorp, Inc.		15,067		465
PennyMac Mortgage Investment Trust		25,506		557
Piper Jaffray Cos., Inc.		4,749		353
PRA Group, Inc. *		15,149		426
Preferred Bank		4,655		220
ProAssurance Corp.		17,939		648
Provident Financial Services, Inc.		20,499		497
Redwood Trust, Inc.		32,337		535
RLI Corp.		13,087		1,122
S&T Bancorp, Inc.		11,462		430
Safety Insurance Group, Inc.		4,878		464
Seacoast Banking Corp. of Florida *		17,162		437
Selective Insurance Group, Inc.		19,771		1,481
ServisFirst Bancshares, Inc.		15,361		526
Simmons First National Corp. - Class A		32,004		744
Southside Bancshares, Inc.		10,580		343
Stewart Information Services Corp.		7,911		320
Third Point Reinsurance, Ltd. *		24,865		257
Tompkins Financial Corp.		4,141		338
Triumph Bancorp, Inc. *		8,201		238
TrustCo Bank Corp.		32,319		256
United Community Banks, Inc.		26,383		753
United Fire Group, Inc.		7,151		347
United Insurance Holdings Corp.		7,208		103

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Financials continued
Universal Insurance Holdings, Inc.		10,640		297
Veritex Holdings, Inc.		15,215		395
Virtus Investment Partners, Inc.		2,332		250
Waddell & Reed Financial, Inc. - Class A		25,070		418
Walker & Dunlop, Inc.		9,442		502
Westamerica Bancorporation		8,989		554
WisdomTree Investments, Inc.		39,335		243
World Acceptance Corp. *		2,113		347
Total				44,203
Health Care (11.2%)
Acorda Therapeutics, Inc. *		13,334		102
Addus HomeCare Corp. *		3,388		254
Akorn, Inc. *		31,506		162
AMAG Pharmaceuticals, Inc. *		11,271		113
AMN Healthcare Services, Inc. *		15,562		844
Amphastar Pharmaceuticals, Inc. *		11,783		249
AngioDynamics, Inc. *		12,423		245
ANI Pharmaceuticals, Inc. *		2,813		231
Anika Therapeutics, Inc. *		4,742		193
Arrowhead Pharmaceuticals, Inc. *		31,649		839
Assertio Therapeutics, Inc. *		21,498		74
BioTelemetry, Inc. *		11,284		543
Cambrex Corp. *		11,234		526
Cardiovascular Systems, Inc. *		11,625		499
Community Health Systems, Inc. *		39,409		105
Computer Programs and Systems, Inc.		4,073		113
CONMED Corp.		8,670		742
Corcept Therapeutics, Inc. *		34,889		389
CorVel Corp. *		3,026		263
Cross Country Healthcare, Inc. *		12,292		115
CryoLife, Inc. *		11,466		343
Cutera, Inc. *		4,686		97
Cytokinetics, Inc. *		19,267		217
Diplomat Pharmacy, Inc. *		18,954		115

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Eagle Pharmaceuticals, Inc. *		3,439		191
Emergent Biosolutions, Inc. *		15,098		729
Enanta Pharmaceuticals, Inc. *		5,318		449
Endo International PLC *		67,194		277
Ensign Group, Inc.		16,634		947
HealthStream, Inc. *		8,541		221
Heska Corp. *		2,329		198
HMS Holdings Corp. *		29,072		942
Innoviva, Inc. *		22,647		330
Integer Holdings Corp. *		10,018		841
Invacare Corp.		11,269		58
Lannett Co., Inc. *		11,420		69
Lantheus Holdings, Inc. *		12,958		367
LeMaitre Vascular, Inc.		5,319		149
LHC Group, Inc. *		9,776		1,169
Luminex Corp.		13,962		288
Magellan Health, Inc. *		8,026		596
The Medicines Co. *		23,284		849
Medpace Holdings, Inc. *		8,728		571
Meridian Bioscience, Inc.		14,229		169
Merit Medical Systems, Inc. *		18,361		1,094
Mesa Laboratories, Inc.		1,182		289
Momenta Pharmaceuticals, Inc. *		32,916		410
Myriad Genetics, Inc. *		24,492		680
Natus Medical, Inc. *		11,351		292
Neogen Corp. *		17,398		1,081
NeoGenomics, Inc. *		34,204		750
NextGen Healthcare, Inc. *		15,974		318
Omnicell, Inc. *		13,759		1,184
OraSure Technologies, Inc. *		20,713		192
Orthofix Medical, Inc. *		6,365		337
Owens & Minor, Inc.		21,008		67
Phibro Animal Health
Corp. - Class A		6,772		215
Progenics Pharmaceuticals, Inc. *		28,287		174
The Providence Service Corp. *		3,702		212
REGENXBIO, Inc. *		10,273		528
Repligen Corp. *		14,030		1,206
Select Medical
Holdings Corp. *		36,161		574
Spectrum Pharmaceuticals, Inc. *		35,505		306

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

52

Index 600 Stock Portfolio

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Health Care continued
Supernus Pharmaceuticals, Inc. *		17,486		579
Surmodics, Inc. *		4,472		193
Tabula Rasa HealthCare, Inc. *		6,092		304
Tactile Systems Technology, Inc. *		5,719		325
Tivity Health, Inc. *		15,923		262
US Physical Therapy, Inc.		4,260		522
Vanda Pharmaceuticals, Inc. *		17,679		249
Varex Imaging Corp. *		12,784		392
Total				29,518
Industrials (17.9%)
AAON, Inc.		13,569		681
AAR Corp.		10,886		400
ABM Industries, Inc.		22,150		886
Actuant Corp. - Class A		20,501		509
Aegion Corp. *		10,462		193
Aerojet Rocketdyne
Holdings, Inc. *		24,154		1,081
Aerovironment, Inc. *		7,110		404
Alamo Group, Inc.		3,217		321
Albany International Corp. - Class A		10,169		843
Allegiant Travel Co.		4,295		616
American Woodmark Corp. *		5,011		424
Apogee Enterprises, Inc.		8,879		386
Applied Industrial Technologies, Inc.		12,882		793
ArcBest Corp.		8,516		239
Arcosa, Inc.		16,139		607
Astec Industries, Inc.		7,521		245
Atlas Air Worldwide Holdings, Inc. *		8,629		385
AZZ, Inc.		8,722		401
Barnes Group, Inc.		15,780		889
Brady Corp. - Class A		16,451		811
Briggs & Stratton Corp.		14,039		144
Chart Industries, Inc. *		11,968		920
CIRCOR International, Inc. *		6,642		306
Comfort Systems USA, Inc.		12,319		628
Cubic Corp.		9,568		617
DXP Enterprises, Inc. *		5,344		202
Echo Global Logistics, Inc. *		9,312		194
Encore Wire Corp.		6,974		409
EnPro Industries, Inc.		6,923		442
ESCO Technologies, Inc.		8,671		716
Exponent, Inc.		17,324		1,014
Federal Signal Corp.		20,124		538

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Forrester Research, Inc.		3,446		162
Forward Air Corp.		9,579		567
Franklin Electric Co., Inc.		12,857		611
FTI Consulting, Inc. *		12,688		1,064
Gibraltar Industries, Inc. *		10,749		434
GMS, Inc. *		10,782		237
The Greenbrier Cos., Inc.		10,817		329
Griffon Corp.		11,560		196
Harsco Corp. *		26,767		734
Hawaiian Holdings, Inc.		16,037		440
Heartland Express, Inc.		15,871		287
Heidrick & Struggles International, Inc.		6,382		191
Hillenbrand, Inc.		20,903		827
Hub Group, Inc. - Class A *		11,384		478
Insteel Industries, Inc.		6,105		127
Interface, Inc.		20,024		307
John Bean Technologies Corp.		10,558		1,279
Kaman Corp.		9,327		594
Kelly Services, Inc. - Class A		10,410		273
Korn / Ferry International		18,836		755
Lindsay Corp.		3,600		296
LSC Communications, Inc.		11,186		41
Lydall, Inc. *		5,852		118
Marten Transport, Ltd.		12,942		235
Matson, Inc.		14,295		555
Matthews International Corp. - Class A		10,591		369
Mercury Systems, Inc. *		18,475		1,300
Mobile Mini, Inc.		15,012		457
Moog, Inc. - Class A		10,841		1,015
Mueller Industries, Inc.		18,902		553
Multi-Color Corp.		4,663		233
MYR Group, Inc. *		5,544		207
National Presto Industries, Inc.		1,681		157
Navigant Consulting, Inc.		13,134		305
Patrick Industries, Inc. *		7,562		372
PGT Innovations, Inc. *		19,476		326
Pitney Bowes, Inc.		60,326		258
Powell Industries, Inc.		2,931		111
Proto Labs, Inc. *		8,962		1,040
Quanex Building Products Corp.		11,056		209
Raven Industries, Inc.		12,025		431
Resources Connection, Inc.		10,047		161
RR Donnelley & Sons Co.		23,633		47
Saia, Inc. *		8,642		559

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Industrials continued
Simpson Manufacturing Co., Inc.		13,417		892
SkyWest, Inc.		17,102		1,038
SPX Corp. *		14,643		484
SPX Flow, Inc. *		14,198		594
Standex International Corp.		4,223		309
Team, Inc. *		10,097		155
Tennant Co.		6,063		371
Tetra Tech, Inc.		18,314		1,439
Titan International, Inc.		16,823		82
Triumph Group, Inc.		16,658		381
TrueBlue, Inc. *		13,403		296
UniFirst Corp.		5,125		966
Universal Forest Products, Inc.		20,479		779
US Ecology, Inc.		7,373		439
Veritiv Corp. *		4,293		83
Viad Corp.		6,771		449
Vicor Corp. *		5,424		168
Wabash National Corp.		18,501		301
WageWorks, Inc. *		13,309		676
Watts Water Technologies, Inc. - Class A		9,244		861
Total				47,254
Information Technology (13.7%)
3D Systems Corp. *		38,951		354
8x8, Inc. *		32,141		775
ADTRAN, Inc.		15,959		243
Advanced Energy
Industries, Inc. *		12,763		718
Agilysys, Inc. *		5,882		126
Alarm.com Holdings, Inc. *		11,777		630
Anixter International, Inc. *		9,668		577
Applied Optoelectronics, Inc. *		6,323		65
Arlo Technologies, Inc. *		24,884		100
Axcelis Technologies, Inc. *		10,996		166
Badger Meter, Inc.		9,719		580
Bel Fuse, Inc. - Class B		3,363		58
Benchmark Electronics, Inc.		12,874		323
Bottomline Technologies, Inc. *		12,625		559
Brooks Automation, Inc.		24,079		933
Cabot Microelectronics Corp.		9,701		1,068
CalAmp Corp. *		11,215		131
Cardtronics PLC *		12,523		342
CEVA, Inc. *		7,335		179
Cohu, Inc.		13,691		211

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

53

Index 600 Stock Portfolio

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Comtech Telecommunications Corp.		8,057		227
Control4 Corp. *		8,945		212
Cray, Inc. *		13,746		479
CSG Systems International, Inc.		11,088		541
CTS Corp.		10,967		302
Daktronics, Inc.		13,271		82
Diebold, Inc. *		25,566		234
Digi International, Inc. *		9,366		119
Diodes, Inc. *		13,347		485
DSP Group, Inc. *		6,596		95
Ebix, Inc.		7,337		368
Electronics for Imaging, Inc. *		14,400		532
ePlus, Inc. *		4,543		313
EVERTEC, Inc.		20,010		654
Exlservice Holdings, Inc. *		11,463		758
Extreme Networks, Inc. *		39,640		256
Fabrinet *		12,295		611
FARO Technologies, Inc. *		5,784		304
Finisar Corp. *		39,356		900
FormFactor, Inc. *		24,895		390
Harmonic, Inc. *		29,640		165
Ichor Holdings, Ltd. *		7,470		177
II-VI, Inc. *		19,931		729
Insight Enterprises, Inc. *		11,937		695
Itron, Inc. *		11,164		699
KEMET Corp.		19,361		364
Knowles Corp. *		30,343		556
Kopin Corp. *		22,468		25
Kulicke and Soffa Industries, Inc.		21,704		489
LivePerson, Inc. *		19,914		558
ManTech International Corp. - Class A		8,910		587
MaxLinear, Inc. - Class A *		21,446		503
Methode Electronics, Inc. - Class A		12,346		353
MicroStrategy, Inc. - Class A *		2,738		392
Monotype Imaging Holdings, Inc.		13,810		233
MTS Systems Corp.		5,993		351
Nanometrics, Inc. *		8,190		284
NETGEAR, Inc. *		10,512		266
NIC, Inc.		22,336		358
OneSpan, Inc. *		10,470		148
OSI Systems, Inc. *		5,620		633
Park Electrochemical Corp.		6,498		108
PDF Solutions, Inc. *		9,309		122
Perficient, Inc. *		10,997		377
Photronics, Inc. *		22,386		184
Plexus Corp. *		10,049		587

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Power Integrations, Inc.		9,771		783
Progress Software Corp.		14,852		648
Qualys, Inc. *		11,241		979
Rambus, Inc. *		36,728		442
Rogers Corp. *		6,191		1,068
Rudolph Technologies, Inc. *		10,356		286
Sanmina Corp. *		23,034		697
ScanSource, Inc. *		8,579		279
SMART Global Holdings, Inc. *		4,209		97
SolarEdge Technologies, Inc. *		14,904		931
SPS Commerce, Inc. *		5,980		611
Sykes Enterprises, Inc. *		13,172		362
TiVo Corp.		41,693		307
TTEC Holdings, Inc.		4,636		216
TTM Technologies, Inc. *		31,330		320
Ultra Clean Holdings, Inc. *		13,130		183
Unisys Corp. *		17,280		168
Veeco Instruments, Inc. *		16,248		199
Viavi Solutions, Inc. *		76,335		1,015
Virtusa Corp. *		9,259		411
Xperi Corp.		16,451		339
Total				36,284
Materials (4.0%)
AdvanSix, Inc. *		9,468		231
AK Steel Holding Corp. *		105,595		250
American Vanguard Corp.		8,729		134
Balchem Corp.		10,793		1,079
Boise Cascade Co.		13,010		366
Century Aluminum Co. *		16,602		115
Clearwater Paper Corp. *		5,513		102
Ferro Corp. *		27,349		432
FutureFuel Corp.		8,615		101
H.B. Fuller Co.		16,986		788
Hawkins, Inc.		3,192		139
Haynes International, Inc.		4,177		133
Innophos Holdings, Inc.		6,566		191
Innospec, Inc.		8,171		745
Kaiser Aluminum Corp.		5,384		526
Koppers Holdings, Inc. *		6,892		202
Kraton Corp. *		10,687		332
Livent Corp. *		48,735		337
LSB Industries, Inc. *		6,818		27
Materion Corp.		6,794		461
Mercer International, Inc.		14,463		224
Myers Industries, Inc.		11,837		228

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Materials continued
Neenah Paper, Inc.		5,630		380
Olympic Steel, Inc.		3,049		42
P.H. Glatfelter		14,706		248
Quaker Chemical Corp.		4,451		903
Rayonier Advanced Materials, Inc.		16,623		108
Schulman, Inc. - Contingent Value Rights *,Æ		8,527		4
Schweitzer-Mauduit International, Inc.		10,312		342
Stepan Co.		6,794		624
SunCoke Energy, Inc. *		30,099		267
TimkenSteel Corp. *		13,150		107
Tredegar Corp.		8,533		142
US Concrete, Inc. *		5,269		262
Total				10,572
Real Estate (6.5%)
Acadia Realty Trust		27,628		756
Agree Realty Corp.		12,840		822
American Assets Trust, Inc.		15,765		743
Armada Hoffler Properties, Inc.		17,497		290
CareTrust REIT, Inc.		31,905		759
CBL & Associates Properties, Inc.		57,905		60
Cedar Realty Trust, Inc.		28,684		76
Chatham Lodging Trust		15,546		293
Chesapeake Lodging Trust		20,284		576
Community Healthcare Trust, Inc.		5,982		236
DiamondRock Hospitality Co.		67,243		695
Easterly Government Properties, Inc.		22,706		411
Four Corners Property Trust, Inc.		22,833		624
Franklin Street Properties Corp.		35,793		264
Getty Realty Corp.		11,358		349
Global Net Lease, Inc.		27,986		549
Hersha Hospitality Trust		12,043		199
HFF, Inc. - Class A		13,293		605
Independence Realty Trust, Inc.		29,987		347
Innovative Industrial Properties, Inc.		3,273		404
iStar, Inc.		21,595		268
Kite Realty Group Trust		28,018		424
Lexington Realty Trust		69,775		657
LTC Properties, Inc.		13,265		606
Marcus & Millichap, Inc. *		7,169		221
National Storage Affiliates Trust		18,987		549
NorthStar Realty Europe Corp.		16,794		276

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

54

Index 600 Stock Portfolio

Common Stocks (93.5%)	Shares/ Par +		Value $ (000’s)
Real Estate continued
Office Properties Income Trust		16,052		422
Pennsylvania Real Estate Investment Trust		19,890		129
RE/MAX Holdings, Inc. - Class A		5,944		183
Realogy Holdings Corp.		38,124		276
Retail Opportunity Investments Corp.		38,157		654
RPT Realty		26,822		325
Saul Centers, Inc.		3,881		218
Summit Hotel Properties, Inc.		35,076		402
Universal Health Realty Income Trust		4,222		359
Urstadt Biddle Properties, Inc. - Class A		9,981		210
Washington Prime Group, Inc.		62,252		238
Washington Real Estate Investment Trust		26,715		714
Whitestone REIT		13,295		169
Xenia Hotels & Resorts, Inc.		37,600		784
Total				17,142
Utilities (2.0%)
American States Water Co.		12,282		924
Avista Corp.		21,947		979
California Water Service Group		16,067		813
El Paso Electric Co.		13,558		887
Northwest Natural Holding Co.		10,155		706
South Jersey Industries, Inc.		30,839		1,040
Total				5,349
Total Common Stocks (Cost: $219,512)				247,166
Investment Companies (1.9%)
Investment Companies (1.9%)
iShares Core S&P Small-Cap ETF		64,354		5,037
Total				5,037
Total Investment Companies (Cost: $4,965)				5,037

Short-Term Investments (4.2%)	Shares/ Par +		Value $ (000’s)
Commercial Paper (3.4%)
The Coca-Cola Co. 0.000%, 9/16/19 144A		1,000,000		995
Exxon Mobil Corp. 0.000%, 7/10/19		1,000,000		999
Kellogg Co. 0.000%, 7/9/19 144A		1,000,000		999
Marriott International, Inc.
0.000%, 7/15/19 144A		500,000		499
0.000%, 8/2/19 144A		500,000		499
Mondelez International, Inc.
0.000%, 7/17/19 144A		500,000		500
0.000%, 7/25/19 144A		1,000,000		998
0.000%, 7/26/19 144A		500,000		499
QUALCOMM, Inc. 0.000%, 7/24/19 144A		1,000,000		998
The Southern Co. 0.000%, 7/8/19 144A		1,000,000		999
Walgreens Boots Alliance, Inc. 0.000%, 8/16/19 144A		1,000,000		997
Total				8,982
Money Market Funds (0.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		2,010,678		2,011
Total				2,011
Total Short-Term Investments (Cost: $10,994)				10,993
Total Investments (99.6%) (Cost: $235,471)@				263,196
Other Assets, Less Liabilities (0.4%)				1,062
Net Assets (100.0%)				264,258

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

55

Index 600 Stock Portfolio

Over the Counter Derivatives

Total Return Swaps

Reference Entity	Counterparty	Payment made by the Fund	Payment Received by the Fund	Expiration Date	Notional Amount (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
S&P SmallCap 600 Index	JP Morgan	1-Month USD LIBOR + 22.0 basis points	S&P SmallCap 600 Index	5/20	10,587	$	714	$	714
						$	714	$	714

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward     Contracts		Options		Swaps		Total
Total Over the Counter Derivatives		—	$	714	$	714		—		—		—		—

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

* Non income producing

Æ Security valued using significant unobservable inputs.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $7,983 representing 3.0% of the net assets.

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $235,471 and the net unrealized appreciation of investments based on that cost was $28,439 which is comprised of $54,675 aggregate gross unrealized appreciation and $26,236 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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
Materials	$	10,568	$	—	$	4
All Others		236,594		—		—
Investment Companies		5,037		—		—
Short-Term Investments
Money Market Funds		2,011		—		—
All Others		—		8,982		—
Other Financial Instruments^
Total Return Swaps		—		714		—
Total Assets:	$	254,210	$	9,696	$	4

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

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

56

Small Cap Value Portfolio (unaudited)

   Sector Allocation 6/30/19

Sector	% of Net Assets
Financials	23.7%
Industrials	14.7%
Real Estate	11.0%
Information Technology	10.4%
Consumer Discretionary	9.7%
Utilities	7.7%
Health Care	7.5%
Energy	4.4%
Materials	3.8%
Consumer Staples	3.1%
Communication Services	2.1%
Short-Term Investments & Other Net Assets	1.9%

   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.

57

Small Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Communication Services (2.1%)
Cable One, Inc.		6,621		7,753
Rosetta Stone, Inc. *		118,359		2,708
Scholastic Corp.		46,534		1,547
Total				12,008
Consumer Discretionary (9.7%)
Aaron’s, Inc.		119,919		7,364
American Public Education, Inc. *		87,407		2,585
Cavco Industries, Inc. *		27,743		4,371
Culp, Inc.		93,998		1,786
Dorman Products, Inc. *		55,795		4,862
Express, Inc. *		141,859		387
Garrett Motion, Inc. *		194,497		2,986
LCI Industries		35,756		3,218
Lumber Liquidators Holdings, Inc. *		141,442		1,634
Marriott Vacations Worldwide Corp.		18,001		1,735
Monro Muffler Brake, Inc.		36,063		3,076
Pool Corp.		34,527		6,595
The RealReal, Inc. *		24,325		703
Red Robin Gourmet Burgers, Inc. *		41,889		1,281
Steven Madden, Ltd.		118,599		4,026
Strategic Education, Inc.		45,585		8,114
Visteon Corp. *		22,100		1,295
Total				56,018
Consumer Staples (3.1%)
BJ’s Wholesale Club Holdings, Inc. *		45,344		1,197
Grocery Outlet Holding Corp. *		19,403		638
Nomad Foods, Ltd. *		387,194		8,270
Post Holdings, Inc. *		40,998		4,263
The Simply Good Foods Co. *		138,911		3,345
Total				17,713
Energy (4.4%)
Apergy Corp. *		47,767		1,602
Cactus, Inc. *		31,059		1,029
Centennial Resource Development, Inc. - Class A *		315,304		2,393
Frank’s International NV *		253,747		1,385
International Seaways, Inc. *		142,710		2,712
Jagged Peak Energy, Inc. *		180,001		1,489
Keane Group, Inc. *		329,286		2,213

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Energy continued
Kimbell Royalty Partners LP		35,237		569
Kosmos Energy, Ltd.		271,203		1,700
Matador Resources Co. *		162,441		3,229
REX American Resources Corp. *		30,821		2,247
TETRA Technologies, Inc. *		775,904		1,265
WPX Energy, Inc. *		331,058		3,810
Total				25,643
Financials (23.7%)
Assured Guaranty, Ltd.		33,934		1,428
Atlantic Capital Bancshares, Inc. *		88,407		1,514
Axis Capital Holdings, Ltd.		10,471		625
BankUnited, Inc.		174,787		5,897
BOK Financial Corp.		34,423		2,598
Capstead Mortgage Corp.		136,400		1,139
CBOE Holdings, Inc.		13,051		1,353
CenterState Bank Corp.		93,700		2,158
Columbia Banking System, Inc.		148,511		5,373
East West Bancorp, Inc.		66,727		3,121
Employers Holdings, Inc.		59,487		2,515
FB Financial Corp.		89,074		3,260
Glacier Bancorp, Inc.		112,513		4,562
Green Dot Corp. - Class A *		72,746		3,557
Hercules Capital, Inc.		238,575		3,059
Heritage Commerce Corp.		121,245		1,485
Heritage Financial Corp. of Washington		89,733		2,651
Home BancShares, Inc.		465,191		8,960
Hope Bancorp, Inc.		198,498		2,735
Houlihan Lokey, Inc.		61,646		2,745
Howard Bancorp, Inc. *		95,599		1,450
Live Oak Bancshares, Inc.		70,095		1,202
Main Street Capital Corp.		60,412		2,484
Meridian Bancorp, Inc.		191,319		3,423
National Bank Holding Corp. - Class A		134,709		4,890
Origin Bancorp, Inc.		58,188		1,920
Palomar Holdings, Inc. *		7,569		182
PCSB Financial Corp.		103,727		2,101

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Financials continued
PDL Community Bancorp *		106,045		1,515
PennyMac Financial Services, Inc.		148,572		3,295
Pinnacle Financial Partners, Inc.		70,954		4,078
Popular, Inc.		80,454		4,364
ProAssurance Corp.		86,923		3,139
Prosperity Bancshares, Inc.		65,658		4,337
Radian Group, Inc.		208,691		4,769
Redwood Trust, Inc.		114,211		1,888
Safety Insurance Group, Inc.		26,198		2,492
State Auto Financial Corp.		98,946		3,463
Sterling Bancorp, Inc.		133,501		1,331
SVB Financial Group *		6,226		1,398
Texas Capital Bancshares, Inc. *		53,942		3,310
TowneBank		178,482		4,869
Virtus Investment Partners, Inc.		19,109		2,052
Webster Financial Corp.		75,684		3,615
Wintrust Financial Corp.		46,236		3,383
WSFS Financial Corp.		145,962		6,028
Total				137,713
Health Care (7.5%)
Array BioPharma, Inc. *		27,766		1,286
Atrion Corp.		7,306		6,230
Avanos Medical, Inc. *		105,116		4,584
Ensign Group, Inc.		113,135		6,440
Mesa Laboratories, Inc.		12,946		3,163
Molina Healthcare, Inc.*		29,593		4,236
Momenta Pharmaceuticals, Inc.*		124,357		1,548
Patterson Cos., Inc.		38,470		881
Quidel Corp. *		112,756		6,689
Select Medical Holdings Corp. *		232,726		3,693
Ultragenyx Pharmaceutical, Inc. *		8,903		565
West Pharmaceutical Services, Inc.		23,426		2,932
Xencor, Inc. *		35,754		1,464
Total				43,711

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

58

Small Cap Value Portfolio

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Industrials (14.7%)
Aegion Corp. *		240,800		4,431
Beacon Roofing Supply, Inc. *		69,228		2,542
Blue Bird Corp. *		93,998		1,851
Brady Corp. - Class A		53,323		2,630
The Brink’s Co.		19,917		1,617
CIRCOR International, Inc. *		102,706		4,724
Cubic Corp.		76,686		4,945
ESCO Technologies, Inc.		67,201		5,552
FTI Consulting, Inc. *		68,744		5,763
Genesee & Wyoming, Inc. - Class A *		49,939		4,994
Helios Technologies, Inc.		77,295		3,587
Hillenbrand, Inc.		40,807		1,615
Huron Consulting Group, Inc. *		31,734		1,599
Kirby Corp. *		28,664		2,264
Landstar System, Inc.		62,579		6,758
McGrath RentCorp		63,728		3,961
MSA Safety, Inc.		27,124		2,858
Parsons Corp. *		55,067		2,030
RBC Bearings, Inc. *		15,920		2,656
Stericycle, Inc. *		88,469		4,224
Thermon Group Holdings, Inc. *		85,066		2,182
Triumph Group, Inc.		289,002		6,618
Universal Forest Products, Inc.		114,979		4,376
Universal Logistics Holdings, Inc.		79,784		1,793
Total				85,570
Information Technology (10.4%)
Belden, Inc.		164,004		9,770
Cabot Microelectronics Corp.		38,621		4,251
Ceridian HCM Holding, Inc. *		74,441		3,737
Cision, Ltd. *		190,890		2,239
Conduent, Inc. *		124,127		1,190
Cray, Inc. *		29,262		1,019
Cypress Semiconductor Corp.		84,919		1,889
The Descartes Systems Group, Inc. *		16,323		603
Endava PLC *		15,495		624
Entegris, Inc.		49,311		1,840
GTT Communications, Inc. *		95,100		1,674
Harmonic, Inc. *		710,234		3,942
i3 Verticals, Inc. *		90,926		2,678
Knowles Corp. *		247,837		4,538
Littelfuse, Inc.		45,316		8,017
MaxLinear, Inc. - Class A *		125,143		2,933
Q2 Holdings, Inc. *		33,905		2,589
RealPage, Inc. *		38,218		2,249

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Information Technology continued
Rudolph Technologies, Inc. *		58,999		1,630
Zendesk, Inc. *		36,064		3,211
Total				60,623
Materials (3.8%)
American Vanguard Corp.		101,145		1,559
Carpenter Technology Corp.		86,520		4,151
Clearwater Paper Corp. *		35,221		651
Constellium NV - Class A *		246,578		2,476
Minerals Technologies, Inc.		53,324		2,853
Myers Industries, Inc.		225,507		4,346
Quaker Chemical Corp.		17,392		3,529
Reliance Steel & Aluminum Co.		27,123		2,566
Total				22,131
Real Estate (11.0%)
Acadia Realty Trust		93,258		2,552
American Campus Communities, Inc.		71,644		3,307
Cedar Realty Trust, Inc.		917,169		2,431
Douglas Emmett, Inc.		68,735		2,738
EastGroup Properties, Inc.		54,563		6,328
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		137,787		3,883
Healthcare Realty Trust, Inc.		157,829		4,943
JBG SMITH Properties		138,219		5,438
Kilroy Realty Corp.		41,920		3,094
Potlatch Corp.		91,590		3,570
PS Business Parks, Inc.		29,593		4,987
QTS Realty Trust, Inc.		41,988		1,939
Saul Centers, Inc.		57,948		3,253
The St. Joe Co. *		202,439		3,498
Sunstone Hotel Investors, Inc.		284,823		3,905
Terreno Realty Corp.		137,797		6,758
Washington Real Estate Investment Trust		57,011		1,524
Total				64,148
Utilities (7.7%)
Atmos Energy Corp.		27,124		2,863
California Water Service Group		65,038		3,293
Chesapeake Utilities Corp.		73,707		7,004
MGE Energy, Inc.		34,024		2,486
NorthWestern Corp.		70,900		5,115
ONE Gas, Inc.		81,692		7,377
PNM Resources, Inc.		160,612		8,177

Common Stocks (98.1%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Portland General Electric Co.		63,189		3,423
RGC Resources, Inc.		27,622		843
Southwest Gas Holdings, Inc.		46,855		4,199
Total				44,780
Total Common Stocks (Cost: $429,544)				570,058
Short-Term Investments (1.9%)
Money Market Funds (1.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310% #		10,923,478		10,923
Total				10,923
Total Short-Term Investments (Cost: $10,923)				10,923
Total Investments (100.0%) (Cost: $440,467)@				580,981
Other Assets, Less Liabilities (0.0%)				(181	)
Net Assets (100.0%)				580,800

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

59

Small Cap Value Portfolio

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $440,467 and the net unrealized appreciation of investments based on that cost was $140,514 which is comprised of $169,648 aggregate gross unrealized appreciation and $29,134 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	570,058	$	—	$	—
Short-Term Investments			10,923		—		—
Total Assets:		$	580,981	$	—	$	—

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

60

International Growth Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Information Technology	22.2%
Industrials	22.0%
Financials	16.7%
Health Care	9.3%
Consumer Discretionary	8.0%
Consumer Staples	7.6%
Materials	7.3%
Short-Term Investments & Other Net Assets	2.7%
Communication Services	2.6%
Real Estate	1.2%
Energy	0.4%

  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 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.

61

International Growth Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (97.3%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (2.6%)
Adevinta ASA - Class A *	Norway		12,200		136
Adevinta ASA - Class B *	Norway		238,299		2,626
Alphabet, Inc. - Class A *	United States		5,900		6,388
Rightmove PLC	United Kingdom		501,300		3,404
Safaricom, Ltd.	Kenya		12,141,400		3,315
Schibsted ASA - Class B	Norway		143,099		3,731
Total					19,600
Consumer Discretionary (8.0%)
Alibaba Group Holding, Ltd., ADR *	China		59,779		10,129
Autoliv, Inc.	United States		66,100		4,661
Denso Corp.	Japan		134,800		5,668
Informa PLC	United Kingdom		407,298		4,319
InterContinental Hotels Group PLC, ADR	United Kingdom		204,984		13,709
Naspers, Ltd. - Class N	South Africa		37,600		9,128
USS Co., Ltd.	Japan		599,600		11,807
Total					59,421
Consumer Staples (7.6%)
Alimentation Couche-Tard, Inc. - Class B	Canada		68,500		4,311
BGF Retail Co., Ltd.	South Korea		15,924		2,910
Clicks Group, Ltd.	South Africa		347,852		5,070
Nestle SA	Switzerland		413,169		42,773
PriceSmart, Inc.	United States		30,900		1,579
Total					56,643
Energy (0.4%)
Pason Systems, Inc.	Canada		100,700		1,459
PrairieSky Royalty, Ltd.	Canada		102,400		1,439
Total					2,898
Financials (16.7%)
AIA Group, Ltd.	Hong Kong		2,555,488		27,561
B3 SA - Brasil, Bolsa, Balcao	Brazil		532,600		5,196
Berkshire Hathaway, Inc. - Class B *	United States		37,000		7,887
Deutsche Borse Aktiengesellschaft	Germany		55,900		7,907
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		234,000		8,262
Housing Development Finance Corp., Ltd.	India		354,663		11,275
Itau Unibanco Holding SA	Brazil		46,550		377
Jyske Bank A/S	Denmark		56,800		1,968
KBC Group NV	Belgium		63,632		4,171
Marsh & McLennan Cos., Inc.	United States		98,523		9,828
Moody’s Corp.	United States		42,000		8,203
MSCI, Inc.	United States		45,600		10,889
Prudential PLC	United Kingdom		553,263		12,057
S&P Global, Inc.	United States		39,800		9,066
Total					124,647

Common Stocks (97.3%)	Country	Shares/ Par +		Value $ (000’s)
Health Care (9.3%)
CSL, Ltd.	Australia		148,395		22,399
Hoya Corp.	Japan		147,500		11,292
ResMed, Inc.	United States		76,800		9,372
Roche Holding AG	Switzerland		92,352		25,983
Total					69,046
Industrials (22.0%)
ANDRITZ AG	Austria		116,554		4,387
Assa Abloy AB - Class B	Sweden		815,300		18,429
Atlas Copco AB - Class A	Sweden		334,200		10,681
Auckland International Airport, Ltd.	New Zealand		710,555		4,702
BAE Systems PLC	United Kingdom		451,800		2,842
Canadian National Railway Co.	Canada		36,900		3,415
Canadian Pacific Railway, Ltd.	Canada		21,700		5,111
East Japan Railway Co.	Japan		80,700		7,545
Edenred	France		155,700		7,942
Elis SA	France		101,094		1,833
Epiroc AB	Sweden		485,900		5,059
Experian PLC	Jersey		287,900		8,716
Fagerhult AB	Sweden		225,940		1,496
FANUC Corp.	Japan		42,000		7,764
Interpump Group SpA	Italy		142,400		4,382
Komatsu, Ltd.	Japan		212,900		5,134
Legrand SA	France		88,000		6,434
Loomis AB - Class B	Sweden		58,500		2,011
MISUMI Group, Inc.	Japan		338,800		8,491
MTU Aero Engines AG	Germany		39,500		9,410
Nabtesco Corp.	Japan		130,600		3,627
OSG Corp.	Japan		184,700		3,639
Prosegur Cia de Seguridad SA	Spain		712,400		3,346
Safran SA	France		88,900		13,025
Schindler Holding AG - Participation Certificate	Switzerland		37,393		8,324
Schindler Holding AG - Registered Shares	Switzerland		6,085		1,329
SHO-BOND Holdings Co., Ltd.	Japan		130,800		4,610
Total					163,684
Information Technology (22.2%)
Amadeus IT Group SA	Spain		207,800		16,460
ASML Holding NV	Netherlands		120,200		25,113
Azbil Corp.	Japan		204,100		4,983
Black Knight, Inc. *	United States		94,800		5,702
Keyence Corp.	Japan		35,400		21,713
Mastercard, Inc. - Class A	United States		84,900		22,459
PayPal Holdings, Inc. *	United States		49,700		5,689
SAP SE	Germany		225,519		30,967
Spectris PLC	United Kingdom		138,200		5,051
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		967,000		7,441

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

62

International Growth Portfolio

Common Stocks (97.3%)	Country		Shares/ Par +		Value $ (000’s)
Information Technology continued
Visa, Inc. - Class A		United States		117,125		20,327
Total						165,905
Materials (7.3%)
CRH PLC, ADR		Ireland		379,900		12,442
Elementis PLC		United Kingdom		696,925		1,253
Franco-Nevada Corp.		Canada		39,600		3,361
Linde PLC		Ireland		86,455		17,366
Martin Marietta Materials, Inc.		United States		38,500		8,859
The Sherwin-Williams Co.		United States		21,100		9,670
Tikkurila Oyj		Finland		86,400		1,454
Total						54,405
Real Estate (1.2%)
Merlin Properties Socimi SA Spain				127,800		1,773
Shaftesbury PLC		United Kingdom		130,800		1,335
Vonovia SE		Germany		120,000		5,731
Total						8,839
Total Common Stocks (Cost: $568,691)						725,088

Short-Term Investments (2.5%)	Country		Shares/ Par +		Value $ (000’s)
Money Market Funds (2.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		United States		18,457,181		18,457
Total						18,457
Total Short-Term Investments (Cost: $18,457)						18,457
Total Investments (99.8%) (Cost: $587,148)@						743,545
Other Assets, Less Liabilities (0.2%)						1,673
Net Assets (100.0%)						745,218

Investments Percentage by Country is based on Net Assets:
United States	21.3	%
Japan	12.9	%
Switzerland	10.5	%
Germany	7.3	%
United Kingdom	6.0	%
Sweden	5.1	%
Other	36.7	%
Total	99.8	%

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $587,148 and the net unrealized appreciation of investments based on that cost was $156,397 which is comprised of $171,401 aggregate gross unrealized appreciation and $15,004 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	725,088	$	—	$                                —
Short-Term Investments			18,457		—	—
Total Assets:		$	743,545	$	—	$                                —

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

63

Research International Core Portfolio (unaudited)

Sector Allocation 6/30/19
Sector	% of Net Assets
Financials	19.0%
Industrials	14.8%
Health Care	11.1%
Information Technology	10.5%
Consumer Staples	10.4%
Consumer Discretionary	8.5%
Materials	8.5%
Energy	5.5%
Communication Services	4.4%
Utilities	3.6%
Real Estate	2.3%
Short-Term Investments & Other Net Assets	1.4%

   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.

64

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (98.6%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (4.4%)
Advanced Info Service PCL	Thailand		693,100		4,882
Hellenic Telecommunications Organization SA *	Greece		249,848		3,693
KDDI Corp.	Japan		347,500		8,843
NAVER Corp.	South Korea		26,353		2,602
SoftBank Group Corp.	Japan		168,800		8,086
Tele2 AB	Sweden		183,188		2,673
Total					30,779
Consumer Discretionary (8.5%)
adidas AG	Germany		28,446		8,782
Cie Financiere Richemont SA	Switzerland		75,517		6,408
Dufry AG *	Switzerland		22,286		1,888
Koito Manufacturing Co., Ltd.	Japan		119,600		6,378
LVMH Moet Hennessy Louis Vuitton SE	France		34,355		14,622
Paddy Power Betfair PLC	Ireland		35,004		2,635
Techtronic Industries Co., Ltd.	Hong Kong		1,001,500		7,667
USS Co., Ltd.	Japan		379,500		7,473
Yum China Holdings, Inc.	United States		92,350		4,267
Total					60,120
Consumer Staples (10.4%)
Ambev SA, ADR	Brazil		590,017		2,755
British American Tobacco PLC	United Kingdom		249,363		8,705
Danone SA	France		95,693		8,107
Japan Tobacco, Inc.	Japan		223,200		4,926
Kao Corp.	Japan		89,100		6,785
L’Oreal SA	France		29,369		8,366
Nestle SA	Switzerland		221,127		22,892
Reckitt Benckiser Group PLC	United Kingdom		103,204		8,144
Sundrug Co., Ltd.	Japan		96,800		2,618
Total					73,298
Energy (5.5%)
BP PLC	United Kingdom		1,597,534		11,130
Cairn Energy PLC *	United Kingdom		1,524,439		3,351
Caltex Australia, Ltd.	Australia		212,589		3,694
Enbridge, Inc.	Canada		104,671		3,781
Eni SpA	Italy		412,706		6,854
Galp Energia SGPS SA	Portugal		416,525		6,406
	Papua New
Oil Search, Ltd.	Guinea		638,357		3,168
Total					38,384
Financials (19.0%)
AEON Financial Service Co., Ltd.	Japan		391,400		6,299
AIA Group, Ltd.	Hong Kong		1,347,400		14,532
AIB Group PLC	Ireland		1,531,889		6,264
Aon PLC	United Kingdom		58,045		11,202

Common Stocks (98.6%)	Country	Shares/ Par +		Value $ (000’s)
Financials continued
Barclays PLC	United Kingdom		1,825,268		3,472
BNP Paribas SA	France		185,184		8,795
Cerved Information Solutions SpA	Italy		143,510		1,272
Euronext NV	Netherlands		92,703		7,015
HDFC Bank, Ltd.	India		181,617		6,422
Hiscox, Ltd.	Bermuda		296,226		6,365
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		169,700		5,991
Intesa Sanpaolo SpA	Italy		3,615,233		7,737
Julius Baer Group, Ltd. *	Switzerland		159,122		7,084
KBC Group NV	Belgium		105,526		6,916
Mitsubishi UFJ Financial Group, Inc.	Japan		1,603,300		7,614
Swiss Re AG	Switzerland		45,061		4,581
TMX Group, Ltd.	Canada		76,389		5,314
UBS Group AG *	Switzerland		801,402		9,523
Zurich Insurance Group AG	Switzerland		21,394		7,449
Total					133,847
Health Care (11.1%)
Bayer AG	Germany		133,862		9,276
Essilor International SA	France		82,815		10,806
Kyowa Hakko Kirin Co., Ltd.	Japan		168,900		3,038
Novo Nordisk AS - Class B	Denmark		246,756		12,574
Roche Holding AG	Switzerland		68,404		19,245
Santen Pharmaceutical Co., Ltd.	Japan		607,100		10,051
Sonic Healthcare, Ltd.	Australia		215,208		4,094
Terumo Corp.	Japan		314,400		9,361
Total					78,445
Industrials (14.8%)
51job, Inc. *	Cayman Islands		46,440		3,506
Aena SA	Spain		13,789		2,733
Brambles, Ltd.	Australia		811,533		7,338
Daikin Industries, Ltd.	Japan		82,100		10,710
GEA Group AG	Germany		184,904		5,257
Hitachi, Ltd.	Japan		202,800		7,428
Kubota Corp.	Japan		519,200		8,635
Legrand SA	France		104,655		7,652
Malaysia Airports Holdings Bhd	Malaysia		855,200		1,765
Melrose Industries PLC	United Kingdom		1,334,541		3,065
RELX PLC	United Kingdom		389,093		9,415
Ritchie Bros Auctioneers, Inc.	Canada		104,320		3,469
Ryanair Holdings PLC *	Ireland		26,855		1,723
Schindler Holding AG	Switzerland		30,081		6,696
Schneider Electric SE	France		168,465		15,279
TOTO, Ltd.	Japan		170,500		6,729
Yamato Holdings Co., Ltd.	Japan		147,000		2,987
Total					104,387

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

65

Research International Core Portfolio

Common Stocks (98.6%)	Country	Shares/ Par +		Value $ (000’s)
Information Technology (10.5%)
Amadeus IT Group SA	Spain		95,814		7,589
Cadence Design Systems, Inc. *	United States		39,702		2,811
Check Point Software Technologies, Ltd. *	Israel		52,130		6,027
Cognizant Technology Solutions Corp. - Class A	United States		93,896		5,952
Constellation Software, Inc.	Canada		3,954		3,727
EPAM Systems, Inc. *	United States		28,174		4,877
Fujitsu, Ltd.	Japan		19,700		1,373
Just Eat PLC *	United Kingdom		409,057		3,247
Kyocera Corp.	Japan		48,600		3,171
Mastercard, Inc. - Class A	United States		19,750		5,224
Mellanox Technologies, Ltd. *	Israel		36,251		4,012
Nomura Research Institute, Ltd.	Japan		369,300		5,916
Samsung Electronics Co., Ltd.	South Korea		97,586		3,972
Scout24 AG *	Germany		57,696		3,065
Silicon Motion Technology Corp., ADR	Cayman Islands		54,138		2,403
Taiwan Semiconductor Manufacturing Co., Ltd.	Taiwan		937,189		7,212
Telefonaktiebolaget LM Ericsson - Class B	Sweden		365,900		3,471
Total					74,049
Materials (8.5%)
Akzo Nobel NV	Netherlands		108,107		10,159
Croda International PLC	United Kingdom		131,885		8,575
Kansai Paint Co., Ltd.	Japan		163,700		3,430
Linde PLC	Ireland		85,246		17,123
Nitto Denko Corp.	Japan		95,900		4,729

Common Stocks (98.6%)	Country	Shares/ Par +		Value $ (000’s)
Materials continued
Sika AG	Switzerland		46,993		8,020
Symrise AG	Germany		82,181		7,910
Total					59,946
Real Estate (2.3%)
Grand City Properties SA	Luxembourg		346,068		7,909
LEG Immobilien AG	Germany		75,006		8,461
Total					16,370
Utilities (3.6%)
APA Group	Australia		545,027		4,133
China Resources Gas Group, Ltd.	Bermuda		792,000		3,929
CLP Holdings, Ltd.	Hong Kong		516,500		5,699
Iberdrola, SA	Spain		836,903		8,342
Orsted A/S	Denmark		33,950		2,936
Total					25,039
Total Common Stocks (Cost: $615,601)					694,664
Short-Term Investments (1.0%)
Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#	United States		6,730,250		6,730
Total					6,730
Total Short-Term Investments (Cost: $6,730)					6,730
Total Investments (99.6%) (Cost: $622,331)@					701,394
Other Assets, Less Liabilities (0.4%)					2,515
Net Assets (100.0%)					703,909

Investments Percentage by Country is based on Net Assets:
Japan	19.4%
Switzerland	13.2%
France	10.5%
United Kingdom	10.0%
Germany	5.9%
Other	40.6%
Total	99.6%

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $622,331 and the net unrealized appreciation of investments based on that cost was $79,063 which is comprised of $122,556 aggregate gross unrealized appreciation and $43,493 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

66

Research International Core Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	694,664	$	—	$	—
Short-Term Investments			6,730		—		—
Total Assets:		$	701,394	$	—	$	—

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

67

International Equity Portfolio (unaudited)

Sector Allocation 6/30/19

Sector	% of Net Assets
Financials	17.7%
Health Care	16.0%
Communication Services	11.4%
Energy	11.1%
Industrials	9.5%
Materials	8.2%
Information Technology	5.8%
Utilities	5.0%
Consumer Staples	4.8%
Consumer Discretionary	4.7%
Real Estate	3.2%
Short-Term Investments & Other Net Assets	2.6%

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.

68

International Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (97.4%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (11.4%)
Baidu, Inc., ADR *	Cayman Islands		153,670		18,035
China Mobile, Ltd.	China		3,204,760		29,189
China Telecom Corp., Ltd. - Class H	China		58,018,160		29,189
Deutsche Telekom AG	Germany		2,423,360		41,918
Singapore Telecommunications, Ltd.	Singapore		11,610,330		30,034
Telefonica Deutschland Holding AG	Germany		3,391,620		9,476
Vodafone Group PLC	United Kingdom		22,485,704		36,928
Total					194,769
Consumer Discretionary (4.7%)
Cie Generale des Etablissements Michelin	France		153,578		19,480
Kingfisher PLC	United Kingdom		7,234,750		19,745
Panasonic Corp.	Japan		1,746,780		14,543
Ryohin Keikaku Co., Ltd.	Japan		18,190		3,283
SES SA	Luxembourg		1,395,650		21,821
Sumitomo Rubber Industries, Ltd.	Japan		159,310		1,841
Total					80,713
Consumer Staples (4.8%)
Ezaki Glico Co., Ltd.	Japan		328,410		14,621
Kirin Holdings Co., Ltd.	Japan		1,532,400		33,025
Seven & i Holdings Co., Ltd.	Japan		483,900		16,373
Suntory Beverage & Food, Ltd.	Japan		401,300		17,438
Total					81,457
Energy (11.1%)
BP PLC	United Kingdom		5,314,200		37,024
The Drilling Company of 1972 A/S *	Denmark		28,360		2,203
Eni SpA	Italy		2,611,625		43,375
Husky Energy, Inc.	Canada		1,528,240		14,483
Royal Dutch Shell PLC - Class B	United Kingdom		1,314,075		43,072
Tenaris SA	Luxembourg		679,125		8,888
TOTAL SA	France		744,720		41,727
Total					190,772
Financials (17.7%)
AXA SA	France		329,165		8,646
Bangkok Bank PCL	Thailand		118,640		762
Bank of Ireland Group PLC	Ireland		3,510,100		18,344
BNP Paribas SA	France		1,097,860		52,139
Credit Agricole SA	France		1,432,720		17,179
Hana Financial Group, Inc.	South Korea		625,130		20,249
HSBC Holdings PLC	United Kingdom		3,535,657		29,329
ING Groep NV	Netherlands		3,752,912		43,511
KB Financial Group, Inc., ADR	South Korea		653,780		25,811
Standard Chartered PLC	United Kingdom		5,841,822		52,985

Common Stocks (97.4%)	Country		Shares/ Par +		Value $ (000’s)
Financials continued
Sumitomo Mitsui Financial Group, Inc.		Japan		987,770		34,870
Total						303,825
Health Care (16.0%)
Astellas Pharma, Inc.		Japan		1,956,730		27,859
Bayer AG		Germany		368,368		25,526
Fresenius Medical Care AG & Co.		Germany		314,640		24,701
Merck KGaA		Germany		279,580		29,235
Novartis AG		Switzerland		264,160		24,137
Roche Holding AG		Switzerland		133,000		37,419
Sanofi		France		416,285		35,933
Shanghai Pharmaceuticals Holding Co., Ltd.		China		7,252,510		14,260
Sinopharm Group Co., Ltd.		China		2,935,400		10,334
Takeda Pharmaceutical Co., Ltd.		Japan		830,227		29,439
Teva Pharmaceutical Industries, Ltd., ADR *		Israel		1,712,820		15,809
Total						274,652
Industrials (9.5%)
A.P. Moeller - Maersk AS - Class B		Denmark		14,730		18,271
BAE Systems PLC		United Kingdom		6,137,620		38,614
Cie de Saint-Gobain		France		567,220		22,107
CK Hutchison Holdings, Ltd.		Cayman Islands		2,515,290		24,793
IHI Corp.		Japan		177,190		4,268
Siemens AG		Germany		165,780		19,718
Siemens AG, ADR		Germany		105,530		6,296
Vestas Wind Systems		Denmark		342,710		29,602
Total						163,669
Information Technology (5.8%)
NXP Semiconductors NV		Netherlands		277,420		27,079
Samsung Electronics Co., Ltd.		South Korea		1,173,320		47,760
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		3,312,485		25,489
Total						100,328
Materials (8.2%)
Akzo Nobel NV		Netherlands		65,020		6,110
CRH PLC		Ireland		1,326,690		43,165
Johnson Matthey PLC		United Kingdom		78,800		3,331
Sumitomo Metal Mining Co., Ltd.		Japan		884,460		26,407
Wheaton Precious Metals Corp.		Canada		1,559,970		37,726
Yara International ASA		Norway		502,830		24,392
Total						141,131

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

69

International Equity Portfolio

Common Stocks (97.4%)	Country		Shares/ Par +		Value $ (000’s)
Real Estate (3.2%)
CK Asset Holdings, Ltd.		Cayman Islands		3,036,640		23,771
Mitsui Fudosan Co., Ltd.		Japan		1,171,100		28,377
Swire Pacific, Ltd. - Class A		Hong Kong		196,000		2,409
Total						54,557
Utilities (5.0%)
E.ON SE		Germany		4,107,040		44,604
Veolia Environnement SA		France		1,681,130		40,947
Total						85,551
Total Common Stocks (Cost: $1,708,078)						1,671,424

Short-Term Investments (1.9%)	Country		Shares/ Par +		Value $ (000’s)
Money Market Funds (1.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		United States		32,465,176		32,465
Total						32,465
Total Short-Term Investments (Cost: $32,465)						32,465
Total Investments (99.3%) (Cost: $1,740,543)@						1,703,889
Other Assets, Less Liabilities (0.7%)						12,164
Net Assets (100.0%)						1,716,053

Investments Percentage by Country is based on Net Assets:

United Kingdom	15.4%
Japan	14.6%
France	13.8%
Germany	11.8%
South Korea	5.5%
Other	38.2%
Total	99.3%

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,740,543 and the net unrealized depreciation of investments based on that cost was $36,654 which is comprised of $139,821 aggregate gross unrealized appreciation and $176,475 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	1,671,424	$	—	$	—
Short-Term Investments		32,465		—		—
Total Assets:	$	1,703,889	$	—	$	—

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

70

Emerging Markets Equity Portfolio (unaudited)

    Sector Allocation 6/30/19

Sector	% of Net Assets
Financials	26.1%
Information Technology	13.6%
Consumer Discretionary	13.1%
Consumer Staples	11.0%
Communication Services	10.4%
Materials	8.9%
Real Estate	6.7%
Energy	4.1%
Industrials	2.9%
Short-Term Investments & Other Net Assets	2.6%
Health Care	0.6%

    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.

71

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (94.4%)	Country	Shares/ Par +		Value $ (000’s)
Communication Services (10.4%)
58.com, Inc., ADR *	Cayman Islands		123,654		7,688
Autohome, Inc., ADR *	Cayman Islands		125,896		10,779
China Mobile, Ltd.	Hong Kong		1,063,500		9,686
MTN Group, Ltd.	South Africa		1,166,600		8,842
Tencent Holdings, Ltd.	Cayman Islands		974,700		43,995
Total					80,990
Consumer Discretionary (13.1%)
Astra International Tbk PT	Indonesia		26,455,400		13,951
China International Travel Service Corp., Ltd.	China		1,303,501		16,824
Hero MotoCorp, Ltd.	India		112,018		4,203
Huazhu Group, Ltd., ADR	Cayman Islands		260,920		9,458
Lojas Renner SA	Brazil		897,758		11,026
Midea Group Co., Ltd.	China		1,007,184		7,605
Naspers, Ltd. - Class N	South Africa		87,285		21,191
Sands China Ltd.	Cayman Islands		1,644,400		7,862
Truworths International, Ltd.	South Africa		397,355		1,975
Yum China Holdings, Inc.	United States		161,744		7,473
Total					101,568
Consumer Staples (10.8%)
Ambev SA, ADR	Brazil		2,305,909		10,768
BIM Birlesik Magazalar AS	Turkey		473,600		6,514
BRF SA *	Brazil		698,635		5,371
Fomento Economico Mexicano SAB de CV, ADR	Mexico		160,900		15,567
Hindustan Unilever, Ltd.	India		331,022		8,579
ITC, Ltd.	India		3,820,222		15,153
Kweichow Moutai Co., Ltd.	China		136,680		19,582
Massmart Holdings, Ltd.	South Africa		622,865		2,751
Total					84,285
Energy (3.0%)
LUKOIL PJSC, ADR	Russia		120,786		10,193
Novatek PJSC	Russia		295,800		6,229
Tenaris SA, ADR	Luxembourg		272,100		7,159
Total					23,581
Financials (26.1%)
AIA Group, Ltd.	Hong Kong		1,979,800		21,352
Banco Bradesco SA, ADR	Brazil		2,878,467		28,267
Banco Santander Chile, ADR	Chile		234,812		7,026
Bank Central Asia Tbk PT	Indonesia		6,531,500		13,858
Bank of the Philippine Islands	Philippines		3,860,246		5,914
Bank Rakyat Indonesia Persero Tbk PT	Indonesia		13,164,900		4,063
Grupo Financiero Banorte SAB de CV	Mexico		2,356,960		13,690
Hong Kong Exchanges & Clearing, Ltd.	Hong Kong		364,892		12,883
Housing Development Finance Corp., Ltd.	India		966,571		30,727
Kotak Mahindra Bank, Ltd.	India		741,280		15,861

Common Stocks (94.4%)	Country		Shares/ Par +		Value $ (000’s)
Financials continued
Ping An Insurance Group Co. of China, Ltd. - Class H		China		2,547,500		30,589
Public Bank Bhd		Malaysia		1,044,400		5,813
Sberbank of Russia PJSC		Russia		2,101,636		7,923
SBI Life Insurance Co., Ltd.		India		13,939		146
The Siam Commercial Bank PCL		Thailand		1,112,400		5,060
Total						203,172
Health Care (0.6%)
Wuxi Biologics Cayman, Inc. *		Cayman Islands		553,000		4,966
Total						4,966
Industrials (2.9%)
Grupo Aeroportuario del Sureste SAB de CV - Class B		Mexico		566,480		9,193
Shanghai International Airport Co., Ltd.		China		1,103,882		13,465
Total						22,658
Information Technology (11.9%)
Hangzhou Hikvision Digital Technology Co., Ltd.		China		1,601,162		6,430
Samsung Electronics Co., Ltd.		South Korea		730,150		29,721
Sunny Optical Technology Group Co., Ltd.		Cayman Islands		438,900		4,534
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		4,800,290		36,938
Tata Consultancy Services, Ltd.		India		456,962		14,749
Total						92,372
Materials (8.9%)
Grasim Industries, Ltd.		India		483,000		6,402
Indocement Tunggal Prakarsa Tbk PT		Indonesia		5,235,000		7,411
LG Chem, Ltd.		South Korea		39,277		12,059
The Siam Cement PCL		Thailand		961,300		14,795
UltraTech Cement, Ltd.		India		170,064		11,203
Vale SA, ADR		Brazil		1,302,100		17,500
Total						69,370
Real Estate (6.7%)
Ayala Land, Inc.		Philippines		18,736,700		18,578
China Resources Land, Ltd.		Cayman Islands		3,782,000		16,655
Hang Lung Group, Ltd.		Hong Kong		889,000		2,464
Hang Lung Properties, Ltd.		Hong Kong		2,326,000		5,532
Multiplan Empreendimentos Imobiliarios SA		Brazil		1,198,400		8,663
Total						51,892
Total Common Stocks (Cost: $622,266)						734,854

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

72

Emerging Markets Equity Portfolio

Preferred Stocks (3.0%)	Country		Shares/ Par +		Value $ (000’s)
Consumer Staples (0.2%)
Amorepacific Corp.		South Korea		14,546		1,086
Total						1,086
Energy (1.1%)
Petroleo Brasileiro SA		Brazil		1,225,400		8,747
Total						8,747
Information Technology (1.7%)
Samsung Electronics Co., Ltd.		South Korea		402,300		13,327
Total						13,327
Total Preferred Stocks (Cost: $24,466)						23,160

Short-Term Investments (2.4%)	Country		Shares/ Par +		Value $ (000’s)
Money Market Funds (2.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		United States		18,957,810		18,958
Total						18,958
Total Short-Term Investments (Cost: $18,958)						18,958
Total Investments (99.8%) (Cost: $665,690)@						776,972
Other Assets, Less Liabilities (0.2%)						1,376
Net Assets (100.0%)						778,348

Investments Percentage by Country is based on Net Assets:

Cayman Islands	13.7%
India	13.6%
China	12.1%
Brazil	11.5%
South Korea	7.3%
Hong Kong	6.6%
Indonesia	5.1%
Mexico	5.0%
Other	24.9%
Total	99.8%

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

* Non income producing

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $665,690 and the net unrealized appreciation of investments based on that cost was $111,282 which is comprised of $149,450 aggregate gross unrealized appreciation and $38,168 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	23,160	$	—	$	—
Common Stocks
Materials		54,575		14,795		—
All Others		665,484		—		—
Short-Term Investments		18,958		—		—
Total Assets:	$	762,177	$	14,795	$	—

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

73

Government Money Market Portfolio (unaudited)

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

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

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

74

Government Money Market Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Money Market Investments (100.2%)	Shares/ Par +		Value $ (000’s)
Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.310% #		427,165		427
Total				427
Repurchase Agreements (33.7%)
Tri-Party Bank of Montreal, 2.480%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $4,000,827, collateralized by various US Treasury obligations, 0.000% to 3.625%, due from 7/15/2021 to 2/15/2046, aggregate par and fair value of $3,807,600 and $4,080,099, respectively)		4,000,000		4,000
Tri-Party Bank of Nova Scotia, 2.470%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $25,005,146, collateralized by various US Treasury obligations, 0.375% to 3.000%, due from 8/31/2020 to 5/15/2042, aggregate par and fair value of $25,264,838 and $25,505,315, respectively)		25,000,000		25,000
Tri-Party BNP Paribas, 2.490%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,075, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 2.750% to 8.125%, due from 8/15/2019 to 10/20/2048, aggregate par and fair value of $9,789,125 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party BNP Paribas, 2.500%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,083, collateralized by various US Treasury obligations, 0.000% to 2.500%, due from 1/31/2025 to 5/15/2046, aggregate par and fair value of $13,300,361 and $10,200,023, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 2.490%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,075, collateralized by various US Treasury obligations and US government sponsored agency, 0.000% to 5.500%, due from 3/26/2020 to 8/20/2047, aggregate par and fair value of $10,089,040 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 2.510%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,092, collateralized by various US Treasury obligations, 0.000% to 0.000%, due from 7/16/2019 to 7/25/2019, aggregate par and fair value of $10,214,800 and $10,200,091, respectively)		10,000,000		10,000

Money Market Investments (100.2%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 2.510%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,092, collateralized by various US government sponsored agency obligations, 3.000% to 6.000%, due from 11/20/2022 to 10/15/2059, aggregate par and fair value of $9,797,021 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party HSBC Securities, 2.520%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $5,001,050, collateralized by various US government sponsored agency obligations, 2.500% to 5.000%, due from 10/20/2039 to 4/1/2045, aggregate par and fair value of $4,791,568 and $5,119,836, respectively)		5,000,000		5,000
Tri-Party Mitsubishi UFJ, 2.500%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,083, collateralized by various US government sponsored agency obligations, 3.000% to 7.500%, due from 8/20/2029 to 6/20/2049, aggregate par and fair value of $9,930,716 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party Mizuho Securities, 2.510%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $10,002,092, collateralized by various US Treasury obligations, 2.750% to 2.750%, due from 2/15/2024 to 8/15/2047, aggregate par and fair value of $9,770,351 and $10,200,038, respectively)		10,000,000		10,000
Tri-Party Natixis S.A., 2.500%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $15,003,125, collateralized by various US Treasury obligations, 2.000% to 3.000%, due from 2/15/2025 to 5/15/2047, aggregate par and fair value of $14,475,756 and $15,300,043, respectively)		15,000,000		15,000
Tri-Party Natixis S.A., 2.520%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $5,001,050, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 4.000%, due from 5/15/2030 to 3/1/2049, aggregate par and fair value of $4,184,958 and $5,100,071, respectively)		5,000,000		5,000

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

75

Government Money Market Portfolio

Money Market Investments (100.2%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements continued
Tri-Party TD Securities, 2.520%, 7/1/19 (Purchased on 6/28/19, to be repurchased at $23,004,830, collateralized by US government sponsored agency, 3.500%, due 7/1/2046, par and fair value of $22,705,055 and $23,690,001, respectively)		23,000,000		23,000
Total				147,000
US Government & Agencies (66.4%)
Federal Farm Credit Bank, 0.000%, 7/22/19		2,225,000		2,222
Federal Farm Credit Bank, 0.000%, 7/23/19		4,115,000		4,109
Federal Farm Credit Bank, 0.000%, 7/25/19		1,530,000		1,527
Federal Farm Credit Bank, 0.000%, 7/29/19		10,480,000		10,459
Federal Farm Credit Bank, 0.000%, 8/15/19		2,320,000		2,313
Federal Farm Credit Bank, 0.000%, 9/12/19		1,585,000		1,577
Federal Farm Credit Bank, 0.000%, 10/21/19		1,180,000		1,171
Federal Farm Credit Bank, 0.000%, 10/31/19		1,575,000		1,562
Federal Farm Credit Bank, 0.000%, 11/20/19		1,180,000		1,168
Federal Farm Credit Bank, 0.000%, 1/17/20		3,090,000		3,048
Federal Farm Credit Bank, 0.000%, 2/4/20		1,890,000		1,863
Federal Farm Credit Bank, 0.000%, 2/21/20		1,800,000		1,772
Federal Farm Credit Bank, 0.000%, 3/10/20		3,480,000		3,424
Federal Farm Credit Bank, 0.000%, 3/24/20		2,880,000		2,831
Federal Farm Credit Bank, 2.309%, (ICE LIBOR USD 1 Month less 0.095%), 7/25/19		4,500,000		4,500
Federal Farm Credit Bank, 2.344%, (ICE LIBOR USD 1 Month less 0.050%), 8/17/20		1,445,000		1,445
Federal Farm Credit Bank, 2.369%, (ICE LIBOR USD 1 Month less 0.050%), 2/7/20		4,910,000		4,910
Federal Farm Credit Bank, 2.372%, (ICE LIBOR USD 1 Month less 0.040%), 9/11/20		1,975,000		1,975
Federal Farm Credit Bank, 2.377%, (ICE LIBOR USD 1 Month less 0.005%), 6/18/20		540,000		540
Federal Farm Credit Bank, 2.390%, (ICE LIBOR USD 1 Month), 6/19/20		4,000,000		4,002
Federal Farm Credit Bank, 2.402%, (ICE LIBOR USD 1 Month), 6/26/20		1,880,000		1,880
Federal Farm Credit Bank, 2.426%, (ICE LIBOR USD 1 Month plus 0.025%), 12/14/20		2,185,000		2,185
Federal Farm Credit Bank, 2.439%, (ICE LIBOR USD 1 Month plus 0.045%), 4/16/21		2,485,000		2,485
Federal Farm Credit Bank, 2.462%, (ICE LIBOR USD 3 Month less 0.120%), 1/27/20		5,415,000		5,416
Federal Farm Credit Bank, 2.525%, (US SOFR plus 0.105%), 1/15/21		1,000,000		1,000
Federal Home Loan Bank, 0.000%, 7/5/19		3,335,000		3,334
Federal Home Loan Bank, 0.000%, 7/8/19		1,450,000		1,449
Federal Home Loan Bank, 0.000%, 7/10/19		4,240,000		4,237
Federal Home Loan Bank, 0.000%, 7/12/19		2,665,000		2,663
Federal Home Loan Bank, 0.000%, 7/16/19		2,085,000		2,083

Money Market Investments (100.2%)	Shares/ Par +		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 0.000%, 7/19/19		1,035,000		1,034
Federal Home Loan Bank, 0.000%, 7/24/19		725,000		724
Federal Home Loan Bank, 0.000%, 7/26/19		870,000		869
Federal Home Loan Bank, 0.000%, 7/30/19		2,965,000		2,959
Federal Home Loan Bank, 0.000%, 8/5/19		3,505,000		3,497
Federal Home Loan Bank, 0.000%, 8/7/19		3,030,000		3,023
Federal Home Loan Bank, 0.000%, 8/14/19		3,990,000		3,978
Federal Home Loan Bank, 0.000%, 8/21/19		8,610,000		8,581
Federal Home Loan Bank, 0.000%, 8/28/19		6,085,000		6,062
Federal Home Loan Bank, 0.000%, 8/30/19		5,945,000		5,922
Federal Home Loan Bank, 0.000%, 9/4/19		6,700,000		6,672
Federal Home Loan Bank, 0.000%, 9/10/19		5,465,000		5,439
Federal Home Loan Bank, 0.000%, 9/11/19		4,630,000		4,609
Federal Home Loan Bank, 0.000%, 9/18/19		6,900,000		6,866
Federal Home Loan Bank, 0.000%, 9/20/19		7,125,000		7,086
Federal Home Loan Bank, 0.000%, 9/27/19		5,315,000		5,284
Federal Home Loan Bank, 0.000%, 10/9/19		1,160,000		1,152
Federal Home Loan Bank, 0.000%, 10/11/19		1,010,000		1,003
Federal Home Loan Bank, 0.000%, 10/15/19		1,670,000		1,658
Federal Home Loan Bank, 0.000%, 10/21/19		1,900,000		1,886
Federal Home Loan Bank, 0.000%, 10/23/19		2,555,000		2,535
Federal Home Loan Bank, 0.000%, 10/30/19		1,805,000		1,790
Federal Home Loan Bank, 0.000%, 11/13/19		2,075,000		2,057
Federal Home Loan Bank, 0.000%, 11/20/19		4,330,000		4,290
Federal Home Loan Bank, 2.261%, (ICE LIBOR USD 3 Month less 0.125%), 12/21/20		2,880,000		2,880
Federal Home Loan Bank, 2.270%, (ICE LIBOR USD 3 Month less 0.255%), 8/16/19		1,420,000		1,420
Federal Home Loan Bank, 2.279%, (ICE LIBOR USD 3 Month less 0.140%), 12/19/19		1,770,000		1,770
Federal Home Loan Bank, 2.285%, (ICE LIBOR USD 1 Month less 0.105%), 7/19/19		6,745,000		6,745
Federal Home Loan Bank, 2.324%, (ICE LIBOR USD 1 Month less 0.080%), 8/27/19		3,045,000		3,045
Federal Home Loan Bank, 2.327%, (ICE LIBOR USD 1 Month less 0.085%), 9/9/19		5,370,000		5,370
Federal Home Loan Bank, 2.329%, (ICE LIBOR USD 1 Month less 0.065%), 9/17/19		2,040,000		2,040
Federal Home Loan Bank, 2.344%, (ICE LIBOR USD 1 Month less 0.060%), 2/24/20		3,780,000		3,780
Federal Home Loan Bank, 2.352%, (ICE LIBOR USD 1 Month less 0.060%), 9/11/19		4,000,000		4,000
Federal Home Loan Bank, 2.354%, (ICE LIBOR USD 1 Month less 0.040%), 4/17/20		9,480,000		9,479

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

76

Government Money Market Portfolio

Money Market Investments (100.2%)	Shares/ Par +		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 2.364%, (ICE LIBOR USD 1 Month less 0.040%), 2/25/20		1,920,000		1,920
Federal Home Loan Bank, 2.366%, (ICE LIBOR USD 1 Month less 0.035%), 1/14/20		1,170,000		1,170
Federal Home Loan Bank, 2.401%, (ICE LIBOR USD 1 Month less 0.030%), 8/4/20		1,240,000		1,240
Federal Home Loan Bank, 2.425%, (US SOFR plus 0.005%), 1/17/20		1,775,000		1,775
Federal Home Loan Bank, 2.430%, (US SOFR plus 0.010%), 11/13/19		2,875,000		2,875
Federal Home Loan Bank, 2.430%, (US SOFR plus 0.010%), 12/20/19		2,160,000		2,160
Federal Home Loan Bank, 2.440%, (US SOFR plus 0.020%), 7/17/19		655,000		655
Federal Home Loan Bank, 2.440%, (US SOFR plus 0.020%), 8/27/19		1,180,000		1,180
Federal Home Loan Bank, 2.450%, (US SOFR plus 0.030%), 12/6/19		905,000		905
Federal Home Loan Bank, 2.452%, (ICE LIBOR USD 3 Month less 0.140%), 4/20/20		2,670,000		2,670
Federal Home Loan Bank, 2.455%, (US SOFR plus 0.035%), 6/19/20		920,000		920
Federal Home Loan Bank, 2.470%, (US SOFR plus 0.050%), 1/17/20		220,000		220
Federal Home Loan Bank, 2.480%, 7/15/19		1,755,000		1,755

Money Market Investments (100.2%)	Shares/ Par +		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Bank, 2.490%, 7/11/19		755,000		755
Federal Home Loan Bank, 2.495%, (US SOFR plus 0.075%), 7/24/20		595,000		595
Federal Home Loan Bank, 2.535%, (US SOFR plus 0.105%), 10/1/20		2,060,000		2,060
Federal Home Loan Bank, 2.535%, (US SOFR plus 0.115%), 3/12/21		1,885,000		1,885
Federal Home Loan Mortgage Corp., 2.312%, (ICE LIBOR USD 1 Month less 0.100%), 8/8/19		3,975,000		3,975
US Treasury, 0.000%, 8/22/19		20,000,000		19,929
US Treasury, 0.000%, 8/29/19		6,000,000		5,976
US Treasury, 0.000%, 10/31/19		335,000		332
US Treasury, 0.000%, 12/19/19		6,340,000		6,276
US Treasury, 0.000%, 2/27/20		1,760,000		1,732
US Treasury, 0.000%, 4/23/20		7,860,000		7,707
US Treasury, 1.375%, 7/31/19		365,000		365
US Treasury, 2.141%, (US Treasury 3 Month Bill Money Market Yield plus 0.045%), 10/31/20		5,000,000		4,993
US Treasury, 2.235%, (US Treasury 3 Month Bill Money Market Yield plus 0.139%), 4/30/21		380,000		379
Total				289,059
Total Money Market Investments (Cost: $436,486)				436,486
Total Investments (100.2%) (Cost: $436,486)				436,486
Other Assets, Less Liabilities (-0.2%)				(926)
Net Assets (100.0%)				435,560

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

# 7-Day yield as of 6/30/2019.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	427	$	—	$	—
All Others			—		436,059		—
Total Assets:		$	427	$	436,059	$	—

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

77

Short-Term Bond Portfolio (unaudited)

Sector Allocation 6/30/19

Sector	% of Net Assets
Corporate Bonds	50.6%
Structured Products	33.8%
Governments	14.9%
Short-Term Investments & Other Net Assets	0.6%
Municipal Bonds	0.1%

Sector Allocation is subject to change.

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

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

78

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Basic Materials (3.0%)
Anglo American Capital PLC
3.750%, 4/10/22 144A		315,000		322
4.125%, 9/27/22 144A		295,000		306
ArcelorMittal
5.250%, 8/5/20 b		1,455,000		1,492
5.500%, 3/1/21		645,000		671
Celulosa Arauco y Constitucion SA
7.250%, 7/29/19		400,000		401
CNAC HK Finbridge Co., Ltd.
3.000%, 7/19/20 §		390,000		391
4.125%, 3/14/21 144A §		360,000		366
DowDuPont, Inc.
3.766%, 11/15/20		520,000		530
International Flavors & Fragrances, Inc.
3.400%, 9/25/20		195,000		197
INVISTA Finance LLC
4.250%, 10/15/19 144A		515,000		518
LyondellBasell Industries NV
6.000%, 11/15/21		280,000		300
Sherwin-Williams Co.
2.250%, 5/15/20 b		1,550,000		1,547
Solvay Finance America LLC
3.400%, 12/3/20 144A b		1,120,000		1,131
Southern Copper Corp.
5.375%, 4/16/20		245,000		250
Syngenta Finance NV
3.698%, 4/24/20 144A		435,000		438
3.933%, 4/23/21 144A		265,000		270
Vale Overseas, Ltd.
4.375%, 1/11/22		730,000		752
Total				9,882
Communications (3.4%)
Alibaba Group Holding, Ltd.
2.500%, 11/28/19		870,000		870
3.600%, 11/28/24		320,000		334
America Movil SAB de CV
5.000%, 3/30/20		211,000		215
Axiata SPV2 Bhd
3.466%, 11/19/20 §		400,000		404
Baidu, Inc.
3.500%, 11/28/22		345,000		353
3.875%, 9/29/23		320,000		332
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
3.579%, 7/23/20		630,000		636
4.464%, 7/23/22 b		1,120,000		1,176
Comcast Corp.
3.700%, 4/15/24		810,000		859
Crown Castle Towers LLC
3.720%, 7/15/43 144A		300,000		309
Discovery Communications LLC
2.200%, 9/20/19		265,000		265
eBay, Inc.
2.150%, 6/5/20		375,000		374

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Communications continued
Fox Corp.
3.666%, 1/25/22 144A		120,000		124
4.030%, 1/25/24 144A		145,000		154
The Interpublic Group of Companies, Inc.
3.500%, 10/1/20		140,000		142
JD.com, Inc.
3.125%, 4/29/21		720,000		722
NBCUniversal Media LLC
5.150%, 4/30/20		716,000		732
Neptune Finco Corp.
10.875%, 10/15/25 144A		337,000		386
Omnicom Group, Inc.
4.450%, 8/15/20		400,000		409
6.250%, 7/15/19		615,000		616
The Priceline Group, Inc.
2.750%, 3/15/23		150,000		152
RELX Capital, Inc.
3.500%, 3/16/23		270,000		279
Telefonica Emisiones SAU
5.134%, 4/27/20		260,000		265
Tencent Holdings, Ltd.
2.875%, 2/11/20 144A		585,000		586
Vodafone Group PLC
3.750%, 1/16/24		325,000		340
Weibo Corp.
3.500%, 7/5/24		200,000		201
Total				11,235
Consumer, Cyclical (4.4%)
American Airlines Pass Through Trust, Series 2017-2, Class B
3.700%, 4/15/27		346,074		345
BMW US Capital LLC
3.014%, (ICE LIBOR USD 3 Month plus 0.410%), 4/12/21 144A		525,000		525
3.035%, (ICE LIBOR USD 3 Month plus 0.500%), 8/13/21 144A		390,000		391
D.R. Horton, Inc.
2.550%, 12/1/20		240,000		240
Daimler Finance North America LLC
1.750%, 10/30/19 144A		480,000		479
2.300%, 2/12/21 144A		705,000		702
3.100%, 5/4/20 144A		290,000		292
Delta Air Lines, Inc.
2.875%, 3/13/20		295,000		295
Dollar Tree, Inc.
3.288%, (ICE LIBOR USD 3 Month plus 0.700%), 4/17/20		585,000		585
Ford Motor Credit Co. LLC
2.343%, 11/2/20		200,000		199
2.459%, 3/27/20		245,000		244
2.681%, 1/9/20		820,000		820
3.157%, 8/4/20		490,000		492
3.273%, (ICE LIBOR USD 3 Month plus 0.930%), 9/24/20		925,000		924
3.470%, 4/5/21		200,000		201

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

79

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
General Motors Financial Co., Inc.
3.200%, 7/13/20		740,000		743
3.442%, (ICE LIBOR USD 3 Month plus 0.850%), 4/9/21		350,000		350
Harley-Davidson Financial Services, Inc.
2.150%, 2/26/20 144A		225,000		224
3.022%, (ICE LIBOR USD 3 Month plus 0.500%), 5/21/20 144A		375,000		375
3.460%, (ICE LIBOR USD 3 Month plus 0.940%), 3/2/21 144A		470,000		469
4.050%, 2/4/22 144A		440,000		454
Hyundai Capital America
2.000%, 7/1/19 144A		400,000		400
3.000%, 6/20/22 144A		470,000		471
McDonald’s Corp.
3.350%, 4/1/23		305,000		316
Nissan Motor Acceptance Corp.
1.550%, 9/13/19 144A		340,000		339
3.650%, 9/21/21 144A		405,000		415
O’Reilly Automotive, Inc.
3.800%, 9/1/22		195,000		202
PACCAR Financial Corp.
3.100%, 5/10/21		585,000		595
Royal Caribbean Cruises, Ltd.
2.650%, 11/28/20		125,000		125
Southwest Airlines Co.
2.750%, 11/6/19		280,000		280
Starbucks Corp.
2.700%, 6/15/22		205,000		208
Toyota Industries Corp.
3.110%, 3/12/22 144A		435,000		443
Toyota Motor Credit Corp.
2.650%, 4/12/22		875,000		888
Volkswagen Group of America Finance LLC
3.875%, 11/13/20 144A		465,000		475
Total				14,506
Consumer, Non-cyclical (9.2%)
Abbott Laboratories
2.900%, 11/30/21		480,000		488
AbbVie, Inc.
2.300%, 5/14/21		375,000		374
2.900%, 11/6/22		365,000		367
3.200%, 11/6/22		85,000		86
Altria Group, Inc.
3.490%, 2/14/22		240,000		247
3.800%, 2/14/24		620,000		646
AmerisourceBergen Corp.
3.500%, 11/15/21		305,000		311
Anthem, Inc.
2.250%, 8/15/19		500,000		500
2.500%, 11/21/20		105,000		105
BAT Capital Corp.
2.297%, 8/14/20 b		1,210,000		1,207
2.764%, 8/15/22		535,000		536
Baxalta, Inc.
3.600%, 6/23/22		125,000		128
Bayer US Finance II LLC
2.979%, (ICE LIBOR USD 3 Month plus 0.630%), 6/25/21 144A		580,000		576
3.500%, 6/25/21 144A		310,000		314

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Bayer US Finance LLC
2.375%, 10/8/19 144A		440,000		440
Becton Dickinson and Co.
2.894%, 6/6/22		345,000		349
Biogen, Inc.
2.900%, 9/15/20		230,000		231
Bristol-Myers Squibb Co.
2.600%, 5/16/22 144A		210,000		213
2.900%, 7/26/24 144A		420,000		429
Bunge, Ltd. Finance Corp.
3.000%, 9/25/22		195,000		196
3.500%, 11/24/20 b		1,210,000		1,221
Campbell Soup Co.
2.910%, (ICE LIBOR USD 3 Month plus 0.500%), 3/16/20		475,000		475
Celgene Corp.
2.750%, 2/15/23		300,000		303
2.875%, 8/15/20		567,000		570
2.875%, 2/19/21		548,000		552
3.250%, 2/20/23		95,000		97
3.550%, 8/15/22		300,000		311
3.625%, 5/15/24		80,000		84
Conagra Brands, Inc.
3.342%, (ICE LIBOR USD 3 Month plus 0.750%), 10/22/20		215,000		215
CVS Health Corp.
3.083%, (ICE LIBOR USD 3 Month plus 0.630%), 3/9/20		295,000		296
3.125%, 3/9/20		390,000		392
3.173%, (ICE LIBOR USD 3 Month plus 0.720%), 3/9/21		320,000		322
3.350%, 3/9/21		960,000		973
3.700%, 3/9/23		435,000		449
Danone SA
1.691%, 10/30/19 144A b		1,070,000		1,067
Elanco Animal Health, Inc.
3.912%, 8/27/21		250,000		255
EMD Finance LLC
2.400%, 3/19/20 144A		460,000		460
2.950%, 3/19/22 144A		190,000		192
Equifax, Inc.
2.300%, 6/1/21		465,000		462
3.388%, (ICE LIBOR USD 3 Month plus 0.870%), 8/15/21		285,000		284
3.600%, 8/15/21		275,000		280
ERAC USA Finance LLC
2.350%, 10/15/19 144A		110,000		110
Express Scripts Holding Co.
3.274%, (ICE LIBOR USD 3 Month plus 0.750%), 11/30/20		750,000		750
General Mills, Inc.
3.141%, (ICE LIBOR USD 3 Month plus 0.540%), 4/16/21		465,000		465
Halfmoon Parent, Inc.
3.060%, (ICE LIBOR USD 3 Month plus 0.650%), 9/17/21 144A		315,000		315
3.400%, 9/17/21 144A		175,000		178
3.750%, 7/15/23 144A		330,000		343
HCA, Inc.
6.500%, 2/15/20		725,000		742

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

80

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Humana, Inc.
2.625%, 10/1/19		190,000		190
2.900%, 12/15/22		80,000		81
3.150%, 12/1/22		150,000		153
3.850%, 10/1/24		30,000		31
Imperial Brands Finance PLC
2.950%, 7/21/20 144A		945,000		948
Johnson & Johnson
1.950%, 11/10/20		225,000		225
Keurig Dr. Pepper, Inc.
3.551%, 5/25/21		465,000		475
The Kroger Co.
1.500%, 9/30/19		272,000		271
Life Technologies Corp.
5.000%, 1/15/21 b		1,368,000		1,411
McKesson Corp.
3.650%, 11/30/20		650,000		660
Medco Health Solutions, Inc.
4.125%, 9/15/20		325,000		331
Molson Coors Brewing Co. - Class B
2.250%, 3/15/20		430,000		429
Pernod-Ricard SA
4.450%, 1/15/22 144A		535,000		560
Perrigo Finance Unlimited Co.
3.500%, 12/15/21		200,000		199
Reynolds American, Inc.
3.250%, 6/12/20		145,000		146
Shire Acquisitions Investments Ireland DAC
1.900%, 9/23/19 b		2,120,000		2,117
2.875%, 9/23/23		55,000		56
Takeda Pharmaceutical Co., Ltd.
3.800%, 11/26/20 144A		385,000		392
Teva Pharmaceutical Finance Netherlands III BV
1.700%, 7/19/19 b		1,055,000		1,052
Tyson Foods, Inc.
2.250%, 8/23/21		280,000		279
Watson Pharmaceuticals, Inc.
3.250%, 10/1/22		80,000		81
Total				29,993
Energy (3.1%)
Cenovus Energy, Inc.
3.000%, 8/15/22		550,000		552
5.700%, 10/15/19		601,923		607
China Shenhua Overseas Capital Co., Ltd.
3.125%, 1/20/20 144A §		785,000		786
Columbia Pipeline Group, Inc.
3.300%, 6/1/20		535,000		539
Energy Transfer Operating LP
4.250%, 3/15/23		310,000		323
Eni SpA
4.000%, 9/12/23 144A		200,000		208
Enterprise Products Operating LLC
2.800%, 2/15/21		480,000		483
3.500%, 2/1/22		500,000		513
Exxon Mobil Corp.
2.844%, (ICE LIBOR USD 3 Month plus 0.370%), 3/6/22 b		1,110,000		1,116
Marathon Oil Corp.
2.700%, 6/1/20		240,000		240

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Energy continued
Phillips 66
3.121%, (ICE LIBOR USD 3 Month plus 0.600%), 2/26/21		335,000		335
Plains All American Pipeline LP / PAA Finance Corp.
2.600%, 12/15/19		170,000		170
5.000%, 2/1/21		220,000		227
5.750%, 1/15/20		205,000		208
Sabine Pass Liquefaction LLC
5.625%, 2/1/21 b		1,220,000		1,267
Saudi Arabian Oil Co.
2.750%, 4/16/22 144A		805,000		812
Schlumberger Holdings Corp.
3.750%, 5/1/24 144A		295,000		308
Williams Partners LP
3.350%, 8/15/22		95,000		97
5.250%, 3/15/20 b		1,230,000		1,253
Total				10,044
Financial (16.2%)
ABN AMRO Bank NV
3.091%, (ICE LIBOR USD 3 Month plus 0.570%), 8/27/21 144A		760,000		763
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.950%, 2/1/22		475,000		489
4.450%, 12/16/21		455,000		472
4.625%, 10/30/20		300,000		308
AIA Group, Ltd.
2.907%, (ICE LIBOR USD 3 Month plus 0.520%), 9/20/21 144A		765,000		764
AIG Global Funding
3.350%, 6/25/21 144A		365,000		371
Air Lease Corp.
2.125%, 1/15/20		570,000		569
2.500%, 3/1/21		135,000		135
3.500%, 1/15/22		265,000		271
American Campus Communities Operating Partnership LP
3.350%, 10/1/20		519,000		524
American Express Co.
3.000%, 2/22/21		520,000		526
American Express Credit Corp.
2.200%, 3/3/20		700,000		699
2.375%, 5/26/20		110,000		110
American International Group, Inc.
4.875%, 6/1/22		335,000		359
6.400%, 12/15/20		175,000		185
ANZ New Zealand International, Ltd.
2.200%, 7/17/20 144A		380,000		380
Aon Corp.
5.000%, 9/30/20		60,000		62
Aon PLC
2.800%, 3/15/21		570,000		574
Banco de Credito del Peru
2.250%, 10/25/19 144A		200,000		199
Banco Santander Chile
2.500%, 12/15/20 144A		860,000		861
Banco Santander SA
3.724%, (ICE LIBOR USD 3 Month plus 1.120%), 4/12/23		400,000		398

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

81

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
Bank of America Corp.
2.503%, 10/21/22		280,000		281
2.625%, 4/19/21		315,000		317
2.972%, (ICE LIBOR USD 3 Month plus 0.380%), 1/23/22		395,000		394
2.999%, (ICE LIBOR USD 3 Month plus 0.650%), 6/25/22		410,000		411
3.752%, (ICE LIBOR USD 3 Month plus 1.160%), 1/20/23		665,000		672
Bank of Montreal
3.057%, (ICE LIBOR USD 3 Month plus 0.460%), 4/13/21		430,000		432
Barclays Bank PLC
2.650%, 1/11/21		445,000		446
Barclays PLC
2.750%, 11/8/19		920,000		919
4.209%, (ICE LIBOR USD 3 Month plus 1.625%), 1/10/23		290,000		291
BB&T Corp.
2.150%, 2/1/21		550,000		549
BPCE SA
2.500%, 7/15/19		295,000		295
3.743%, (ICE LIBOR USD 3 Month plus 1.220%), 5/22/22 144A		280,000		283
Brixmor Operating Partnership LP
3.875%, 8/15/22		80,000		82
Capital One Bank USA NA
8.800%, 7/15/19		250,000		251
Capital One Financial Corp.
2.400%, 10/30/20		300,000		300
2.500%, 5/12/20		170,000		170
3.900%, 1/29/24		240,000		252
Capital One NA
2.350%, 1/31/20		955,000		955
The Charles Schwab Corp.
2.842%, (ICE LIBOR USD 3 Month plus 0.320%), 5/21/21		470,000		471
Citibank NA
2.125%, 10/20/20		405,000		404
2.844%, (ICE LIBOR USD 3 Month plus 0.596%), 5/20/22		620,000		625
Citigroup, Inc.
2.700%, 3/30/21		35,000		35
2.900%, 12/8/21		675,000		682
3.374%, (ICE LIBOR USD 3 Month plus 0.790%), 1/10/20		680,000		682
Citizens Bank NA
2.250%, 3/2/20		565,000		564
2.250%, 10/30/20		250,000		249
2.550%, 5/13/21		250,000		251
3.250%, 2/14/22		290,000		296
Citizens Financial Group, Inc.
2.375%, 7/28/21		35,000		35
Cooperatieve Rabobank UA
3.950%, 11/9/22		645,000		669
Credit Agricole SA
3.601%, (ICE LIBOR USD 3 Month plus 1.020%), 4/24/23 144A		315,000		314
The Credit Mutuel-CM11 Group
2.200%, 7/20/20 144A		435,000		434

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
Credit Suisse AG
5.400%, 1/14/20		150,000		152
Credit Suisse Group Funding Guernsey, Ltd.
2.750%, 3/26/20		500,000		501
Crown Castle International Corp.
2.250%, 9/1/21		195,000		194
3.400%, 2/15/21		385,000		390
Danske Bank A/S
2.200%, 3/2/20 144A		820,000		817
Deutsche Bank AG
3.855%, (ICE LIBOR USD 3 Month plus 1.290%), 2/4/21		405,000		402
Discover Bank
3.100%, 6/4/20 b		1,025,000		1,030
7.000%, 4/15/20 b		1,000,000		1,034
First Niagara Financial Group, Inc.
7.250%, 12/15/21		245,000		272
GE Capital International Funding Co. Unlimited Co.
2.342%, 11/15/20 b		1,920,000		1,911
GLP Capital LP / GLP Financing II, Inc.
4.875%, 11/1/20		465,000		473
The Goldman Sachs Group, Inc.
2.300%, 12/13/19		370,000		370
2.750%, 9/15/20		95,000		95
3.363%, (ICE LIBOR USD 3 Month plus 0.780%), 10/31/22		330,000		330
3.696%, (ICE LIBOR USD 3 Month plus 1.110%), 4/26/22		520,000		524
5.375%, 3/15/20		195,000		199
5.750%, 1/24/22		370,000		400
6.000%, 6/15/20		60,000		62
HCP, Inc.
2.625%, 2/1/20		60,000		60
Highwoods Realty LP
3.625%, 1/15/23		240,000		245
HSBC Holdings PLC
3.086%, (ICE LIBOR USD 3 Month plus 0.650%), 9/11/21		320,000		320
3.120%, (ICE LIBOR USD 3 Month plus 0.600%), 5/18/21		545,000		545
HSBC USA, Inc.
2.350%, 3/5/20		465,000		465
ING Groep NV
3.751%, (ICE LIBOR USD 3 Month plus 1.150%), 3/29/22		335,000		339
JPMorgan Chase & Co.
3.003%, (ICE LIBOR USD 3 Month plus 0.550%), 3/9/21		675,000		676
4.250%, 10/15/20		200,000		205
4.400%, 7/22/20		105,000		107
4.950%, 3/25/20		150,000		153
JPMorgan Chase Bank NA
2.604%, (ICE LIBOR USD 3 Month plus 0.280%), 2/1/21		250,000		250
Lincoln National Corp.
4.000%, 9/1/23		130,000		137
Marsh & McLennan Cos., Inc.
3.500%, 12/29/20		370,000		376
3.875%, 3/15/24		345,000		366

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

82

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
Mitsubishi UFJ Financial Group, Inc.
3.218%, 3/7/22		535,000		546
3.236%, (ICE LIBOR USD 3 Month plus 0.650%), 7/26/21		193,000		194
3.443%, (ICE LIBOR USD 3 Month plus 0.920%), 2/22/22		390,000		393
3.446%, (ICE LIBOR USD 3 Month plus 0.860%), 7/26/23		320,000		320
Morgan Stanley
2.750%, 5/19/22		270,000		273
3.095%, (ICE LIBOR USD 3 Month plus 0.550%), 2/10/21		595,000		596
5.500%, 1/26/20		240,000		244
5.500%, 7/24/20		235,000		243
New York Life Global Funding
2.885%, (ICE LIBOR USD 3 Month plus 0.320%), 8/6/21 144A		585,000		586
PNC Bank NA
2.450%, 11/5/20		425,000		426
Principal Life Global Funding II
2.200%, 4/8/20 144A		445,000		444
Regions Bank
2.972%, (ICE LIBOR USD 3 Month plus 0.380%), 4/1/21		650,000		648
3.035%, (ICE LIBOR USD 3 Month plus 0.500%), 8/13/21		250,000		250
Reinsurance Group of America, Inc.
5.000%, 6/1/21		60,000		63
6.450%, 11/15/19		540,000		548
Royal Bank of Scotland Group PLC
6.400%, 10/21/19		140,000		142
Santander UK Group Holdings PLC
2.875%, 10/16/20		145,000		145
Santander UK PLC
2.125%, 11/3/20		430,000		428
Standard Chartered PLC
2.100%, 8/19/19 144A		200,000		200
2.400%, 9/8/19 144A		200,000		200
3.742%, (ICE LIBOR USD 3 Month plus 1.150%), 1/20/23 144A		435,000		434
Sumitomo Mitsui Banking Corp.
2.514%, 1/17/20		730,000		731
Sumitomo Mitsui Trust Holdings
1.950%, 9/19/19 144A		290,000		290
SunTrust Bank
2.590%, (ICE LIBOR USD 3 Month plus 0.298%), 1/29/21		720,000		721
2.800%, 5/17/22		480,000		486
Svenska Handelsbanken AB
3.350%, 5/24/21		525,000		535
Swedbank AB
2.650%, 3/10/21 144A		610,000		610
Synchrony Financial
2.700%, 2/3/20 b		1,540,000		1,540
The Toronto-Dominion Bank
2.820%, (ICE LIBOR USD 3 Month plus 0.240%), 1/25/21		755,000		756
Trininty Acquisition PLC
3.500%, 9/15/21		315,000		320

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Financial continued
U.S. Bank NA
2.906%, (ICE LIBOR USD 3 Month plus 0.320%), 4/26/21		720,000		721
UBS Group Funding AG
3.744%, (ICE LIBOR USD 3 Month plus 1.220%), 5/23/23 144A		415,000		419
UBS Group Funding Jersey, Ltd.
2.950%, 9/24/20 144A		255,000		257
3.000%, 4/15/21 144A		385,000		388
UNUM Group
3.000%, 5/15/21		620,000		623
Ventas Realty LP
3.100%, 1/15/23		82,000		83
WEA Finance LLC / Westfield UK & Europe Finance PLC
2.700%, 9/17/19 144A		405,000		405
3.250%, 10/5/20 144A		240,000		242
Wells Fargo & Co.
2.550%, 12/7/20		45,000		45
Wells Fargo Bank NA
3.325%, (ICE LIBOR USD 3 Month plus 0.490%), 7/23/21		920,000		929
Total				52,854
Industrial (5.4%)
Avnet, Inc.
3.750%, 12/1/21		250,000		255
Avolon Holdings Funding, Ltd.
3.625%, 5/1/22 144A		460,000		466
3.950%, 7/1/24 144A		130,000		133
Bohai Capital Holding Co., Ltd.
3.625%, 3/15/21 144A		690,000		696
Boral Finance, Ltd.
3.000%, 11/1/22 144A		65,000		65
Caterpillar Financial Services Corp.
2.752%, (ICE LIBOR USD 3 Month plus 0.280%), 9/7/21		285,000		285
2.950%, 2/26/22		495,000		505
CNH Industrial Capital LLC
3.875%, 10/15/21		460,000		469
4.375%, 11/6/20		895,000		911
DAE Funding LLC
4.000%, 8/1/20 144A		360,000		360
5.250%, 11/15/21 144A		305,000		317
Eastern Creation II Investment Holdings, Ltd.
2.750%, 9/26/20 144A §		645,000		645
GATX Corp.
2.500%, 7/30/19		315,000		315
2.600%, 3/30/20		690,000		689
General Dynamics Corp.
2.825%, (ICE LIBOR USD 3 Month plus 0.290%), 5/11/20		155,000		155
2.915%, (ICE LIBOR USD 3 Month plus 0.380%), 5/11/21		255,000		256
Harris Corp.
2.700%, 4/27/20		510,000		510
Jabil Circuit, Inc.
5.625%, 12/15/20		240,000		250
Kansas City Southern
2.350%, 5/15/20		915,000		913

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

83

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Industrial continued
Keysight Technologies, Inc.
3.300%, 10/30/19 b		1,735,000		1,737
Martin Marietta Materials, Inc.
2.887%, (ICE LIBOR USD 3 Month plus 0.500%), 12/20/19		295,000		295
3.173%, (ICE LIBOR USD 3 Month plus 0.650%), 5/22/20		150,000		150
Northrop Grumman Corp.
2.080%, 10/15/20		750,000		749
2.550%, 10/15/22		345,000		347
Packaging Corp. of America
2.450%, 12/15/20		270,000		270
Penske Truck Leasing Co. LP / PTL Finance Corp.
3.200%, 7/15/20 144A		795,000		799
3.300%, 4/1/21 144A		90,000		91
3.650%, 7/29/21 144A		180,000		184
Republic Services, Inc.
5.500%, 9/15/19		250,000		251
Rockwell Collins, Inc.
1.950%, 7/15/19		205,000		205
Roper Industries, Inc.
3.125%, 11/15/22		660,000		671
Roper Technologies, Inc.
3.000%, 12/15/20		785,000		790
3.650%, 9/15/23		125,000		130
SMBC Aviation Capital Finance DAC
3.550%, 4/15/24 144A		200,000		206
4.125%, 7/15/23 144A		200,000		209
Union Pacific Corp.
3.200%, 6/8/21		565,000		575
United Technologies Corp.
3.175%, (ICE LIBOR USD 3 Month plus 0.650%), 8/16/21		355,000		355
Vulcan Materials Co.
3.010%, (ICE LIBOR USD 3 Month plus 0.600%), 6/15/20		365,000		365
3.170%, (ICE LIBOR USD 3 Month plus 0.650%), 3/1/21		760,000		761
Waste Management, Inc.
2.950%, 6/15/24		200,000		206
Total				17,541
Real Estate (0.6%)
SBA Tower Trust
2.877%, 7/10/46 144A		155,000		155
2.898%, 10/15/44 144A		335,000		335
3.156%, 10/10/45 144A		635,000		636
3.168%, 4/9/47 144A		390,000		393
3.448%, 3/15/23 144A		415,000		427
Total				1,946
Technology (1.9%)
Broadcom Corp. / Broadcom Cayman Finance, Ltd.
2.375%, 1/15/20		750,000		749
3.000%, 1/15/22		700,000		703
DXC Technology Co.
3.470%, (ICE LIBOR USD 3 Month plus 0.950%), 3/1/21		677,000		677

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Technology continued
Fidelity National Information Services, Inc.
2.250%, 8/15/21		490,000		489
3.625%, 10/15/20		120,000		122
Fiserv, Inc.
2.750%, 7/1/24		800,000		805
Hewlett Packard Enterprise Co.
2.100%, 10/4/19 144A		280,000		279
International Business Machines Corp.
2.500%, 1/27/22		145,000		146
2.850%, 5/13/22		350,000		356
2.875%, 11/9/22		155,000		158
Microchip Technology, Inc.
3.922%, 6/1/21		395,000		402
NXP BV / NXP Funding LLC
4.125%, 6/1/21 144A		400,000		409
4.625%, 6/1/23 144A		310,000		327
Xerox Corp.
5.625%, 12/15/19		525,000		530
Total				6,152
Utilities (3.4%)
American Electric Power Co., Inc.
3.650%, 12/1/21		85,000		88
CenterPoint Energy Resources Corp.
4.500%, 1/15/21		295,000		303
CenterPoint Energy, Inc.
3.600%, 11/1/21		215,000		221
Dominion Energy, Inc.
2.579%, 7/1/20 b		1,145,000		1,143
Dominion Resources, Inc.
2.962%, 7/1/19		145,000		145
5.200%, 8/15/19		150,000		150
Duke Energy Corp.
3.550%, 9/15/21		155,000		158
Edison International
2.125%, 4/15/20		541,000		539
2.400%, 9/15/22		250,000		238
EDP Finance BV
4.125%, 1/15/20 144A		205,000		206
4.900%, 10/1/19 144A		810,000		814
Enel Finance International NV
2.875%, 5/25/22 144A		535,000		539
4.250%, 9/14/23 144A		400,000		420
ENN Energy Holdings, Ltd.
3.250%, 10/23/19 144A §		400,000		401
6.000%, 5/13/21 144A		200,000		211
Exelon Generation Co. LLC
2.950%, 1/15/20		415,000		416
5.200%, 10/1/19		21,000		21
FirstEnergy Corp.
2.850%, 7/15/22		320,000		324
NextEra Energy Capital Holdings, Inc.
3.071%, (ICE LIBOR USD 3 Month plus 0.550%), 8/28/21		610,000		610
NRG Energy, Inc.
3.750%, 6/15/24 144A		270,000		277
PNM Resources, Inc.
3.250%, 3/9/21		465,000		469
San Diego Gas & Electric Co.
1.914%, 2/1/22		92,144		90

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

84

Short-Term Bond Portfolio

Corporate Bonds (50.6%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Sempra Energy
1.625%, 10/7/19		163,000		163
2.850%, 11/15/20		785,000		790
2.875%, 10/1/22		265,000		267
3.097%, (ICE LIBOR USD 3 Month plus 0.500%), 1/15/21		495,000		493
The Southern Co.
2.350%, 7/1/21		125,000		125
State Grid Overseas Investment 2016, Ltd.
2.250%, 5/4/20 144A b		1,030,000		1,028
Vistra Operations Co. LLC
3.550%, 7/15/24 144A		400,000		402
Total				11,051
Total Corporate Bonds (Cost: $163,815)				165,204
Governments (14.9%)
Governments (14.9%)
US Treasury
1.375%, 5/31/21 b		5,580,000		5,537
1.750%, 6/15/22 b		5,245,000		5,251
2.125%, 5/15/22 b		2,715,000		2,745
2.250%, 4/15/22 b		5,120,000		5,190
2.375%, 3/15/22 b		6,310,000		6,420
2.500%, 1/15/22 b		5,775,000		5,882
2.500%, 2/15/22 b		5,300,000		5,403
2.625%, 12/15/21 b		7,510,000		7,672
2.875%, 10/15/21 b		4,535,000		4,649
Total				48,749
Total Governments (Cost: $48,230)				48,749
Municipal Bonds (0.1%)
Municipal Bonds (0.1%)
Florida State Board of Administration Finance Corp.
2.163%, 7/1/19 RB		475,000		475
Total Municipal Bonds (Cost: $475)				475
Structured Products (33.8%)
Asset Backed Securities (17.1%)
Allegro CLO III, Ltd., Series 2015-1A, Class AR
3.420%, (ICE LIBOR USD 3 Month plus
0.840%), 7/25/27 144A		585,000		583
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		70
Ally Auto Receivables Trust, Series 2017-2, Class D
2.930%, 11/15/23		95,000		96
Ally Master Owner Trust, Series 2018-4, Class A
3.300%, 7/17/23		300,000		306
AmeriCredit Automobile Receivables Trust, Series 2015-2, Class D
3.000%, 6/8/21		245,000		245

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
AmeriCredit Automobile Receivables Trust, Series 2015-3, Class D
3.340%, 8/8/21		310,000		311
AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C
2.890%, 1/10/22 b		1,120,000		1,122
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class D
2.710%, 9/8/22		380,000		381
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class A3
1.530%, 7/8/21		83,798		84
Americredit Automobile Receivables Trust, Series 2016-4, Class D
2.740%, 12/8/22		510,000		512
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C
2.710%, 8/18/22		175,000		176
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class D
3.130%, 1/18/23		620,000		627
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class B
2.240%, 6/19/23		185,000		185
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C
2.690%, 6/19/23		195,000		196
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class D
3.820%, 3/18/24		790,000		812
Americredit Automobile Receivables Trust, Series 2018-3, Class A3
3.380%, 7/18/23		760,000		775
Applebee’s Funding LLC / IHOP Funding LLC,
Series 2019-1A, Class A2I
4.194%, 6/7/49 144A		410,000		414
ARI Fleet Lease Trust, Series 2017-A, Class A2
1.910%, 4/15/26 144A		45,886		46
ARI Fleet Lease Trust, Series 2017-A, Class A3
2.280%, 4/15/26 144A		700,000		700
ARI Fleet Lease Trust, Series 2018-A, Class A2
2.550%, 10/15/26 144A		297,354		298
Ascentium Equipment Receivables Trust LLC,
Series 2017-1A, Class A3
2.290%, 6/10/21 144A		116,595		117
Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A
2.460%, 7/20/20 144A		25,833		26
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A
2.500%, 2/20/21 144A b		1,155,000		1,154
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A
2.500%, 7/20/21 144A		415,000		415
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A
2.990%, 6/20/22 144A		440,000		445

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

85

Short-Term Bond Portfolio

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A
2.970%, 3/20/24 144A		425,000		431
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class B
3.700%, 3/20/23 144A		120,000		123
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A
3.350%, 9/20/25 144A		340,000		350
Babson CLO, Ltd., Series 2017-IA, Class AR
3.392%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A		730,000		727
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A
3.500%, (AFC), 1/28/58 144A		618,055		630
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A
3.500%, (AFC), 6/28/57 144A		534,495		544
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A
3.500%, (AFC), 1/28/55 144A		185,609		189
BlueMountain CLO, Series 2015-2, Class A
3.531%, (ICE LIBOR USD 3 Month plus 0.930%), 7/18/27 144A		750,000		747
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A
3.280%, 9/26/33 144A		186,696		190
California Republic Auto Receivables Trust, Series 2015-1, Class B
2.510%, 2/16/21		116,647		117
Capital Auto Receivables Asset Trust, Series 2016-2, Class A4
1.630%, 1/20/21		73,902		74
Capital Auto Receivables Asset Trust, Series 2017-1, Class B
2.430%, 5/20/22 144A		70,000		70
Capital Auto Receivables Asset Trust, Series 2017-1, Class C
2.700%, 9/20/22 144A		115,000		115
Capital Auto Receivables Asset Trust, Series 2018-1, Class D
3.700%, 6/20/25 144A		575,000		583
Capital Auto Receivables Asset Trust, Series 2018-2, Class B
3.480%, 10/20/23 144A		180,000		183
Capital Auto Receivables Asset Trust, Series 2018-2, Class C
3.690%, 12/20/23 144A		225,000		228
Carlyle Global Market Strategies, Series 2015-1A, Class AR
3.592%, (ICE LIBOR USD 3 Month plus 1.000%), 4/20/27 144A		425,000		425
Carlyle Global Market Strategies, Series 2015-3A, Class A1R
3.582%, (ICE LIBOR USD 3 Month plus 1.000%), 7/28/28 144A		760,000		759
CarMax Auto Owner Trust, Series 2015-3, Class D
3.270%, 3/15/22		220,000		220

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
CarMax Auto Owner Trust, Series 2015-4, Class D
3.000%, 5/16/22		110,000		110
CarMax Auto Owner Trust, Series 2016-2, Class A3
1.520%, 2/16/21		59,000		59
CarMax Auto Owner Trust, Series 2016-4, Class A3
1.400%, 8/15/21		192,837		192
CarMax Auto Owner Trust, Series 2017-4, Class C
2.700%, 10/16/23		95,000		95
CCG Receivables Trust, Series 2016-1, Class A2
1.690%, 9/14/22 144A		14,769		15
CCG Receivables Trust, Series 2017-1, Class A2
1.840%, 11/14/23 144A		82,728		83
Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A3
1.640%, 7/15/21 144A		23,859		24
CNH Equipment Trust, Series 2015-C, Class B
2.400%, 2/15/23		570,000		569
Cole Park CLO, Ltd., Series 2015-1A, Class AR
3.642%, (ICE LIBOR USD 3 Month plus 1.050%), 10/20/28 144A		760,000		760
Elara HGV Timeshare Issuer, Series 2017-A, Class A
2.690%, 3/25/30 144A		119,810		120
Enterprise Fleet Financing LLC, Series 2016-2, Class A2
1.740%, 2/22/22 144A		38,947		39
Enterprise Fleet Financing LLC, Series 2017-1, Class A2
2.130%, 7/20/22 144A		61,596		61
Enterprise Fleet Financing LLC, Series 2017-2, Class A2
1.970%, 1/20/23 144A		70,031		70
Enterprise Fleet Financing LLC, Series 2017-3, Class A2
2.130%, 5/22/23 144A		400,629		400
Enterprise Fleet Financing LLC, Series 2017-3, Class A3
2.360%, 5/20/23 144A		195,000		194
Enterprise Fleet Financing LLC, Series 2018-1, Class A2
2.870%, 10/20/23 144A		264,926		266
Enterprise Fleet Financing LLC, Series 2018-2, Class A2
3.140%, 2/20/24 144A		396,763		400
Enterprise Fleet Financing LLC, Series 2019-1, Class A2
2.980%, 10/22/24 144A		270,000		273
Ford Credit Floorplan Master Owner Trust A, Series 2016-3, Class B
1.750%, 7/15/21		190,000		190
Ford Credit Floorplan Master Owner Trust A, Series 2017-2, Class B
2.340%, 9/15/22 b		1,265,000		1,263

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

86

Short-Term Bond Portfolio

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Ford Credit Floorplan Master Owner Trust, Series 2016-5, Class B
2.160%, 11/15/21		410,000		409
GM Financial Automobile Leasing Trust, Series 2017-1, Class A4
2.260%, 8/20/20		75,000		75
GM Financial Automobile Leasing Trust, Series 2017-3, Class A4
2.120%, 9/20/21		115,000		115
GM Financial Automobile Leasing Trust, Series 2017-3, Class C
2.730%, 9/20/21		140,000		140
GM Financial Automobile Leasing Trust, Series 2018-1, Class C
3.110%, 12/20/21		200,000		201
GM Financial Automobile Leasing Trust, Series 2018-1, Class D
3.370%, 10/20/22		480,000		483
GM Financial Automobile Leasing Trust, Series 2018-2, Class A
3.500%, 4/20/22		220,000		223
GM Financial Automobile Leasing Trust, Series 2019-1, Class C
3.560%, 12/20/22		400,000		408
GM Financial Securitized Term, Series 2017- 3A, Class C
2.520%, 3/16/23 144A		475,000		476
GMF Floorplan Owner Revolving Trust, Series 2017-1, Class C
2.970%, 1/18/22 144A		260,000		261
GMF Floorplan Owner Revolving Trust, Series 2017-2, Class C
2.630%, 7/15/22 144A		170,000		170
GMF Floorplan Owner Revolving Trust, Series 2017-3, Class B
2.260%, 8/16/21 144A		715,000		714
GMF Floorplan Owner Revolving Trust, Series 2017-3, Class C
2.460%, 8/16/21 144A		855,000		855
GMF Floorplan Owner Revolving Trust, Series 2018-4, Class A1
3.500%, 9/15/23 144A		670,000		688
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A
2.700%, 4/15/24 144A		355,000		359
Golub Capital Partners CLO, Series 2018- 39A, Class A1
3.742%, (ICE LIBOR USD 3 Month plus 1.150%), 10/20/28 144A		440,000		440
GreatAmerica Leasing Receivables Funding LLC, Series 2017-1, Class A3
2.060%, 6/22/20 144A		36,721		37
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A3
2.600%, 6/15/21 144A		185,000		186
Halcyon Loan Advisors Funding, Ltd., Series 2014-3A, Class B1R
3.060%, (ICE LIBOR USD 3 Month plus 1.700%), 10/22/25 144A		345,000		345
Hardee’s Funding LLC, Series 1A, Class AI
4.250%, 6/21/48 144A		437,000		446

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Hilton Grand Vacations Trust, Series 2017-AA, Class A
2.660%, 12/26/28 144A		88,156		89
Hilton Grand Vacations Trust, Series 2017-AA, Class B
2.960%, (EXE), 12/26/28 144A		50,375		51
Huntington Auto Trust, Series 2016-1, Class A4
1.930%, 4/15/22		325,000		324
Hyundai Auto Lease Securitization Trust, Series 2017-B, Class A3
1.970%, 7/15/20 144A		322,824		323
Hyundai Auto Receivables Trust, Series 2017-A, Class B
2.380%, 4/17/23		150,000		150
Hyundai Auto Receivables Trust, Series 2019-A, Class B
2.940%, 5/15/25		325,000		330
KKR Financial CLO, Ltd., Series 2013, Class A1R
3.401%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A		755,000		750
Kubota Credit Owner Trust, Series 2016-1A, Class A3
1.500%, 7/15/20 144A		117,979		118
Madison Park Funding, Ltd., Series 2015-18A, Class A1R
3.782%, (ICE LIBOR USD 3 Month plus 1.190%), 10/21/30 144A		690,000		690
Magnetite XVI, Ltd., Series 2015-16A, Class AR
3.401%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A b		980,000		976
Mill City Mortgage Loan Trust, Series 2016-1, Class A1
2.500%, (AFC), 4/25/57 144A		63,310		63
Mill City Mortgage Loan Trust, Series 2017-2, Class A1
2.750%, (AFC), 7/25/59 144A		397,385		399
MVW Owner Trust, Series 2015-1A, Class A
2.520%, 12/20/32 144A		160,777		160
MVW Owner Trust, Series 2017-1A, Class A
2.420%, 12/20/34 144A		66,657		66
MVW Owner Trust, Series 2017-1A, Class B
2.750%, 12/20/34 144A		55,547		55
MVW Owner Trust, Series 2017-1A, Class C
2.990%, 12/20/34 144A		61,102		61
Navient Private Education Refi Loan Trust, Series 2019-C, Class A1
2.820%, 2/15/68 144A		790,000		795
Navient Student Loan Trust, Series 2018-A, Class A1
2.530%, 2/18/42 144A		268,682		269
Navient Student Loan Trust, Series 2019-2A, Class A1
2.674%, (ICE LIBOR USD 1 Month plus 0.270%), 2/27/68 144A		407,664		407
Neuberger Berman CLO, Ltd., Series 2015- 19A, Class A1R2
3.397%, (ICE LIBOR USD 3 Month plus 0.800%), 7/15/27 144A		740,000		739

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

87

Short-Term Bond Portfolio

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A
3.447%, (ICE LIBOR USD 3 Month plus 0.850%), 1/15/28 144A		440,000		439
Nissan Auto Lease Trust, Series 2017-B, Class A4
2.170%, 12/15/21		290,000		289
OCP CLO, Ltd., Series 2015-10A, Class A1R
3.406%, (ICE LIBOR USD 3 Month plus 0.820%), 10/26/27 144A		665,000		663
OZLM VIII, Ltd., Series 2014-8A, Class A1RR
3.758%, (ICE LIBOR USD 3 Month plus 1.170%), 10/17/29 144A		485,000		485
Planet Fitness Master Issuer L, Series 2018- 1A, Class A2I
4.262%, 9/5/48 144A		555,800		573
Santander Drive Auto Receivables Trust, Series 2015-3, Class D
3.490%, 5/17/21		313,285		314
Santander Drive Auto Receivables Trust, Series 2015-4, Class D
3.530%, 8/16/21		240,000		241
Santander Drive Auto Receivables Trust, Series 2015-5, Class D
3.650%, 12/15/21		336,650		338
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		256,018		256
Santander Drive Auto Receivables Trust, Series 2017-1, Class B
2.100%, 6/15/21		2,044		2
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		331,067		331
Santander Drive Auto Receivables Trust, Series 2018-1, Class C
2.960%, 3/15/24		120,000		121
Santander Drive Auto Receivables Trust, Series 2018-4, Class B
3.270%, 1/17/23		310,000		312
Santander Drive Auto Receivables Trust, Series 2018-5, Class B
3.520%, 12/15/22		375,000		378
Santander Drive Auto Receivables Trust, Series 2019-1, Class B
3.210%, 9/15/23		180,000		183
Santander Drive Auto Receivables Trust, Series 2019-2, Class B
2.790%, 1/16/24		275,000		277
Santander Retail Auto Lease Trust, Series 2017-A, Class C
2.960%, 11/21/22 144A		155,000		156
Santander Retail Auto Lease Trust, Series 2019-A, Class A3
2.770%, 6/20/22 144A		395,000		400

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A
2.400%, 3/22/32 144A		127,524		127
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class A
2.580%, 9/20/32 144A		122,923		123
Sierra Receivables Funding Co. LLC, Series 2016-3A, Class A
2.430%, 10/20/33 144A		156,789		156
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A
2.910%, 3/20/34 144A		45,581		46
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A
2.430%, 6/20/32 144A		64,116		64
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A
3.080%, 3/21/33 144A		170,911		172
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A
2.330%, 7/20/33 144A		47,955		48
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A
3.200%, 1/20/36 144A		239,015		245
SLM Private Education Loan Trust, Series 2013-A, Class B
2.500%, 3/15/47 144A		408,639		409
SLM Student Loan Trust, Series 2007-7, Class A4
2.910%, (ICE LIBOR USD 3 Month plus 0.330%), 1/25/22		214,567		210
SLM Student Loan Trust, Series 2008-1, Class A4
3.230%, (ICE LIBOR USD 3 Month plus 0.650%), 1/25/22		615,873		607
SLM Student Loan Trust, Series 2008-5, Class A4
4.280%, (ICE LIBOR USD 3 Month plus 1.700%), 7/25/23		96,632		98
SLM Student Loan Trust, Series 2008-9, Class A
4.080%, (ICE LIBOR USD 3 Month plus 1.500%), 4/25/23		70,773		72
SMB Private Education Loan Trust, Series 2014-A, Class A3
3.894%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A		665,000		675
SMB Private Education Loan Trust, Series 2015-A, Class A2B
3.394%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		157,416		158
SMB Private Education Loan Trust, Series 2016-C, Class A2B
3.494%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		589,059		592
SMB Private Education Loan Trust, Series 2018-B, Class A2B
3.114%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A		670,000		668

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

88

Short-Term Bond Portfolio

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Synchrony Card Funding LLC, Series 2019-A2, Class A
2.340%, 6/16/25		840,000		840
Synchrony Credit Card Master Note Trust, Series 2015-1, Class B
2.640%, 3/15/23		250,000		250
Synchrony Credit Card Master Note Trust, Series 2015-4, Class B
2.620%, 9/15/23		305,000		305
Synchrony Credit Card Master Note Trust, Series 2016-2, Class C
2.950%, 5/15/24		522,306		522
Synchrony Credit Card Master Note Trust, Series 2018-1, Class C
3.360%, 3/15/24		445,000		448
Towd Point Mortgage Trust, Series 2015-1, Class A1
3.000%, (AFC), 1/28/58 144A		204,486		207
Towd Point Mortgage Trust, Series 2015-4, Class A1B
2.750%, (AFC), 4/25/55 144A		160,990		161
Towd Point Mortgage Trust, Series 2015-5, Class A1B
2.750%, (AFC), 5/25/55 144A		161,948		162
Towd Point Mortgage Trust, Series 2016-1, Class A1B
2.750%, (AFC), 2/25/55 144A		81,906		82
Towd Point Mortgage Trust, Series 2016-1, Class A3B
3.000%, (AFC), 2/25/55 144A		116,328		117
Towd Point Mortgage Trust, Series 2016-2, Class A1A
2.750%, (AFC), 8/25/55 144A		83,219		84
Towd Point Mortgage Trust, Series 2016-3, Class A1
2.250%, (AFC), 4/25/56 144A		61,670		61
Towd Point Mortgage Trust, Series 2017-1, Class A1
2.750%, (AFC), 10/25/56 144A		329,074		330
Towd Point Mortgage Trust, Series 2017-2, Class A1
2.750%, (AFC), 4/25/57 144A		209,819		210
Towd Point Mortgage Trust, Series 2017-3, Class A1
2.750%, (AFC), 7/25/57 144A		464,948		466
Towd Point Mortgage Trust, Series 2017-4, Class A1
2.750%, (AFC), 6/25/57 144A		241,955		243
Towd Point Mortgage Trust, Series 2017-6, Class A1
2.750%, (AFC), 10/25/57 144A		881,061		888
Towd Point Mortgage Trust, Series 2018-2, Class A1
3.250%, (AFC), 3/25/58 144A b		1,108,090		1,126
Towd Point Mortgage Trust, Series 2018-5, Class A1A
3.250%, (AFC), 8/25/58 144A		820,477		834
Verizon Owner Trust, Series 2016-2A, Class C
2.360%, 5/20/21 144A		270,000		270

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Verizon Owner Trust, Series 2017-1A, Class C
2.650%, 9/20/21 144A		150,000		150
Verizon Owner Trust, Series 2017-3A, Class C
2.530%, 4/20/22 144A		550,000		551
Verizon Owner Trust, Series 2018-1A, Class C
3.200%, 9/20/22 144A		450,000		457
Volvo Financial Equipment LLC, Series 2018- 1A, Class B
2.910%, 1/17/23 144A		210,000		212
Volvo Financial Equipment Master Owner Trust, Series 2017-A, Class A
2.894%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/22 144A		115,000		115
World Omni Automobile Lease Securitization Trust, Series 2018-A, Class B
3.060%, 5/15/23		130,000		131
Total				55,955
Mortgage Securities (16.7%)
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1
3.628%, (AFC), 3/25/49 144A		495,746		502
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class M1
4.065%, (AFC), 3/25/49 144A		270,000		278
Atrium Hotel Portfolio Trust, Series 2017- ATRM, Class A
3.324%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A		520,000		520
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A
3.244%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		460,000		460
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class A1
1.957%, 2/15/50		92,423		92
BANK, Series 2017-BNK4, Class A1
2.002%, 5/15/50		372,227		371
BX Trust, Series 2018-IND, Class A
3.144%, (ICE LIBOR USD 1 Month plus 0.750%), 11/15/35 144A		393,880		394
CD Mortgage Trust, Series 2016-CD2, Class A1
1.848%, 11/10/49		449,660		447
CD Mortgage Trust, Series 2017-CD3, Class A1
1.965%, 2/10/50		92,335		92
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class A1
1.637%, 6/10/48		46,788		47
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A1
1.643%, 9/10/58		135,014		134
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A1
1.648%, 9/15/48		40,843		41

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

89

Short-Term Bond Portfolio

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
CLNS Trust, Series 2017-IKPR, Class A
3.212%, (ICE LIBOR USD 1 Month plus 0.800%), 6/11/32 144A		240,000		240
CLNS Trust, Series 2017-IKPR, Class B
3.412%, (ICE LIBOR USD 1 Month plus 1.000%), 6/11/32 144A		365,000		365
COLT Funding LLC, Series 2017-2, Class A1A
2.415%, (AFC), 10/25/47 144A		202,710		202
COLT Funding LLC, Series 2017-2, Class A2A
2.568%, (AFC), 10/25/47 144A		85,819		86
COLT Funding LLC, Series 2017-2, Class A3A
2.773%, (AFC), 10/25/47 144A		36,991		37
COLT Funding LLC, Series 2018-3, Class A2
3.763%, (AFC), 10/26/48 144A		206,697		210
COLT Mortgage Loan Trust, Series 2018-1, Class A1
2.930%, (AFC), 2/25/48 144A		81,688		82
COLT Mortgage Loan Trust, Series 2018-1, Class A3
3.084%, (AFC), 2/25/48 144A		36,309		36
COLT Mortgage Loan Trust, Series 2018-2, Class A1
3.470%, (AFC), 7/27/48 144A		618,002		620
COLT Mortgage Loan Trust, Series 2018-2, Class A2
3.542%, (AFC), 7/27/48 144A		224,963		226
COLT Mortgage Loan Trust, Series 2018-4, Class A1
4.006%, (AFC), 12/28/48 144A		441,301		449
COLT Mortgage Loan Trust, Series 2019-2, Class A1
3.337%, (AFC), 5/25/49 144A		356,573		362
COLT Mortgage Loan Trust, Series 2019-3, Class A1
2.695%, (AFC), 8/25/49 144A		815,000		815
Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A1
1.737%, 8/10/48		106,605		106
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2
3.221%, 10/10/48		605,000		610
Commercial Mortgage Pass Through Certificates, Series 2015-PC1, Class A1
1.667%, 7/10/50		33,395		33
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class A1
1.770%, 2/10/49		14,466		14
Commercial Mortgage Pass Through Certificates, Series 2017-COR2, Class A1
2.111%, 9/10/50		126,219		126
Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M1
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/31 144A		314,298		314
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class C
3.824%, (1 Month LIBOR plus 1.430%), 5/15/36 144A		515,000		516

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D
3.994%, (1 Month LIBOR plus 1.600%), 5/15/36 144A		405,000		406
CSAIL 2019 Commerical Mortgage Trust, Series C16, Class A1
2.360%, 6/15/52		295,000		296
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A1
1.684%, 4/15/50		4,041		4
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A1
1.716%, 8/15/48		68,997		69
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class A1
1.746%, 11/15/48		20,639		21
CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A1
2.024%, 9/15/50		71,769		71
Deephaven Residential Mortgage Trust, Series 2017-1A, Class A3
3.485%, (CSTR, AFC), 12/26/46 144A		42,205		42
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A1
2.577%, (CSTR, AFC), 10/25/47 144A		217,601		217
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A2
2.711%, (CSTR, AFC), 10/25/47 144A		36,267		36
Deephaven Residential Mortgage Trust, Series 2017-3A, Class A3
2.813%, (CSTR, AFC), 10/25/47 144A		36,267		36
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A1
2.976%, (AFC), 1/25/58 144A		192,690		193
Deephaven Residential Mortgage Trust, Series 2018-3A, Class A3
3.963%, (AFC), 8/25/58 144A		69,964		71
Deephaven Residential Mortgage Trust, Series 2019-1A, Class A1
3.743%, (AFC), 1/25/59 144A		579,198		586
Deephaven Residential Mortgage Trust, Series 2019-2A, Class A3
3.763%, (AFC), 4/25/59 144A		387,947		392
Deephaven Residential Mortgage Trust, Series 2019-2A, Class M1
3.921%, (AFC), 4/25/59 144A		195,000		199
FDIC Guaranteed Notes Trust, Series 2010- S2, Class 2A
2.570%, 7/29/47 144A		80,789		81
Federal Home Loan Bank
2.625%, 5/28/20 b		2,240,000		2,252
Federal Home Loan Mortgage Corp.
3.500%, 3/1/46		85,445		89
5.500%, 5/1/22		56,761		58
6.000%, 9/1/34		2,282		3
6.000%, 2/1/35		45,167		51
6.000%, 9/1/35		14,995		17
6.000%, 1/1/38		2,454		3

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

90

Short-Term Bond Portfolio

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2017-DNA1, Class M1
3.604%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/29		146,677		147
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1
3.604%, (ICE LIBOR USD 1 Month plus 1.200%), 10/25/29		512,585		516
Federal Home Loan Mortgage Corp., Series 2017-HQA1, Class M1
3.604%, (ICE LIBOR USD 1 Month plus 1.200%), 8/25/29		257,509		258
Federal Home Loan Mortgage Corp., Series 2017-HQA2, Class M1
3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/29		133,670		134
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1
3.858%, (CSTR), 5/25/47 144A		97,024		98
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class M1
3.982%, 9/25/47 144A		42,065		42
Federal Home Loan Mortgage Corp., Series 2018-DNA2, Class M1
3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/30 144A		875,798		877
Federal Home Loan Mortgage Corp., Series 2018-HQA2, Class M1
3.180%, (ICE LIBOR USD 1 Month plus 0.750%), 10/25/48 144A		430,000		431
Federal Home Loan Mortgage Corp., Series 2018-SPI2, Class M1
3.818%, 5/25/48 144A		172,485		173
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class M1
4.165%, 8/25/48 144A		169,736		172
Federal Home Loan Mortgage Corp., Series 3713, Class PA
2.000%, 2/15/40		295,743		296
Federal Home Loan Mortgage Corp., Series 3718, Class BC
2.000%, 2/15/25		196,099		196
Federal Home Loan Mortgage Corp., Series 4092, Class CL
1.250%, 6/15/27		893,813		868
Federal Home Loan Mortgage Corp., Series DNA3, Class M1
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 3/25/30		350,908		351
Federal National Mortgage Association
2.500%, 10/1/22		329,255		332
2.500%, 12/1/22		84,980		86
3.000%, 6/1/22		85,495		87
3.000%, 4/1/24		258,008		263
3.000%, 9/1/32		103,636		106
3.000%, 2/1/33		492,135		503
3.500%, 5/1/27		620,134		641
3.500%, 4/1/46		871,639		898
3.500%, 2/1/48		236,908		244
4.000%, 6/1/33		293,547		307
4.000%, 8/1/47		544,644		568

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
4.500%, 5/1/40		132,464		142
4.500%, 9/1/40		123,295		132
4.500%, 2/1/44		442,298		471
4.500%, 9/1/48		129,419		136
4.500%, 12/1/48 b		1,448,567		1,515
5.000%, 10/1/33		158,012		172
5.000%, 5/1/48		326,289		346
5.000%, 9/1/48		288,358		306
5.000%, 2/1/49		444,585		471
5.500%, 8/1/37		89,318		99
5.500%, 2/1/38		335,051		372
6.000%, 8/1/22		28,475		29
6.000%, 3/1/34		75,221		85
6.000%, 8/1/34		212,883		241
6.000%, 11/1/34		8,038		9
6.000%, 12/1/34		2,629		3
6.000%, 4/1/35		4,916		6
6.000%, 5/1/38		3,372		4
6.000%, 10/1/40		167,462		190
6.500%, 7/1/32		24,192		28
6.500%, 12/1/32		25,802		30
Federal National Mortgage Association TBA
3.500%, 7/17/33		315,000		325
4.000%, 7/1/44		280,000		289
5.000%, 7/1/39		300,000		317
Federal National Mortgage Association, Series 2010-95, Class BK
1.500%, 2/25/20		22,263		22
Federal National Mortgage Association, Series 2011-113, Class AG
2.500%, 11/25/26		172,175		172
Federal National Mortgage Association, Series 2013-74, Class AD
2.000%, 7/25/23		191,854		191
Federal National Mortgage Association, Series 2016-83, Class FA
2.904%, (1 Month LIBOR plus 0.500%), 11/25/46		295,261		296
Federal National Mortgage Association, Series 2016-85, Class FA
2.904%, (1 Month LIBOR plus 0.500%), 11/25/46		415,586		416
Federal National Mortgage Association, Series 2016-85, Class FG
2.904%, (1 Month LIBOR plus 0.500%), 11/25/46		454,794		456
Federal National Mortgage Association, Series 2017-90, Class KA
3.000%, 11/25/47		423,292		438
Federal National Mortgage Association, Series 2017-C01, Class 1M1
3.704%, (ICE LIBOR USD 1 Month plus 1.300%), 7/25/29		137,307		138
Federal National Mortgage Association, Series 2017-C02, Class 2M1
3.554%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/29		252,211		253
Federal National Mortgage Association, Series 2017-C03, Class 1M1
3.354%, (ICE LIBOR USD 1 Month plus 0.950%), 10/25/29		337,696		339

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

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Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2017-C04, Class 2M1
3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 11/25/29		225,110		225
Federal National Mortgage Association, Series 2017-C05, Class 1M1
2.954%, (ICE LIBOR USD 1 Month plus 0.550%), 1/25/30		256,988		257
Federal National Mortgage Association, Series 2017-C06, Class 1M1
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/30		221,945		222
Federal National Mortgage Association, Series 2017-C06, Class 2M1
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/30		89,027		89
Federal National Mortgage Association, Series 2018-44, Class PC
4.000%, 6/25/44 b		1,052,384		1,091
Federal National Mortgage Association, Series 2018-C02, Class 2M1
3.054%, (ICE LIBOR USD 1 Month plus 0.650%), 8/25/30		158,801		159
Federal National Mortgage Association, Series 2018-C03, Class 1M1
3.084%, (ICE LIBOR USD 1 Month plus 0.680%), 10/25/30		495,681		496
Federal National Mortgage Association, Series 2018-C05, Class 1M1
3.124%, (ICE LIBOR USD 1 Month plus 0.720%), 1/25/31		447,026		447
Galton Funding Mortgage Trust, Series 2018- 1, Class A33
3.500%, (AFC), 11/25/57 144A		302,299		303
Galton Funding Mortgage Trust, Series 2019- 1, Class A32
4.000%, (AFC), 2/25/59 144A		278,547		283
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.830%, (CSTR), 7/10/38		122,274		123
Government National Mortgage Association
3.500%, 12/20/42		8,425		9
3.500%, 9/20/43		122,368		127
4.000%, 12/20/48		58,544		61
4.500%, 1/20/49		303,220		317
4.500%, 4/20/49		279,643		292
5.000%, 3/20/34		450,951		485
5.000%, 1/20/48		145,691		152
5.000%, 2/20/48		811,875		855
5.000%, 8/20/48 b		1,463,020		1,531
5.000%, 12/20/48		141,383		148
5.500%, 6/20/37		103,896		114
5.500%, 9/15/45		313,920		352
5.500%, 3/20/48		94,533		100
Government National Mortgage Association, Series 2018-122, Class FE
2.683%, (1 Month LIBOR plus 0.300%), 9/20/48		124,557		124

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Government National Mortgage Association, Series 2019-21, Class FL
2.948%, (1 Month LIBOR plus 0.450%), 2/20/49		146,454		147
Government National Mortgage Association, Series 2019-23, Class NF
2.960%, (1 Month LIBOR plus 0.450%), 2/20/49		117,791		118
Great Wolf Trust, Series 2017-WOLF, Class A
3.244%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A		310,000		310
Great Wolf Trust, Series 2017-WOLF, Class C
3.714%, (ICE LIBOR USD 1 Month plus 1.320%), 9/15/34 144A		455,000		455
GS Mortgage Securities Corp. Trust, Series 2018-FBLU, Class A
3.344%, (ICE LIBOR USD 1 Month plus 0.950%), 11/15/35 144A		290,000		290
GS Mortgage Securities Corp. Trust, Series 2018-FBLU, Class D
4.394%, (ICE LIBOR USD 1 Month plus 2.000%), 11/15/35 144A		150,000		150
GS Mortgage Securities Trust, Series 2014- EB1A, Class 2A1
2.458%, (CSTR), 7/25/44 144A		41,793		42
GS Mortgage Securities Trust, Series 2015- GC28, Class A1
1.528%, 2/10/48		6,716		7
GS Mortgage Securities Trust, Series 2015- GC32, Class A1
1.593%, 7/10/48		36,807		37
GS Mortgage Securities Trust, Series 2016- GS3, Class A1
1.429%, 10/10/49		46,015		46
Homeward Opportunities Fund I Trust, Series 2018-1, Class A1
3.766%, (AFC), 6/25/48 144A		357,629		364
Homeward Opportunities Fund I Trust, Series 2018-1, Class A2
3.897%, (AFC), 6/25/48 144A		289,147		294
Homeward Opportunities Fund I Trust, Series 2019-1, Class A1
3.454%, (AFC), 1/25/59 144A		665,593		674
Homeward Opportunities Fund I Trust, Series 2019-1, Class A3
3.606%, (AFC), 1/25/59 144A		446,898		453
InTown Hotel Portfolio Trust, Series 2018- STAY, Class A
3.094%, (ICE LIBOR USD 1 Month plus 0.700%), 1/15/33 144A		115,000		115
InTown Hotel Portfolio Trust, Series 2018- STAY, Class C
3.644%, (ICE LIBOR USD 1 Month plus 1.250%), 1/15/33 144A		100,000		100
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A1
1.413%, 2/15/48		11,271		11
MetLife Securitization Trust, Series 2017-1A, Class A
3.000%, (AFC), 4/25/55 144A		233,320		235

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

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Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS
4.110%, (AFC), 10/15/47		185,000		197
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A1
1.706%, 5/15/48		95,212		95
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A1
1.389%, 9/15/49		80,017		79
Morgan Stanley Capital I Trust, Series 2015- MS1, Class A1
1.638%, 5/15/48		91,856		91
Morgan Stanley Capital I Trust, Series 2017-CLS, Class B
3.244%, (ICE LIBOR USD 1 Month plus 0.850%), 11/15/34 144A		365,000		364
Morgan Stanley Capital I Trust, Series 2017-CLS, Class C
3.394%, (ICE LIBOR USD 1 Month plus 1.000%), 11/15/34 144A		290,000		289
New Orleans Hotel Trust 2019, Series HNLA, Class B
3.683%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A		790,000		788
New Residential Funding LLC, Series 2018- NQM1, Class A1
3.986%, (AFC), 11/25/48 144A		623,511		635
New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A1
2.802%, (AFC), 7/25/49 144A		585,000		586
New Residential Mortgage Loan Trust, Series 2019-NQM3, Class A3
3.086%, (AFC), 7/25/49 144A		230,000		230
RETL, Series 2019-RVP, Class A
3.544%, (ICE LIBOR USD 1 Month plus 1.150%), 3/15/36 144A		244,462		245
Sequoia Mortgage Trust, Series 2018-CH1, Class A11
3.500%, (AFC), 2/25/48 144A		498,769		507
Sequoia Mortgage Trust, Series 2018-CH2, Class A3
4.000%, (AFC), 6/25/48 144A		674,389		693
Sequoia Mortgage Trust, Series 2018-CH3, Class A19
4.500%, (AFC), 8/25/48 144A		173,070		179
Sequoia Mortgage Trust, Series 2018-CH4, Class A2
4.000%, (AFC), 10/25/48 144A		303,302		314
Slide, Series 2018-FUN, Class D
4.244%, (ICE LIBOR USD 1 Month plus 1.850%), 6/15/31 144A		377,248		379
STACR Trust, Series 2018-DNA3, Class M1
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/48 144A		350,398		351
STACR Trust, Series 2018-HRP2, Class M1
3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 2/25/47 144A		129,278		129
STACR Trust, Series 2018-HRP2, Class M2
3.654%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A		340,000		342

Structured Products (33.8%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Starvest Emerging Markets CBO, Series 2019-IMC1, Class A1
3.468%, (AFC), 4/25/49 144A		330,248		335
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ
5.483%, (CSTR), 8/15/39		19,997		20
Verus Securitization Trust, Series 2018-1, Class A1
2.929%, (AFC), 2/25/48 144A		96,022		96
Verus Securitization Trust, Series 2018-2, Class A1
3.677%, (AFC), 6/1/58 144A		443,398		448
Verus Securitization Trust, Series 2018-2, Class A2
3.779%, (AFC), 6/1/58 144A		121,242		123
Verus Securitization Trust, Series 2018-2, Class A3
3.830%, (AFC), 6/1/58 144A		76,209		77
Verus Securitization Trust, Series 2018-3, Class A1
4.108%, (AFC), 10/25/58 144A		593,179		606
Verus Securitization Trust, Series 2019-1, Class A1
3.836%, (AFC), 2/25/59 144A		636,636		646
Verus Securitization Trust, Series 2019-2, Class A1
3.211%, (AFC), 4/25/59 144A		476,913		482
Verus Securitization Trust, Series 2019-INV1, Class A1
3.402%, (AFC), 12/25/59 144A		351,311		355
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		127,048		126
Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class A1
1.441%, 10/15/49		21,249		21
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A1
1.968%, 7/15/50		189,876		189
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A1
1.975%, 9/15/50		128,486		128
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class B
4.697%, 4/15/45		385,000		404
Total				54,342
Total Structured Products (Cost: $109,713)				110,297

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

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Short-Term Investments (0.6%)	Shares/ Par +		Value $ (000’s)
Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		2,069,884		2,070
Total				2,070
Total Short-Term Investments (Cost: $2,070)				2,070
Total Investments (100.0%) (Cost: $324,303)@				326,795
Other Assets, Less Liabilities (0.0%)				(23)
Net Assets (100.0%)				326,772

Exchange Traded or Centrally Cleared Derivatives Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Ten-Year US Treasury Note Future		Short		USD		3,600		36		9/19	$	4,607	$	(78	)	$	(1	)
Two-Year US Treasury Note Future		Long		USD		76,000		383		9/19		82,414		411			(15	)
													$	333		$	(16	)

Financial Derivative Assets

Financial Derivative Liabilities

Market Value

Variation Margin (000’s)

Variation Margin (000’s)

(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$

–

$

–

$

–

$

–

$

(16

)

$

(16

)

$

–

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $102,249 representing 31.3% of the net assets.

b Cash or securities with an aggregate value of $87,573 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2019, the aggregate value of these securities was $2,993 (in thousands), representing 0.9% of net assets.

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $324,303 and the net unrealized appreciation of investments based on that cost was $2,825 which is comprised of $3,167 aggregate gross unrealized appreciation and $342 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

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

94

Short-Term Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	—	$	475	$	—
Corporate Bonds		—		165,204		—
Governments		—		48,749		—
Structured Products		—		110,297		—
Short-Term Investments		2,070		—		—
Other Financial Instruments^
Futures		411		—		—
Total Assets:	$	2,481	$	324,725	$	—
Liabilities:
Other Financial Instruments^
Futures		(78)		—		—
Total Liabilities:	$	(78)	$	—	$	—

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

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

95

Select Bond Portfolio (unaudited)

    Sector Allocation 6/30/19

Sector	% of Net Assets
Structured Products	50.9%
Governments	29.5%
Corporate Bonds	24.1%
Short-Term Investments & Other Net Assets	2.2%
80	0.7%
Municipal Bonds	0.5%

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 asses 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 U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

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

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SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Basic Materials (0.7%)
Barrick North America Finance LLC
5.700%, 5/30/41		1,292,000		1,544
5.750%, 5/1/43		517,000		645
The Dow Chemical Co.
4.250%, 10/1/34		748,000		777
DowDuPont, Inc.
4.493%, 11/15/25		1,249,000		1,381
4.725%, 11/15/28		1,114,000		1,258
5.419%, 11/15/48		1,226,000		1,491
Huntsman International LLC
4.500%, 5/1/29		2,921,000		3,013
5.125%, 11/15/22		896,000		947
The Mosaic Co.
4.050%, 11/15/27		1,248,000		1,289
Southern Copper Corp.
3.875%, 4/23/25		1,234,000		1,281
5.875%, 4/23/45		1,399,000		1,646
Teck Resources, Ltd.
6.250%, 7/15/41		3,621,000		4,053
Westlake Chemical Corp.
3.600%, 8/15/26		1,106,000		1,123
5.000%, 8/15/46		455,000		471
Total				20,919
Communications (2.1%)
America Movil SAB de CV
3.625%, 4/22/29		1,436,000		1,487
4.375%, 4/22/49		1,125,000		1,210
AT&T, Inc.
3.400%, 5/15/25		2,177,000		2,237
3.800%, 2/15/27		868,000		902
4.300%, 2/15/30		757,000		808
4.350%, 3/1/29		1,661,000		1,782
4.850%, 3/1/39		1,069,000		1,147
5.150%, 2/15/50		1,964,000		2,162
5.250%, 3/1/37		636,000		713
5.350%, 12/15/43		534,000		586
5.375%, 10/15/41		855,000		949
5.450%, 3/1/47		770,000		884
5.700%, 3/1/57		637,000		749
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.464%, 7/23/22		1,047,000		1,100
Comcast Corp.
3.300%, 10/1/20		6,074,000		6,154
3.450%, 10/1/21		2,690,000		2,767
3.700%, 4/15/24		2,142,000		2,272
3.950%, 10/15/25		1,937,000		2,089
4.000%, 3/1/48		1,625,000		1,717
4.150%, 10/15/28		2,440,000		2,689
4.600%, 10/15/38		2,710,000		3,100
4.700%, 10/15/48		542,000		635
4.950%, 10/15/58		811,000		988
Discovery Communications LLC
4.125%, 5/15/29		1,500,000		1,554

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Communications continued
5.300%, 5/15/49		1,966,000		2,113
Fox Corp.
4.030%, 1/25/24 144A		1,141,000		1,213
4.709%, 1/25/29 144A		762,000		850
5.576%, 1/25/49 144A		1,221,000		1,488
Telefonica Emisiones SA
5.520%, 3/1/49		966,000		1,117
Time Warner Cable LLC
6.550%, 5/1/37		758,000		875
Verizon Communications, Inc.
4.016%, 12/3/29 144A		574,000		622
4.125%, 8/15/46		3,153,000		3,288
4.272%, 1/15/36		1,025,000		1,109
4.329%, 9/21/28		2,926,000		3,236
4.400%, 11/1/34		2,320,000		2,570
4.522%, 9/15/48		531,000		593
4.672%, 3/15/55		283,000		320
5.012%, 4/15/49		531,000		632
5.500%, 3/16/47		1,032,000		1,303
Viacom, Inc.
5.850%, 9/1/43		905,000		1,068
The Walt Disney Co.
4.125%, 6/1/44		543,000		617
4.950%, 10/15/45 144A		1,033,000		1,279
Total				64,974
Consumer, Cyclical (1.3%)
Costco Wholesale Corp.
2.750%, 5/18/24		2,774,000		2,848
3.000%, 5/18/27		3,665,000		3,794
Delta Air Lines, Inc.
4.375%, 4/19/28		744,000		758
Ford Motor Co.
4.750%, 1/15/43		4,707,000		4,096
Ford Motor Credit Co. LLC
3.815%, 11/2/27		1,015,000		972
5.113%, 5/3/29		1,108,000		1,133
General Motors Co.
5.950%, 4/1/49		2,828,000		2,970
The Home Depot, Inc.
4.500%, 12/6/48		1,604,000		1,893
Lowe’s Companies, Inc.
3.650%, 4/5/29		5,098,000		5,326
McDonald’s Corp.
4.450%, 9/1/48		1,152,000		1,262
Starbucks Corp.
3.750%, 12/1/47		375,000		368
3.800%, 8/15/25		114,000		121
4.450%, 8/15/49		534,000		584
4.500%, 11/15/48		1,176,000		1,290
Walmart, Inc.
3.250%, 7/8/29		2,894,000		3,051
3.550%, 6/26/25		2,810,000		3,001
3.700%, 6/26/28		5,584,000		6,095

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

97

Select Bond Portfolio

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
4.050%, 6/29/48		548,000		628
Total				40,190
Consumer, Non-cyclical (4.4%)
Abbott Laboratories
3.400%, 11/30/23		601,000		627
3.750%, 11/30/26		1,965,000		2,124
3.875%, 9/15/25		445,000		480
4.900%, 11/30/46		3,176,000		3,913
AbbVie, Inc.
2.500%, 5/14/20		4,119,000		4,118
4.250%, 11/14/28		806,000		861
4.875%, 11/14/48		623,000		655
Aetna, Inc.
3.875%, 8/15/47		867,000		783
Altria Group, Inc.
4.400%, 2/14/26		1,154,000		1,234
4.800%, 2/14/29		1,141,000		1,231
5.950%, 2/14/49		563,000		640
Anheuser-Busch InBev Worldwide, Inc.
3.650%, 2/1/26		2,231,000		2,346
4.150%, 1/23/25		3,366,000		3,643
4.900%, 1/23/31		1,906,000		2,204
4.900%, 2/1/46		4,065,000		4,518
5.550%, 1/23/49		1,278,000		1,558
BAT Capital Corp.
2.297%, 8/14/20		1,644,000		1,640
3.222%, 8/15/24		1,693,000		1,707
4.540%, 8/15/47		338,000		313
Becton Dickinson and Co.
2.404%, 6/5/20		3,607,000		3,604
3.363%, 6/6/24		1,216,000		1,255
3.700%, 6/6/27		1,183,000		1,236
3.734%, 12/15/24		2,872,000		3,011
4.685%, 12/15/44		1,338,000		1,488
Boston Scientific Corp.
3.750%, 3/1/26		1,772,000		1,884
4.000%, 3/1/28		1,060,000		1,139
4.000%, 3/1/29		1,306,000		1,412
4.700%, 3/1/49		1,180,000		1,353
Bristol-Myers Squibb Co.
2.600%, 5/16/22 144A		4,689,000		4,756
2.900%, 7/26/24 144A		2,556,000		2,612
3.200%, 6/15/26 144A		596,000		618
3.400%, 7/26/29 144A		2,738,000		2,864
4.125%, 6/15/39 144A		273,000		296
4.250%, 10/26/49 144A		215,000		237
Celgene Corp.
2.750%, 2/15/23		3,859,000		3,892
2.875%, 2/19/21		1,070,000		1,078
3.900%, 2/20/28		575,000		616
4.350%, 11/15/47		531,000		585
Constellation Brands, Inc.
3.200%, 2/15/23		539,000		551
3.500%, 5/9/27		770,000		790
3.600%, 2/15/28		1,702,000		1,754
3.700%, 12/6/26		909,000		951
4.400%, 11/15/25		165,000		180
CVS Health Corp.
3.700%, 3/9/23		1,101,000		1,137
4.000%, 12/5/23		1,613,000		1,687

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
4.100%, 3/25/25		2,382,000		2,511
4.300%, 3/25/28		2,529,000		2,665
4.780%, 3/25/38		1,175,000		1,225
5.050%, 3/25/48		413,000		439
Danone SA
2.589%, 11/2/23 144A		1,062,000		1,067
2.947%, 11/2/26 144A		7,635,000		7,617
Edwards Lifesciences Corp.
4.300%, 6/15/28		1,555,000		1,679
Gilead Sciences, Inc.
3.650%, 3/1/26		1,089,000		1,152
4.150%, 3/1/47		321,000		337
Halfmoon Parent, Inc.
3.400%, 9/17/21 144A		2,436,000		2,483
3.750%, 7/15/23 144A		3,006,000		3,128
4.375%, 10/15/28 144A		2,370,000		2,556
4.800%, 8/15/38 144A		236,000		254
4.900%, 12/15/48 144A		2,079,000		2,261
IHS Markit, Ltd.
3.625%, 5/1/24		753,000		776
Kraft Heinz Foods Co.
2.800%, 7/2/20		3,242,000		3,246
3.000%, 6/1/26		890,000		866
4.375%, 6/1/46		1,041,000		988
5.200%, 7/15/45		379,000		397
Mars, Inc.
4.125%, 4/1/54 144A		1,371,000		1,474
Merck & Co., Inc.
3.400%, 3/7/29		1,928,000		2,052
4.000%, 3/7/49		1,251,000		1,389
Nestle Holdings, Inc.
3.100%, 9/24/21 144A		1,242,000		1,267
3.350%, 9/24/23 144A		1,615,000		1,682
3.500%, 9/24/25 144A		2,556,000		2,712
3.900%, 9/24/38 144A		1,265,000		1,382
4.000%, 9/24/48 144A		449,000		497
Pfizer, Inc.
2.800%, 3/11/22		1,064,000		1,082
3.000%, 12/15/26		548,000		565
3.450%, 3/15/29		2,909,000		3,078
4.100%, 9/15/38		610,000		672
4.200%, 9/15/48		1,741,000		1,957
Reynolds American, Inc.
5.850%, 8/15/45		1,422,000		1,532
Sanofi
3.375%, 6/19/23		2,979,000		3,104
UnitedHealth Group, Inc.
3.500%, 2/15/24		1,800,000		1,886
3.700%, 12/15/25		1,199,000		1,276
4.450%, 12/15/48		896,000		1,026
Total				139,861
Energy (2.7%)
Anadarko Finance Co.
7.500%, 5/1/31		561,000		744
Anadarko Petroleum Corp.
4.850%, 3/15/21		970,000		1,004
6.600%, 3/15/46		569,000		739
Andeavor Logistics LP / Tesoro Logistics Finance Corp.
3.500%, 12/1/22		1,239,000		1,268

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

98

Select Bond Portfolio

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Energy continued
5.200%, 12/1/47		1,537,000		1,626
BP Capital Markets America, Inc.
3.410%, 2/11/26		2,952,000		3,092
3.796%, 9/21/25		3,251,000		3,467
3.937%, 9/21/28		6,675,000		7,267
Cimarex Energy Co.
4.375%, 3/15/29		3,170,000		3,364
Devon Energy Corp.
5.600%, 7/15/41		1,769,000		2,098
Ecopetrol SA
5.875%, 5/28/45		1,046,000		1,157
Enbridge, Inc.
2.900%, 7/15/22		2,298,000		2,331
Encana Corp.
6.500%, 2/1/38		1,109,000		1,344
6.625%, 8/15/37		1,003,000		1,243
Energy Transfer Operating LP
5.250%, 4/15/29		952,000		1,065
5.500%, 6/1/27		1,897,000		2,120
5.875%, 1/15/24		3,188,000		3,543
6.125%, 12/15/45		539,000		617
6.250%, 4/15/49		1,643,000		1,945
Enterprise Products Operating LLC
3.125%, 7/31/29		3,592,000		3,611
4.200%, 1/31/50		1,960,000		2,013
Hess Corp.
4.300%, 4/1/27		343,000		356
5.800%, 4/1/47		197,000		220
Kinder Morgan Energy Partners LP
5.500%, 3/1/44		784,000		885
6.950%, 1/15/38		539,000		691
7.300%, 8/15/33		169,000		223
Kinder Morgan, Inc.
5.000%, 2/15/21 144A		3,304,000		3,426
5.550%, 6/1/45		1,474,000		1,704
Marathon Oil Corp.
4.400%, 7/15/27		1,131,000		1,201
5.200%, 6/1/45		1,131,000		1,259
6.600%, 10/1/37		283,000		349
Marathon Petroleum Corp.
4.750%, 9/15/44		1,172,000		1,208
MPLX LP
4.125%, 3/1/27		1,300,000		1,360
4.700%, 4/15/48		499,000		510
5.500%, 2/15/49		1,444,000		1,634
Noble Energy, Inc.
5.050%, 11/15/44		1,524,000		1,619
Petroleos Mexicanos
2.460%, 12/15/25		4,172,350		4,216
6.350%, 2/12/48		4,110,000		3,528
6.750%, 9/21/47		2,051,000		1,826
Saudi Arabian Oil Co.
4.375%, 4/16/49 144A		2,787,000		2,823
Schlumberger Finance Canada, Ltd.
2.650%, 11/20/22 144A		2,169,000		2,185
Shell International Finance BV
3.250%, 5/11/25		2,298,000		2,403
Sunoco Logistics Partners Operations LP
5.300%, 4/1/44		1,386,000		1,432
5.400%, 10/1/47		531,000		564

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Energy continued
Western Gas Partners LP
5.500%, 8/15/48		1,128,000		1,069
The Williams Cos., Inc.
3.900%, 1/15/25		780,000		818
5.750%, 6/24/44		650,000		758
Total				83,925
Financial (7.7%)
American Express Co.
2.750%, 5/20/22		3,553,000		3,595
3.125%, 5/20/26		3,553,000		3,646
American International Group, Inc.
4.200%, 4/1/28		1,662,000		1,776
4.250%, 3/15/29		1,082,000		1,163
4.375%, 1/15/55		832,000		836
4.500%, 7/16/44		913,000		964
American Tower Corp.
3.800%, 8/15/29		5,478,000		5,646
Aon Corp.
3.750%, 5/2/29		1,304,000		1,360
Banco Santander SA
2.706%, 6/27/24		3,800,000		3,808
3.306%, 6/27/29		1,400,000		1,409
Bank of America Corp.
2.328%, (ICE LIBOR USD 3 Month plus 0.630%), 10/1/21		4,837,000		4,830
3.093%, (ICE LIBOR USD 3 Month plus 1.090%), 10/1/25		10,017,000		10,259
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		4,740,000		4,881
3.458%, (ICE LIBOR USD 3 Month plus 0.970%), 3/15/25		8,550,000		8,870
3.559%, (ICE LIBOR USD 3 Month plus 1.060%), 4/23/27		3,393,000		3,534
4.244%, (ICE LIBOR USD 3 Month plus 1.814%), 4/24/38		1,194,000		1,301
Barclays PLC
3.932%, (ICE LIBOR USD 3 Month plus 1.610%), 5/7/25		3,799,000		3,865
4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24		859,000		887
4.972%, (ICE LIBOR USD 3 Month plus 1.902%), 5/16/29		1,981,000		2,112
BB&T Corp.
3.050%, 6/20/22		3,758,000		3,840
3.875%, 3/19/29		2,328,000		2,489
Boston Properties LP
3.400%, 6/21/29		1,458,000		1,489
Canadian Imperial Bank of Commerce
3.100%, 4/2/24		6,007,000		6,139
Capital One Financial Corp.
3.300%, 10/30/24		1,661,000		1,703
The Charles Schwab Corp.
3.250%, 5/22/29		5,210,000		5,397
Citibank NA
2.844%, (ICE LIBOR USD 3 Month plus 0.596%), 5/20/22		6,499,000		6,549
Citigroup, Inc.
3.352%, (ICE LIBOR USD 3 Month plus 0.897%), 4/24/25		7,962,000		8,221

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

99

Select Bond Portfolio

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Financial continued
3.980%, (ICE LIBOR USD 3 Month plus 1.338%), 3/20/30		4,827,000		5,158
Credit Suisse Group AG
3.869%, (ICE LIBOR USD 3 Month plus 1.410%), 1/12/29 144A		1,376,000		1,418
4.282%, 1/9/28 144A		4,208,000		4,439
Danske Bank A/S
3.875%, 9/12/23 144A		2,449,000		2,495
5.375%, 1/12/24 144A		1,220,000		1,318
Enstar Group, Ltd.
4.950%, 6/1/29		1,420,000		1,440
GE Capital International Funding Co. Unlimited Co.
4.418%, 11/15/35		1,022,000		1,008
GLP Capital LP / GLP Financing II, Inc.
5.300%, 1/15/29		1,122,000		1,209
HSBC Holdings PLC
3.803%, (ICE LIBOR USD 3 Month plus 1.211%), 3/11/25		5,699,000		5,935
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30		4,661,000		4,863
JPMorgan Chase & Co.
3.207%, (ICE LIBOR USD 3 Month plus 0.695%), 4/1/23		6,964,000		7,104
3.220%, (ICE LIBOR USD 3 Month plus 1.155%), 3/1/25		626,000		644
3.702%, (ICE LIBOR USD 3 Month plus 1.160%), 5/6/30		542,000		571
3.882%, (ICE LIBOR USD 3 Month plus 1.360%), 7/24/38		3,918,000		4,103
4.005%, (ICE LIBOR USD 3 Month plus 1.120%), 4/23/29		2,146,000		2,314
4.023%, (ICE LIBOR USD 3 Month plus 1.000%), 12/5/24		1,053,000		1,118
Lazard Group LLC
4.375%, 3/11/29		339,000		358
4.500%, 9/19/28		2,219,000		2,362
Liberty Mutual Group, Inc.
4.500%, 6/15/49 144A		544,000		571
4.569%, 2/1/29 144A		3,019,000		3,317
Lloyds Banking Group PLC
3.900%, 3/12/24		2,569,000		2,679
Markel Corp.
5.000%, 5/20/49		1,625,000		1,769
Marsh & McLennan Cos., Inc.
4.375%, 3/15/29		868,000		959
Mastercard, Inc.
2.950%, 6/1/29		2,712,000		2,799
3.650%, 6/1/49		1,407,000		1,491
Mid-America Apartments LP
3.600%, 6/1/27		752,000		776
3.750%, 6/15/24		2,649,000		2,756
3.950%, 3/15/29		482,000		510
4.000%, 11/15/25		1,359,000		1,440
4.300%, 10/15/23		1,136,000		1,207
Mitsubishi UFJ Financial Group, Inc.
3.218%, 3/7/22		4,860,000		4,961
3.407%, 3/7/24		4,894,000		5,077
Morgan Stanley
2.625%, 11/17/21		4,333,000		4,359
2.750%, 5/19/22		13,000		13

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Financial continued
3.700%, 10/23/24		3,433,000		3,620
4.457%, (ICE LIBOR USD 3 Month plus 1.431%), 4/22/39		1,020,000		1,123
The PNC Financial Services Group, Inc.
3.450%, 4/23/29		8,335,000		8,771
Prudential Financial, Inc.
4.350%, 2/25/50		3,179,000		3,568
4.600%, 5/15/44		534,000		614
Public Storage
3.094%, 9/15/27		2,338,000		2,389
3.385%, 5/1/29		1,593,000		1,663
Realty Income Corp.
3.250%, 6/15/29		1,076,000		1,094
Reinsurance Group of America, Inc.
3.900%, 5/15/29		2,137,000		2,217
Santander Holdings USA, Inc.
3.500%, 6/7/24		10,285,000		10,442
4.500%, 7/17/25		1,696,000		1,804
SITE Centers Corp.
4.250%, 2/1/26		485,000		504
4.625%, 7/15/22		944,000		983
Standard Chartered PLC
3.785%, (ICE LIBOR USD 3 Month plus 1.560%), 5/21/25 144A		2,763,000		2,821
4.305%, (ICE LIBOR USD 3 Month plus 1.910%), 5/21/30 144A		481,000		498
Store Capital Corp.
4.500%, 3/15/28		4,172,000		4,395
4.625%, 3/15/29		1,395,000		1,487
Synchrony Financial
4.375%, 3/19/24		543,000		568
4.500%, 7/23/25		1,087,000		1,141
5.150%, 3/19/29		2,253,000		2,427
Tanger Properties LP
3.875%, 12/1/23		1,448,000		1,479
The Toronto-Dominion Bank
2.650%, 6/12/24		3,252,000		3,280
TrustCo Bank Corp.
6.390%, 1/15/50 144A		500,000		512
UBS Group Funding AG
4.253%, 3/23/28 144A		3,256,000		3,496
Ventas Realty LP
4.875%, 4/15/49		1,078,000		1,187
Total				245,193
Industrial (1.5%)
The Boeing Co.
2.700%, 5/1/22		2,347,000		2,380
3.100%, 5/1/26		3,001,000		3,094
3.200%, 3/1/29		2,471,000		2,549
3.500%, 3/1/39		1,154,000		1,152
3.550%, 3/1/38		459,000		463
3.850%, 11/1/48		215,000		224
3.900%, 5/1/49		1,995,000		2,099
Burlington Northern Santa Fe LLC
4.900%, 4/1/44		611,000		740
Crowley Conro LLC
4.181%, 8/15/43		1,530,760		1,691
CSX Corp.
4.750%, 11/15/48		770,000		896

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

100

Select Bond Portfolio

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Industrial continued
FedEx Corp.
4.550%, 4/1/46		101,000		104
4.950%, 10/17/48		2,026,000		2,210
General Electric Co.
4.500%, 3/11/44		2,952,000		2,872
5.875%, 1/14/38		1,340,000		1,517
Lockheed Martin Corp.
4.070%, 12/15/42		1,130,000		1,251
4.090%, 9/15/52		899,000		998
Northrop Grumman Corp.
2.550%, 10/15/22		3,500,000		3,519
2.930%, 1/15/25		156,000		159
3.250%, 8/1/23		3,228,000		3,337
3.250%, 1/15/28		1,484,000		1,523
Union Pacific Corp.
2.950%, 3/1/22		1,959,000		1,996
3.150%, 3/1/24		1,251,000		1,289
3.700%, 3/1/29		2,240,000		2,404
4.300%, 3/1/49		1,356,000		1,500
United Technologies Corp.
3.650%, 8/16/23		4,146,000		4,340
3.950%, 8/16/25		1,558,000		1,680
4.125%, 11/16/28		954,000		1,048
4.450%, 11/16/38		1,448,000		1,623
Total				48,658
Technology (1.8%)
Apple, Inc.
3.200%, 5/13/25		655,000		684
3.200%, 5/11/27		4,057,000		4,228
4.250%, 2/9/47		1,497,000		1,678
4.375%, 5/13/45		1,003,000		1,142
4.650%, 2/23/46		1,060,000		1,256
Broadcom, Inc.
4.250%, 4/15/26 144A		6,853,000		6,943
4.750%, 4/15/29 144A		997,000		1,022
Fidelity National Information Services, Inc.
3.750%, 5/21/29		1,946,000		2,066
Fiserv, Inc.
3.200%, 7/1/26		1,902,000		1,940
3.500%, 7/1/29		1,982,000		2,032
4.200%, 10/1/28		186,000		202
4.400%, 7/1/49		1,004,000		1,051
Hewlett Packard Enterprise Co.
6.350%, 10/15/45		1,604,000		1,776
International Business Machines Corp.
3.300%, 5/15/26		1,776,000		1,839
4.150%, 5/15/39		814,000		867
4.250%, 5/15/49		1,371,000		1,472
KLA-Tencor Corp.
4.100%, 3/15/29		1,300,000		1,370
5.000%, 3/15/49		392,000		436
Lam Research Corp.
3.750%, 3/15/26		1,760,000		1,847
4.875%, 3/15/49		476,000		527
Microsoft Corp.
3.300%, 2/6/27		1,661,000		1,760
3.700%, 8/8/46		539,000		580
4.000%, 2/12/55		1,426,000		1,601
4.100%, 2/6/37		1,778,000		2,028
4.250%, 2/6/47		3,574,000		4,237

Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Technology continued
4.500%, 2/6/57		1,310,000		1,602
NXP BV / NXP Funding LLC / NXP USA, Inc.
3.875%, 6/18/26 144A		2,711,000		2,780
4.300%, 6/18/29 144A		2,403,000		2,478
Oracle Corp.
2.625%, 2/15/23		1,466,000		1,487
2.950%, 11/15/24		783,000		806
3.800%, 11/15/37		801,000		847
4.000%, 11/15/47		1,087,000		1,167
QUALCOMM, Inc.
4.300%, 5/20/47		1,198,000		1,257
Total				57,008
Utilities (1.9%)
CenterPoint Energy Resources Corp.
4.000%, 4/1/28		76,000		81
CenterPoint Energy, Inc.
2.500%, 9/1/22		223,000		224
3.850%, 2/1/24		749,000		785
4.250%, 11/1/28		1,612,000		1,741
Commonwealth Edison Co.
4.000%, 3/1/49		2,063,000		2,214
Consolidated Edison Co. of New York, Inc.
4.125%, 5/15/49		544,000		586
Dominion Resources, Inc.
1.600%, 8/15/19		2,046,000		2,043
2.000%, 8/15/21		1,558,000		1,545
DTE Energy Co.
3.400%, 6/15/29		322,000		326
3.800%, 3/15/27		3,266,000		3,409
Duke Energy Corp.
1.800%, 9/1/21		2,338,000		2,312
3.400%, 6/15/29		1,407,000		1,436
4.200%, 6/15/49		325,000		341
Duke Energy Indiana LLC
3.750%, 5/15/46		530,000		536
Duke Energy Progress LLC
3.450%, 3/15/29		1,760,000		1,855
Electricite de France SA
4.500%, 9/21/28 144A		2,132,000		2,337
5.000%, 9/21/48 144A		691,000		786
Entergy Arkansas LLC
4.200%, 4/1/49		321,000		354
FirstEnergy Corp.
2.850%, 7/15/22		188,000		190
3.900%, 7/15/27		637,000		668
4.250%, 3/15/23		2,814,000		2,955
4.850%, 7/15/47		1,162,000		1,319
FirstEnergy Transmission LLC
5.450%, 7/15/44 144A		450,000		534
Metropolitan Edison Co.
4.300%, 1/15/29 144A		1,751,000		1,912
MidAmerican Energy Co.
4.250%, 7/15/49		1,033,000		1,174
Mid-Atlantic Interstate Transmission LLC
4.100%, 5/15/28 144A		2,177,000		2,317
Mississippi Power Co.
3.950%, 3/30/28		2,721,000		2,856
NextEra Energy Capital Holdings, Inc.
5.650%, (ICE LIBOR USD 3 Month plus 3.156%), 5/1/79		128,000		132

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

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Corporate Bonds (24.1%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Ohio Power Co.
4.000%, 6/1/49		603,000		649
PacifiCorp
4.150%, 2/15/50		1,287,000		1,434
PPL Capital Funding, Inc.
3.100%, 5/15/26		753,000		751
3.400%, 6/1/23		321,000		329
4.000%, 9/15/47		387,000		375
4.700%, 6/1/43		214,000		227
5.000%, 3/15/44		802,000		890
Public Service Electric & Gas Co.
3.200%, 5/15/29		2,146,000		2,221
3.850%, 5/1/49		1,501,000		1,607
Public Service Enterprise Group, Inc.
2.875%, 6/15/24		2,615,000		2,639
Sempra Energy
2.900%, 2/1/23		1,073,000		1,082
3.400%, 2/1/28		615,000		613
4.000%, 2/1/48		1,719,000		1,682
Southern California Edison Co.
3.700%, 8/1/25		1,282,000		1,325
4.125%, 3/1/48		3,558,000		3,583
4.650%, 10/1/43		530,000		567
5.500%, 3/15/40		1,380,000		1,582
6.050%, 3/15/39		326,000		393
The Southern Co.
4.400%, 7/1/46		1,613,000		1,703
Southwestern Electric Power Co.
3.900%, 4/1/45		712,000		709
Total				61,329
Total Corporate Bonds (Cost: $725,738)				762,057
Governments (29.5%)
Governments (29.5%)
Colombia Government International Bond
5.200%, 5/15/49		991,000		1,124
Republic of Indonesia
3.400%, 9/18/29		1,350,000		1,356
Republic of Paraguay
5.400%, 3/30/50 144A		1,582,000		1,756
State of Qatar
3.375%, 3/14/24 144A		1,451,000		1,499
United Mexican States
4.500%, 4/22/29		9,361,000		10,035
4.600%, 2/10/48		1,611,000		1,663
US Treasury
1.125%, 2/28/21		23,157,000		22,891
1.375%, 8/31/20 b		37,457,000		37,221
1.375%, 9/30/20		17,998,000		17,881
1.375%, 1/31/21		5,495,000		5,455
1.500%, 7/15/20		12,968,000		12,908
1.625%, 8/31/22		1,923,000		1,916
1.625%, 4/30/23		5,923,000		5,897
1.625%, 2/15/26		23,860,000		23,497
1.750%, 5/31/22		7,039,000		7,042
1.750%, 6/15/22		13,327,000		13,341
1.750%, 6/30/24		25,113,000		25,090
2.000%, 8/31/21		20,082,000		20,183
2.000%, 5/31/24		10,241,000		10,356
2.000%, 8/15/25		21,203,000		21,395

Governments (29.5%)	Shares/ Par +		Value $ (000’s)
Governments continued
2.125%, 1/31/21		15,997,000		16,068
2.125%, 5/31/21		899,000		905
2.125%, 5/15/22		8,528,000		8,621
2.125%, 5/31/26		2,630,000		2,672
2.250%, 3/31/21		6,581,000		6,631
2.250%, 4/15/22		4,281,000		4,340
2.250%, 11/15/25		11,547,000		11,819
2.375%, 4/15/21		10,090,000		10,191
2.375%, 5/15/29		32,443,000		33,508
2.500%, 6/30/20		2,840,000		2,854
2.500%, 12/31/20		21,822,000		22,030
2.500%, 1/31/21		28,673,000		28,969
2.500%, 2/28/21		24,715,000		24,985
2.625%, 7/31/20 b		55,978,000		56,383
2.625%, 8/31/20		8,645,000		8,715
2.625%, 3/31/25		3,474,000		3,626
2.625%, 2/15/29		11,345,000		11,957
2.750%, 8/15/47		27,278,000		28,428
2.750%, 11/15/47 b		67,045,000		69,879
2.750%, 9/30/20		33,169,000		33,514
2.750%, 11/30/20		12,616,000		12,772
2.750%, 5/31/23 b		45,500,000		47,222
2.750%, 8/31/25		32,153,000		33,842
2.875%, 8/15/45		35,629,000		38,038
2.875%, 5/15/49		1,187,000		1,271
2.875%, 5/31/25		18,859,000		19,958
2.875%, 8/15/28		30,895,000		33,183
3.000%, 5/15/47		11,303,000		12,366
3.000%, 2/15/48		23,110,000		25,279
3.000%, 2/15/49		16,146,000		17,708
3.125%, 11/15/28 b		49,373,000		54,125
6.000%, 2/15/26		6,576,000		8,262
Total				932,627
Total Governments (Cost: $912,933)				932,627
Municipal Bonds (0.5%)
Municipal Bonds (0.5%)
County of Clark Department of Aviation
6.820%, 7/1/45 RB		1,780,000		2,793
Los Angeles Community College District, Series 2010-E
6.750%, 8/1/49 GO		2,600,000		4,115
North Texas Tollway Authority, Series 2009-B
6.718%, 1/1/49 RB		1,950,000		3,025
The Ohio State University
4.800%, 6/1/11 RB		1,070,000		1,315
Port Authority of New York & New Jersey
4.458%, 10/1/62 RB		3,540,000		4,236
State of California, Series 2010
7.600%, 11/1/40 GO		450,000		730
State of Illinois
5.100%, 6/1/33 GO		545,000		574
Total Municipal Bonds (Cost: $15,099)				16,788

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

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities (10.6%)
Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A
3.070%, 9/20/23 144A		1,041,000		1,056
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A
3.450%, 3/20/23 144A		656,000		672
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A
3.350%, 9/20/25 144A		5,462,000		5,627
Capital Auto Receivables Asset Trust, Series 2016-1, Class A4
1.980%, 10/20/20		84,829		85
Capital Auto Receivables Asset Trust, Series 2016-2, Class A4
1.630%, 1/20/21		299,831		299
CIT Education Loan Trust, Series 2007-1, Class A
2.439%, (ICE LIBOR USD 3 Month plus 0.090%), 3/25/42 144A		1,743,024		1,664
College Ave Student Loans, Series 2017-A, Class A1
4.054%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A		2,005,891		2,035
College Avenue Student Loans LLC, Series 2018-A, Class A2
4.130%, 12/26/47 144A		1,464,848		1,546
College Avenue Student Loans LLC, Series 2019-A, Class A2
3.280%, 12/28/48 144A		1,385,000		1,384
Ford Credit Auto Owner Trust, Series 2017-2, Class A
2.360%, 3/15/29 144A		7,499,000		7,514
Ford Credit Auto Owner Trust, Series 2017- REV1, Class A
2.620%, 8/15/28 144A		1,371,000		1,387
Ford Credit Auto Owner Trust, Series 2018-1, Class A
3.190%, 7/15/31 144A		7,462,000		7,687
Ford Credit Auto Owner Trust, Series 2018-2, Class A
3.470%, 1/15/30 144A		3,394,000		3,554
Ford Credit Auto Owner Trust, Series 2019- REV1, Class A
3.520%, 7/15/30 144A		6,096,000		6,372
GM Financial Automobile Leasing Trust, Series 2019-2, Class A4
2.720%, 3/20/23		1,737,000		1,757
Hertz Vehicle Financing II LP, Series 2015-1A, Class A
2.730%, 3/25/21 144A		1,510,000		1,512
Hertz Vehicle Financing II LP, Series 2019-1A, Class A
3.710%, 3/25/23 144A		4,653,000		4,775
Hertz Vehicle Financing II LP, Series 2019-2A, Class A
3.420%, 5/25/25 144A		8,233,000		8,409
Hertz Vehicle Financing LLC, Series 2015-3A, Class A
2.670%, 9/25/21 144A		2,783,000		2,787

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Hertz Vehicle Financing LLC, Series 2016-2A, Class A
2.950%, 3/25/22 144A		3,583,000		3,606
Hertz Vehicle Financing LLC, Series 2016-3A, Class B
3.110%, 7/25/20 144A		1,173,000		1,173
Hertz Vehicle Financing LLC, Series 2016-4A, Class A
2.650%, 7/25/22 144A		432,000		432
Hertz Vehicle Financing LLC, Series 2017-1A, Class A
2.960%, 10/25/21 144A		3,034,000		3,049
Hertz Vehicle Financing LLC, Series 2017-2A, Class A
3.290%, 10/25/23 144A		2,764,000		2,813
Hertz Vehicle Financing LLC, Series 2018-2A, Class A
3.650%, 6/27/22 144A		2,855,000		2,914
Hertz Vehicle Financing LLC, Series 2018-3A, Class A
4.030%, 7/25/24 144A		3,072,000		3,212
Hyundai Floorplan Master Owner Trust, Series 2019-1, Class A
2.680%, 4/15/24 144A		2,614,000		2,642
Navient Private Education Loan Trust, Series 2014-AA, Class A3
3.994%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A		3,434,000		3,504
Navient Private Education Loan Trust, Series 2014-CTA, Class A
3.094%, (ICE LIBOR USD 1 Month plus 0.700%), 9/16/24 144A		565,543		566
Navient Private Education Loan Trust, Series 2015-CA, Class B
3.250%, 5/15/40 144A		701,667		702
Navient Private Education Loan Trust, Series 2018-BA, Class A2A
3.610%, 12/15/59 144A		2,429,000		2,518
Navient Private Education Refi Loan Trust, Series 2018-A, Class A2
3.190%, 2/18/42 144A		1,163,000		1,181
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2
3.520%, 6/16/42 144A		1,296,000		1,331
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A
4.000%, 12/15/59 144A		5,609,000		5,867
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A
3.420%, 1/15/43 144A		6,511,000		6,703
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2
3.130%, 2/15/68 144A		4,719,000		4,817
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A
3.010%, 12/15/59 144A		5,542,000		5,537
Navient Student Loan Trust, Series 2014-1, Class A3
2.940%, (ICE LIBOR USD 1 Month plus 0.510%), 6/25/31		2,506,891		2,473

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

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Navient Student Loan Trust, Series 2015-1, Class A2
3.004%, (ICE LIBOR USD 1 Month plus 0.600%), 4/25/40		6,793,654		6,722
Navient Student Loan Trust, Series 2016-1A, Class A
3.104%, (ICE LIBOR USD 1 Month plus 0.700%), 2/25/70 144A		4,060,919		4,056
Navient Student Loan Trust, Series 2016-3A, Class A2
3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 6/25/65 144A		963,088		966
Navient Student Loan Trust, Series 2016-AA, Class A2B
4.544%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A		1,483,010		1,529
Navient Student Loan Trust, Series 2017-5A, Class A
3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 7/26/66 144A		2,138,315		2,123
Navient Student Loan Trust, Series 2017-A, Class A2B
3.294%, (ICE LIBOR USD 1 Month plus 0.900%), 12/16/58 144A		4,642,000		4,657
Navient Student Loan Trust, Series 2019 EA, Class A2
4.000%, 12/15/59 144A		3,615,000		3,813
Navient Student Loan Trust, Series 2019-2A, Class A2
3.404%, (ICE LIBOR USD 1 Month plus 1.000%), 2/27/68 144A		3,390,000		3,395
Navient Student Loan Trust, Series 2019-BA, Class A2A
3.390%, 12/15/59 144A		4,423,000		4,564
Nelnet Student Loan Trust, Series 2004-3, Class A5
2.760%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36		796,189		778
Nelnet Student Loan Trust, Series 2004-4, Class A5
2.740%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37		4,347,879		4,252
Nelnet Student Loan Trust, Series 2005-1, Class A5
2.690%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33		8,126,773		8,047
Nelnet Student Loan Trust, Series 2005-2, Class A5
2.443%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37		10,063,234		9,860
Nelnet Student Loan Trust, Series 2005-3, Class A5
2.463%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35		9,283,456		9,224
Nelnet Student Loan Trust, Series 2005-4, Class A4
2.523%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32		1,491,614		1,439

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Nelnet Student Loan Trust, Series 2010-2A, Class A
3.199%, (ICE LIBOR USD 3 Month plus 0.850%), 9/25/48 144A		8,595,987		8,607
Nelnet Student Loan Trust, Series 2012-4A, Class A
3.104%, (ICE LIBOR USD 1 Month plus 0.700%), 9/27/38 144A		2,913,358		2,914
Nelnet Student Loan Trust, Series 2013-1A, Class A
3.004%, (ICE LIBOR USD 1 Month plus 0.600%), 6/25/41 144A		2,241,034		2,212
Nelnet Student Loan Trust, Series 2014-1A, Class A
2.974%, (ICE LIBOR USD 1 Month plus 0.570%), 9/25/41 144A		1,187,369		1,178
Nelnet Student Loan Trust, Series 2015-2A, Class A2
3.004%, (ICE LIBOR USD 1 Month plus 0.600%), 9/25/47 144A		2,899,216		2,878
Nelnet Student Loan Trust, Series 2016-1A, Class A
3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 9/25/65 144A		4,143,704		4,152
Nelnet Student Loan Trust, Series 2017-2A, Class A
3.174%, (ICE LIBOR USD 1 Month plus 0.770%), 9/25/65 144A		2,456,366		2,438
Nelnet Student Loan Trust, Series 2017-3A, Class A
3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 2/25/66 144A		2,661,538		2,672
Nelnet Student Loan Trust, Series 2018-3A, Class A2
2.930%, (ICE LIBOR USD 1 Month plus 0.440%), 9/27/66 144A		1,506,000		1,497
Santander Retail Auto Lease Trust, Series 2019-A, Class A3
2.770%, 6/20/22 144A		1,577,000		1,599
SLC Student Loan Trust, Series 2005-2, Class A4
2.570%, (ICE LIBOR USD 3 Month plus 0.160%), 12/15/39		2,949,000		2,845
SLM Private Education Loan Trust, Series 2013-B, Class A2B
3.494%, (ICE LIBOR USD 1 Month plus 1.100%), 6/17/30 144A		80,622		81
SLM Student Loan Trust, Series 2003-1, Class A5C
3.160%, (ICE LIBOR USD 3 Month plus 0.750%), 12/15/32 144A		1,594,508		1,533
SLM Student Loan Trust, Series 2004-10, Class A7A
3.180%, (ICE LIBOR USD 3 Month plus 0.600%), 10/25/29 144A		6,428,000		6,389
SLM Student Loan Trust, Series 2005-3, Class A6
2.730%, (ICE LIBOR USD 3 Month plus 0.150%), 4/25/40		2,867,000		2,746

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

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
SLM Student Loan Trust, Series 2006-1, Class A5
2.690%, (ICE LIBOR USD 3 Month plus 0.110%), 7/26/21		6,136,721		6,102
SLM Student Loan Trust, Series 2006-10, Class A6
2.730%, (ICE LIBOR USD 3 Month plus 0.150%), 3/25/44		5,085,000		4,907
SLM Student Loan Trust, Series 2006-3, Class A5
2.680%, (ICE LIBOR USD 3 Month plus 0.100%), 1/25/21		3,540,434		3,500
SLM Student Loan Trust, Series 2007-1, Class A6
2.720%, (ICE LIBOR USD 3 Month plus 0.140%), 1/27/42		6,189,000		5,907
SLM Student Loan Trust, Series 2007-2, Class A4
2.640%, (ICE LIBOR USD 3 Month plus 0.060%), 7/25/22		5,660,256		5,528
SLM Student Loan Trust, Series 2012-1, Class A3
3.380%, (ICE LIBOR USD 1 Month plus 0.950%), 9/25/28		6,716,318		6,630
SLM Student Loan Trust, Series 2012-2, Class A
3.104%, (ICE LIBOR USD 1 Month plus 0.700%), 1/25/29		5,777,641		5,658
SLM Student Loan Trust, Series 2012-6, Class A3
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 5/26/26		2,642,552		2,617
SMB Private Education Loan Trust, Series 2015-A, Class A2B
3.394%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		2,147,733		2,158
SMB Private Education Loan Trust, Series 2015-C, Class A2B
3.794%, (ICE LIBOR USD 1 Month plus 1.400%), 7/15/27 144A		988,833		999
SMB Private Education Loan Trust, Series 2016-A, Class A2A
2.700%, 5/15/31 144A		4,528,287		4,555
SMB Private Education Loan Trust, Series 2016-A, Class A2B
3.894%, (ICE LIBOR USD 1 Month plus 1.500%), 5/15/31 144A		6,100,638		6,210
SMB Private Education Loan Trust, Series 2016-B, Class A2A
2.430%, 2/17/32 144A		2,226,410		2,220
SMB Private Education Loan Trust, Series 2016-B, Class A2B
3.844%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A		6,081,404		6,188
SMB Private Education Loan Trust, Series 2016-C, Class A2A
2.340%, 9/15/34 144A		4,908,294		4,880
SMB Private Education Loan Trust, Series 2016-C, Class A2B
3.494%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		2,392,853		2,407

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2017-A, Class A2B
3.294%, (ICE LIBOR USD 1 Month plus 0.900%), 9/15/34 144A		1,761,209		1,766
SMB Private Education Loan Trust, Series 2017-B, Class A2B
3.144%, (ICE LIBOR USD 1 Month plus 0.750%), 10/15/35 144A		4,236,000		4,234
SMB Private Education Loan Trust, Series 2018-A, Class A2B
3.194%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/36 144A		1,332,000		1,329
SMB Private Education Loan Trust, Series 2018-C, Class A2A
3.630%, 11/15/35 144A		1,042,000		1,089
SMB Private Education Loan Trust, Series 2019-A, Class A2A
3.440%, 7/15/36 144A		4,978,000		5,161
SoFi Professional Loan Program LLC, Series 2016-A, Class A2
2.760%, 12/26/36 144A		1,585,906		1,595
SoFi Professional Loan Program LLC, Series 2016-D, Class A1
3.354%, (ICE LIBOR USD 1 Month plus 0.950%), 1/25/39 144A		283,766		285
SoFi Professional Loan Program LLC, Series 2016-E, Class A1
3.254%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/39 144A		647,271		647
SoFi Professional Loan Program LLC, Series 2017-A, Class A1
3.104%, (ICE LIBOR USD 1 Month plus 0.700%), 3/26/40 144A		626,085		627
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX
2.650%, 9/25/40 144A		356,000		359
SoFi Professional Loan Program LLC, Series 2017-E, Class A1
2.904%, (ICE LIBOR USD 1 Month plus 0.500%), 11/26/40 144A		467,264		466
SoFi Professional Loan Program LLC, Series 2017-E, Class A2B
2.720%, 11/26/40 144A		5,282,000		5,291
SoFi Professional Loan Program LLC, Series 2018-B, Class A2FX
3.340%, 8/26/47 144A		4,753,000		4,877
Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A
2.560%, 11/25/31 144A		2,660,000		2,679
World Financial Network Credit Card Master Trust, Series 2016-C, Class A
1.720%, 8/15/23		2,018,000		2,013
World Financial Network Credit Card Master Trust, Series 2019-B, Class A
2.490%, 4/15/26		1,766,000		1,766
3.460%, 7/15/25		1,409,000		1,448
World Omni Auto Receivables Trust, Series 2016-A, Class A4
1.950%, 5/16/22		3,212,000		3,202
Total				333,628

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

105

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities (41.0%)
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1
3.628%, (AFC), 3/25/49 144A		1,994,316		2,020
Asset Securitization Corp., Series 1997-D5, Class PS1
1.834%, (CSTR), 2/14/43 IO		132,629		1
Barclays Commercial Mortgage Trust, Series 2018-C2, Class A5
4.314%, 12/15/51		1,507,000		1,690
Benchmark Mortgage Trust, Series 2018-B1, Class ASB
3.602%, (AFC), 1/15/51		854,000		903
Benchmark Mortgage Trust, Series 2019-B9, Class A4
3.750%, 3/15/52		812,000		878
Bunker Hill Loan Depositary Trust, Series 2019-1, Class A1
3.613%, (AFC), 10/26/48 144A		1,324,918		1,353
CD Commercial Mortgage Trust, Series 2017-CD4, Class A4
3.514%, (AFC), 5/10/50		1,610,000		1,703
CD Commercial Mortgage Trust, Series 2017-CD6, Class ASB
3.332%, 11/13/50		2,821,000		2,935
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A1
1.793%, (CSTR, AFC), 1/10/48		735,923		732
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB
3.091%, 5/10/58		1,508,000		1,547
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A2
3.585%, (CSTR), 12/10/54		1,536,000		1,623
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3
3.838%, (AFC, EXE), 12/10/54		2,087,000		2,240
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class A1
1.964%, 6/15/50		650,489		648
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB
3.367%, 6/15/50		1,226,000		1,276
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class A1
1.443%, 8/10/49		542,756		537
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class ASB
2.622%, 8/10/49		1,967,000		1,988
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2017-C6, Class ASB
3.121%, 6/10/50		694,000		715
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2017-CD4, Class ASB
3.317%, 5/10/50		1,173,000		1,218
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class AS
3.457%, 4/10/48		730,000		759

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Citigroup Mortgage Loan Trust, Series 2005-1, Class 3A1
6.500%, 4/25/35		169,337		178
COLT Mortgage Loan Trust, Series 2019-1, Class A1
3.705%, (AFC), 3/25/49 144A		1,994,179		2,025
COLT Mortgage Loan Trust, Series 2019-2, Class A1
3.337%, (AFC), 5/25/49 144A		3,681,150		3,739
COMM Mortgage Trust, Series 2013-CR9, Class A4
4.374%, (CSTR), 7/10/45		3,078,000		3,299
Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A3
2.822%, 10/15/45		1,203,770		1,217
Commercial Mortgage Pass Through Certificates, Series 2012-CR4, Class A2
1.801%, 10/15/45		350,525		349
Commercial Mortgage Pass Through Certificates, Series 2013-CR12, Class A4
4.046%, 10/10/46		1,225,000		1,302
Commercial Mortgage Pass Through Certificates, Series 2016-C0R1, Class ASB
2.972%, 10/10/49		1,155,000		1,181
Commercial Mortgage Pass Through Certificates, Series 2018-COR3, Class A3
4.228%, 5/10/51		2,080,000		2,307
Credit Suisse Mortgage Trust, Series 2016-NXSR, Class A4
3.795%, (AFC), 12/15/49		4,752,000		5,070
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4
3.504%, 6/15/57		1,587,000		1,659
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4
3.718%, 8/15/48		2,002,000		2,122
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A4
3.807%, 11/15/48		3,194,000		3,405
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class ASB
3.532%, 11/15/48		582,000		606
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A4
4.052%, 3/15/52		2,152,000		2,362
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A3
3.329%, 6/15/52		1,726,000		1,789
Federal Home Loan Bank
3.500%, 7/1/49		4,326,000		4,489
Federal Home Loan Mortgage Corp.
3.000%, 5/1/47		1,376,952		1,403
3.000%, 6/1/49		1,684,000		1,699
3.500%, 5/1/46		6,719,488		6,979
3.500%, 6/1/46		1,472,419		1,529
3.500%, 2/1/48		12,770,730		13,235
3.500%, 6/1/49		36,679,000		37,639
4.000%, 1/1/35		118,968		126
4.000%, 1/1/36		189,273		199
4.000%, 10/1/36		1,213,068		1,278
4.000%, 3/1/37		599,253		633

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

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
4.000%, 5/1/49		1,740,471		1,808
4.500%, 6/1/39		126,902		140
4.500%, 7/1/39		138,587		153
5.000%, 6/1/44		2,125,629		2,350
5.000%, 5/1/48		6,009,053		6,595
5.000%, 10/1/48		2,173,867		2,403
5.000%, 11/1/48		1,770,259		1,957
5.000%, 12/1/48		1,378,010		1,523
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30
3.000%, 7/15/42		9,084,540		9,251
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA
3.000%, 10/15/47		10,799,981		10,972
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA
3.000%, 3/15/48		4,812,777		4,959
Federal Home Loan Mortgage Corp., Series 2018-4786, Class DP
4.500%, 7/15/42		2,790,502		2,883
Federal Home Loan Mortgage Corp., Series 2018-4787, Class AK
3.000%, 5/15/48		7,766,180		7,856
Federal Home Loan Mortgage Corp., Series 2439, Class LH
6.000%, 4/15/32		396,215		451
Federal Home Loan Mortgage Corp., Series 356, Class 300
3.000%, 9/15/47		2,392,776		2,430
Federal Home Loan Mortgage Corp., Series 360, Class 300
3.000%, 11/15/47		5,475,314		5,597
Federal Home Loan Mortgage Corp., Series 4705, Class A
4.500%, 9/15/42		3,744,090		4,020
Federal Home Loan Mortgage Corp., Series 4763, Class CA
3.000%, 9/15/38		1,009,081		1,045
Federal Home Loan Mortgage Corp., Series 4796, Class AK
3.000%, 5/15/48		9,952,879		10,068
Federal Home Loan Mortgage Corp., Series 4802, Class A
3.000%, 6/15/48		9,451,930		9,561
Federal Home Loan Mortgage Corp., Series 4856, Class FD
2.694%, (1 Month LIBOR plus 0.300%), 8/15/40		4,120,278		4,124
Federal Home Loan Mortgage Corp., Series 4897, Class F
2.744%, (1 Month LIBOR plus 0.350%), 12/15/48		1,329,099		1,324
2.840%, (1 Month LIBOR plus 0.400%), 7/15/49		1,448,000		1,446
Federal National Mortgage Association
2.614%, (ICE LIBOR USD 12 Month plus 1.584%), 5/1/45		2,359,770		2,388
2.665%, (ICE LIBOR USD 12 Month plus 1.586%), 1/1/46		11,678,518		11,831
2.747%, (ICE LIBOR USD 12 Month plus 1.578%), 6/1/45		3,250,000		3,310

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
2.951%, (ICE LIBOR USD 12 Month plus 1.599%), 8/1/47		2,105,219		2,150
3.128%, (ICE LIBOR USD 12 Month plus 1.620%), 3/1/47		2,872,471		2,944
3.500%, 9/1/33		431,007		448
3.500%, 5/1/36		3,853,544		3,995
3.500%, 9/1/36		619,589		644
3.500%, 12/1/36		4,296,914		4,463
3.500%, 5/1/42		9,653,962		10,041
3.500%, 3/1/46		2,640,681		2,741
3.500%, 8/1/48		3,936,021		4,079
3.500%, 4/1/49		18,046,322		18,524
3.500%, 5/1/49		35,296,200		36,278
3.500%, 6/1/49		23,589,000		24,470
4.000%, 7/1/33		1,811,587		1,894
4.000%, 9/1/33		3,295,614		3,453
4.000%, 7/1/36		3,073,476		3,236
4.000%, 9/1/36		1,200,912		1,263
4.000%, 11/1/36		912,143		960
4.000%, 12/1/36		208,370		219
4.000%, 10/1/37		1,527,563		1,595
4.000%, 5/1/45		3,791,021		3,971
4.000%, 8/1/45		3,006,001		3,185
4.000%, 9/1/45		6,605,924		7,009
4.000%, 11/1/45		2,705,672		2,867
4.000%, 10/1/46		463,391		488
4.000%, 12/1/46		2,737,647		2,880
4.000%, 4/1/47		1,514,819		1,595
4.000%, 7/1/47		1,808,489		1,894
4.000%, 9/1/47		2,021,444		2,119
4.000%, 10/1/47		2,452,751		2,586
4.000%, 11/1/47		18,601,283		19,463
4.000%, 8/1/48		26,196,584		27,331
4.000%, 9/1/48		18,938,935		19,760
4.000%, 3/1/49		1,859,581		1,946
4.000%, 4/1/49		2,434,736		2,547
4.000%, 5/1/49		308,245		322
4.000%, 6/1/49		2,392,000		2,517
4.500%, 5/1/34		79,034		85
4.500%, 6/1/41		164,164		177
4.500%, 3/1/43		1,863,581		2,010
4.500%, 3/1/44		1,420,549		1,532
4.500%, 10/1/45		3,011,310		3,247
4.500%, 2/1/46		106,949		115
4.500%, 3/1/48		1,248,399		1,333
4.500%, 4/1/48		2,888,224		3,083
4.500%, 5/1/48		1,621,629		1,731
4.500%, 6/1/48		3,105,063		3,368
4.500%, 8/1/48		2,824,115		3,064
4.500%, 10/1/48		1,579,905		1,686
4.500%, 11/1/48		16,153,015		17,018
4.500%, 2/1/49		16,488,601		17,941
4.500%, 3/1/49		19,036,485		20,224
4.500%, 4/1/49		3,959,974		4,274
4.500%, 5/1/49		729,135		778
4.500%, 6/1/49		5,208,857		5,625
5.000%, 7/1/44		313,316		339
5.000%, 6/1/48		8,779,305		9,698
5.000%, 9/1/48		4,350,000		4,715
5.000%, 10/1/48		5,905,619		6,512

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

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
5.000%, 11/1/48		8,288,399		9,151
5.000%, 12/1/48		2,958,439		3,268
5.000%, 1/1/49		17,267,737		18,854
5.000%, 2/1/49		38,653,691		42,622
5.000%, 4/1/49		3,636,295		4,017
5.000%, 5/1/49		5,113,000		5,648
5.000%, 6/1/49		1,109,771		1,217
Federal National Mortgage Association Stripped, Series 414, Class A35
3.500%, 10/25/42		7,483,410		7,827
Federal National Mortgage Association TBA
3.000%, 7/12/48		1,200,000		1,210
3.500%, 7/12/48		42,400,000		43,334
3.500%, 8/13/49		86,200,000		88,076
4.000%, 7/12/48		19,600,000		20,253
4.500%, 7/1/49 Æ		7,760,000		8,462
5.000%, 1/1/49		2,065,000		2,215
5.500%, 7/1/49		10,674,000		11,886
Federal National Mortgage Association, Series 2013-30, Class CA
1.500%, 4/25/43		965,395		920
Federal National Mortgage Association, Series 2017-13, Class PA
3.000%, 8/25/46		2,945,887		3,042
Federal National Mortgage Association, Series 2017-M7, Class A2
2.961%, (AFC), 2/25/27		1,102,000		1,139
Federal National Mortgage Association, Series 2018-14, Class KC
3.000%, 3/25/48		5,585,555		5,816
Federal National Mortgage Association, Series 2018-15, Class AB
3.000%, 3/25/48		1,211,791		1,229
Federal National Mortgage Association, Series 2018-38, Class LA
3.000%, 6/25/48		11,381,848		11,459
Federal National Mortgage Association, Series 2018-43, Class CT
3.000%, 6/25/48		9,393,394		9,482
Federal National Mortgage Association, Series 2018-45, Class GA
3.000%, 6/25/48		20,384,273		20,529
Federal National Mortgage Association, Series 2018-50, Class BA
3.000%, 7/25/48		21,009,668		21,151
Federal National Mortgage Association, Series 2018-56, Class CH
3.000%, 8/25/48		4,610,983		4,657
Federal National Mortgage Association, Series 2018-57, Class PT
3.000%, 8/25/48		3,516,899		3,554
Federal National Mortgage Association, Series 2018-59, Class DA
3.000%, 8/25/48		9,990,163		10,090
Federal National Mortgage Association, Series 2018-79, Class FA
2.654%, (1 Month LIBOR plus 0.250%), 11/25/48		6,720,786		6,680
Federal National Mortgage Association, Series 2018-8, Class KL
2.500%, 3/25/47		3,736,983		3,741

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2019-14, Class FB
2.886%, (1 Month LIBOR plus 0.400%), (AFC), 4/25/59		2,480,940		2,477
Federal National Mortgage Association, Series 2019-18, Class FH
2.754%, (1 Month LIBOR plus 0.350%), 5/25/49		4,072,195		4,065
Federal National Mortgage Association, Series 2019-25, Class YF
2.854%, (1 Month LIBOR plus 0.450%), 10/25/46		7,986,677		7,980
Federal National Mortgage Association, Series 2019-35, Class A
3.000%, 7/25/49 Æ		3,292,000		3,313
Federal National Mortgage Association, Series 2019-35, Class MB
3.000%, 7/25/49 Æ		4,130,000		4,160
GCAT LLC, Series 2019-NQM1, Class A1
2.985%, (AFC), 2/25/59 144A		1,427,000		1,434
Government National Mortgage Association
3.500%, 5/20/46		2,039,157		2,112
3.500%, 7/20/46		8,117,054		8,423
3.500%, 1/20/47		1,641,312		1,698
3.500%, 1/20/48		13,477,928		13,934
4.000%, 10/20/47		960,878		1,008
4.000%, 12/20/47		9,748,767		10,156
4.000%, 3/20/48		1,291,418		1,346
4.000%, 4/20/48		4,360,794		4,556
4.000%, 5/20/49		41,939,715		43,657
4.000%, 6/20/49		10,978,000		11,467
4.500%, 8/15/47		1,133,189		1,221
4.500%, 12/20/48		6,116,792		6,377
4.500%, 1/20/49		3,566,026		3,731
4.500%, 2/20/49		6,438,072		6,903
4.500%, 3/20/49		4,142,624		4,423
4.500%, 4/20/49		7,133,167		7,484
4.500%, 5/20/49		6,040,464		6,407
5.000%, 12/20/39		130,268		142
5.000%, 11/20/45		270,818		295
5.000%, 3/20/48		15,404,452		16,273
5.000%, 6/20/48		7,236,226		7,569
5.000%, 1/20/49		15,554,704		16,495
5.000%, 2/20/49		7,361,243		7,773
5.000%, 3/20/49		1,756,395		1,844
5.000%, 4/20/49		13,296,483		13,962
5.000%, 5/20/49		14,138,986		14,873
5.000%, 6/20/49		2,153,000		2,262
5.000%, 7/20/49		3,610,000		3,801
Government National Mortgage Association TBA
3.500%, 7/22/49		16,700,000		17,245
5.000%, 7/22/49		12,900,000		13,484
Government National Mortgage Association, Series 2012-141, Class WA
4.528%, 11/16/41		939,265		1,039
Government National Mortgage Association, Series 2017-167, Class BQ
2.500%, 8/20/44		4,333,145		4,409

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

108

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Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Government National Mortgage Association, Series 2019-20, Class JK
3.500%, 2/20/49		12,330,711		12,613
GS Mortgage Securities Trust, Series 2012-GCJ7, Class AAB
2.935%, 5/10/45		196,453		197
GS Mortgage Securities Trust, Series 2014-GC18, Class A3
3.801%, 1/10/47		953,024		1,002
GS Mortgage Securities Trust, Series 2015-GC28, Class A5
3.396%, 2/10/48		735,000		769
GS Mortgage Securities Trust, Series 2015-GC34, Class A4
3.506%, 10/10/48		1,483,000		1,563
GS Mortgage Securities Trust, Series 2016-GS3, Class AAB
2.777%, 10/10/49		1,740,000		1,776
GS Mortgage Securities Trust, Series 2017-GS6, Class A3
3.433%, 5/10/50		2,645,000		2,781
GS Mortgage Securities Trust, Series 2017-GS7, Class A4
3.430%, 8/10/50		2,846,000		2,962
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010- 1, Class A1
5.314%, 1/25/51 144A		4,227,251		4,591
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2014-C20, Class A2
2.871%, 7/15/47		113,308		113
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2016-JP2, Class A1
1.324%, 8/15/49		990,422		981
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2016-JP2, Class ASB
2.713%, 8/15/49		1,805,000		1,827
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-JP5, Class ASB
3.548%, 3/15/50		3,358,000		3,527
JP Morgan Mortgage Trust, Series 2017-5, Class A1
3.182%, (CSTR), 10/26/48 144A		7,893		8
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4
3.669%, 9/15/47		1,323,000		1,390
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A2
2.773%, 10/15/48		913,186		913
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3
2.912%, 10/15/48		6,101,000		6,227
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A4
3.769%, 12/15/48		838,000		894
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class ASB
3.282%, 7/15/50		1,306,000		1,357

Structured Products (51.6%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A5
3.693%, 3/15/50		813,000		870
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class ASB
3.491%, 3/15/50		463,000		485
JPMDB Commercial Mortgage Securities Trust, Series 2018 C8, Class ASB
4.145%, 6/15/51		1,453,000		1,584
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A3
3.944%, 6/15/51		1,350,000		1,472
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1
5.250%, 12/25/24		109,767		112
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015 C20, Class A4
3.249%, 2/15/48		434,000		450
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class A4
3.753%, 12/15/47		393,000		419
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class ASB
2.729%, 9/15/49		5,519,000		5,585
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A1
1.445%, 8/15/49		1,254,904		1,244
Morgan Stanley Capital I Trust, Series 2016-UB11, Class ASB
2.606%, 8/15/49		1,289,000		1,297
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class A1
1.711%, 3/15/49		774,120		769
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1
3.600%, (AFC), 4/25/49 144A		1,937,551		1,965
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1
4.500%, 10/25/19		3,713		4
Verus Securitization Trust, Series 2019-1, Class A1
3.836%, (AFC), 2/25/59 144A		1,731,834		1,759
Verus Securitization Trust, Series 2019-2, Class A1
3.211%, (AFC), 4/25/59 144A		6,947,515		7,015
Verus Securitization Trust, Series 2019-INV1, Class A1
3.402%, (AFC), 12/25/59 144A		2,526,549		2,554
Visio Trust, Series 2019-1, Class A1
3.572%, (AFC), 6/25/54 144A		1,480,067		1,517
Total				1,297,381
Total Structured Products (Cost: $1,607,485)				1,631,009
Short-Term Investments (2.2%)
Money Market Funds (2.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class

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

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Short-Term Investments (2.2%)	Shares/ Par +		Value $ (000’s)
Money Market Funds continued
2.310%#		71,104,560		71,105
Total				71,105
Total Short-Term Investments (Cost: $71,105)				71,105
Total Investments (107.9%) (Cost: $3,332,360)@				3,413,586
Other Assets, Less Liabilities (-7.9%)				(250,857)
Net Assets (100.0%)				3,162,729

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $362,701 representing 11.5% of the net assets.

b Cash or securities with an aggregate value of $264,830 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

Æ Security valued using significant unobservable inputs.

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,332,359 and the net unrealized appreciation of investments based on that cost was $81,226 which is comprised of $83,178 aggregate gross unrealized appreciation and $1,952 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	—	$	16,788	$	—
Corporate Bonds		—		762,057		—
Governments		—		932,627		—
Structured Products
Mortgage Securities		—		1,281,446		15,935
All Others		—		333,628		—
Short-Term Investments		71,105		—		—
Total Assets:	$	71,105	$	3,326,546	$	15,935

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

110

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

    Sector Allocation 6/30/19

Sector	% of Net Assets
Governments	103.8%
Structured Products	20.0%
Corporate Bonds	0.7%
Short-Term Investments & Other Net Assets	-28.9%

Sector Allocation is subject to change.

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

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 derivatives securities held by the Portfolio. A guarantee by the U.S. Government or its agencies does not eliminate market risk.

The Portfolio may also use derivative instruments for hedging or other purposes as part of its investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that the Portfolio could not close out a position when it would be most advantageous to do so. The potential leverage created by use of derivatives may cause the Portfolio to be more sensitive to interest rate movements and thus more volatile than other long-term U.S. Government bond funds that do not use derivatives. Portfolios investing in derivatives could lose more than the principal amount invested in those instruments.

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

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.

111

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Corporate Bonds (0.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical (0.3%)
United Airlines Pass Through Trust, Series 2016-2, Class A
3.100%, 4/7/30		184,141		182
United Airlines Pass Through Trust, Series 2016-2, Class AA
2.875%, 4/7/30		184,141		182
Total				364
Industrial (0.4%)
Vessel Management Services, Inc.
3.432%, 8/15/36		487,000		504
Total				504
Total Corporate Bonds (Cost: $855)				868
Governments (103.8%)
Governments (103.8%)
Federal National Mortgage Association
5.625%, 4/17/28		100,000		126
Residual Funding Corp. Stripped
0.000%, 4/15/30 b		4,800,000		3,676
0.000%, 10/15/20		2,000,000		1,948
Resolution Funding Corp. Stripped
0.000%, 4/15/28		400,000		326
Tennessee Valley Authority Stripped
0.000%, 5/1/30		500,000		375
US Treasury
1.875%, 7/31/22 b		8,000,000		8,033
2.000%, 10/31/21		2,700,000		2,715
2.000%, 6/30/24		700,000		707
2.125%, 8/15/21		400,000		403
2.125%, 3/31/24		1,000,000		1,016
2.125%, 5/15/25		410,000		417
2.500%, 2/15/45		2,660,000		2,647
2.500%, 2/15/46		940,000		934
2.500%, 5/15/46		1,710,000		1,698
2.625%, 12/31/23		400,000		415
2.750%, 8/15/42		300,000		314
2.750%, 11/15/42		400,000		419
2.875%, 5/15/43 b		3,710,000		3,964
2.875%, 8/15/45 b		5,180,000		5,530
2.875%, 5/15/49		1,100,000		1,178
3.000%, 5/15/42		530,000		580
3.000%, 11/15/44		390,000		426
3.000%, 11/15/45		370,000		404
3.000%, 2/15/48		330,000		361
3.000%, 8/15/48		700,000		767
3.000%, 2/15/49		370,000		406
3.000%, 9/30/25		100,000		107
3.000%, 10/31/25		120,000		128
3.125%, 2/15/42		300,000		335
3.125%, 2/15/43 b		10,710,000		11,932
3.125%, 8/15/44 b		21,330,000		23,775
3.125%, 5/15/48		2,430,000		2,723
3.375%, 5/15/44 b		15,040,000		17,461
3.500%, 2/15/39		50,000		59

Governments (103.8%)	Shares/ Par +		Value $ (000’s)
Governments continued
3.625%, 8/15/43 b		5,950,000		7,176
3.750%, 11/15/43 b		5,600,000		6,888
3.875%, 8/15/40		40,000		50
4.250%, 11/15/40 b		2,400,000		3,146
4.375%, 2/15/38		2,240,000		2,959
4.500%, 5/15/38		1,440,000		1,933
US Treasury Inflation Index Bond
0.125%, 4/15/22		315,183		313
0.375%, 1/15/27		74,040		74
0.375%, 7/15/27		637,145		643
0.500%, 1/15/28		1,077,523		1,095
0.625%, 1/15/26		32,259		33
0.750%, 7/15/28		1,323,556		1,379
0.875%, 1/15/29		505,940		533
1.000%, 2/15/48		414,448		436
1.375%, 2/15/44		142,519		162
1.750%, 1/15/28		439,060		492
2.500%, 1/15/29		404,617		487
3.625%, 4/15/28		157,972		203
US Treasury Stripped
0.000%, 8/15/34		850,000		596
0.000%, 11/15/43		700,000		374
Total				125,277
Total Governments (Cost: $119,145)				125,277
Structured Products (24.4%)
Asset Backed Securities (0.8%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A
3.240%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		76,219		76
Massachusetts Educational Financing Authority, Series 2008-1, Class A1
3.530%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		49,276		50
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A
3.430%, 12/16/24 144A		600,000		608
SLM Student Loan Trust, Series 2003-7A, Class A5A
3.610%, (ICE LIBOR USD 3 Month plus 1.200%), 12/15/33 144A		115,998		116
SLM Student Loan Trust, Series 2008-9, Class A
4.080%, (ICE LIBOR USD 3 Month plus 1.500%), 4/25/23		84,087		85
Total				935
Mortgage Securities (23.6%)
BWAY Mortgage Trust, Series 2013-1515, Class A2
3.454%, 3/10/33 144A		300,000		314
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A
2.871%, (CSTR), 11/10/31 144A		600,000		611

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

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Long-Term U.S. Government Bond Portfolio

Structured Products (24.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
COMM Mortgage Trust, Series 2018-HOME, Class A
3.942%, (AFC), 4/10/33 144A		200,000		214
Commercial Mortgage Pass Through Certificates, Series 2016-667M, Class A
3.140%, 10/10/36 144A		700,000		720
Core Industrial Trust, Series 2015-WEST, Class C
3.494%, 2/10/37 144A		300,000		313
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3
4.201%, (CSTR), 7/25/33		858		1
DBWF Mortgage Trust, Series 2016-85T, Class A
3.791%, 12/10/36 144A		800,000		859
Federal Home Loan Mortgage Corp., Series 2752, Class EZ
5.500%, 2/15/34		254,618		288
Federal Home Loan Mortgage Corp., Series 4092, Class AY
3.000%, 8/15/32		2,200,000		2,251
Federal Home Loan Mortgage Corp., Series 4387, Class AZ
4.000%, 9/15/44		2,417,735		2,643
Federal Home Loan Mortgage Corp., Series 4398, Class ZX
4.000%, 9/15/54		722,911		804
Federal Home Loan Mortgage Corp., Series 4830, Class ZG
3.000%, 4/15/53		693,498		693
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1
3.904%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.400%), 7/25/44		9,599		10
Federal National Mortgage Association
3.040%, 12/1/30		351,745		363
3.090%, 12/1/36		600,000		606
3.600%, 2/1/40		629,392		669
5.000%, 6/1/35		54,177		59
5.000%, 2/1/36		82,776		91
5.500%, 5/1/49		98,390		105
Federal National Mortgage Association TBA
3.000%, 8/13/49		1,500,000		1,511
3.000%, 9/12/49		1,400,000		1,409
4.000%, 7/1/44		700,000		723
4.000%, 8/13/49 b		7,500,000		7,747
5.500%, 7/15/49		100,000		107
Federal National Mortgage Association, Series 2007-39, Class NZ
4.250%, 5/25/37		301,992		314
Federal National Mortgage Association, Series 2016-61, Class ML
3.000%, 9/25/46		900,000		905
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2
4.097%, (CSTR), 10/25/52 144A		582,579		636

Structured Products (24.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
GS Mortgage Securities Trust, Series 2015- 590M, Class B
3.932%, (CSTR), 10/10/35 144A		300,000		307
Hilton USA Trust, Series 2016-HHV, Class A
3.719%, 11/5/38 144A		300,000		316
Hilton USA Trust, Series 2016-HHV, Class C
4.333%, (CSTR), 11/5/38 144A		400,000		422
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A
4.879%, (CSTR, AFC), 5/25/33		1,802		2
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class ASB
3.514%, 12/15/49		700,000		734
Morgan Stanley Capital I Trust, Series 2018- MP, Class A
4.418%, 7/11/40 144A		100,000		112
MSSG Trust, Series 2017-237P, Class A
3.397%, 9/13/39 144A		700,000		727
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1
3.050%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		4,158		4
VNDO Trust, Series 2016-350P, Class A
3.805%, 1/10/35 144A		800,000		857
WaMu Mortgage Pass-Through Certificates, Series 2004-AR1, Class A
4.814%, (CSTR, AFC), 3/25/34		9,773		10
Worldwide Plaza Trust, Series 2017-WWP, Class A
3.526%, 11/10/36 144A		100,000		106
Total				28,563
Total Structured Products (Cost: $28,966)				29,498
Short-Term Investments (1.1%)
Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class
2.310%#		1,335,628		1,336
Total				1,336
Total Short-Term Investments (Cost: $1,336)				1,336
Total Investments (130.0%) (Cost: $150,302)@				156,979
Other Assets, Less Liabilities (-30.0%)				(36,244)
Net Assets (100.0%)				120,735

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

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Long-Term U.S. Government Bond Portfolio

Reverse Repurchase Agreements

Reference Entity	Counterparty	Interest     Rate		Borrowing Date		Maturity Date		Currency		Amount Borrowed (000’s)			Payable for Reverse Repurchase Agreements (000s)
US Treasury	Bank of America NA		2.390%		6/11/2019		7/12/2019		USD		(1,161	)	$	(1,161	)
													$	(1,161	)

Securities Sold Short

Description	Coupon		Maturity Date		Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Federal National Mortgage Association		3.500%		7/12/48	$	(3,700	)	$	(3,776	)	$	(3,782	)
TBA
Federal National Mortgage Association		3.500%		8/13/49		(600	)		(613	)		(613	)
TBA
Federal National Mortgage Association		4.500%		7/12/48		(300	)		(313	)		(314	)
TBA
Federal National Mortgage Association		4.500%		8/13/48		(600	)		(627	)		(627	)
TBA
					$	(5,200	)	$	(5,329	)	$	(5,336	)

Exchange Traded or Centrally Cleared Derivatives Futures

Issuer	Long/ Short		Currency		Notional Par     (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
CME Ninety-Day Eurodollar Future		Long		USD		18,750		75		9/19	$	18,374	$	13		$	(2	)
Five-Year US Treasury Note Future		Short		USD		200		2		9/19		236		(4	)		–
Ten-Year US Treasury Note Future		Short		USD		2,900		29		9/19		3,711		(77	)		(1	)
Ultra Long Term US Treasury Bond Future		Long		USD		17,100		171		9/19		30,363		1,254			(32	)
Ultra Ten-Year US Treasury Note Future		Short		USD		28,200		282		9/19		38,951		(1,284	)		(9	)
													$	(98	)	$	(44	)

Centrally Cleared Interest Rate Swaps - Receive Floating Rate
Floating Rate Index	Fixed Rate			Expiration Date		Notional     Amount     (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
3-Month USD-LIBOR		2.643	%		3/22		8,700		USD	$	1		$	(89	)	$	(88	)	$	2
3-Month USD-LIBOR		1.750	%		12/26		3,110		USD		119			(95	)		24			3
3-Month USD-LIBOR		2.250	%		6/28		1,800		USD		23			(72	)		(49	)		2
3-Month USD-LIBOR		2.500	%		6/46		1,300		USD		33			(105	)		(72	)		5
3-Month USD-LIBOR		1.750	%		6/47		600		USD		103			(40	)		63			2
3-Month USD-LIBOR		2.384	%		9/47		2,000		USD		100			(162	)		(62	)		8
3-Month USD-LIBOR		2.750	%		12/47		800		USD		(26	)		(68	)		(94	)		3
										$	353		$	(631	)	$	(278	)	$	25
Centrally Cleared Interest Rate Swaps - Pay Floating Rate
Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
3-Month USD-LIBOR		2.600	%		3/21		8,700		USD	$	(1	)	$	82		$	81		$	(3	)
										$	(1	)	$	82		$	81		$	(3	)

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

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Long-Term U.S. Government Bond Portfolio

Written Options

Description	Currency		Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call - Ten-Year US Treasury Note Future		USD		11	$	127.000		7/19		11	$	(13	)
Call - Ten-Year US Treasury Note Future		USD		10		129.000		7/19		10		(3	)
Put - Ten-Year US Treasury Note Future		USD		11		124.500		7/19		11		—	Õ
Put - Ten-Year US Treasury Note Future		USD		10		126.500		7/19		10		(1	)
(Premiums Received $13)											$	(17	)

	Financial Derivative Assets									Financial Derivative Liabilities
	Variation Margin (000’s)						Variation Margin (000’s)									Market Value  (000’s)
	Swaps		Futures		Total		Swaps			Futures			Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	25	$	–	$	25	$	(3	)	$	(44	)	$	(47	)	$	(17	)

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

b Cash or securities with an aggregate value of $99,328 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $7,314 representing 6.1% of the net assets.

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $147,546 and the net unrealized appreciation of investments based on that cost was $2,620 which is comprised of $4,729 aggregate gross unrealized appreciation and $2,109 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

p 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, 2019. 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	$	—		$	868		$	—
Governments		—			125,277			—
Structured Products		—			29,498			—
Short-Term Investments		1,336			—			—
Other Financial Instruments^
Futures		1,267			—			—
Interest Rate Swaps		—			168			—
Total Assets:	$	2,603		$	155,811		$	—
Liabilities:
Other Financial Instruments^
Futures		(1,365	)		—			—
Written Options		(17	)		—			—
Interest Rate Swaps		—			(365	)		—
Reverse Repurchase
Agreements		—			(1,161	)		—
Securities Sold Short		—			(5,336	)		—
Total Liabilities:	$	(1,382	)	$	(6,862	)	$	—

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

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

115

Inflation Protection Portfolio (unaudited)

    Sector Allocation 6/30/19

Sector	% of Net Assets
Governments	54.4%
Structured Products	23.4%
Corporate Bonds	13.4%
Short-Term Investments & Other Net Assets	8.3%
Municipal Bonds	0.5%

Sector Allocation is subject to change.

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

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

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

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.

116

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Corporate Bonds (13.4%)	Shares/ Par +		Value $ (000’s)
Basic Materials (0.1%)
The Dow Chemical Co.
3.500%, 10/1/24		200,000		208
LyondellBasell Industries NV
4.625%, 2/26/55		100,000		101
Westlake Chemical Corp.
4.375%, 11/15/47		200,000		188
Total				497
Communications (1.9%)
AT&T, Inc.
2.950%, 7/15/26		200,000		199
3.400%, 5/15/25		450,000		462
3.800%, 2/15/27		300,000		312
4.050%, 12/15/23		150,000		159
4.450%, 4/1/24		100,000		108
4.800%, 6/15/44		280,000		295
5.150%, 11/15/46		77,000		85
CBS Corp.
3.700%, 6/1/28		170,000		173
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
6.484%, 10/23/45		530,000		624
Comcast Corp.
4.250%, 10/15/30		1,080,000		1,203
6.500%, 11/15/35		350,000		474
Deutsche Telekom International Finance
3.600%, 1/19/27 144A		450,000		461
Time Warner Cable LLC
4.500%, 9/15/42		295,000		277
Verizon Communications, Inc.
2.625%, 8/15/26		125,000		124
4.400%, 11/1/34		150,000		166
5.012%, 8/21/54		300,000		359
5.500%, 3/16/47		330,000		417
Viacom, Inc.
4.250%, 9/1/23		470,000		497
4.375%, 3/15/43		90,000		88
The Walt Disney Co.
4.750%, 9/15/44 144A		150,000		183
6.900%, 8/15/39 144A		385,000		567
Total				7,233
Consumer, Cyclical (0.6%)
Ford Motor Co.
4.346%, 12/8/26		120,000		121
Ford Motor Credit Co. LLC
4.389%, 1/8/26		300,000		301
General Motors Co.
5.150%, 4/1/38		650,000		642
The Home Depot, Inc.
4.200%, 4/1/43		275,000		305
McDonald’s Corp.
3.250%, 6/10/24		150,000		156
4.450%, 3/1/47		330,000		362

Corporate Bonds (13.4%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Walmart, Inc.
4.050%, 6/29/48		350,000		401
Total				2,288
Consumer, Non-cyclical (2.0%)
Abbott Laboratories
4.900%, 11/30/46		400,000		493
AbbVie, Inc.
2.900%, 11/6/22		5,000		5
4.450%, 5/14/46		350,000		343
Aetna, Inc.
2.750%, 11/15/22		230,000		231
3.875%, 8/15/47		170,000		153
Allergan Funding SCS
3.850%, 6/15/24		150,000		156
4.550%, 3/15/35		270,000		272
Amgen, Inc.
3.625%, 5/22/24		240,000		252
Anheuser-Busch InBev Worldwide, Inc.
4.900%, 2/1/46		500,000		556
Anthem, Inc.
4.650%, 1/15/43		200,000		218
Becton Dickinson and Co.
3.700%, 6/6/27		261,000		273
Bristol-Myers Squibb Co.
4.250%, 10/26/49 144A		150,000		165
Catholic Health Initiatives
2.950%, 11/1/22		100,000		101
Celgene Corp.
3.625%, 5/15/24		50,000		52
Constellation Brands, Inc.
3.500%, 5/9/27		170,000		174
CVS Health Corp.
2.750%, 12/1/22		650,000		652
4.780%, 3/25/38		180,000		188
5.050%, 3/25/48		170,000		181
Duke University Health System, Inc.
3.920%, 6/1/47		268,000		293
Express Scripts Holding Co.
4.500%, 2/25/26		80,000		86
Gilead Sciences, Inc.
3.650%, 3/1/26		200,000		212
4.150%, 3/1/47		265,000		278
Halfmoon Parent, Inc.
4.900%, 12/15/48 144A		200,000		217
The Kroger Co.
3.875%, 10/15/46		400,000		359
Medtronic, Inc.
3.500%, 3/15/25		80,000		85
4.625%, 3/15/45		62,000		75
Northwell Health, Inc.
4.260%, 11/1/47		180,000		192
Shire Acquisitions Investments Ireland Designated Activity Co.
3.200%, 9/23/26		260,000		263

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

117

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Corporate Bonds (13.4%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Thermo Fisher Scientific, Inc.
2.950%, 9/19/26		250,000		252
UnitedHealth Group, Inc.
3.750%, 10/15/47		350,000		358
4.250%, 3/15/43		150,000		164
Total				7,299
Energy (1.6%)
Cimarex Energy Co.
4.375%, 6/1/24		100,000		106
Enbridge, Inc.
3.500%, 6/10/24		150,000		155
3.700%, 7/15/27		200,000		207
Energy Transfer Partners LP
3.600%, 2/1/23		100,000		102
5.300%, 4/15/47		455,000		474
Enterprise Products Operating LLC
4.850%, 3/15/44		100,000		111
Halliburton Co.
4.850%, 11/15/35		410,000		437
Hess Corp.
6.000%, 1/15/40		250,000		274
Kinder Morgan Energy Partners LP
5.300%, 9/15/20		270,000		279
Kinder Morgan, Inc.
5.550%, 6/1/45		500,000		578
Magellan Midstream Partners LP
5.150%, 10/15/43		150,000		170
Marathon Oil Corp.
5.200%, 6/1/45		100,000		111
MPLX LP
4.500%, 4/15/38		200,000		202
5.200%, 3/1/47		200,000		217
Noble Energy, Inc.
4.150%, 12/15/21		480,000		495
Petroleos Mexicanos
3.500%, 1/30/23		130,000		123
4.875%, 1/18/24		400,000		392
Phillips 66
4.650%, 11/15/34		200,000		222
Plains All American Pipeline LP / PAA Finance Corp.
3.650%, 6/1/22		200,000		205
Sabine Pass Liquefaction LLC
5.625%, 3/1/25		500,000		560
Sunoco Logistics Partners Operations LP
3.450%, 1/15/23		200,000		203
Williams Partners LP
4.125%, 11/15/20		80,000		81
4.300%, 3/4/24		300,000		319
Total				6,023
Financial (4.3%)
The Allstate Corp.
3.850%, 8/10/49		370,000		388
American International Group, Inc.
4.500%, 7/16/44		250,000		264
Bank of America Corp.
3.248%, 10/21/27		1,625,000		1,664
3.300%, 1/11/23		425,000		438

Corporate Bonds (13.4%)	Shares/ Par +		Value $ (000’s)
Financial continued
4.443%, (ICE LIBOR USD 3 Month plus 1.990%), 1/20/48		450,000		510
Boston Properties LP
3.650%, 2/1/26		150,000		156
Capital One Financial Corp.
3.750%, 3/9/27		330,000		340
Citigroup, Inc.
2.350%, 8/2/21		300,000		300
3.200%, 10/21/26		665,000		678
4.050%, 7/30/22		450,000		469
4.075%, (ICE LIBOR USD 3 Month plus 1.192%), 4/23/29		300,000		322
4.281%, (ICE LIBOR USD 3 Month plus 1.839%), 4/24/48		200,000		224
Cooperatieve Rabobank UA
3.950%, 11/9/22		250,000		259
Credit Suisse AG
3.625%, 9/9/24		250,000		263
Discover Bank
3.450%, 7/27/26		300,000		305
Discover Financial Services
3.750%, 3/4/25		200,000		207
Essex Portfolio LP
3.625%, 8/15/22		100,000		103
The Goldman Sachs Group, Inc.
2.300%, 12/13/19		300,000		300
3.500%, 11/16/26		400,000		410
3.750%, 5/22/25		850,000		889
The Hartford Financial Services Group, Inc.
5.125%, 4/15/22		150,000		161
HSBC Holdings PLC
2.950%, 5/25/21		400,000		403
4.041%, (ICE LIBOR USD 3 Month plus 1.546%), 3/13/28		230,000		241
4.300%, 3/8/26		200,000		215
4.375%, 11/23/26		200,000		211
Huntington Bancshares, Inc.
2.300%, 1/14/22		200,000		200
International Lease Finance Corp.
5.875%, 8/15/22		200,000		218
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
4.150%, 1/23/30		280,000		268
JPMorgan Chase & Co.
3.897%, (ICE LIBOR USD 3 Month plus 1.220%), 1/23/49		400,000		419
3.964%, (ICE LIBOR USD 3 Month plus 1.380%), 11/15/48		835,000		884
4.500%, 1/24/22		750,000		790
Kilroy Realty LP
3.800%, 1/15/23		120,000		124
Markel Corp.
3.500%, 11/1/27		200,000		199
Morgan Stanley
3.772%, (ICE LIBOR USD 3 Month plus 1.140%), 1/24/29		200,000		211
3.875%, 1/27/26		250,000		266
Prudential Financial, Inc.
3.935%, 12/7/49		251,000		263
4.350%, 2/25/50		250,000		281

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

118

Inflation Protection Portfolio

Corporate Bonds (13.4%)	Shares/ Par +		Value $ (000’s)
Financial continued
US Bancorp
3.600%, 9/11/24		400,000		420
Ventas Realty LP / Ventas Capital Corp.
3.250%, 8/15/22		250,000		256
Wells Fargo & Co.
3.000%, 4/22/26		200,000		202
3.550%, 9/29/25		175,000		183
4.100%, 6/3/26		330,000		350
4.125%, 8/15/23		220,000		232
4.750%, 12/7/46		450,000		512
Total				15,998
Industrial (0.6%)
Burlington Northern Santa Fe LLC
3.000%, 4/1/25		200,000		206
3.750%, 4/1/24		200,000		213
4.950%, 9/15/41		100,000		120
CSX Corp.
3.800%, 11/1/46		180,000		182
Lockheed Martin Corp.
3.800%, 3/1/45		200,000		213
Rockwell Collins, Inc.
4.350%, 4/15/47		300,000		327
Union Pacific Corp.
2.750%, 4/15/23		100,000		101
3.350%, 8/15/46		165,000		156
United Technologies Corp.
3.750%, 11/1/46		525,000		534
Waste Management, Inc.
4.150%, 7/15/49		200,000		220
Total				2,272
Technology (1.1%)
Apple, Inc.
2.900%, 9/12/27		650,000		665
3.200%, 5/11/27		550,000		573
4.250%, 2/9/47		370,000		415
Dell International LLC / EMC Corp.
6.020%, 6/15/26 144A		470,000		518
Fidelity National Information Services, Inc.
3.000%, 8/15/26		200,000		202
Microsoft Corp.
3.450%, 8/8/36		400,000		423
4.250%, 2/6/47		550,000		652
Oracle Corp.
2.500%, 10/15/22		300,000		303
2.650%, 7/15/26		150,000		151
Total				3,902
Utilities (1.2%)
AEP Transmission Co., LLC
3.750%, 12/1/47		200,000		205
Alabama Power Co.
3.700%, 12/1/47		240,000		243
American Electric Power Co., Inc.
3.200%, 11/13/27		200,000		204
Consolidated Edison Co. of New York, Inc.
3.875%, 6/15/47		400,000		412
Dominion Resources, Inc.
4.900%, 8/1/41		320,000		361

Corporate Bonds (13.4%)	Shares/ Par +		Value $ (000’s)
Utilities continued
Duke Energy Corp.
3.150%, 8/15/27		150,000		152
Duke Energy Progress, LLC
3.700%, 10/15/46		720,000		730
Exelon Generation Co. LLC
5.600%, 6/15/42		480,000		534
FirstEnergy Corp.
4.850%, 7/15/47		300,000		341
Florida Power & Light Co.
3.950%, 3/1/48		200,000		219
NextEra Energy Capital Holdings, Inc.
3.550%, 5/1/27		200,000		209
Sempra Energy
3.250%, 6/15/27		250,000		250
3.800%, 2/1/38		150,000		145
Southern Co. Gas Capital Corp.
3.950%, 10/1/46		200,000		196
Southwestern Public Service Co.
3.700%, 8/15/47		250,000		252
Virginia Electric & Power Co.
3.450%, 2/15/24		50,000		52
Total				4,505
Total Corporate Bonds (Cost: $47,805)				50,017
Governments (54.4%)
Governments (54.4%)
Australian Government Inflation Linked Bond
6.904%, 8/20/20 AUD §,¥		715,000		907
Canadian Government Real Return Bond
4.250%, 12/1/21 CAD ¥		785,659		660
4.250%, 12/1/26 CAD ¥		1,548,290		1,546
US Treasury Inflation Index Bond
0.125%, 4/15/21		2,964,610		2,937
0.125%, 7/15/22 b		9,555,116		9,526
0.125%, 1/15/23		3,874,255		3,852
0.125%, 7/15/26 b		15,242,656		15,140
0.250%, 1/15/25 b		10,679,526		10,691
0.375%, 7/15/23 b		23,165,901		23,353
0.375%, 7/15/25 b		6,895,488		6,971
0.375%, 1/15/27		8,355,988		8,414
0.375%, 7/15/27 b		9,139,375		9,224
0.500%, 1/15/28		4,143,320		4,211
0.625%, 2/15/43 b		7,390,212		7,162
0.625%, 1/15/24 b		10,676,543		10,863
0.625%, 1/15/26 b		9,301,345		9,525
0.750%, 2/15/42 b		8,848,041		8,880
0.750%, 2/15/45 b		7,378,136		7,300
0.750%, 7/15/28		5,750,966		5,992
0.875%, 2/15/47		2,011,074		2,050
1.000%, 2/15/46		2,534,052		2,656
1.000%, 2/15/48		1,191,538		1,254
1.000%, 2/15/49		3,298,937		3,490
1.375%, 2/15/44 b		11,653,669		13,228
1.750%, 1/15/28		4,872,342		5,462
2.000%, 1/15/26 b		3,153,934		3,509
2.125%, 2/15/40		2,246,028		2,875
2.125%, 2/15/41		5,116,111		6,589
2.375%, 1/15/25 b		2,236,542		2,499
2.375%, 1/15/27 b		4,339,372		5,012
2.500%, 1/15/29		3,230,986		3,887

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

119

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Governments (54.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
3.625%, 4/15/28		2,369,580		3,042
Total				202,707
Total Governments (Cost: $199,157)				202,707
Municipal Bonds (0.5%)
Municipal Bonds (0.5%)
Bay Area Toll Authority, California, Series 2010
6.918%, 4/1/40 RB		35,000		50
City of New York
5.968%, 3/1/36 GO		125,000		166
City of San Antonio TX Electric & Gas System Revenue
5.985%, 2/1/39 RB		150,000		203
City of San Francisco CA Public Utilities Commission Water Revenue
6.950%, 11/1/50 RB		25,000		38
Los Angeles Community College District, Series 2010-E
6.750%, 8/1/49 GO		95,000		150
Metropolitan Transportation Authority
6.814%, 11/15/40 RB		50,000		70
Missouri Highway & Transportation Commission
5.445%, 5/1/33 RB		100,000		124
New Jersey Turnpike Authority, Series 2010
7.102%, 1/1/41 RB		100,000		151
Port Authority of New York & New Jersey, Series 168
4.926%, 10/1/51 RB		50,000		63
Rutgers - The State University of New Jersey
5.665%, 5/1/40 RB		55,000		71
Santa Clara Valley Transportation Authority
5.876%, 4/1/32 RB		50,000		62
State of California
4.600%, 4/1/38 GO		65,000		71
7.300%, 10/1/39 GO		55,000		83
7.550%, 4/1/39 GO		250,000		396
State of Illinois
5.100%, 6/1/33 GO		150,000		158
State of Texas, Series 2009A
5.517%, 4/1/39 RB		30,000		40
Total Municipal Bonds (Cost: $1,792)				1,896
Structured Products (23.4%)
Asset Backed Securities (8.6%)
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A
2.500%, 7/20/21 144A		1,595,000		1,596
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A
2.990%, 6/20/22 144A		2,000,000		2,021
Bean Creek CLO, Ltd., Series 2018-1A, Class AR
3.612%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,250,000		1,237
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A
2.940%, 5/25/29 144A		347,694		349

Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
CIFC Funding, Ltd., Series 2013-3RA, Class A1
3.759%, (ICE LIBOR USD 3 Month plus 0.980%), 4/24/31 144A		1,000,000		987
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR
3.712%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,250,000		1,243
Goldentree Loan Opportunities XI, Ltd., Series 2017-11A, Class AR2
3.671%, (ICE LIBOR USD 3 Month plus 1.070%), 1/18/31 144A		2,100,000		2,088
Hertz Vehicle Financing II LP, Series 2015-1A, Class A
2.730%, 3/25/21 144A		3,950,000		3,954
Hilton Grand Vacations Trust, Series 2014- AA, Class A
1.770%, 11/25/26 144A		134,690		134
Hilton Grand Vacations Trust, Series 2017- AA, Class A
2.660%, 12/26/28 144A		1,511,250		1,519
Honda Auto Receivables Owner Trust, Series 2019-1, Class A3
2.830%, 3/20/23		2,400,000		2,434
KKR CLO, Ltd., Series 2018-22A, Class A 3.742%, (ICE LIBOR USD 3 Month plus
1.150%), 7/20/31 144A		1,500,000		1,491
Magnetite VIII, Ltd., Series 2018-8A, Class AR2
3.577%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A		1,750,000		1,737
MVW Owner Trust, Series 2015-1A, Class A
2.520%, 12/20/32 144A		273,786		273
MVW Owner Trust, Series 2016-1A, Class A
2.250%, 12/20/33 144A		232,055		230
Progress Residential Trust, Series 2019-SFR1, Class A
3.422%, 8/17/35 144A		2,100,000		2,153
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A
2.400%, 3/22/32 144A		72,129		72
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A
3.080%, 3/21/33 144A		199,248		201
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A
3.200%, 1/20/36 144A		1,129,891		1,157
Sounds Point CLO IV-R, Ltd., Series 2013-3RA, Class A
3.751%, (ICE LIBOR USD 3 Month plus 1.150%), 4/18/31 144A		1,600,000		1,590
Towd Point Mortgage Trust, Series 2016-1, Class A1
3.500%, (AFC), 2/25/55 144A		327,623		332
Towd Point Mortgage Trust, Series 2017-2, Class A1
2.750%, (AFC), 4/25/57 144A		674,419		676
Treman Park CLO, Ltd., Series 2015-1A, Class ARR
3.662%, (ICE LIBOR USD 3 Month plus 1.070%), 10/20/28 144A		1,000,000		999

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

120

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Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Verizon Owner Trust, Series 2019-A, Class A1A
2.930%, 9/20/23		2,800,000		2,849
VSE VOI Mortgage LLC, Series 2017-A, Class A
2.330%, 3/20/35 144A		748,393		747
Total				32,069
Mortgage Securities (14.8%)
Agate Bay Mortgage Trust, Series 2014-3, Class A2
3.500%, (AFC), 11/25/44 144A		684,928		689
Agate Bay Mortgage Trust, Series 2015-7, Class A3
3.500%, (AFC), 10/25/45 144A		1,392,965		1,399
Agate Bay Mortgage Trust, Series 2016-1, Class A3
3.500%, (AFC), 12/25/45 144A		997,104		1,008
Agate Bay Mortgage Trust, Series 2016-3, Class A3
3.500%, (AFC), 8/25/46 144A		680,683		688
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B
3.490%, 4/14/33 144A		1,110,000		1,151
BB-UBS Trust, Series 2012-SHOW, Class A
3.430%, 11/5/36 144A		1,000,000		1,047
CD Mortgage Trust, Series 2016-CD2, Class A4
3.526%, (AFC), 11/10/49		700,000		742
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3
6.000%, 9/25/37		33,583		36
Citigroup / Deutsche Bank Commercial Mortgage Trust, Series 2016-CD1, Class AM
2.926%, 8/10/49		1,000,000		1,000
Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class AM
4.426%, (AFC), 2/10/47		1,000,000		1,079
Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class AM
4.193%, (AFC), 9/10/47		850,000		902
Commercial Mortgage Pass Through Certificates, Series 2015-3BP, Class A
3.178%, 2/10/35 144A		875,000		909
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class AM
3.603%, (AFC), 3/10/48		900,000		937
Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class B
4.801%, (CSTR), 2/10/49		880,000		966
Commercial Mortgage Pass Through Certificates, Series 2017-PANW, Class A
3.244%, 11/10/34 144A		850,000		878
Core Industrial Trust, Series 2015-TEXW, Class B
3.329%, 2/10/34 144A		725,000		745
Core Industrial Trust, Series 2015-WEST, Class A
3.292%, 2/10/37 144A		932,354		979

Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10
3.500%, (AFC), 12/25/44 144A		300,000		306
Credit Suisse Mortgage Trust, Series 2017-HL1, Class A3
3.500%, (AFC), 6/25/47 144A		1,134,478		1,146
Federal Home Loan Mortgage Corp.
4.000%, 5/1/42		3,313,167		3,496
4.500%, 4/1/41		2,507,029		2,694
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2
3.690%, 1/25/29		3,700,000		4,061
Federal National Mortgage Association
4.000%, 2/1/46		4,391,267		4,592
GS Mortgage Securities Trust, Series 2016-GS2, Class B
3.759%, (AFC), 5/10/49		750,000		779
Hudson Yards Mortgage Trust, Series 2016-10HY, Class B
3.076%, (CSTR), 8/10/38 144A		1,175,000		1,189
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4
4.166%, 12/15/46		600,000		643
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4
2.821%, 8/15/49		600,000		608
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class AS
3.144%, 8/15/49		675,000		682
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2
2.500%, (AFC), 3/25/43 144A		586,688		585
JP Morgan Mortgage Trust, Series 2014-5, Class A1
2.984%, (AFC), 10/25/29 144A		700,231		706
JP Morgan Mortgage Trust, Series 2016-1, Class A7
3.500%, 5/25/46 144A		1,750,000		1,791
JP Morgan Mortgage Trust, Series 2017-1, Class A2
3.500%, (AFC), 1/25/47 144A		1,652,601		1,672
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B
4.341%, (AFC), 8/15/47		700,000		737
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4
3.414%, 3/15/50		930,000		977
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class A3
3.276%, 11/15/52		1,350,000		1,405
Morgan Stanley Capital I Trust, Series 2014-CPT, Class AM
3.516%, (CSTR), 7/13/29 144A		1,500,000		1,526
Morgan Stanley Capital I Trust, Series 2014-CPT, Class C
3.560%, (CSTR), 7/13/29 144A		600,000		608
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A4
2.782%, 8/15/49		1,575,000		1,589

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

121

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Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3
4.000%, (CSTR), 3/25/57 144A		1,003,973		1,048
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1
3.904%, (ICE LIBOR USD 1 Month plus 1.500%), (AFC), 6/25/57 144A		1,124,177		1,143
Sequoia Mortgage Trust, Series 2014-3, Class A14
3.000%, (AFC), 10/25/44 144A		177,156		177
Sequoia Mortgage Trust, Series 2014-4, Class A2
3.500%, (AFC), 11/25/44 144A		162,869		164
Sequoia Mortgage Trust, Series 2017-7, Class A7
3.500%, (AFC), 10/25/47 144A		2,250,000		2,239
Sequoia Mortgage Trust, Series 2017-CH1, Class A1
4.000%, (AFC), 10/25/47 144A		1,023,819		1,050
Sequoia Mortgage Trust, Series 2018-7, Class A4
4.000%, (AFC), 9/25/48 144A		602,092		618
Thornburg Mortgage Securities Trust, Series 2004-3, Class A
3.144%, (ICE LIBOR USD 1 Month plus 0.740%), (AFC), 9/25/44		244,440		244
USB Commercial Mortgage Trust, Series 2017-C1, Class A3
3.196%, 6/15/50		700,000		724
Wells Fargo Mortgage Backed Securities Trust, Series 2005-17, Class 1A1
5.500%, 1/25/36		25,803		26

Structured Products (23.4%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 1A1
4.923%, (CSTR), 6/25/35		169,019		171
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A15
4.947%, (CSTR), 6/25/35		467,505		488
Wells Fargo Mortgage Backed Securities Trust, Series 2006-10, Class A4
6.000%, 8/25/36		33,596		34
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR10, Class 1A1
4.910%, (CSTR), 1/25/38		37,517		36
WinWater Mortgage Loan Trust, Series 2014- 1, Class A4
3.500%, (AFC), 6/20/44 144A		80,830		82
Total				55,191
Total Structured Products (Cost: $86,285)				87,260
Short-Term Investments (9.1%)
Money Market Funds (9.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		34,038,770		34,039
Total				34,039
Total Short-Term Investments (Cost: $34,039)				34,039
Total Investments (100.8%) (Cost: $369,078)@				375,919
Other Assets, Less Liabilities (-0.8%)				(2,990	)
Net Assets (100.0%)				372,929

Exchange Traded or Centrally Cleared Derivatives Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Two-Year US Treasury Note Future		Long		USD		23,200		116		9/19	$	24,961	$	140		$	(4	)
US Treasury Long Bond Future		Short		USD		2,500		25		9/19		3,890		(81	)		3
													$	59		$	(1	)

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

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Total Return Swaps - Receive Floating Rate

Floating Rate Index	Fixed Rate			Expiration Date	Notional Amount (000’s)		Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
U.S. Consumer Price Index - 3 Month USD LIBOR		1.777	%	6/24		11,000	USD	$	(1	)	$	13		$	12		$	–p
U.S. Consumer Price Index - 3 Month USD LIBOR		1.715	%	6/24		7,400	USD		(1	)		25			24			–p
U.S. Consumer Price Index - 3 Month USD LIBOR		2.073	%	8/27		3,500	USD		–			(46	)		(46	)		(2	)
U.S. Consumer Price Index - 3 Month USD LIBOR		2.145	%	11/27		5,000	USD		–			(115	)		(115	)		2
								$	(2	)	$	(123	)	$	(125	)	$	–Õ

Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection

Reference Entity	Pay Fixed Rate			Expiration Date		Implied Credit Spread		Notional Amount (000’s)			Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
Markit CDX North American Investment Grade		1.000	%		6/24		1.781%		(18,200	)		USD	$	(295	)	$	(92	)	$	(387	)	$	(10	)
													$	(295	)	$	(92	)	$	(387	)	$	(10	)

	Financial Derivative Assets						Financial Derivative Liabilities
	Variation Margin (000’s)						Variation Margin(000’s)									Market Value (000’s)
	Swaps		Futures		Total		Swaps			Futures			Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	2	$	3	$	5	$	(12	)	$	(4	)	$	(16	)	$	–

Over the Counter Derivatives Forward Contracts

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000’s)		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	AUD		1,269		893		9/19	$	—	$	(7	)	$	(7	)
Sell	Morgan Stanley Capital Services	CAD		2,831		2,165		9/19		—		(29	)		(29	)
									$	—	$	(36	)	$	(36	)

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

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Inflation Protection Portfolio

Total Return Swaps

Reference Entity	Counterparty	Payment made by the Fund	Expiration Date		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
CPURNSA	Bank of America NA	2.640%		2/20		2,800	$	(314	)	$	(314	)
CPURNSA	Bank of America NA	2.670%		4/22		3,000		(420	)		(420	)
CPURNSA	Bank of America NA	2.763%		3/23		700		(91	)		(91	)
CPURNSA	Bank of America NA	2.528%		8/24		2,750		(276	)		(276	)
CPURNSA	Bank of America NA	2.140%		7/25		2,900		(88	)		(88	)
CPURNSA	Bank of America NA	1.790%		8/25		1,500		4			4
CPURNSA	Bank of America NA	2.240%		4/27		3,500		(132	)		(132	)
CPURNSA	Bank of America NA	2.218%		4/27		2,000		(71	)		(71	)
CPURNSA	Bank of America NA	2.235%		4/27		2,000		(74	)		(74	)
CPURNSA	Bank of America NA	2.235%		5/27		5,000		(183	)		(183	)
CPURNSA	Barclays Bank PLC	1.710%		2/20		1,000		(3	)		(3	)
CPURNSA	Barclays Bank PLC	2.526%		5/23		5,500		(582	)		(582	)
CPURNSA	Barclays Bank PLC	2.535%		5/23		1,000		(107	)		(107	)
CPURNSA	Barclays Bank PLC	2.589%		7/24		1,400		(150	)		(150	)
CPURNSA	Barclays Bank PLC	2.385%		9/24		4,000		(333	)		(333	)
CPURNSA	Barclays Bank PLC	2.363%		9/24		3,500		(280	)		(280	)
CPURNSA	Barclays Bank PLC	2.310%		9/24		1,400		(104	)		(104	)
CPURNSA	Barclays Bank PLC	2.895%		12/27		1,700		(503	)		(503	)
CPURNSA	Barclays Bank PLC	2.784%		7/44		1,400		(449	)		(449	)
CPURNSA	Goldman Sachs International	1.870%		5/26		17,000		161			161
CPURNSA	Goldman Sachs International	1.920%		5/26		7,000		29			29
CPURNSA	Goldman Sachs International	1.770%		6/26		6,000		115			115
CPURNSA	Goldman Sachs International	2.245%		11/26		3,000		(100	)		(100	)
CPURNSA	Goldman Sachs International	2.280%		11/26		3,000		(111	)		(111	)
CPURNSA	Goldman Sachs International	2.280%		11/26		4,000		(149	)		(149	)
							$	(4,211	)	$	(4,211	)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward     Contracts		Options		Swaps		Total
Total Over the Counter Derivatives		—	$	310	$	310	$	(36)		—	$	(4,520)	$	(4,556)

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $54,440 representing 14.6% of the net assets.

¥ Foreign Bond — par value is foreign denominated

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2019, the aggregate value of these securities was $907 (in thousands), representing 0.2% of net assets.

b Cash or securities with an aggregate value of $142,883 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

# 7-Day yield as of 6/30/2019.

^@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $368,781 and the net unrealized appreciation of investments based on that cost was $2,437 which is comprised of $9,351 aggregate gross unrealized appreciation and $6,914 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

p Amount is less than one thousand.

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

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Inflation Protection Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. See Note 3 for additional information on portfolio valuation.

	Valuation Inputs
Description		Level 1 - Quoted Prices			Level 2 - Other Significant Observable Inputs			Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Municipal Bonds		$	—		$	1,896		$	—
Corporate Bonds			—			50,017			—
Governments			—			202,707			—
Structured Products			—			87,260			—
Short-Term Investments			34,039			—			—
Other Financial Instruments^
Futures			140			—			—
Total Return Swaps			—			346			—
Total Assets:		$	34,179		$	342,226		$	—
Liabilities:
Other Financial Instruments^
Futures			(81	)		—			—
Forward Currency Contracts			—			(36	)		—
Total Return Swaps			—			(4,681	)		—
Credit Default Swaps			—			(387	)		—
Total Liabilities:		$	(81	)	$	(5,104	)	$	—

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

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

125

High Yield Bond Portfolio (unaudited)

    Sector Allocation 6/30/19

Sector	% of Net Assets
Consumer, Non-Cyclical	21.1%
Communications	18.1%
Industrial	13.1%
Consumer, Cyclical	12.8%
Energy	12.7%
Technology	7.2%
Financial	5.5%
Short-Term Investments & Other Net Assets	3.7%
Basic Materials	3.7%
Utilities	2.1%
Other Holdings	0.0%

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.

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

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High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Common Stocks (0.0%)	Shares/ Par +		Value $ (000’s)
Communications (0.0%)
iHeartMedia, Inc. *		22,266		335
Total				335
Total Common Stocks (Cost: $548)				335
Corporate Bonds (96.3%)
Basic Materials (3.7%)
Alpha 2 BV
8.750%, 6/1/23 144A		950,000		933
Alpha 3 BV / Alpha US Bidco, Inc.
6.250%, 2/1/25 144A		3,075,000		3,029
Clearwater Paper Corp.
5.375%, 2/1/25 144A		3,350,000		3,040
Compass Minerals International, Inc.
4.875%, 7/15/24 144A		2,400,000		2,289
Crown Holdings, Inc.
4.250%, 9/30/26		250,000		255
Freeport-McMoRan, Inc.
3.550%, 3/1/22		175,000		175
3.875%, 3/15/23		2,850,000		2,850
5.400%, 11/14/34		2,850,000		2,715
Hexion, Inc.
6.625%, 4/15/20 *,j		3,100,000		2,403
7.875%, 7/15/27 144A *		775,000		779
HudBay Minerals, Inc.
7.250%, 1/15/23 144A		600,000		618
7.625%, 1/15/25 144A		2,075,000		2,142
Platform Specialty Products Corp.
5.875%, 12/1/25 144A		2,050,000		2,135
PQ Corp.
5.750%, 12/15/25 144A		1,000,000		1,011
Starfruit Finco BV / Starfruit US Holdco LLC
8.000%, 10/1/26 144A		3,025,000		3,108
Steel Dynamics, Inc.
5.125%, 10/1/21		620,000		626
5.500%, 10/1/24		930,000		964
Teck Resources, Ltd.
6.000%, 8/15/40		850,000		924
6.125%, 10/1/35		325,000		370
Total				30,366
Communications (18.1%)
Acosta, Inc.
7.750%, 10/1/22 144A		2,850,000		456
Altice France SA
8.125%, 2/1/27 144A		950,000		997
Altice Luxembourg SA
7.625%, 2/15/25 144A		3,375,000		3,175
AMC Networks, Inc.
4.750%, 8/1/25		1,500,000		1,522
5.000%, 4/1/24		2,000,000		2,052
Anixter, Inc.
6.000%, 12/1/25 144A		975,000		1,058
Cablevision Systems Corp.
5.875%, 9/15/22		2,225,000		2,356

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Communications continued
CBS Radio, Inc.
7.250%, 11/1/24 144A		2,100,000		2,213
CCO Holdings LLC / CCO Holdings Capital Corp.
5.000%, 2/1/28 144A		2,000,000		2,042
5.125%, 5/1/27 144A		1,975,000		2,045
5.250%, 9/30/22		1,350,000		1,370
5.375%, 5/1/25 144A		650,000		672
5.375%, 6/1/29 144A		1,050,000		1,084
5.500%, 5/1/26 144A		550,000		576
5.750%, 9/1/23		1,000,000		1,022
5.750%, 1/15/24		3,650,000		3,732
5.750%, 2/15/26 144A		2,350,000		2,465
5.875%, 4/1/24 144A		575,000		601
5.875%, 5/1/27 144A		1,250,000		1,319
Clear Channel International BV
8.750%, 12/15/20 144A		375,000		383
Clear Channel Worldwide Holdings, Inc.
6.500%, 11/15/22		2,925,000		2,976
CommScope Technologies LLC
6.000%, 6/15/25 144A		375,000		351
CommScope, Inc.
5.500%, 6/15/24 144A		350,000		331
CSC Holdings LLC
5.125%, 12/15/21 144A		3,335,000		3,335
5.250%, 6/1/24		1,650,000		1,714
5.375%, 7/15/23 144A		1,100,000		1,130
5.500%, 5/15/26 144A		650,000		682
5.500%, 4/15/27 144A		2,425,000		2,546
6.500%, 2/1/29 144A		675,000		737
6.625%, 10/15/25 144A		1,250,000		1,337
7.500%, 4/1/28 144A		1,750,000		1,921
7.750%, 7/15/25 144A		1,450,000		1,569
Cumulus Media New Holdings, Inc.
6.750%, 7/1/26 144A		300,000		299
Digicel Group One, Ltd.
8.250%, 12/30/22 144A		102,000		56
DISH DBS Corp.
5.000%, 3/15/23		1,260,000		1,217
5.875%, 11/15/24		3,250,000		3,075
7.750%, 7/1/26		1,475,000		1,445
Entercom Media Corp.
6.500%, 5/1/27 144A		1,150,000		1,196
Go Daddy Operating Co. LLC / GD Finance Co., Inc.
5.250%, 12/1/27 144A		650,000		673
Gray Escrow, Inc.
7.000%, 5/15/27 144A		750,000		814
Gray Television, Inc.
5.125%, 10/15/24 144A		675,000		688
5.875%, 7/15/26 144A		2,575,000		2,672
iHeartCommunications, Inc.
6.375%, 5/1/26		125,901		134
8.375%, 5/1/27		3,378,194		3,539
Intelsat Jackson Holdings SA
5.500%, 8/1/23		1,600,000		1,460

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

127

High Yield Bond Portfolio

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Communications continued
8.000%, 2/15/24 144A		625,000		652
8.500%, 10/15/24 144A		2,450,000		2,425
9.750%, 7/15/25 144A		950,000		974
LIN Television Corp.
5.875%, 11/15/22		550,000		562
Match Group, Inc.
5.000%, 12/15/27 144A		1,150,000		1,205
6.375%, 6/1/24		725,000		761
Nexstar Broadcasting, Inc.
6.125%, 2/15/22 144A		1,850,000		1,873
Nexstar Escrow Corp.
5.625%, 8/1/24 144A		2,825,000		2,927
Nexstar Escrow, Inc.
5.625%, 7/15/27 144A		1,025,000		1,051
Outdoor Americas Capital LLC / Outfront Media Capital Corp.
5.875%, 3/15/25		675,000		698
Radio One, Inc.
7.375%, 4/15/22 144A		1,200,000		1,197
SFR Group SA
7.375%, 5/1/26 144A		6,000,000		6,150
Sinclair Television Group, Inc.
5.125%, 2/15/27 144A		1,375,000		1,347
5.375%, 4/1/21		1,370,000		1,371
5.625%, 8/1/24 144A		825,000		844
5.875%, 3/15/26 144A		575,000		588
6.125%, 10/1/22		990,000		1,006
Sirius XM Radio, Inc.
4.625%, 5/15/23 144A		550,000		556
4.625%, 7/15/24 144A		1,825,000		1,867
5.000%, 8/1/27 144A		775,000		788
5.375%, 4/15/25 144A		1,100,000		1,134
5.375%, 7/15/26 144A		1,675,000		1,736
5.500%, 7/1/29 144A		925,000		948
6.000%, 7/15/24 144A		2,185,000		2,246
Sprint Capital Corp.
6.875%, 11/15/28		2,300,000		2,381
Sprint Communications, Inc.
6.000%, 11/15/22		350,000		365
Sprint Corp.
7.125%, 6/15/24		1,150,000		1,219
7.625%, 2/15/25		2,075,000		2,207
7.625%, 3/1/26		1,200,000		1,279
7.875%, 9/15/23		5,590,000		6,079
TEGNA, Inc.
5.125%, 7/15/20		980,000		982
5.500%, 9/15/24 144A		495,000		507
6.375%, 10/15/23		700,000		721
Telenet Finance Luxembourg Notes SARL
5.500%, 3/1/28 144A		4,400,000		4,466
T-Mobile USA, Inc.
4.500%, 2/1/26		525,000		537
5.125%, 4/15/25		2,700,000		2,810
5.375%, 4/15/27		350,000		375
6.000%, 3/1/23		775,000		792
6.375%, 3/1/25		1,460,000		1,516
6.500%, 1/15/24		425,000		440
6.500%, 1/15/26		875,000		946
Tribune Media Co.
5.875%, 7/15/22		3,425,000		3,485

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Communications continued
Unitymedia Hessen GmbH & Co., KG / Unitymedia NRW GmbH
5.000%, 1/15/25 144A		1,250,000		1,288
Unitymedia KabelBW GmbH
6.125%, 1/15/25 144A		2,525,000		2,627
VeriSign, Inc.
4.750%, 7/15/27		275,000		286
5.250%, 4/1/25		350,000		374
Virgin Media Finance PLC
5.750%, 1/15/25 144A		3,475,000		3,597
Virgin Media Secured Finance PLC
5.250%, 1/15/26 144A		3,175,000		3,253
5.500%, 8/15/26 144A		425,000		440
Ziggo Bond Co. BV
5.875%, 1/15/25 144A		625,000		632
6.000%, 1/15/27 144A		2,200,000		2,206
Ziggo BV
5.500%, 1/15/27 144A		2,425,000		2,467
Total				150,220
Consumer, Cyclical (12.8%)
1011778 BC Unlimited Liability Co. / New Red Finance, Inc.
4.250%, 5/15/24 144A		1,000,000		1,011
5.000%, 10/15/25 144A		4,875,000		4,913
Adient Global Holdings, Ltd.
4.875%, 8/15/26 144A		3,450,000		2,734
American Axle & Manufacturing, Inc.
6.250%, 3/15/26		600,000		592
6.500%, 4/1/27		2,875,000		2,868
American Builders & Contractors Supply Co., Inc.
5.750%, 12/15/23 144A		125,000		130
5.875%, 5/15/26 144A		3,275,000		3,414
Aramark Services, Inc.
5.000%, 4/1/25 144A		1,450,000		1,472
5.000%, 2/1/28 144A		1,525,000		1,569
5.125%, 1/15/24		1,525,000		1,567
BCD Acquisition, Inc.
9.625%, 9/15/23 144A		1,100,000		1,154
Boyd Gaming Corp.
6.000%, 8/15/26		425,000		447
6.375%, 4/1/26		775,000		820
6.875%, 5/15/23		2,050,000		2,117
CD&R Waterworks Merger Sub LLC
6.125%, 8/15/25 144A		3,175,000		3,207
CRC Escrow Issuer LLC / CRC Finco, Inc.
5.250%, 10/15/25 144A		4,200,000		4,200
Dana Financing Luxembourg Sarl
5.750%, 4/15/25 144A		650,000		667
6.500%, 6/1/26 144A		2,800,000		2,943
Eldorado Resorts, Inc.
6.000%, 4/1/25		1,800,000		1,892
6.000%, 9/15/26		325,000		355
Ferrellgas LP / Ferrellgas Finance Corp.
6.500%, 5/1/21		625,000		567
6.750%, 1/15/22		2,300,000		2,035
6.750%, 6/15/23		1,375,000		1,207
The Goodyear Tire & Rubber Co.
4.875%, 3/15/27		375,000		356
5.000%, 5/31/26		1,450,000		1,428

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

128

High Yield Bond Portfolio

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
5.125%, 11/15/23		250,000		253
Hanesbrands, Inc.
4.625%, 5/15/24 144A		325,000		337
4.875%, 5/15/26 144A		875,000		908
Hilton Domestic Operating Co., Inc.
4.875%, 1/15/30 144A		500,000		516
5.125%, 5/1/26		1,825,000		1,905
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.
4.625%, 4/1/25		725,000		742
IAA Spinco, Inc.
5.500%, 6/15/27 144A		450,000		468
IHO Verwaltungs GmbH
4.750%, 9/15/26 144A		3,375,000		3,286
6.000%, 5/15/27 144A		600,000		603
6.375%, 5/15/29 144A		900,000		900
JB Poindexter & Co., Inc.
7.125%, 4/15/26 144A		1,650,000		1,683
KAR Auction Services, Inc.
5.125%, 6/1/25 144A		1,425,000		1,450
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC
4.750%, 6/1/27 144A		550,000		564
5.000%, 6/1/24 144A		800,000		826
5.250%, 6/1/26 144A		1,600,000		1,678
Live Nation Entertainment, Inc.
4.875%, 11/1/24 144A		600,000		617
MGM Resorts International
4.625%, 9/1/26		150,000		151
5.500%, 4/15/27		400,000		419
5.750%, 6/15/25		1,175,000		1,278
6.000%, 3/15/23		2,275,000		2,466
6.625%, 12/15/21		1,040,000		1,123
Michaels Stores, Inc.
5.875%, 12/15/20 144A		1,875,000		1,878
8.000%, 7/15/27 144A		1,650,000		1,642
Mohegan Tribal Gaming Authority
7.875%, 10/15/24 144A		2,225,000		2,178
Panther BF Aggregator 2 LP / Panther Finance Co., Inc.
6.250%, 5/15/26 144A		450,000		467
8.500%, 5/15/27 144A		4,550,000		4,686
Party City Holdings, Inc.
6.125%, 8/15/23 144A		2,600,000		2,620
6.625%, 8/1/26 144A		1,975,000		1,916
Penn National Gaming, Inc.
5.625%, 1/15/27 144A		1,150,000		1,136
Performance Food Group, Inc.
5.500%, 6/1/24 144A		325,000		332
Red Rock Resorts, Inc.
5.000%, 10/1/25 144A		2,150,000		2,155
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp.
6.125%, 8/15/21 144A		3,050,000		3,096
Sabre GLBL, Inc.
5.375%, 4/15/23 144A		750,000		767
Six Flags Entertainment Corp.
4.875%, 7/31/24 144A		850,000		863
5.500%, 4/15/27 144A		3,575,000		3,718

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Stars Group Holdings BV
7.000%, 7/15/26 144A		3,500,000		3,701
Suburban Propane Partners LP / Suburban Energy Finance Corp.
5.500%, 6/1/24		3,275,000		3,291
5.750%, 3/1/25		275,000		277
5.875%, 3/1/27		900,000		902
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 144A		1,475,000		1,453
VOC Escrow, Ltd.
5.000%, 2/15/28 144A		1,400,000		1,419
The William Carter Co.
5.625%, 3/15/27 144A		225,000		236
Wyndham Hotels & Resorts, Inc.
5.375%, 4/15/26 144A		1,750,000		1,831
Total				106,402
Consumer, Non-cyclical (21.1%)
Acadia Healthcare Co., Inc.
5.625%, 2/15/23		575,000		584
6.500%, 3/1/24		3,550,000		3,701
Air Medical Merger Sub Corp.
6.375%, 5/15/23 144A		3,575,000		3,200
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertsons’s LLC
5.750%, 3/15/25		4,575,000		4,609
6.625%, 6/15/24		1,600,000		1,658
7.500%, 3/15/26 144A		850,000		907
Allied Universal Holdco LLC
6.625%, 7/15/26 144A		600,000		610
9.750%, 7/15/27 144A		3,325,000		3,325
Avantor, Inc.
6.000%, 10/1/24 144A		825,000		878
9.000%, 10/1/25 144A		3,975,000		4,432
B&G Foods, Inc.
5.250%, 4/1/25		3,250,000		3,282
Bausch Health Cos., Inc.
5.750%, 8/15/27 144A		775,000		815
7.250%, 5/30/29 144A		1,600,000		1,664
Centene Escrow I Corp.
5.375%, 6/1/26 144A		1,200,000		1,261
Charles River Laboratories International, Inc.
5.500%, 4/1/26 144A		600,000		631
CHS / Community Health Systems, Inc.
6.250%, 3/31/23		1,550,000		1,492
6.875%, 2/1/22		2,010,000		1,357
8.000%, 3/15/26 144A		1,050,000		1,009
8.625%, 1/15/24 144A		750,000		752
Crimson Merger Sub, Inc.
6.625%, 5/15/22 144A		6,250,000		5,969
Eagle Holding Co. II LLC
7.625%, 5/15/22 144A		1,150,000		1,156
7.750%, 5/15/22 144A		1,375,000		1,385
Endo Finance LLC / Endo Finco, Inc.
6.000%, 7/15/23 144A		1,955,000		1,408
6.000%, 2/1/25 144A		3,675,000		2,462
Enterprise Merger Sub, Inc.
8.750%, 10/15/26 144A		3,100,000		2,147
Financial & Risk US Holdings, Inc.
6.250%, 5/15/26 144A		600,000		617

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

129

High Yield Bond Portfolio

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
8.250%, 11/15/26 144A		4,300,000		4,423
First Quality Finance Co., Inc.
4.625%, 5/15/21 144A		2,435,000		2,432
5.000%, 7/1/25 144A		425,000		428
Gartner, Inc.
5.125%, 4/1/25 144A		850,000		877
GW Honos Security Corp.
8.750%, 5/15/25 144A		2,625,000		2,592
HCA Healthcare, Inc.
6.250%, 2/15/21		1,385,000		1,451
HCA, Inc.
5.000%, 3/15/24		750,000		817
5.375%, 2/1/25		2,250,000		2,429
5.375%, 9/1/26		975,000		1,051
5.625%, 9/1/28		650,000		704
5.875%, 3/15/22		1,475,000		1,612
5.875%, 5/1/23		2,520,000		2,740
5.875%, 2/15/26		2,825,000		3,122
5.875%, 2/1/29		550,000		603
6.500%, 2/15/20		1,485,000		1,519
Jaguar Holding Co. II / Pharmaceutical Product Development LLC
6.375%, 8/1/23 144A		6,675,000		6,909
Lamb Weston Holdings, Inc.
4.875%, 11/1/26 144A		1,075,000		1,118
Mallinckrodt International Finance SA / Mallinckrodt CB LLC
5.500%, 4/15/25 144A		4,600,000		3,082
5.625%, 10/15/23 144A		2,775,000		2,095
MEDNAX, Inc.
5.250%, 12/1/23 144A		425,000		420
6.250%, 1/15/27 144A		1,825,000		1,795
MPH Acquisition Holdings LLC
7.125%, 6/1/24 144A		5,650,000		5,298
The Nielsen Co. Luxembourg SARL
5.000%, 2/1/25 144A		875,000		860
Nielsen Finance LLC / Nielsen Finance Co.
5.000%, 4/15/22 144A		2,000,000		1,997
Polaris Intermediate Corp.
8.500%, 12/1/22 144A		2,200,000		1,941
Post Holdings, Inc.
5.000%, 8/15/26 144A		2,375,000		2,408
5.500%, 3/1/25 144A		1,275,000		1,316
5.625%, 1/15/28 144A		975,000		1,002
5.750%, 3/1/27 144A		3,775,000		3,898
Prestige Brands, Inc.
5.375%, 12/15/21 144A		3,475,000		3,492
6.375%, 3/1/24 144A		3,525,000		3,688
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc.
9.750%, 12/1/26 144A		2,800,000		2,933
Sotera Health Holdings LLC
6.500%, 5/15/23 144A		4,450,000		4,506
Sotera Health Topco, Inc.
8.125%, 11/1/21 144A		2,900,000		2,893
Surgery Center Holdings, Inc.
6.750%, 7/1/25 144A		2,625,000		2,271
Team Health Holdings, Inc.
6.375%, 2/1/25 144A		6,100,000		4,666

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Teleflex, Inc.
4.625%, 11/15/27		450,000		463
5.250%, 6/15/24		1,750,000		1,798
Tenet Healthcare Corp.
4.500%, 4/1/21		380,000		385
4.625%, 7/15/24		1,400,000		1,417
5.125%, 5/1/25		2,400,000		2,412
6.750%, 6/15/23		3,125,000		3,137
7.000%, 8/1/25		1,075,000		1,071
United Rentals North America, Inc.
4.875%, 1/15/28		2,075,000		2,116
5.250%, 1/15/30		425,000		437
5.500%, 7/15/25		225,000		234
5.500%, 5/15/27		1,750,000		1,842
5.875%, 9/15/26		850,000		905
6.500%, 12/15/26		600,000		649
US Foods, Inc.
5.875%, 6/15/24 144A		3,225,000		3,314
Valeant Pharmaceuticals International, Inc.
5.500%, 3/1/23 144A		537,000		541
5.500%, 11/1/25 144A		725,000		756
5.875%, 5/15/23 144A		641,000		648
6.125%, 4/15/25 144A		4,825,000		4,921
6.500%, 3/15/22 144A		150,000		155
7.000%, 3/15/24 144A		700,000		744
8.500%, 1/31/27 144A		3,150,000		3,463
9.000%, 12/15/25 144A		1,250,000		1,397
9.250%, 4/1/26 144A		525,000		587
Vantiv LLC
4.375%, 11/15/25 144A		375,000		390
Vizient, Inc.
6.250%, 5/15/27 144A		475,000		502
WellCare Health Plans, Inc.
5.375%, 8/15/26 144A		625,000		662
West Street Merger Sub, Inc.
6.375%, 9/1/25 144A		4,550,000		4,209
Total				175,854
Energy (12.7%)
Antero Midstream Partners LP / Antero Midstream Finance Corp.
5.375%, 9/15/24		2,000,000		1,987
5.750%, 3/1/27 144A		1,250,000		1,250
5.750%, 1/15/28 144A		1,900,000		1,881
Antero Resources Corp.
5.125%, 12/1/22		140,000		134
5.625%, 6/1/23		1,000,000		966
Apergy Corp.
6.375%, 5/1/26		300,000		302
Archrock Partners LP
6.875%, 4/1/27 144A		1,825,000		1,907
Ascent Resources Utica Holdings LLC / ARU Finance Corp.
7.000%, 11/1/26 144A		275,000		251
Ascent Resources Utica LLC / AEU Finance Corp.
10.000%, 4/1/22 144A		900,000		953
Berry Petroleum Co. LLC
7.000%, 2/15/26 144A		1,200,000		1,164
Callon Petroleum Co.
6.125%, 10/1/24		1,502,000		1,517

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

130

High Yield Bond Portfolio

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
6.375%, 7/1/26		1,050,000		1,057
Carrizo Oil & Gas, Inc.
6.250%, 4/15/23		1,975,000		1,903
8.250%, 7/15/25		425,000		419
Centennial Resource Production LLC
6.875%, 4/1/27 144A		1,325,000		1,338
Cheniere Corpus Christi Holdings LLC
5.125%, 6/30/27		500,000		543
5.875%, 3/31/25		1,725,000		1,921
7.000%, 6/30/24		825,000		949
Cheniere Energy Partners LP
5.250%, 10/1/25		2,850,000		2,946
5.625%, 10/1/26 144A		1,200,000		1,266
Chesapeake Energy Corp.
7.000%, 10/1/24		1,000,000		898
8.000%, 1/15/25		425,000		392
8.000%, 6/15/27		2,675,000		2,339
CNX Midstream Finance Corp.
6.500%, 3/15/26 144A		2,900,000		2,755
Coeur Mining, Inc.
5.875%, 6/1/24		1,850,000		1,801
CrownRock LP / CrownRock Finance, Inc.
5.625%, 10/15/25 144A		2,975,000		2,975
CVR Refining LLC / Coffeyville Finance, Inc.
6.500%, 11/1/22		3,150,000		3,211
Endeavor Energy Resources LP / EER Finance, Inc.
5.500%, 1/30/26 144A		375,000		389
5.750%, 1/30/28 144A		750,000		789
Enviva Partners LP / Enviva Partners Finance Corp.
8.500%, 11/1/21		3,000,000		3,120
EP Energy LLC / Everest Acquisition Finance, Inc.
6.375%, 6/15/23		350,000		7
8.000%, 11/29/24 144A		1,850,000		1,258
Gulfport Energy Corp.
6.000%, 10/15/24		550,000		425
6.375%, 5/15/25		1,025,000		793
6.375%, 1/15/26		425,000		322
6.625%, 5/1/23		575,000		495
Holly Energy Partners LP / Holly Energy Finance Corp.
6.000%, 8/1/24 144A		3,275,000		3,406
Jagged Peak Energy LLC
5.875%, 5/1/26		1,150,000		1,133
Laredo Petroleum, Inc.
5.625%, 1/15/22		1,250,000		1,159
6.250%, 3/15/23		400,000		372
NuStar Logistics LP
5.625%, 4/28/27		2,725,000		2,745
6.000%, 6/1/26		700,000		725
Oasis Petroleum, Inc.
6.250%, 5/1/26 144A		2,050,000		1,983
6.875%, 3/15/22		611,000		608
Parsley Energy LLC / Parsley Finance Corp.
5.250%, 8/15/25 144A		425,000		431
5.375%, 1/15/25 144A		225,000		231
5.625%, 10/15/27 144A		1,225,000		1,280
6.250%, 6/1/24 144A		300,000		312

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
PDC Energy, Inc.
5.750%, 5/15/26		1,575,000		1,547
6.125%, 9/15/24		575,000		575
Precision Drilling Corp.
5.250%, 11/15/24		225,000		208
6.500%, 12/15/21		119,936		120
7.125%, 1/15/26 144A		1,025,000		992
7.750%, 12/15/23		1,000,000		1,020
QEP Resources, Inc.
5.250%, 5/1/23		575,000		553
5.625%, 3/1/26		975,000		917
Range Resources Corp.
4.875%, 5/15/25		1,525,000		1,338
5.750%, 6/1/21		955,000		965
SESI LLC
7.125%, 12/15/21		1,850,000		1,290
7.750%, 9/15/24		2,600,000		1,671
Shelf Drilling Holdings, Ltd.
8.250%, 2/15/25 144A		1,900,000		1,754
SM Energy Co.
5.625%, 6/1/25		1,000,000		910
6.625%, 1/15/27		250,000		231
6.750%, 9/15/26		1,300,000		1,219
Southwestern Energy Co.
7.750%, 10/1/27		1,550,000		1,484
SRC Energy, Inc.
6.250%, 12/1/25		1,925,000		1,752
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
5.500%, 8/15/22		2,680,000		2,573
5.750%, 4/15/25		2,275,000		1,991
Sunoco LP / Sunoco Finance Corp.
4.875%, 1/15/23		150,000		153
5.500%, 2/15/26		775,000		807
5.875%, 3/15/28		900,000		933
Targa Resources Partners LP / Targa Resources Partners Finance Corp.
5.000%, 1/15/28		1,400,000		1,404
5.125%, 2/1/25		1,425,000		1,471
5.375%, 2/1/27		2,150,000		2,225
5.875%, 4/15/26		1,025,000		1,087
6.500%, 7/15/27 144A		300,000		327
TerraForm Power Operating LLC
4.250%, 1/31/23 144A		175,000		175
5.000%, 1/31/28 144A		2,550,000		2,560
6.625%, 6/15/25 144A		1,275,000		1,339
Tesoro Logistics LP / Tesoro Logistics Finance Corp.
6.250%, 10/15/22		503,000		516
6.375%, 5/1/24		575,000		602
TransMontaigne Partners LP / TLP Finance Corp.
6.125%, 2/15/26		900,000		866
Ultra Resources, Inc.
6.875%, 4/15/22 144A		350,000		42
7.125%, 4/15/25 144A		1,325,000		113
USA Compression Finance Corp.
6.875%, 4/1/26		2,875,000		3,040

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

131

High Yield Bond Portfolio

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Energy continued
USA Compression Partners LP / USA Compression Finance Corp.
6.875%, 9/1/27 144A		725,000		761
Whiting Petroleum Corp.
6.250%, 4/1/23		1,150,000		1,147
6.625%, 1/15/26		1,600,000		1,543
WPX Energy, Inc.
5.750%, 6/1/26		425,000		440
Total				105,669
Financial (5.5%)
Acrisure LLC / Acrisure Finance, Inc.
7.000%, 11/15/25 144A		2,700,000		2,437
8.125%, 2/15/24 144A		1,075,000		1,110
Ally Financial, Inc.
3.750%, 11/18/19		1,950,000		1,954
5.750%, 11/20/25		3,125,000		3,457
AmWINS Group, Inc.
7.750%, 7/1/26 144A		2,575,000		2,665
AssuredPartners, Inc.
7.000%, 8/15/25 144A		3,175,000		3,155
GLP Capital LP / GLP Financing II, Inc.
5.375%, 4/15/26		500,000		541
GTCR AP Finance, Inc.
8.000%, 5/15/27 144A		575,000		578
HUB International, Ltd.
7.000%, 5/1/26 144A		8,475,000		8,591
KIRS Midco 3 PLC
8.625%, 7/15/23 144A		2,100,000		1,974
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc.
5.625%, 5/1/24		475,000		512
5.750%, 2/1/27 144A		225,000		242
National Financial Partners Corp.
6.875%, 7/15/25 144A		3,425,000		3,390
Navient Corp.
5.875%, 10/25/24		2,200,000		2,225
6.125%, 3/25/24		2,075,000		2,127
6.750%, 6/25/25		325,000		336
6.750%, 6/15/26		350,000		363
7.250%, 9/25/23		550,000		587
Quicken Loans, Inc.
5.250%, 1/15/28 144A		1,200,000		1,194
5.750%, 5/1/25 144A		4,725,000		4,865
USIS Merger Sub, Inc.
6.875%, 5/1/25 144A		3,475,000		3,440
Total				45,743
Industrial (13.1%)
Amsted Industries, Inc.
5.625%, 7/1/27 144A		650,000		678
ARD Finance SA
7.125%, 9/15/23		3,650,000		3,732
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
4.625%, 5/15/23 144A		525,000		534
6.000%, 2/15/25 144A		2,600,000		2,691
7.250%, 5/15/24 144A		2,000,000		2,107
Avolon Holdings Funding, Ltd.
5.125%, 10/1/23 144A		600,000		636

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Industrial continued
5.250%, 5/15/24 144A		325,000		346
5.500%, 1/15/23 144A		200,000		213
Berry Global Escrow Corp.
4.875%, 7/15/26 144A		1,950,000		1,991
5.625%, 7/15/27 144A		1,150,000		1,196
Berry Plastics Corp.
5.125%, 7/15/23		1,150,000		1,176
5.500%, 5/15/22		4,205,000		4,252
6.000%, 10/15/22		275,000		280
BWAY Holding Co.
5.500%, 4/15/24 144A		2,175,000		2,176
7.250%, 4/15/25 144A		5,725,000		5,517
CFX Escrow Corp.
6.000%, 2/15/24 144A		525,000		555
6.375%, 2/15/26 144A		450,000		483
Crown Americas LLC / Crown Americas Capital Corp. VI
4.750%, 2/1/26		1,175,000		1,207
Energizer Holdings, Inc.
5.500%, 6/15/25 144A		225,000		228
6.375%, 7/15/26 144A		1,400,000		1,439
7.750%, 1/15/27 144A		1,650,000		1,786
Flex Acquisition Co., Inc.
6.875%, 1/15/25 144A		5,000,000		4,525
7.875%, 7/15/26 144A		3,200,000		2,952
Gates Global LLC / Gates Global Co.
6.000%, 7/15/22 144A		3,101,000		3,103
Graphic Packaging International LLC
4.750%, 7/15/27 144A		650,000		667
Greif, Inc.
6.500%, 3/1/27 144A		450,000		465
The Hillman Group, Inc.
6.375%, 7/15/22 144A		2,500,000		2,219
Koppers, Inc.
6.000%, 2/15/25 144A		3,250,000		3,047
Masonite International Corp.
5.625%, 3/15/23 144A		640,000		659
5.750%, 9/15/26 144A		700,000		721
Multi-Color Corp.
4.875%, 11/1/25 144A		950,000		999
6.125%, 12/1/22 144A		3,125,000		3,223
Owens-Brockway Glass Container, Inc.
5.375%, 1/15/25 144A		1,975,000		2,059
5.875%, 8/15/23 144A		900,000		971
6.375%, 8/15/25 144A		325,000		354
Park Aerospace Holdings, Ltd.
4.500%, 3/15/23 144A		550,000		569
5.250%, 8/15/22 144A		775,000		818
5.500%, 2/15/24 144A		5,700,000		6,144
Pisces Midco, Inc.
8.000%, 4/15/26 144A		2,700,000		2,629
Resideo Funding, Inc.
6.125%, 11/1/26 144A		1,075,000		1,118
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU
5.750%, 10/15/20		3,057,535		3,065
6.875%, 2/15/21		268,566		269
7.000%, 7/15/24 144A		2,575,000		2,663
Sealed Air Corp.
4.875%, 12/1/22 144A		800,000		839

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

132

High Yield Bond Portfolio

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Industrial continued
5.125%, 12/1/24 144A		1,950,000		2,048
Sensata Technologies BV
5.625%, 11/1/24 144A		950,000		1,024
Standard Industries, Inc.
4.750%, 1/15/28 144A		350,000		347
5.000%, 2/15/27 144A		3,100,000		3,139
6.000%, 10/15/25 144A		1,625,000		1,725
Stevens Holding Co., Inc.
6.125%, 10/1/26 144A		450,000		474
Tervita Escrow Corp.
7.625%, 12/1/21 144A		2,050,000		2,085
Titan Acquisition, Ltd. / Titan Co-Borrower LLC
7.750%, 4/15/26 144A		1,850,000		1,665
TransDigm UK Holdings PLC
6.875%, 5/15/26		625,000		632
TransDigm, Inc.
6.000%, 7/15/22		520,000		525
6.250%, 3/15/26 144A		2,250,000		2,354
6.375%, 6/15/26		1,850,000		1,873
6.500%, 7/15/24		4,875,000		4,936
6.500%, 5/15/25		300,000		303
7.500%, 3/15/27 144A		350,000		365
Trident Merger Sub, Inc.
6.625%, 11/1/25 144A		2,225,000		2,075
TTM Technologies, Inc.
5.625%, 10/1/25 144A		1,675,000		1,638
WESCO Distribution, Inc.
5.375%, 12/15/21		2,780,000		2,801
5.375%, 6/15/24		1,750,000		1,794
Total				109,104
Other Holdings (–%)
General Motors Co. Escrow
7.200%, 1/15/49 *,Æ,j		610,000		–
8.375%, 7/15/49 *,Æ,j		4,865,000		–
iHeart Media Escrow
9.000%, 3/1/21 *,Æ		600,000		–Õ
9.000%, 9/15/22 *,Æ		1,515,000		–Õ
Total				–Õ
Technology (7.2%)
Banff Merger Sub, Inc.
9.750%, 9/1/26 144A		3,450,000		2,993
CDW LLC / CDW Finance Corp.
5.000%, 9/1/25		350,000		364
5.500%, 12/1/24		2,075,000		2,218
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.
5.875%, 6/15/21 144A		450,000		458
7.125%, 6/15/24 144A		4,025,000		4,249
Entegris, Inc.
4.625%, 2/10/26 144A		1,075,000		1,083
First Data Corp.
5.375%, 8/15/23 144A		2,000,000		2,036
5.750%, 1/15/24 144A		4,975,000		5,115
IMS Health, Inc.
5.000%, 10/15/26 144A		2,250,000		2,332
Inception Merger Sub, Inc. / Rackspace Hosting, Inc.
8.625%, 11/15/24 144A		3,700,000		3,395

Corporate Bonds (96.3%)	Shares/ Par +		Value $ (000’s)
Technology continued
Infor US, Inc.
6.500%, 5/15/22		4,600,000		4,681
Informatica LLC
7.125%, 7/15/23 144A		3,450,000		3,511
IQVIA, Inc.
5.000%, 5/15/27 144A		750,000		774
JDA Escrow LLC / JDA Bond Finance, Inc.
7.375%, 10/15/24 144A		3,250,000		3,388
MSCI, Inc.
5.750%, 8/15/25 144A		675,000		709
NCR Corp.
5.875%, 12/15/21		1,450,000		1,469
6.375%, 12/15/23		520,000		536
Nuance Communications, Inc.
5.625%, 12/15/26		1,400,000		1,460
6.000%, 7/1/24		1,375,000		1,423
Riverbed Technology, Inc.
8.875%, 3/1/23 144A		1,975,000		1,318
Sensata Technologies UK Financing Co. PLC
6.250%, 2/15/26 144A		200,000		213
Sophia LP / Sophia Finance, Inc.
9.000%, 9/30/23 144A		1,450,000		1,495
SS&C Technologies, Inc.
5.500%, 9/30/27 144A		2,325,000		2,412
Star Merger Sub, Inc.
6.875%, 8/15/26 144A		975,000		1,032
10.250%, 2/15/27 144A		3,900,000		4,139
Tempo Acquisition LLC / Tempo Acquisition Finance Corp.
6.750%, 6/1/25 144A		5,425,000		5,588
Western Digital Corp.
4.750%, 2/15/26		1,900,000		1,864
Total				60,255
Utilities (2.1%)
AmeriGas Partners LP / AmeriGas Finance Corp.
5.500%, 5/20/25		350,000		368
5.625%, 5/20/24		425,000		453
5.750%, 5/20/27		550,000		578
5.875%, 8/20/26		2,625,000		2,782
Calpine Corp.
5.250%, 6/1/26 144A		550,000		560
5.375%, 1/15/23		2,050,000		2,073
5.750%, 1/15/25		1,050,000		1,042
6.000%, 1/15/22 144A		455,000		457
NRG Energy, Inc.
5.250%, 6/15/29 144A		875,000		933
5.750%, 1/15/28		225,000		241
6.625%, 1/15/27		2,050,000		2,227
7.250%, 5/15/26		1,150,000		1,266
Vistra Energy Corp.
5.875%, 6/1/23		225,000		230
Vistra Operations Co. LLC
5.000%, 7/31/27 144A		1,100,000		1,138
5.500%, 9/1/26 144A		900,000		951
5.625%, 2/15/27 144A		1,925,000		2,038
Total				17,337
Total Corporate Bonds (Cost: $803,740)				800,950

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

133

High Yield Bond Portfolio

Short-Term Investments (2.8%)	Shares/ Par +		Value $ (000’s)
Money Market Funds (2.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		22,890,687		22,891
Total				22,891
Total Short-Term Investments (Cost: $22,891)				22,891
Total Investments (99.1%) (Cost: $827,179)@				824,176
Other Assets, Less Liabilities (0.9%)				7,716
Net Assets (100.0%)				831,892

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

* Non income producing

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $516,198 representing 62.1% of the net assets.

j Defaulted Security

Æ Security valued using significant unobservable inputs.

p Amount is less than one thousand.

# 7-Day yield as of 6/30/2019.

^@  At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $826,171 and the net unrealized depreciation of investments based on that cost was $1,996 which is comprised of $21,293 aggregate gross unrealized appreciation and $23,289 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	335	$	—	$	—
Corporate Bonds			—		800,950		—Õ
Short-Term Investments			22,891		—		—
Total Assets:		$	23,226	$	800,950	$	—Õ

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

134

Multi-Sector Bond Portfolio (unaudited)

     Sector Allocation 6/30/19

Sector	% of Net Assets
Corporate Bonds	50.7%
Governments	19.5%
Structured Products	13.3%
Short-Term Investments & Other Net Assets	12.8%
Bank Loan Obligations	2.6%
Municipal Bonds	1.1%

  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.

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time could cause significant losses in the market value of the Portfolio’s fixed income investments.

135

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Basic Materials (1.3%)
ALROSA Finance SA
4.650%, 4/9/24 144A		500,000		517
Georgia-Pacific LLC
8.875%, 5/15/31		200,000		309
Indonesia Asahan Aluminium Persero PT
5.230%, 11/15/21 144A		300,000		316
INEOS Finance PLC
2.875%, 5/1/26 144A EUR ¥		2,700,000		3,108
MMK International Capital DAC
4.375%, 6/13/24 144A		1,400,000		1,418
Syngenta Finance NV
4.892%, 4/24/25 144A		5,900,000		6,154
5.182%, 4/24/28 144A		1,200,000		1,248
Total				13,070
Communications (8.5%)
Altice Financing SA
6.625%, 2/15/23 144A		256,000		262
7.500%, 5/15/26 144A		6,371,000		6,404
Altice France SA
8.125%, 2/1/27 144A		3,200,000		3,360
Altice Luxembourg SA
6.250%, 2/15/25 EUR §,¥		700,000		791
7.250%, 5/15/22 EUR §,¥		1,050,843		1,225
7.625%, 2/15/25 144A		900,000		847
8.000%, 5/15/27 144A EUR ¥		700,000		809
AT&T, Inc.
3.400%, 5/15/25		500,000		514
4.125%, 2/17/26		500,000		532
4.900%, 8/15/37		200,000		216
5.300%, 8/15/58 b		6,200,000		6,946
Baidu, Inc.
3.875%, 9/29/23		200,000		207
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.200%, 3/15/28		1,700,000		1,765
4.464%, 7/23/22		2,400,000		2,521
5.125%, 7/1/49 b		3,300,000		3,344
5.375%, 4/1/38		100,000		107
CommScope Technologies LLC
5.000%, 3/15/27 144A		100,000		87
Deutsche Telekom International Finance
8.750%, 6/15/30		700,000		1,007
DISH DBS Corp.
5.125%, 5/1/20		1,982,000		1,992
6.750%, 6/1/21 b		3,200,000		3,360
7.875%, 9/1/19		100,000		100
Koninklijke KPN NV
5.750%, 9/17/29 GBP §,¥		750,000		1,099
Netflix, Inc.
3.875%, 11/15/29 144A EUR ¥		3,900,000		4,804
5.375%, 11/15/29 144A		200,000		212
Qwest Corp.
7.250%, 9/15/25		500,000		556

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Communications continued
SFR Group SA
7.375%, 5/1/26 144A		7,600,000		7,790
SoftBank Group Corp.
5.000%, 4/15/28 EUR §,¥,b		4,100,000		5,284
Sprint Corp.
7.250%, 9/15/21		400,000		425
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
5.152%, 3/20/28 144A		1,300,000		1,339
Stichting Eldfell
4.250%, 1/15/27 144A EUR ¥		500,000		603
Telenet Finance Luxembourg Notes SARL
3.500%, 3/1/28 144A EUR ¥		1,100,000		1,295
Time Warner Cable LLC
5.875%, 11/15/40		300,000		324
6.750%, 6/15/39		200,000		232
UPCB Finance IV, Ltd.
4.000%, 1/15/27 EUR §,¥		315,000		377
Verizon Communications, Inc.
4.522%, 9/15/48		100,000		112
4.672%, 3/15/55		1,119,000		1,266
5.012%, 4/15/49 b		2,449,000		2,913
5.250%, 3/16/37		200,000		239
Virgin Media Investment Holdings, Ltd.
5.125%, 1/15/25 144A GBP ¥		700,000		921
Virgin Media Secured Finance PLC
4.875%, 1/15/27 GBP §,¥,b		3,100,000		4,045
5.000%, 4/15/27 144A GBP ¥		500,000		654
5.250%, 5/15/29 144A GBP ¥		1,300,000		1,706
Wind Tre SpA
2.625%, 1/20/23 144A EUR ¥		3,000,000		3,434
2.625%, 1/20/23 EUR ¥		300,000		343
2.750%, (Euribor 3 Month ACT/360 plus 2.750%), 1/20/24 144A EUR ¥		600,000		673
3.125%, 1/20/25 EUR §,¥		1,000,000		1,134
Ziggo BV
4.250%, 1/15/27 EUR §,¥		200,000		241
5.500%, 1/15/27 144A		4,200,000		4,272
Total				82,689
Consumer, Cyclical (4.9%)
American Airlines Pass Through Trust, Series 2011-1, Class A
5.250%, 7/31/22		79,266		82
American Airlines Pass Through Trust, Series 2014-1, Class A
3.700%, 4/1/28		451,152		466
Continental Airlines Pass Through Trust, Series 2009-2, Class A
7.250%, 5/10/21		170,330		173
Continental Airlines Pass Through Trust, Series 2010-1, Class A
4.750%, 7/12/22		43,992		45
Enterprise Inns PLC
6.875%, 5/9/25 GBP ¥		1,600,000		2,189

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

136

Multi-Sector Bond Portfolio

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
FCE Bank PLC
0.189%, (Euribor 3 Month ACT/360 plus 0.500%), 8/26/20 EUR §,¥		100,000		113
0.869%, 9/13/21 EUR §,¥		400,000		456
1.875%, 6/24/21 EUR §,¥		100,000		116
Ford Motor Credit Co. LLC
0.050%, (Euribor 3 Month ACT/360 plus 0.370%), 12/1/21 EUR ¥		1,200,000		1,334
0.100%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR ¥		400,000		436
0.121%, (Euribor 3 Month ACT/360 plus 0.430%), 5/14/21 EUR ¥		200,000		225
3.021%, 3/6/24 EUR ¥		900,000		1,084
3.484%, (ICE LIBOR USD 3 Month plus 0.880%), 10/12/21		200,000		197
3.753%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23		200,000		194
5.584%, 3/18/24		600,000		643
5.596%, 1/7/22		1,500,000		1,588
5.729%, (ICE LIBOR USD 3 Month plus 3.140%), 1/7/22		200,000		206
General Motors Financial Co., Inc.
3.450%, 4/10/22		300,000		304
5.100%, 1/17/24		1,200,000		1,283
Hilton Domestic Operating Co., Inc.
4.875%, 1/15/30 144A		400,000		413
Hilton Worldwide Finance Corp.
4.875%, 4/1/27		700,000		723
IHO Verwaltungs GmbH
3.625%, 5/29/25 144A EUR ¥		800,000		930
3.750%, 9/15/26 EUR §,¥,b		4,600,000		5,300
Marks & Spencer PLC
3.000%, 12/8/23 GBP §,¥		300,000		389
4.750%, 6/12/25 GBP §,¥		400,000		552
Marriott Ownership Resorts, Inc.
6.500%, 9/15/26		150,000		160
Melco Resorts Finance, Ltd.
4.875%, 6/6/25 144A		400,000		397
MGM Resorts International
7.750%, 3/15/22		300,000		335
Mitchells & Butlers Finance PLC
1.236%, (ICE LIBOR GBP 3 Month plus 0.450%), 12/15/30 GBP §,¥		1,363,516		1,602
2.860%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		247,912		228
6.469%, 9/15/32 GBP §,¥		200,000		286
QVC, Inc.
4.375%, 3/15/23		2,000,000		2,029
5.450%, 8/15/34		800,000		787
Sands China, Ltd.
4.600%, 8/8/23		300,000		315
5.400%, 8/8/28 b		3,200,000		3,474
Toll Brothers Finance Corp.
4.350%, 2/15/28		100,000		100
4.875%, 3/15/27		1,200,000		1,259
Travis Perkins PLC
4.375%, 9/15/21 GBP §,¥		200,000		262
4.500%, 9/7/23 GBP §,¥		1,900,000		2,475
United Airlines Pass Through Trust, Series 2013-1, Class A
4.300%, 8/15/25		77,757		83

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
US Airways Pass-Through Trust, Series 2012- 1, Class A
5.900%, 4/1/26		929,381		1,024
Virgin Australia Pass Through Trust, Series 2013-1A
5.000%, 4/23/25 144A		21,519		22
Volkswagen Bank GmbH
1.250%, 6/10/24 EUR ¥		800,000		928
Volkswagen Financial Services Aktiengesellschaft
0.875%, 4/12/23 EUR ¥		200,000		230
Volkswagen Group of America Finance LLC
4.000%, 11/12/21 144A		2,500,000		2,580
Volkswagen Leasing GmbH
2.625%, 1/15/24 EUR ¥		1,800,000		2,216
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.500%, 3/1/25 144A		4,050,000		4,183
ZF North America Capital, Inc.
4.500%, 4/29/22 144A		436,000		444
4.750%, 4/29/25 144A		2,232,000		2,305
Total				47,165
Consumer, Non-cyclical (2.8%)
AA Bond Co., Ltd.
2.750%, 7/31/43 GBP ¥		100,000		116
2.875%, 7/31/43 GBP §,¥,b		2,900,000		3,504
4.248%, 7/31/43 GBP ¥		800,000		1,030
4.875%, 7/31/43 GBP §,¥		200,000		249
5.500%, 7/31/43 GBP §,¥		400,000		432
Adani Ports & Special Economic Zone, Ltd.
4.375%, 6/3/29 144A		200,000		203
Allergan Funding SCS
1.500%, 11/15/23 EUR ¥		400,000		474
Amgen, Inc.
4.663%, 6/15/51		1,041,000		1,139
Bacardi, Ltd.
4.700%, 5/15/28 144A		2,900,000		3,101
BAT Capital Corp.
3.222%, 8/15/24		100,000		101
3.557%, 8/15/27		700,000		697
Casino Guichard Perrachon SA
1.865%, 6/13/22 EUR §,¥		200,000		192
CVS Pass-Through Trust
4.704%, 1/10/36 144A		419,970		445
5.926%, 1/10/34 144A		714,427		812
7.507%, 1/10/32 144A		73,995		89
Greene King Finance PLC
2.866%, (ICE LIBOR GBP 3 Month plus 2.080%), 3/15/36 GBP §,¥		450,000		449
Hamilton College
4.750%, 7/1/13		100,000		111
HCA, Inc.
4.500%, 2/15/27		100,000		107
4.750%, 5/1/23		2,655,000		2,830
5.375%, 9/1/26		400,000		431
5.625%, 9/1/28		1,800,000		1,948
5.875%, 2/1/29		100,000		110
6.500%, 2/15/20		2,000,000		2,046
Pfizer, Inc.
5.800%, 8/12/23		200,000		228

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

137

Multi-Sector Bond Portfolio

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
RAC Bond Co. PLC
4.870%, 5/6/46 GBP §,¥		500,000		621
Tenet Healthcare Corp.
4.500%, 4/1/21		300,000		304
Teva Pharmaceutical Finance Co. BV
2.950%, 12/18/22		120,000		109
3.650%, 11/10/21		2,600,000		2,502
Teva Pharmaceutical Finance IV BV
3.650%, 11/10/21		400,000		386
Teva Pharmaceutical Finance Netherlands II BV
1.250%, 3/31/23 EUR §,¥		600,000		606
Teva Pharmaceutical Finance Netherlands III BV
2.800%, 7/21/23		2,300,000		1,995
Total				27,367
Diversified (0.1%)
Co-operative Group Holdings 2011, Ltd.
6.875%, 7/8/20 GBP §,¥		600,000		799
Total				799
Energy (8.0%)
Aker BP ASA
4.750%, 6/15/24 144A		1,000,000		1,031
Andeavor Logistics LP / Tesoro Logistics Finance Corp.
4.250%, 12/1/27		100,000		106
CNOOC Finance 2013, Ltd.
3.000%, 5/9/23		500,000		504
Continental Resources, Inc.
4.375%, 1/15/28		1,400,000		1,474
Dolphin Energy, Ltd.
5.500%, 12/15/21 144A		1,000,000		1,059
El Paso Natural Gas Co. LLC
8.375%, 6/15/32		200,000		269
Energy Transfer Operating LP
4.150%, 10/1/20		400,000		407
4.650%, 6/1/21		200,000		207
5.250%, 4/15/29		100,000		112
7.500%, 7/1/38		100,000		127
Energy Transfer Partners LP
3.600%, 2/1/23		100,000		102
Ensco PLC
5.750%, 10/1/44		200,000		115
8.000%, 1/31/24		80,000		68
Gazprom Neft OAO Via GPN Capital SA
6.000%, 11/27/23 §,b		3,000,000		3,255
Harvest Operations Corp.
2.330%, 4/14/21 144A		2,970,000		2,952
Kinder Morgan Energy Partners LP
6.550%, 9/15/40 b		2,382,000		2,946
Kinder Morgan, Inc.
7.750%, 1/15/32		1,216,000		1,665
Midcontinent Express Pipeline LLC
6.700%, 9/15/19 144A		1,700,000		1,708
Newfield Exploration Co.
5.625%, 7/1/24		2,100,000		2,324
NGPL PipeCo LLC
7.768%, 12/15/37 144A		100,000		127

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Energy continued
Novatek OAO via Novatek Finance, Ltd.
6.604%, 2/3/21 §		200,000		210
Odebrecht Drilling Norbe VIII/IX, Ltd.
6.350%, 12/1/21 §		591,244		585
7.350%, 12/1/26 §,Þ		1,513,170		931
Odebrecht Oil & Gas Finance, Ltd.
0.000%, 2/9/18 §		782,000		7
Pertamina Persero PT
6.500%, 11/7/48 144A		3,800,000		4,697
Petrobras Global Finance BV
7.375%, 1/17/27 b		4,100,000		4,709
Petroleos de Venezuela SA
5.375%, 4/12/27 §,j		6,500,000		975
5.500%, 4/12/37 §,j		4,300,000		666
Petroleos Mexicanos
2.750%, 4/21/27 EUR §,¥		1,100,000		1,094
3.750%, 2/21/24 EUR §,¥		400,000		452
4.750%, 2/26/29 EUR §,¥,b		6,700,000		7,276
4.875%, 2/21/28 EUR §,¥		600,000		666
6.500%, 3/13/27		1,700,000		1,676
6.625%, 6/15/38		1,800,000		1,602
QEP Resources, Inc.
5.625%, 3/1/26		700,000		658
QGOG Constellation SA
9.500%, 11/9/24 §		201,001		94
Ras Laffan Liquefied Natural Gas Co., Ltd. III
5.838%, 9/30/27 144A		2,300,000		2,608
Regency Energy Partners LP / Regency Energy Finance Corp.
4.500%, 11/1/23		300,000		317
5.000%, 10/1/22		1,100,000		1,169
5.750%, 9/1/20		300,000		308
5.875%, 3/1/22		800,000		858
Reliance Holdings USA, Inc.
4.500%, 10/19/20 §		300,000		307
Rio Oil Finance Trust, Series 2014-1
9.250%, 7/6/24 144A		1,477,212		1,645
9.250%, 7/6/24 §		1,292,561		1,440
Rio Oil Finance Trust, Series 2014-3
9.750%, 1/6/27 §		470,221		540
Rockies Express Pipeline LLC
5.625%, 4/15/20 144A		1,000,000		1,016
Sabine Pass Liquefaction LLC
5.625%, 2/1/21		900,000		935
5.625%, 3/1/25 b		4,900,000		5,486
5.750%, 5/15/24		800,000		889
5.875%, 6/30/26		400,000		457
Sunoco LP / Sunoco Finance Corp.
4.875%, 1/15/23		100,000		102
Tallgrass Energy Partners LP
5.500%, 1/15/28 144A		8,400,000		8,494
Transocean Guardian, Ltd.
5.875%, 1/15/24 144A		945,000		960
Transocean Poseidon, Ltd.
6.875%, 2/1/27 144A		200,000		211
Williams Partners LP
3.600%, 3/15/22		2,500,000		2,566
Total				77,164

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

138

Multi-Sector Bond Portfolio

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Financial (20.9%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.650%, 7/21/27		500,000		497
4.250%, 7/1/20		150,000		152
4.450%, 12/16/21		150,000		156
4.450%, 4/3/26		900,000		949
4.875%, 1/16/24		1,500,000		1,614
5.000%, 10/1/21 b		3,450,000		3,617
Alliance Data Systems Corp.
5.875%, 11/1/21 144A		2,900,000		2,985
Ally Financial, Inc.
3.750%, 11/18/19 b		5,290,000		5,301
4.125%, 3/30/20		537,000		542
4.250%, 4/15/21		246,000		251
8.000%, 11/1/31		1,371,000		1,812
Banco Bilbao Vizcaya Argentina SA
6.750%, (Euro Swap Annual 5 Year plus 6.604%), 12/29/49 EUR §,¥,b		5,200,000		6,075
Banistmo SA
3.650%, 9/19/22 144A		200,000		201
Bank of America Corp.
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		1,002
4.000%, 4/1/24		1,081,000		1,151
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 12/31/99 b		4,500,000		4,697
Bank of Ireland
7.375%, (Effective 6/18/20 - Euro Swap Annual 5 Year plus 6.956%), 12/29/49 EUR §,¥		600,000		720
Barclays Bank PLC
7.625%, 11/21/22		2,000,000		2,184
Barclays PLC
2.375%, (GBP Swap Semi-Annual 1 Year plus 1.320%), 10/6/23 GBP §,¥		200,000		254
3.250%, 2/12/27 GBP §,¥		1,500,000		1,942
3.650%, 3/16/25 b		3,100,000		3,116
4.610%, (ICE LIBOR USD 3 Month plus 1.400%), 2/15/23 b		3,100,000		3,212
6.500%, (Euro Swap Annual 5 Year plus 5.875%), 12/29/49 EUR ¥ ,b		3,100,000		3,560
7.000%, (GBP Swap Semi-Annual 5 Year plus 5.084%), 6/15/49 GBP §,¥		800,000		1,024
8.000%, (Euro Swap Annual 5 Year plus 6.750%), 12/15/49 EUR ¥		1,300,000		1,598
BNP Paribas SA
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		6,400,000		6,878
Cantor Fitzgerald LP
4.875%, 5/1/24 144A		100,000		103
6.500%, 6/17/22 144A		200,000		215
7.875%, 10/15/19 144A		1,500,000		1,519
CIT Group, Inc.
5.000%, 8/15/22		272,000		288
5.000%, 8/1/23		100,000		107
5.250%, 3/7/25		100,000		110
Citigroup, Inc.
3.400%, 5/1/26		600,000		621
Cooperatieve Rabobank UA
5.500%, (Euro Swap Annual 5 Year plus 5.250%), 1/22/49 EUR §,¥		900,000		1,064

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
6.625%, (Euro Swap Annual 5 Year plus 6.697%), 12/29/49 EUR §,¥,b		2,600,000		3,270
CPI Property Group SA
2.125%, 10/4/24 EUR §,¥		400,000		465
4.750%, 3/8/23		1,300,000		1,344
Credit Agricole Assurances SA
4.250%, (Euro Swap Annual 5 Year plus 4.500%), 12/31/49 EUR §,¥		2,000,000		2,475
Credit Suisse AG
6.500%, 8/8/23 144A		7,400,000		8,140
6.500%, 8/8/23 §		1,700,000		1,870
Deutsche Annington Finance BV
5.000%, 10/2/23 144A		300,000		316
Deutsche Bank AG
0.180%, (Euribor 3 Month ACT/360 plus 0.500%), 12/7/20 EUR §,¥		700,000		786
3.150%, 1/22/21		400,000		397
3.375%, 5/12/21		2,000,000		1,991
3.751%, (ICE LIBOR USD 3 Month plus 1.230%), 2/27/23		1,600,000		1,542
4.250%, 2/4/21		900,000		908
4.250%, 10/14/21 b		4,500,000		4,559
5.000%, 2/14/22 b		6,000,000		6,183
The Doctors Co.
6.500%, 10/15/23 144A		300,000		323
Emerald Bay SA
0.000%, 10/15/20 144A EUR ¥		3,796,000		4,165
Equinix, Inc.
2.875%, 3/15/24 EUR ¥		1,200,000		1,426
Fairfax Financial Holdings, Ltd.
2.750%, 3/29/28 144A EUR ¥		500,000		609
Freedom Mortgage Corp.
8.125%, 11/15/24 144A		790,000		672
8.250%, 4/15/25 144A		1,000,000		860
10.750%, 4/1/24 144A		700,000		653
GE Capital International Funding Co. Unlimited Co.
4.418%, 11/15/35		500,000		493
GE Capital UK Funding Unlimited Co.
5.125%, 5/24/23 GBP ¥		500,000		703
Globalworth Real Estate Investments, Ltd.
3.000%, 3/29/25 EUR ¥		2,000,000		2,410
GLP Capital LP / GLP Financing II, Inc.
5.750%, 6/1/28		400,000		441
The Goldman Sachs Group, Inc.
3.610%, (ICE LIBOR USD 3 Month plus 1.200%), 9/15/20		200,000		202
3.750%, 5/22/25		2,700,000		2,823
3.850%, 7/8/24		1,000,000		1,049
4.000%, 3/3/24		400,000		424
4.291%, (ICE LIBOR USD 3 Month plus 1.770%), 2/25/21		200,000		205
5.750%, 1/24/22		400,000		432
Growthpoint Properties International Pty, Ltd.
5.872%, 5/2/23 144A		300,000		316
HBOS PLC
5.374%, 6/30/21 EUR ¥		600,000		748
The Howard Hughes Corp.
5.375%, 3/15/25 144A		300,000		310

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

139

Multi-Sector Bond Portfolio

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
HSBC Holdings PLC
3.600%, 5/25/23		2,100,000		2,184
ING Bank NV
5.800%, 9/25/23 144A		1,700,000		1,880
International Lease Finance Corp.
5.875%, 8/15/22		400,000		436
8.250%, 12/15/20		2,100,000		2,265
8.625%, 1/15/22		400,000		456
Intesa Sanpaolo SpA
5.017%, 6/26/24 144A		2,700,000		2,706
6.500%, 2/24/21 144A		4,100,000		4,314
Jefferies Finance LLC / JFIN Co-Issuer Corp.
6.250%, 6/3/26 144A		1,400,000		1,412
Kennedy Wilson Europe Real Estate PLC
3.950%, 6/30/22 GBP §,¥,b		2,700,000		3,506
Lloyds Banking Group PLC
2.250%, 10/16/24 GBP §,¥		2,000,000		2,548
4.450%, 5/8/25		1,200,000		1,277
Macquarie Group, Ltd.
6.250%, 1/14/21 144A		300,000		316
Morgan Stanley
3.522%, (ICE LIBOR USD 3 Month plus 0.930%), 7/22/22		1,000,000		1,006
4.000%, 7/23/25 b		3,600,000		3,854
Nationwide Building Society
4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,696
Navient Corp.
6.625%, 7/26/21		1,300,000		1,376
7.250%, 1/25/22		400,000		432
NN Group NV
4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,¥,b		2,600,000		3,261
OMEGA Healthcare Investors, Inc.
4.500%, 1/15/25		100,000		104
4.950%, 4/1/24		100,000		106
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc.
6.375%, 12/15/22 144A		200,000		206
Quicken Loans, Inc.
5.250%, 1/15/28 144A		2,900,000		2,886
Royal Bank of Scotland Group PLC
2.000%, (Euribor 3 Month ACT/360 plus 2.039%), 3/8/23 EUR ¥		1,600,000		1,878
2.500%, 3/22/23 EUR §,¥		100,000		121
3.899%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		200
4.800%, 4/5/26 b		2,800,000		2,994
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 b		3,700,000		3,949
7.500%, (USD Swap Semi-Annual 5 Year plus 5.800%), 12/29/49		2,600,000		2,665
8.625%, (USD 5 Year Swap Rate plus 7.598%), 12/29/49		2,100,000		2,263
Santander UK Group Holdings PLC
3.125%, 1/8/21		2,100,000		2,110
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28		2,300,000		2,323
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 12/31/99 GBP §,¥		1,390,000		1,841

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Financial continued
Sberbank of Russia Via SB Capital SA
6.125%, 2/7/22		1,700,000		1,804
Springleaf Finance Corp.
6.125%, 3/15/24		300,000		323
6.875%, 3/15/25		1,900,000		2,080
7.125%, 3/15/26		1,700,000		1,858
Sunac China Holdings, Ltd.
8.350%, 4/19/23		200,000		205
8.375%, 1/15/21		200,000		207
8.625%, 7/27/20		600,000		617
Tesco Property Finance 3 PLC
5.744%, 4/13/40 GBP §,¥		96,858		160
Tesco Property Finance 6 PLC
5.411%, 7/13/44 GBP §,¥,b		2,688,964		4,350
TP ICAP PLC
5.250%, 1/26/24 GBP §,¥		300,000		396
TrustCo Bank Corp.
6.390%, 1/15/50 144A		200,000		205
UBS AG
7.625%, 8/17/22 b		4,400,000		4,935
UBS Group Funding AG
4.125%, 9/24/25 144A		700,000		747
UniCredit SpA
3.750%, 4/12/22 144A		200,000		202
6.497%, (ICE LIBOR USD 3 Month plus 3.900%), 1/14/22 144A		550,000		572
6.572%, 1/14/22 144A		700,000		744
7.830%, 12/4/23 144A		4,200,000		4,774
The Unique Pub Finance Co. PLC
5.659%, 6/30/27 GBP §,¥		501,210		709
7.395%, 3/28/24 GBP §,¥		400,000		567
VEREIT Operating Partnership LP
4.125%, 6/1/21		100,000		103
VIVAT NV
2.375%, 5/17/24 EUR §,¥		200,000		241
Weyerhaeuser Co.
7.375%, 3/15/32		1,500,000		2,096
Total				202,493
Industrial (1.7%)
Aeropuerto Internacional de Tocumen SA
6.000%, 11/18/48 144A		300,000		353
Avolon Holdings Funding, Ltd.
5.125%, 10/1/23 144A		500,000		530
5.500%, 1/15/23 144A		800,000		853
DAE Funding LLC
4.000%, 8/1/20 144A		3,020,000		3,020
5.000%, 8/1/24 144A		400,000		416
Fortress Transportation & Infrastructure
6.750%, 3/15/22 144A		900,000		935
General Electric Co.
0.375%, 5/17/22 EUR ¥		100,000		114
5.550%, 5/4/20		100,000		102
5.550%, 1/5/26		200,000		223
5.875%, 1/14/38		100,000		113
6.875%, 1/10/39		100,000		126
Greif, Inc.
6.500%, 3/1/27 144A		300,000		310
Lima Metro Line 2 Finance, Ltd.
5.875%, 7/5/34 144A		600,000		638

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

140

Multi-Sector Bond Portfolio

Corporate Bonds (50.7%)	Shares/ Par +		Value $ (000’s)
Industrial continued
Pacific National Finance Pty, Ltd.
4.625%, 9/23/20 144A		500,000		510
Park Aerospace Holdings, Ltd.
4.500%, 3/15/23 144A		3,900,000		4,035
5.250%, 8/15/22 144A		650,000		686
5.500%, 2/15/24 144A		400,000		431
Russian Railways Via RZD Capital PLC
7.487%, 3/25/31 GBP §,¥		1,500,000		2,347
Standard Industries, Inc.
4.750%, 1/15/28 144A		950,000		943
Total				16,685
Technology (1.3%)
Dell International LLC / EMC Corp.
5.300%, 10/1/29 144A		4,300,000		4,525
6.020%, 6/15/26 144A		300,000		331
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.
5.450%, 6/15/23 144A		1,100,000		1,186
8.100%, 7/15/36 144A		300,000		368
EMC Corp.
2.650%, 6/1/20		1,600,000		1,591
Fidelity National Information Services, Inc.
4.500%, 10/15/22		395,000		419
NXP BV / NXP Funding LLC
4.875%, 3/1/24 144A		1,700,000		1,822
5.350%, 3/1/26 144A		1,600,000		1,772
Pitney Bowes, Inc.
3.875%, 9/15/20		100,000		100
Quintiles IMS, Inc.
3.250%, 3/15/25 144A EUR ¥		500,000		585
Total				12,699
Utilities (1.2%)
Centrais Electricas Brasileiras SA
6.875%, 7/30/19 §		700,000		701
Dynegy, Inc.
7.375%, 11/1/22		2,328,000		2,412
Edison International
5.750%, 6/15/27		100,000		107
Electricite de France SA
4.500%, 9/21/28 144A		900,000		987
Exelon Generation Co. LLC
4.250%, 6/15/22		500,000		523
FirstEnergy Corp.
7.375%, 11/15/31		400,000		547
Nakilat, Inc.
6.067%, 12/31/33 §		1,000,000		1,166
6.267%, 12/31/33 144A		551,859		633
National Fuel Gas Co.
5.200%, 7/15/25		300,000		324
Perusahaan Listrik Negara PT
5.450%, 5/21/28 144A		3,200,000		3,545
Puget Energy, Inc.
5.625%, 7/15/22		200,000		215
Total				11,160
Total Corporate Bonds (Cost: $477,252)				491,291

Governments (19.5%)	Shares/ Par +		Value $ (000’s)
Governments (19.5%)
Arab Republic of Egypt
4.750%, 4/16/26 144A EUR ¥		1,400,000		1,600
5.625%, 4/16/30 144A EUR ¥		1,550,000		1,721
Argentine Republic Government International Bond
3.375%, 1/15/23 EUR ¥		950,000		839
4.470%, 12/31/38 EUR ¥,b		11,130,000		7,195
5.000%, 1/15/27 EUR §,¥,b		4,900,000		4,056
5.250%, 1/15/28 EUR ¥		250,000		206
54.470%, (Argentina Blended Historical Policy Rate plus 1.000%), 6/21/20 ARS ¥		2,070,000		48
Australian Government
4.250%, 4/21/26 AUD §,¥		2,400,000		2,024
Autonomous Community of Catalonia
4.900%, 9/15/21 EUR ¥		800,000		987
4.950%, 2/11/20 EUR ¥		400,000		467
Banque Centrale de Tunisie International Bond
5.625%, 2/17/24 EUR ¥		300,000		338
Colombia Government International Bond
5.000%, 6/15/45 b		6,000,000		6,621
Dominican Republic International Bond
6.500%, 2/15/48 144A		2,800,000		2,958
6.875%, 1/29/26 §		500,000		564
Ecuador Government International Bond
8.875%, 10/23/27 144A		900,000		936
9.650%, 12/13/26 144A		600,000		650
10.750%, 3/28/22 §		1,300,000		1,459
10.750%, 1/31/29 144A		1,600,000		1,804
Egypt Government International Bond
4.750%, 4/11/25 144A EUR ¥		800,000		928
6.375%, 4/11/31 144A EUR ¥		400,000		462
Export-Import Bank of India
3.375%, 8/5/26		600,000		601
Ghana Government International Bond
7.875%, 3/26/27 144A		600,000		631
8.125%, 3/26/32 144A		400,000		406
8.950%, 3/26/51 144A		600,000		621
Kenya Government International Bond
8.000%, 5/22/32 144A		700,000		740
Oman Government International Bond
6.500%, 3/8/47 §		1,800,000		1,553
6.750%, 1/17/48 144A		2,600,000		2,291
Panama Government International Bond
6.700%, 1/26/36		1,900,000		2,584
8.125%, 4/28/34		100,000		141
Perusahaan Penerbit SBSN Indonesia III
3.400%, 3/29/22 144A		600,000		609
Republic of Costa Rica
7.158%, 3/12/45 §		500,000		501
Republic of Croatia
6.625%, 7/14/20 §,b		5,000,000		5,192
Republic of Indonesia
3.375%, 7/30/25 144A EUR ¥		800,000		1,029
3.750%, 6/14/28 144A EUR ¥		1,900,000		2,578
3.750%, 6/14/28 EUR §,¥,b		2,200,000		2,985
Republic of Kazakhstan
5.125%, 7/21/25 §,b		5,200,000		5,877

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

141

Multi-Sector Bond Portfolio

Governments (19.5%)	Shares/ Par +		Value $ (000’s)
Governments continued
Republic of South Africa Government International Bond
5.875%, 9/16/25 b		5,900,000		6,462
The Republic of Trinidad & Tobago
4.500%, 8/4/26 §		400,000		399
Romanian Government International Bond
2.375%, 4/19/27 EUR §,¥		1,600,000		1,971
Russian Federation
5.625%, 4/4/42 §		2,000,000		2,345
Saudi International Bond
2.875%, 3/4/23 144A		600,000		607
4.000%, 4/17/25 144A		3,900,000		4,149
Senegal Government International Bond
4.750%, 3/13/28 144A EUR ¥		100,000		114
6.250%, 5/23/33 144A		400,000		387
State of Qatar
4.500%, 4/23/28 144A		1,100,000		1,230
5.103%, 4/23/48 144A		1,200,000		1,430
Turkey Government International Bond
4.625%, 3/31/25 EUR ¥		1,800,000		2,039
4.875%, 10/9/26 b		4,000,000		3,580
5.125%, 3/25/22 b		12,600,000		12,412
5.125%, 2/17/28 b		4,300,000		3,842
5.750%, 3/22/24		2,400,000		2,341
6.125%, 10/24/28		400,000		377
7.250%, 12/23/23		1,100,000		1,136
7.625%, 4/26/29		400,000		410
Ukraine Government International Bond
6.750%, 6/20/26 144A EUR ¥		600,000		723
7.375%, 9/25/32 §		500,000		491
7.750%, 9/1/19 §,b		3,100,000		3,110
7.750%, 9/1/20 §,b		5,300,000		5,466
8.994%, 2/1/24 144A		1,000,000		1,089
9.750%, 11/1/28 144A		1,300,000		1,467
United Mexican States
4.600%, 1/23/46 b		4,700,000		4,806
4.750%, 3/8/44		600,000		626
US Treasury
2.000%, 5/31/24 b		50,500,000		51,068
2.250%, 2/15/27		150,000		154
2.750%, 2/15/24 b		8,700,000		9,081
Venezuela Government International Bond
6.000%, 12/9/20 §,j		32,000		8
7.000%, 3/31/38 §,j		204,000		52
7.650%, 4/21/25 §,j		1,955,000		513
8.250%, 10/13/24 §,j		356,000		94
9.000%, 5/7/23 §,j		32,000		9
9.250%, 5/7/28 §,j		1,241,000		327
9.375%, 1/13/34 j		1,400,000		410
Total				188,927
Total Governments (Cost: $189,079)				188,927

Municipal Bonds (1.1%)	Shares/ Par +		Value $ (000’s)
Municipal Bonds (1.1%)
American Municipal Power, Inc., Series 2010-B
7.834%, 2/15/41 RB		100,000		159
Bay Area Toll Authority, California, Series 2010
6.918%, 4/1/40 RB		200,000		288
City of Riverside CA Electric Revenue
7.605%, 10/1/40 RB		200,000		312
Irvine Ranch California Water District
6.622%, 5/1/40 RB		100,000		143
Los Angeles County California Public Works Financing Authority
7.618%, 8/1/40 RB		200,000		312
Metropolitan Government of Nashville & Davidson County Tennessee
6.568%, 7/1/37 RB		100,000		139
Municipal Electric Authority of Georgia
6.655%, 4/1/57 RB		99,000		129
New York City Transitional Finance Authority
5.508%, 8/1/37 RB		300,000		384
New York State Urban Development Corp.
5.770%, 3/15/39 RB		100,000		121
Port Authority of New York & New Jersey, Series 165
5.647%, 11/1/40 RB, GO OF AUTH		1,100,000		1,455
Port Authority of New York & New Jersey, Series 168
4.926%, 10/1/51 RB		200,000		252
San Diego County Regional Airport Authority, Series C
6.628%, 7/1/40 RB		100,000		104
San Diego Redevelopment Agency, Series A
7.625%, 9/1/30 RB		100,000		106
State of California
7.950%, 3/1/36 GO		900,000		934
State of Illinois
6.630%, 2/1/35 GO		245,000		283
6.725%, 4/1/35 GO		95,000		110
7.350%, 7/1/35 GO		200,000		236
Texas Public Finance Authority
8.250%, 7/1/24 RB		175,000		176
Tobacco Settlement Finance Authority of West Virginia, Series A
7.467%, 6/1/47 RB		1,070,000		1,080
Tobacco Settlement Financing Corp., Series 2007-A
6.706%, 6/1/46 RB b		3,240,000		3,056
Triborough Bridge & Tunnel Authority
5.550%, 11/15/40 RB, GO OF AUTH		800,000		1,040
Total Municipal Bonds (Cost: $8,483)				10,819

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

142

Multi-Sector Bond Portfolio

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities (4.4%)
Accredited Mortgage Loan Trust, Series 2005- 3, Class M3
2.945%, (ICE LIBOR USD 1 Month plus 0.480%), 9/25/35		50,000		49
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1
3.304%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		79,142		78
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2
3.199%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		49,689		50
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4
3.379%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		100,000		101
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		7,836,117		2,829
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2
3.404%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		159,035		154
Aircraft Certificate Owner Trust, Series 2003- 1A, Class E
7.001%, 9/20/22 144A		19,723		20
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1
3.274%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		34,910		35
Apex Credit CLO, Ltd., Series 2018-1A, Class ASR
3.632%, (ICE LIBOR USD 3 Month plus 1.050%), 10/27/28 144A		600,000		599
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1
3.639%, (ICE LIBOR USD 1 Month plus 1.245%), 8/15/33		30,084		30
Asset Backed Securities Corp. Home Equity Loan Trust, Series WMC 2005-HE5, Class M4
3.304%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		200,000		200
Bear Stearns Asset Backed Securities I Trust, Series 2005-SD3, Class 1A
2.894%, (ICE LIBOR USD 1 Month plus 0.490%), 7/25/35		3,953		4
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2
2.690%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36		38,023		38
Bear Stearns Asset Backed Securities I Trust, Series 2007-AQ1, Class A1
2.514%, (ICE LIBOR USD 1 Month plus 0.110%), 4/25/31		6,860		10
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A2
2.604%, (ICE LIBOR USD 1 Month plus 0.200%), 4/25/37		87,775		128

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1
3.654%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		180,353		181
Carlyle Global Market Strategies, Series 2015-1A, Class A2MZ
2.984%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		783
Citigroup Mortgage Loan Trust, Series 2005- HE3, Class M2
3.124%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35		58,135		58
Citigroup Mortgage Loan Trust, Series 2007- AHL1, Class A2C
2.614%, (ICE LIBOR USD 1 Month plus 0.210%), 12/25/36		100,000		97
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4
3.979%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		100,000		97
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6
4.740%, (AFC), 10/25/35		4,285		4
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4
2.754%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		95,746		87
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5
4.763%, (AFC), 7/25/36		100,000		103
Countrywide Asset-Backed Certificates, Series 2006-23, Class 2A3
2.574%, (ICE LIBOR USD 1 Month plus 0.170%), 5/25/37		83,885		84
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A
2.544%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		603,386		568
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3
2.694%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/36		52,149		52
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3
2.694%, (ICE LIBOR USD 1 Month plus 0.290%), 8/25/36		90,926		91
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2
2.724%, (ICE LIBOR USD 1 Month plus 0.320%), 2/25/37		900,000		761
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3
2.544%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		40,021		35
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A
3.244%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		2,577,965		2,574

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

143

Multi-Sector Bond Portfolio

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A
2.604%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		1,084,850		960
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1
2.954%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A		2,001,852		1,585
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1
3.024%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		5,061		5
Ellington Loan Acquisition Trust, Series 2007- 2, Class A1
3.454%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		364,984		365
First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		5,098		5
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4
2.544%, (ICE LIBOR USD 1 Month plus 0.140%), 9/25/36		61,895		61
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5
0.010%, 4/25/36		200,000		179
Fremont Home Loan Trust, Series 2005-2, Class M4
3.334%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		283
GSAA Home Equity Trust, Series 2006-17, Class A1
2.464%, (ICE LIBOR USD 1 Month plus 0.060%), 11/25/36		59,917		25
GSAMP Trust, Series 2004-WF, Class M2
4.054%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		43,730		42
GSAMP Trust, Series 2007-FM2, Class A2B
2.494%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		211,521		143
GSAMP Trust, Series 2007-NC1, Class A2A
2.454%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		16,440		10
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4
2.744%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		422
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B, Class 2A2
2.564%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		405,150		275
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4
2.794%, (ICE LIBOR USD 1 Month plus 0.390%), 11/25/35		297,865		293
Lehman XS Trust, Series 2005-4, Class 1A3
3.204%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35		14,029		14

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4
2.704%, (ICE LIBOR USD 1 Month plus 0.300%), 2/25/36		70,487		61
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4
2.674%, (ICE LIBOR USD 1 Month plus 0.270%), 5/25/46		325,460		152
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 5/25/36		1,434,078		948
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1
3.304%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		149,109		148
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 3/25/36 b		13,695,769		11,820
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2
2.504%, (ICE LIBOR USD 1 Month plus 0.100%), 8/25/36		2,311,092		958
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		1,010,829		447
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1
2.854%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		974,097		708
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2
3.109%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		162
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5
3.394%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		300,000		300
Morgan Stanley ABS Capital I, Inc., Series 2006-HE7, Class A2C
2.564%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36		75,187		42
Morgan Stanley ABS Capital I, Inc., Series 2006-HE8, Class A2C
2.544%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		70,873		43
Morgan Stanley ABS Capital I, Inc., Series 2007-HE5, Class A2C
2.654%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		69,383		38
Morgan Stanley Dean Witter Capital I, Inc., Series 2002-HE1, Class M1
3.304%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/32		3,406		3
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1
3.979%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		79,281		80

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

144

Multi-Sector Bond Portfolio

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1
3.754%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		31,651		32
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B
2.564%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		587,704		578
Park Place Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005- WCW2, Class M1
3.154%, (ICE LIBOR USD 1 Month plus 0.750%), 7/25/35		15,360		15
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2
3.199%, (ICE LIBOR USD 1 Month plus 0.795%), (AFC), 8/25/35		114,563		113
RAAC Series, Series 2007-RP4, Class A
2.754%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		292,209		279
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3
2.884%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 9/25/35		266,970		269
Residential Asset Securities Corp., Series 2006-EMX1, Class M1
2.814%, (ICE LIBOR USD 1 Month plus 0.410%), (AFC), 1/25/36		101,023		101
Residential Asset Securities Corp., Series 2007-KS1, Class A3
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37		175,751		175
Residential Asset Securities Corp., Series 2007-KS3, Class AI4
2.744%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,600,000		1,553
Saxon Asset Securities Trust, Series 2006-1, Class M1
2.869%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		400,000		368
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2
3.364%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		81,610		65
SLM Private Education Loan Trust, Series 2010-A, Class 1A
5.450%, (Prime Rate by Country United States less 0.050%), 5/16/44 144A		3,467		4
SLM Private Education Loan Trust, Series 2011-B, Class A3
4.644%, (ICE LIBOR USD 1 Month plus 2.250%), 6/16/42 144A		100,000		101
Soundview Home Loan Trust, Series 2005-3, Class M3
3.229%, (ICE LIBOR USD 1 Month plus 0.825%), 6/25/35		76,675		76
Soundview Home Loan Trust, Series 2006-2, Class M2
2.754%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		400,000		391

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Soundview Home Loan Trust, Series 2006-3, Class A3
2.564%, (ICE LIBOR USD 1 Month plus 0.160%), 11/25/36		198,893		197
Soundview Home Loan Trust, Series 2006- OPT2, Class A4
2.684%, (ICE LIBOR USD 1 Month plus 0.280%), 5/25/36		200,000		195
Soundview Home Loan Trust, Series 2006- OPT3, Class M1
2.714%, (ICE LIBOR USD 1 Month plus 0.310%), 6/25/36 b		6,805,533		4,880
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3
3.379%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		297,039		297
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1
3.379%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		195,716		196
Structured Asset Investment Loan Trust, Series 2005-5, Class M2
3.094%, (ICE LIBOR USD 1 Month plus 0.690%), 6/25/35		12,950		13
Structured Asset Investment Loan Trust, Series 2005-7, Class M2
3.169%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		500,000		497
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		24,085		23
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2001-WF1, Class A 6
2.614%, (ICE LIBOR USD 1 Month plus 0.210%), 2/25/37		116,386		115
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4
2.574%, (ICE LIBOR USD 1 Month plus 0.170%), 12/25/36		410,171		398
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A
2.664%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		1,475,783		1,457
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A
2.554%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		178,529		148
Total				43,013
Mortgage Securities (8.9%)
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1
4.044%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45		2,161		2
Banc of America Funding Trust, Series 2005- H, Class 5A1
4.870%, (CSTR), 11/20/35		168,434		161
Banc of America Funding Trust, Series 2006- J, Class 4A1
4.648%, (CSTR), 1/20/47		72,088		70

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

145

Multi-Sector Bond Portfolio

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Banc of America Funding Trust, Series 2007- 6, Class A1
2.694%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37		79,659		76
Barclays Capital LLC, Series 2009-RR14, Class 2A2
4.003%, (CSTR), 7/26/36 144A		35,686		33
Barclays Capital LLC, Series 2009-RR5, Class 3A3
6.227%, (CSTR), 8/26/36 144A		2,987,802		2,156
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A
4.533%, (CSTR), 7/25/34		5,626		6
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1
3.999%, (CSTR), 11/25/36		192,443		174
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3
6.000%, 9/25/37		5,597		6
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 22AA
4.291%, (CSTR), 9/25/37		15,571		15
Citigroup Mortgage Loan Trust, Series 2007- 10, Class 2A3A
4.643%, (CSTR), 9/25/37		66,938		67
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1
5.750%, 1/25/35		21,533		22
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
2.713%, (ICE LIBOR USD 1 Month plus 0.330%), 11/20/35		7,463		7
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
3.984%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		20,219		21
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3
5.500%, 1/25/36		215,521		192
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1
6.500%, 8/25/32		7,345		8
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13
6.000%, 2/25/37		146,538		92
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1
2.904%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		495,730		248
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1
4.205%, (CSTR), 5/25/36		16,235		15
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B
2.573%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		22,252		19
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A
2.578%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		38,819		35

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1
2.593%, (ICE LIBOR USD 1 Month plus 0.210%), 5/20/46		493,801		414
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A
2.593%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		11,890		9
Countrywide Alternative Loan Trust, Series 2006-OC9, Class A2A
2.564%, (ICE LIBOR USD 1 Month plus 0.160%), 12/25/46		537		1
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2
6.000%, 5/25/37		277,446		195
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1
2.544%, (ICE LIBOR USD 1 Month plus 0.140%), 4/25/47		45,475		43
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1
3.806%, (CSTR), 10/25/35		17,360		15
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1
4.405%, (CSTR), 12/20/35		8,241		7
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-16, Class 2A1
6.500%, 11/25/36		24,350		17
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1
6.000%, 5/25/36		188,794		154
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1
3.464%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		41,894		21
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A2
2.674%, (ICE LIBOR USD 1 Month plus 0.270%), 4/25/46		1,110,201		498
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1
3.865%, (CSTR), 3/25/37		13,045		12
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1
6.500%, 4/25/33		1,201		1
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3
5.500%, 12/25/35		540,483		519
EMF-NL BV, Series 2008-APRX, Class A2
0.490%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §		174,414		190
Eurosail-NL BV, Series 2007-NL2X, Class A
1.190%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §		109,592		124
Federal National Mortgage Association TBA
3.000%, 9/12/49		12,000,000		12,078
3.500%, 8/13/49		47,800,000		48,840
3.500%, 9/12/49		9,300,000		9,499

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

146

Multi-Sector Bond Portfolio

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Federal National Mortgage Association, Series 2003-W6, Class F
2.827%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		20,615		20
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5
5.750%, 5/25/37		284,071		206
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1
4.898%, (CSTR), 9/25/35		6,165		6
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6
6.000%, 2/25/36		123,919		103
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1
4.396%, (CSTR), 1/25/36		2,466		3
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1
4.152%, (CSTR), 3/25/47		12,074		11
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A
2.700%, (ICE LIBOR USD 1 Month plus 0.310%), (AFC), 11/19/35		12,916		12
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A
2.870%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		25,935		26
HomeBanc Mortgage Trust, Series 2005-1, Class A1
2.654%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/35		7,845		7
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A
2.624%, (ICE LIBOR USD 1 Month plus 0.220%), 11/25/35		1,250,123		1,132
Impac Secured Assets Trust, Series 2007-1, Class A2
2.564%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 3/25/37		98,877		92
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1
4.403%, (CSTR), 10/25/34		23,163		24
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A
2.884%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		2,386		2
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A
2.704%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/35		14,581		14
JP Morgan Mortgage Trust, Series 2005- ALT1, Class 2A1
4.248%, (CSTR), 10/25/35		12,527		12
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1
4.563%, (CSTR), 7/25/35		12,163		12
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1
3.970%, (CSTR), 6/25/37		72,997		64

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1
2.600%, (ICE LIBOR USD 1 Month plus 0.170%), 2/25/37		3,456		4
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3
2.784%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/35		21,084		21
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1
3.996%, (CSTR), 12/25/35		191,932		179
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A
4.501%, (CSTR), 2/25/36		3,814		4
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1
4.103%, (CSTR), 5/25/36		17,719		16
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A
4.413%, (CSTR), 7/25/35		36,662		35
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1
4.714%, (CSTR), 8/25/35		7,762		8
Nomura Resecuritization Trust, Series 2014- 1R, Class 2A1
5.363%, (ICE LIBOR USD 1 Month plus 0.130%), 2/26/37 144A		562,568		563
Residential Accredit Loans, Inc., Series 2005- QA3, Class NB2
4.941%, (CSTR), 3/25/35		108,609		101
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1
2.594%, (ICE LIBOR USD 1 Month plus 0.190%), 8/25/36		11,615		11
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1
2.594%, (ICE LIBOR USD 1 Month plus 0.190%), 9/25/36		26,674		25
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1
2.544%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37		23,487		23
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2
6.500%, 4/25/37		3,579,687		1,729
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1
2.724%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		69,996		67
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
3.732%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		591,774		588
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1
2.584%, (ICE LIBOR USD 1 Month plus 0.180%), (AFC), 7/25/46		264,376		246

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

147

Multi-Sector Bond Portfolio

Structured Products (13.3%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-1, Class 1A1
2.754%, (ICE LIBOR USD 1 Month plus 0.350%), 2/25/35		21,742		21
Suntrust Alternative Loan Trust, Series 2005- 1F, Class 1A1
3.054%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		19,160		16
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1
1.855%, (ICE LIBOR GBP 3 Month plus 1.025%), 10/20/51 144A GBP		3,000,000		3,820
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6
4.512%, (CSTR, AFC), 2/25/33		1,075		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3
3.848%, (CSTR), 10/25/36		30,306		28
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1
4.229%, (CSTR), 3/25/36		266,828		261
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1
3.905%, (CSTR), 8/25/36		13,219		13
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1
3.897%, (CSTR), 2/25/37		4,958		5
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2
3.204%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		421,793		354
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1
4.891%, (CSTR), 7/25/37		56,183		53
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 1A1
5.085%, (CSTR), 3/25/35		19,654		20
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1
5.178%, (CSTR), 7/25/36		143,884		146
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1
5.188%, (CSTR), 4/25/36		69,119		69
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR8, Class 1A3
4.934%, (CSTR), 4/25/36		1,388		1
Wells Fargo Mortgage Backed Securities Trust, Series 2007-11, Class A81
6.000%, 8/25/37		103,009		104
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1
4.803%, (CSTR), 11/25/37		58,735		57
Total				86,397
Total Structured Products (Cost: $125,766)				129,410

Bank Loan Obligations (2.6%)	Shares/ Par +		Value $ (000’s)
Bank Loan Obligations (2.6%)
Altice France SA, 5.249%, (US LIBOR plus 2.750%), 7/31/25		199,491		190
CenturyLink, Inc., 5.150%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/25		1,871,500		1,825
Charter Communications Operating LLC, 4.330%, (ICE LIBOR USD 3 Month plus 2.000%), 4/30/25		3,467,801		3,461
CommScope, Inc., 5.650%, (US LIBOR plus 3.250%), 4/6/26		500,000		499
Dell International LLC, 4.410%, (ICE LIBOR USD 3 Month plus 2.000%), 9/7/23		1,531,373		1,522
Enterprise Merger Sub, Inc., 6.150%, (US LIBOR plus 2.000%), 10/10/25		497,500		431
Grifols SA, 4.640%, (ICE LIBOR USD 3 Month plus 2.250%), 1/31/25		684,250		682
Hilton Worldwide Finance, 4.150%, 06/22/26		1,120,295		1,120
INEOS Finance PLC, 2.500%, (Euribor 3 Month plus 2.000%), 3/31/24 EUR¥		3,447,500		3,899
Jefferies Finance LLC, 6.250%, 05/21/26		100,000		100
Las Vegas Sands LLC, 4.150%, (ICE LIBOR USD 3 Month plus 1.750%), 3/27/25		673,219		668
Pacific Gas & Electric Co., 4.690%, (US LIBOR plus 2.250%), 12/31/20		4,500,000		4,494
PCF GmbH, 5.000%, (Euribor 3 Month plus 5.000%), 8/1/24 EUR¥		2,800,000		3,102
Sigma Bidco BV, 3.500%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR¥		1,600,000		1,780
Valeant Pharmaceuticals International, Inc., 5.410%, (US LIBOR plus 3.000%), 6/2/25		367,994		368
Ziggo Secured Finance Partnership, 4.980%, (US LIBOR plus 2.500%), 4/15/25		1,000,000		979
Total Bank Loan Obligations (Cost: $25,861)				25,120
Short-Term Investments (35.0%)
Commercial Paper (0.9%)
Bank of Montreal
0.000%, 7/12/19 CAD¥,b		400,000		305
0.000%, 7/19/19 CAD¥,b		200,000		153
0.000%, 7/24/19 CAD¥,b		100,000		76
0.000%, 7/26/19 CAD¥,b		200,000		153
0.000%, 7/31/19 CAD¥,b		1,700,000		1,296
Bank of Nova Scotia
0.000%, 7/22/19 CAD¥,b		1,000,000		763
0.000%, 7/25/19 CAD¥,b		200,000		153
0.000%, 7/26/19 CAD¥,b		200,000		152
Canadian Imperial Bank of Commerce
0.000%, 7/12/19 CAD¥,b		400,000		305
HSBC Bank
0.000%, 7/11/19 CAD¥,b		800,000		610
0.000%, 7/24/19 CAD¥,b		400,000		305
0.000%, 7/25/19 CAD¥,b		200,000		153
0.000%, 7/26/19 CAD¥,b		300,000		229
Royal Bank of Canada
0.000%, 7/2/19 CAD¥,b		700,000		535
0.000%, 7/11/19 CAD¥,b		400,000		305
0.000%, 7/22/19 CAD¥,b		500,000		381
0.000%, 7/25/19 CAD¥,b		200,000		153
0.000%, 7/26/19 CAD¥,b		800,000		610
0.000%, 7/31/19 CAD¥,b		1,000,000		762

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

148

Multi-Sector Bond Portfolio

Short-Term Investments (35.0%)	Shares/ Par +		Value $ (000’s)
Commercial Paper continued
The Toronto-Dominion Bank
0.000%, 7/2/19 CAD¥,b		1,000,000		763
0.000%, 7/16/19 CAD¥,b		100,000		76
0.000%, 7/19/19 CAD¥,b		300,000		229
0.000%, 7/22/19 CAD¥,b		400,000		305
0.000%, 7/24/19 CAD¥,b		500,000		381
0.000%, 7/26/19 CAD¥,b		200,000		153
Total				9,306
Governments (2.0%)
Brazil Letras do Tesouro Nacional
0.000%, 10/1/19 BRL¥,b		12,300,000		3,152
0.000%, 1/1/20 BRL¥,b		12,500,000		3,158
0.000%, 4/1/20 BRL¥,b		12,700,000		3,167
Hellenic Republic Treasury Bill
0.000%, 8/30/19 EUR¥,b		3,700,000		4,205
0.000%, 10/4/19 EUR¥		4,600,000		5,225
0.000%, 12/6/19 EUR¥,b		200,000		227
Total				19,134
Money Market Funds (6.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		58,719,622		58,720
Total				58,720

Short-Term Investments (35.0%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements (26.0%)
Barclays Capital, Inc. repurchase (Purchased 6/28/19, to be repurchased at $100,006,861, collateralized by US Treasury, 2.250%, due 11/15/24, par and fair value of $99,391,000 and $101,662,240, respectively)
2.470%, 7/2/19		100,000,000		100,000
BNP Paribas repurchase (Purchased 6/28/19, to be repurchased at $52,511,156, collateralized by US Treasury, 2.750%, due 4/30/23, par and fair value of $51,455,700 and $53,369,209, respectively)
2.550%, 7/1/19		52,500,000		52,500
JP Morgan repurchase (Purchased 6/27/19, to be repurchased at $100,023,333, collateralized by US Treasury, 1.625%, due 5/15/26, par and fair value of $103,670,000 and $101,928,668, respectively)
3.500%, 7/1/19		100,000,000		100,000
Total				252,500
Total Short-Term Investments (Cost: $339,445)				339,660
Total Investments (122.2%) (Cost: $1,165,886)@				1,185,227
Other Assets, Less Liabilities (-22.2%)				(215,363)
Net Assets (100.0%)				969,864

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
Euro-Bobl Future		Long		EUR		10,400		104		9/19	$	15,899	$	90	$	8
Euro-Btp Italian Government Bond Future		Long		EUR		8,400		84		9/19		12,828		9		52
Euro-Schatz Future		Long		EUR		5,900		59		9/19		7,533		11		1
Five-Year US Treasury Note Future		Long		USD		53,400		534		9/19		63,095		897		–
Ten-Year US Treasury Note Future		Long		USD		70,400		704		9/19		90,090		1,373		22
Ultra Long Term US Treasury Bond Future		Long		USD		19,000		190		9/19		33,737		622		(92	)
													$	3,002	$	(9	)

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin(000’s)
3-Month USD-LIBOR		2.500%		12/21		120,900		USD	$	(1,998	)	$	(10	)	$	(2,008	)	$	(11	)
3-Month USD-LIBOR		2.500%		12/24		57,700		USD		(2,096	)		(26	)		(2,122	)		(25	)
6-Month Euribor		0.750%		9/29		2,900		EUR		(171	)		(12	)		(183	)		(3	)
6-Month Euribor		1.250%		9/49		900		EUR		(42	)		(108	)		(150	)		1
6-Month GBP-LIBOR		1.500%		9/29		600		GBP		(4	)		(28	)		(32	)		2
6-Month GBP-LIBOR		1.500%		9/49		600		GBP		10			(61	)		(51	)		4
6-Month Euribor		1.000%		12/49		5,400		EUR		(424	)		(26	)		(450	)		7
									$	(4,725	)	$	(271	)	$	(4,996	)	$	(25	)

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

149

Multi-Sector Bond Portfolio

Centrally Cleared Interest Rate Swaps - Pay Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)		Variation Margin(000’s)
3-Month Canada Bankers Acceptances		2.500%		6/29		8,600		CAD	$	115	$	284		$	399	$	1
3-Month USD-LIBOR		3.000%		6/29		2,700		USD		159		98			257		(3	)
3-Month USD-LIBOR		2.995%		5/28		9,300		USD		–		816			816		(12	)
3-Month USD-LIBOR		2.750%		12/29		31,900		USD		2,297		(5	)		2,292		(5	)
									$	2,571	$	1,193		$	3,764	$	(19	)

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

Reference Entity	Receive Fixed Rate		Expiration Date		Implied Credit Spread		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value(000’s)			Variation Margin(000’s)
Markit CDX Emerging Markets Index		1.000%		6/24		1.690%		79,800		USD	$	(3,696	)	$	1,178	$	(2,518	)	$	81
Markit CDX North America High Yield Index		5.000%		6/24		3.258%		61,900		USD		3,655			1,007		4,662			53
Markit CDX North America Investment Grade Index		1.000%		6/24		0.549%		61,900		USD		1,060			264		1,324			37
Markit CDX North America Investment Grade Index		1.000%		12/23		0.477%		3,400		USD		33			43		76			2
											$	1,052		$	2,492	$	3,544		$	173

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

Reference Entity	Receive Fixed Rate		Expiration Date		Implied Credit Spread		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin(000’s)
AT&T, Inc.		1.000%		6/24		0.913%		300		USD	$	(1	)	$	2		$	1		$	–p
Casino Guichard Perrachon SA		1.000%		12/20		9.355%		2,600		EUR		(128	)		(188	)		(316	)		28
Casino Guichard Perrachon SA		1.000%		12/21		9.025%		1,000		EUR		(59	)		(125	)		(184	)		14
Casino Guichard Perrachon SA		1.000%		6/23		8.685%		500		EUR		(63	)		(65	)		(128	)		6
Casino Guichard Perrachon SA		1.000%		12/23		8.602%		600		EUR		(94	)		(72	)		(166	)		6
Ford Motor Co.		5.000%		6/23		1.529%		4,000		USD		544			(22	)		522			6
Ford Motor Co.		5.000%		12/23		1.805%		200		USD		33			(6	)		27			–p
Ford Motor Co.		5.000%		12/23		1.805%		800		USD		105			2			107			1
Ford Motor Credit Co.		5.000%		12/23		1.838%		400		USD		46			7			53			1
Ford Motor Credit Co.		5.000%		12/22		1.448%		200		USD		26			(2	)		24			–p
Frontier Communications Corp.		5.000%		6/20		38.762%		600		USD		(24	)		(123	)		(147	)		(2	)
General Electric Co.		1.000%		12/23		0.809%		2,800		USD		(124	)		147			23			1
General Electric Co.		1.000%		6/24		0.928%		1,000		USD		(1	)		4			3			1
Marks & Spencer PLC		1.000%		12/23		1.607%		200		EUR		(6	)		–			(6	)		–p
Marks & Spencer PLC		1.000%		12/22		1.214%		2,900		EUR		(27	)		2			(25	)		1
Navient Corp.		5.000%		12/22		1.914%		100		USD		7			3			10			–p
Telefonica Emisiones SAU		1.000%		6/24		0.618%		1,000		EUR		16			6			22			1
Telefonica Emisiones SAU		1.000%		12/23		0.544%		3,200		EUR		(5	)		81			76			1
Volkswagen International Finance		1.000%		6/24		0.837%		700		EUR		4			2			6			–p
											$	249		$	(347	)	$	(98	)	$	65

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

150

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Buy Protection

Reference Entity	Pay Fixed Rate		Expiration  Date		Implied Credit Spread		Notional  Amount (000’s)		Currency	Upfront  Premium Paid/  (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market  Value(000’s)		Variation Margin(000’s)
Koninklijke KPN NV		1.000%		12/23		1.021%		(800)	EUR	$	5	$	(4)	$	1	$	–p
										$	5	$	(4)	$	1	$	–p

Written Options

Description	Currency		Notional Par (000’s)		Exercise Price		Expiration  Date		Number of    Contracts		Value (000’s)
Call - Five-Year US Treasury Future		USD		91	$	119.000		7/19		91	$	(12)
Call - Ten-Year US Treasury Note Future		USD		63		128.000		7/19		63		(38)
Call - Ten-Year US Treasury Note Future		USD		62		129.000		7/19		62		(17)
Put - Five-Year US Treasury Future		USD		91		117.000		7/19		91		(6)
Put - Ten-Year US Treasury Note Future		USD		63		125.000		7/19		63		(2)
Put - Ten-Year US Treasury Note Future		USD		62		126.500		7/19		62		(9)
(Premiums Received $106)											$	(84)

	Financial Derivative Assets									Financial Derivative Liabilities
																Market Value
	Variation Margin (000’s)						Variation Margin (000’s)									(000’s)
	Swaps		Futures		Total		Swaps			Futures			Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	255	$	83	$	338	$	(61	)	$	(92	)	$	(153	)	$	(84	)

Over the Counter Derivatives

Forward Contracts

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	BNP Paribas SA	ARS		4,124		93	7/19	$	11	$	—	$	11
Buy	HSBC Bank USA NA	ARS		98,080		2,208	7/19		232		—		232
Sell	BNP Paribas SA	ARS		112,369		2,501	8/19		17		—		17
Sell	Goldman Sachs International	AUD		2,619		1,839	7/19		—		(16)		(16)
Buy	Bank of America NA	BRL		4,491		1,166	8/19		5		—		5
Buy	Goldman Sachs International	BRL		9,698		2,518	8/19		13		—		13
Buy	HSBC Bank USA NA	BRL		4,535		1,178	8/19		7		—		7
Sell	Goldman Sachs International	BRL		12,300		3,175	10/19		—		(55)		(55)
Sell	Goldman Sachs International	BRL		12,500		3,201	1/20		—		(52)		(52)
Sell	Goldman Sachs International	BRL		12,700		3,227	4/20		—		(51)		(51)
Sell	Bank of America NA	CAD		1,700		1,298	7/19		—		(8)		(8)
Sell	HSBC Bank USA NA	CAD		1,200		917	7/19		—		(15)		(15)
Sell	HSBC Bank USA NA	CAD		800		611	7/19		—		(10)		(10)
Sell	HSBC Bank USA NA	CAD		100		76	7/19		—		(1)		(1)
Sell	JP Morgan Chase Bank NA	CAD		200		153	7/19		—		(1)		(1)
Sell	Royal Bank of Scotland PLC	CAD		300		229	7/19		—		(1)		(1)
Sell	JP Morgan Chase Bank NA	CAD		1,400		1,070	7/19		—		(7)		(7)
Sell	Royal Bank of Scotland PLC	CAD		500		382	7/19		—		(2)		(2)
Sell	Goldman Sachs International	CAD		500		382	7/19		—		(1)		(1)
Sell	Royal Bank of Scotland PLC	CAD		500		382	7/19		—		(2)		(2)
Sell	Goldman Sachs International	CAD		200		153	7/19		—		—p		—p
Sell	Royal Bank of Scotland PLC	CAD		400		306	7/19		—		(2)		(2)
Sell	Goldman Sachs International	CAD		1,000		764	7/19		—		(1)		(1)
Sell	JP Morgan Chase Bank NA	CAD		400		306	7/19		—		(2)		(2)
Sell	Royal Bank of Scotland PLC	CAD		300		229	7/19		—		—p		—p
Sell	Royal Bank of Scotland PLC	CAD		2,700		2,063	7/19		—		(1)		(1)
Buy	BNP Paribas SA	CNH		32,689		4,756	9/19		3		—		3
Sell	HSBC Bank USA NA	CNH		32,570		4,738	9/19		—		(51)		(51)

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

151

Multi-Sector Bond Portfolio

Forward 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	Bank of America NA	EUR		116,070		131,984	7/19	$	81	$	—	$	81
Buy	BNP Paribas SA	EUR		7,108		8,082	7/19		35		—		35
Sell	Barclays Bank PLC	EUR		1,345		1,529	7/19		—		(9)		(9)
Sell	BNP Paribas SA	EUR		285		324	7/19		—		(4)		(4)
Sell	Goldman Sachs International	EUR		121,548		138,213	7/19		—		(2,568)		(2,568)
Sell	Bank of America NA	EUR		116,070		132,323	8/19		—		(84)		(84)
Buy	Bank of America NA	GBP		840		1,067	7/19		2		—		2
Buy	BNP Paribas SA	GBP		44,552		56,579	7/19		84		—		84
Buy	HSBC Bank USA NA	GBP		1,801		2,287	7/19		6		—		6
Sell	Bank of America NA	GBP		46,353		58,866	7/19		—		(226)		(226)
Sell	BNP Paribas SA	GBP		43,194		54,940	8/19		—		(71)		(71)
Buy	Barclays Bank PLC	IDR		17,113,327		1,201	9/19		2		—		2
Buy	Goldman Sachs International	IDR		35,269,665		2,475	9/19		6		—		6
Buy	JP Morgan Chase Bank NA	IDR		16,696,827		1,172	9/19		3		—		3
Buy	UBS AG	JPY		40,900		379	7/19		—		(1)		(1)
Sell	JP Morgan Chase Bank NA	JPY		40,900		379	7/19		—		(4)		(4)
Sell	UBS AG	JPY		40,900		380	8/19		1		—		1
Buy	Bank of America NA	KRW		2,024,671		1,758	9/19		7		—		7
Buy	JP Morgan Chase Bank NA	KRW		3,487,980		3,028	9/19		9		—		9
Buy	Royal Bank Of Canada	KRW		6		0	9/19		—p		—		—p
Sell	BNP Paribas SA	KRW		5,599,487		4,861	9/19		—		(138)		(138)
Buy	JP Morgan Chase Bank NA	MXN		1,527		79	8/19		1		—		1
Buy	Barclays Bank PLC	MXN		41,362		2,118	10/19		3		—		3
Sell	Royal Bank of Scotland PLC	MXN		302		16	8/19		—		—p		—p
Sell	HSBC Bank USA NA	MXN		41,362		2,118	10/19		—		(7)		(7)
Buy	BNP Paribas SA	PLN		18,101		4,850	7/19		—p		—		—p
Buy	Goldman Sachs International	RUB		589,729		9,308	7/19		210		(14)		196
Buy	BNP Paribas SA	RUB		5,481		86	8/19		2		—		2
Sell	Goldman Sachs International	RUB		290,941		4,562	8/19		—		(143)		(143)
Buy	HSBC Bank USA NA	SGD		6,469		4,787	9/19		16		—		16
Sell	Bank of America NA	SGD		6,454		4,776	9/19		—		(61)		(61)
Buy	Bank of America NA	TWD		73,459		2,375	9/19		—		(9)		(9)
Buy	BNP Paribas SA	TWD		73,452		2,375	9/19		—		(11)		(11)
Sell	Bank of America NA	TWD		26,760		868	11/19		—		(15)		(15)
Sell	HSBC Bank USA NA	TWD		85,984		2,790	11/19		—		(43)		(43)
Sell	JP Morgan Chase Bank NA	TWD		34,458		1,118	11/19		—		(16)		(16)
Buy	Goldman Sachs International	ZAR		68,512		4,861	7/19		28		—		28
								$	784	$	(3,703)	$	(2,919)

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	%	6/24		1.496	%	USD		1,700	$	(53	)	$	14	$	(39	)
Federative Republic of Brazil	Barclays Bank PLC		1.000	%	6/22		0.981	%	USD		100		(3	)		3		–p
Federative Republic of Brazil	HSBC Bank USA NA		1.000	%	6/24		1.496	%	USD		500		(14	)		2		(12	)
Park Aerospace Holdings, Ltd.Æ	UBS AG		5.000	%	7/20		0.040	%	USD		200		4			4		8
Republic of Indonesia	HSBC Bank USA NA		1.000	%	12/24		1.023	%	USD		9,500		(62	)		51		(11	)
Republic of Peru	Barclays Bank PLC		1.000	%	3/23		0.337	%	USD		1,100		(12	)		38		26
Russian Federation	Goldman Sachs International		1.000	%	9/20		0.571	%	USD		400		(11	)		13		2

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

152

Multi-Sector Bond Portfolio

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

Reference Entity	Counterparty	Receive Fixed Rate		Expiration Date		Implied Credit Spread		Currency		Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
Russian Federation	Goldman Sachs International		1.000%		9/20		0.571%		USD		900	$	(21	)	$	26	$	5
Russian Federation	Goldman Sachs International		1.000%		6/22		0.792%		USD		2,100		(36	)		49		13
Russian Federation	HSBC Bank USA NA		1.000%		6/21		0.640%		USD		4,200		(119	)		148		29
Russian Federation	JP Morgan Chase Bank NA		1.000%		9/20		0.571%		USD		1,500		(40	)		48		8
United Mexican States	BNP Paribas SA		1.000%		6/24		1.110%		USD		100		(2	)		1		(1)
United Mexican States	Goldman Sachs International		1.000%		6/23		0.866%		USD		1,400		(9	)		16		7
United Mexican States	HSBC Bank USA NA		1.000%		12/23		1.002%		USD		1,100		(16	)		16		–p
United Mexican States	HSBC Bank USA NA		1.000%		6/24		1.110%		USD		1,700		(26	)		17		(9)
United Mexican States	JP Morgan Chase Bank NA		1.000%		12/22		0.776%		USD		500		(12	)		16		4
United Mexican States	JP Morgan Chase Bank NA		1.000%		12/23		1.002%		USD		200		(2	)		2		–p
												$	(434	)	$	464	$	30

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)
iBoxx USD Liquid High Yield Index	JP Morgan Chase Bank NA	3-Month USD-LIBOR	iBoxx USD Liquid High Yield Index		12/19		31	$	259	$	259
								$	259	$	259

Written Options

Description	Counterparty	Currency		Notional Par (000’s)		Exercise Price		Expiration Date		Number of Contracts		Value (000’s)
Call - CME Interest Rate Swaption	Goldman Sachs International		USD		9,700	$	1.640		7/19		9,700,000	$	(15)
Call - CME Interest Rate Swaption	Morgan Stanley Capital Services		USD		5,100		1.860		7/19		5,100,000		(15)
Call - CME Interest Rate Swaption	Morgan Stanley Capital Services		USD		5,000		2.130		7/19		5,000,000		(71)
Put - CME Interest Rate Swaption	Goldman Sachs International		USD		9,700		2.000		7/19		9,700,000		(4)
Put - CME Interest Rate Swaption	Morgan Stanley Capital Services		USD		5,100		2.160		7/19		5,100,000		(7)
(Premiums Received $81)												$	(112)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	784	$	361	$	1,145	$	(3,703)	$	(112)	$	(72)	$	(3,887)

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

153

Multi-Sector Bond Portfolio

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

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $220,146 representing 22.7% of the net assets.

¥ Foreign Bond — par value is foreign denominated

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At June 30, 2019, the aggregate value of these securities was $132,494 (in thousands), representing 13.7% of net assets.

b Cash or securities with an aggregate value of $307,005 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2019.

Þ PIK - Payment In Kind. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%

f Defaulted Security

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,164,421 and the net unrealized appreciation of investments based on that cost was $23,104 which is comprised of $46,191 aggregate gross unrealized appreciation and $23,088 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

p Amount is less than one thousand.

Æ 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, 2019. 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	$	—		$	25,120		$	—
Municipal Bonds		—			10,819			—
Corporate Bonds		—			491,291			—
Governments		—			188,927			—
Structured Products		—			129,410			—
Short-Term Investments
Money Market Funds		58,720			—			—
All Others		—			280,940			—
Other Financial Instruments^
Futures		3,002			—			—
Forward Currency Contracts		—			784			—
Total Return Swaps		—			259			—
Interest Rate Swaps		—			3,764			—
Credit Default Swaps		—			7,031			8
Total Assets:	$	61,722		$	1,138,345		$	8
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		—			(3,703	)		—
Written Options		(84	)		(112	)		—
Interest Rate Swaps		—			(4,996	)		—
Credit Default Swaps		—			(3,562	)		—
Total Liabilities:	$	(84	)	$	(12,373	)	$	—

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

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

154

Balanced Portfolio (unaudited)

     Sector Allocation 6/30/19

Sector	% of Net Assets
Fixed Income	46.8%
Domestic Equity	36.0%
Foreign Equity	10.3%
Short-Term Investments & Other Net Assets	6.9%

     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 realized 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 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.

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time

could cause significant losses in the market value of the Portfolio’s fixed income investments.

155

Balanced Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019 (unaudited)

Investment Companies (93.1%)	Shares/ Par +		Value $ (000’s)
Domestic Equity (36.0%)
iShares Russell 2000 ETF		69,000		10,729
iShares Russell Mid-Cap ETF		12,400		693
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		40,835,217		70,400
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		39,881,271		70,749
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		22,570,643		70,714
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		42,571,901		141,722
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		55,596,409		70,885
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		45,223,891		70,866
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		68,074,413		70,525
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		27,601,422		93,652
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		55,594,831		93,121
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		6,490,467		18,842
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		7,953,550		19,089
Total				801,987
Fixed Income (46.8%)
iShares Core U.S. Aggregate Bond ETF		71,600		7,973
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		189,630,611		143,550
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		686,156,328		892,690
Total				1,044,213
Foreign Equity (10.3%)
iShares Core MSCI Emerging Markets ETF		104,000		5,350
iShares MSCI EAFE ETF		92,679		6,092
iShares MSCI Emerging Markets ETF		220,900		9,479
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		10,333,849		11,202
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		24,207,492		40,910
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		26,974,519		45,560
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		107,893,891		111,670
Total				230,263
Total Investment Companies (Cost: $1,911,896)				2,076,463

Short-Term Investments (6.4%)	Shares/ Par +		Value $ (000’s)
Commercial Paper (4.9%)
Apple, Inc.
0.000%, 7/9/19 144A		5,800,000		5,796
BNP Paribas SA
0.000%, 7/10/19 144A		10,000,000		9,992
Exxon Mobil Corp.
2.210%, 10/25/19		5,500,000		5,459
2.280%, 7/17/19		5,000,000		4,994
2.310%, 7/18/19		4,500,000		4,494
Marriott International, Inc.
0.000%, 7/15/19 144A		5,500,000		5,493
0.000%, 8/2/19 144A		9,500,000		9,476
0.000%, 8/26/19 144A		10,000,000		9,958
Mondelez International, Inc.
0.000%, 7/11/19 144A		5,500,000		5,495
0.000%, 7/25/19 144A		5,500,000		5,489
0.000%, 8/13/19 144A		4,075,000		4,062
QUALCOMM, Inc.
0.000%, 7/23/19 144A		10,000,000		9,983
Societe Generale SA
0.000%, 7/8/19 144A		5,000,000		4,997
0.000%, 10/15/19 144A		5,000,000		4,964
Walgreens Boots Alliance, Inc.
0.000%, 8/16/19 144A		10,000,000		9,965
The Walt Disney Co.
0.000%, 9/20/19 144A		10,000,000		9,947
Total				110,564
Money Market Funds (1.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		27,621,928		27,622
Total				27,622
US Government & Agencies (0.3%)
Federal Home Loan Bank
0.000%, 7/9/19		3,000,000		2,999
0.000%, 8/16/19		3,000,000		2,991
Total				5,990
Total Short-Term Investments (Cost: $144,204)				144,176
Total Investments (99.5%) (Cost: $2,056,100)@				2,220,639
Other Assets, Less Liabilities (0.5%)				10,374
Net Assets (100.0%)				2,231,013

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

156

Balanced Portfolio

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

£ Affiliated Company

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $95,617 representing 4.3% of the net assets.

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,056,100 and the net unrealized appreciation of investments based on that cost was $164,539 which is comprised of $167,655 aggregate gross unrealized appreciation and $3,116 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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		$	2,076,463	$	—	$	—
Short-Term Investments
Money Market Funds			27,622		—		—
All Others			—		116,554		—
Total Assets:		$	2,104,085	$	116,554	$	—

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

157

Asset Allocation Portfolio (unaudited)

     Sector Allocation 6/30/19

Sector	% of Net Assets
Domestic Equity	46.6%
Fixed Income	31.5%
Foreign Equity	15.3%
Short-Term Investments & Other Net Assets	6.6%

     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 realized 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 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.

The U.S. federal funds rate has been subject to moderate increases over the course of the last three years. A significant rise in interest rates over a short period of time

could cause significant losses in the market value of the Portfolio’s fixed income investments.

158

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2019

Investment Companies (93.4%)	Shares/ Par +		Value $ (000’s)
Domestic Equity (46.6%)
iShares Russell 2000 ETF		5,500		855
iShares Russell Mid-Cap ETF		14,000		782
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		6,337,566		10,926
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		6,165,830		10,938
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		3,484,046		10,916
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		6,577,931		21,898
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		9,646,395		12,299
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		7,852,367		12,305
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		10,528,725		10,908
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		4,118,544		13,974
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		8,140,666		13,636
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		1,773,723		5,149
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		2,201,834		5,284
Total				129,870
Fixed Income (31.5%)
iShares Core U.S. Aggregate Bond ETF		15,700		1,748
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		30,871,906		23,370
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		48,069,760		62,539
Total				87,657
Foreign Equity (15.3%)
iShares Core MSCI Emerging Markets ETF		12,800		658
iShares MSCI EAFE ETF		24,397		1,604
iShares MSCI Emerging Markets ETF		36,400		1,562
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		2,042,621		2,214
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		4,614,171		7,798
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		5,405,823		9,130

Investment Companies (93.4%)	Shares/ Par +		Value $ (000’s)
Foreign Equity continued
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		19,020,863		19,687
Total				42,653
Total Investment Companies (Cost: $235,588)				260,180
Short-Term Investments (6.0%)
Commercial Paper (3.8%)
BNP Paribas SA
0.000%, 7/10/19 144A		1,000,000		999
Exxon Mobil Corp.
2.280%, 7/17/19		500,000		499
2.310%, 7/18/19		1,000,000		999
Marriott International, Inc.
0.000%, 7/15/19 144A		1,000,000		999
0.000%, 8/2/19 144A		500,000		499
Mondelez International, Inc.
0.000%, 7/25/19 144A		1,000,000		998
0.000%, 8/13/19 144A		500,000		498
QUALCOMM, Inc.
0.000%, 7/23/19 144A		1,000,000		998
Societe Generale SA
0.000%, 10/15/19 144A		1,000,000		993
The Southern Co.
0.000%, 7/16/19 144A		1,200,000		1,198
Walgreens Boots Alliance, Inc.
0.000%, 8/16/19 144A		1,000,000		997
The Walt Disney Co.
0.000%, 9/20/19 144A		1,000,000		995
Total				10,672
Money Market Funds (1.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.310%#		4,072,627		4,073
Total				4,073
US Government & Agencies (0.7%)
Federal Home Loan Bank
0.000%, 7/9/19		1,000,000		1,000
0.000%, 8/16/19		1,000,000		997
Total				1,997
Total Short-Term Investments (Cost: $16,744)				16,742
Total Investments (99.4%) (Cost: $252,332)@				276,922
Other Assets, Less Liabilities (0.6%)				1,603
Net Assets (100.0%)				278,525

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

£ Affiliated Company

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the value of these securities (in thousands) was $9,174 representing 3.3% of the net assets.

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

159

Asset Allocation Portfolio

# 7-Day yield as of 6/30/2019.

@ At June 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $252,332 and the net unrealized appreciation of investments based on that cost was $24,590 which is comprised of $25,111 aggregate gross unrealized appreciation and $521 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at June 30, 2019. 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	$	260,180	$	—	$	—
Short-Term Investments
Money Market Funds		4,073		—		—
All Others		—		12,669		—
Total Assets:	$	264,253	$	12,669	$	—

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

160

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2019 (unaudited) (in thousands)

	Growth Stock Portfolio		Focused Appreciation Portfolio		Large Cap Core Stock Portfolio		Large Cap Blend Portfolio		Index 500 Stock Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	1,069,936	$	966,724	$	594,467	$	168,297	$	3,528,450
Cash		—		—		18		—		27
Cash Collateral for Derivative Positions		—		—		—		—		1
Receivable for Portfolio Shares Sold		26		77		19		161		678
Receivable for Investment Securities Sold		9,711		7,929		2,953		—		2,778
Variation Margin Receivable		—		—		—		—		193
Prepaid Expenses and Other Assets		18		18		13		10		53
Dividends and Interest Receivable		310		1,071		508		270		2,884
Total Assets		1,080,001		975,819		597,978		168,738		3,535,064
Liabilities
Payable for Portfolio Shares Redeemed		187		335		99		24		775
Payable for Investment Securities Purchased		33,638		808		2,456		—		4,501
Investment Advisory Fees		343		479		203		105		545
Accrued Expenses		31		35		31		19		149
Total Liabilities		34,199		1,657		2,789		148		5,970
Net Assets	$	1,045,802	$	974,162	$	595,189	$	168,590	$	3,529,094
Represented By:
Aggregate Paid in Capital (10) (11)	$	625,690	$	548,820	$	477,503	$	106,635	$	1,405,440
Total Distributable Earnings (Loss)		420,112		425,342		117,686		61,955		2,123,654
Net Assets for Shares Outstanding (10) (11)	$	1,045,802	$	974,162	$	595,189	$	168,590	$	3,529,094
Net Asset Value, Offering and Redemption Price per Share	$	3.33	$	3.13	$	1.57	$	1.27	$	5.43
(1) Unaffiliated Investments, at Cost	$	816,018	$	624,620	$	519,549	$	130,565	$	1,605,637
(10) Shares Outstanding		314,135		310,913		379,792		132,268		649,539
(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.

161

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2019 (unaudited) (in thousands)

	Large Company Value Portfolio		Domestic Equity Portfolio		Equity Income Portfolio		Mid Cap Growth Stock Portfolio		Index 400 Stock Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	193,215	$	854,766	$	777,004	$	1,126,979	$	928,113
Cash		—		—		7		32		17
Foreign Currency, at Value (4)		—		—		91		—		—
Cash Collateral for Derivative Positions		—		—		70		—		—
Receivable for Portfolio Shares Sold		13		230		47		37		128
Receivable for Investment Securities Sold		1,918		—		3,346		8,114		6,458
Variation Margin Receivable		—		—		7		—		205
Receivable for Foreign Currency		2		—		—		—		—
Prepaid Expenses and Other Assets		10		17		17		13		30
Dividends and Interest Receivable		310		1,443		1,607		564		919
Total Assets		195,468		856,456		782,196		1,135,739		935,870
Liabilities
Payable for Portfolio Shares Redeemed		57		212		388		5,682		470
Payable for Investment Securities Purchased		1,999		—		2,085		1,598		2,023
Payable for Foreign Currency		61		—		—		—		—
Investment Advisory Fees		108		354		368		472		170
Accrued Expenses		29		31		38		41		77
Total Liabilities		2,254		597		2,879		7,793		2,740
Net Assets	$	193,214	$	855,859	$	779,317	$	1,127,946	$	933,130
Represented By:
Aggregate Paid in Capital (10) (11)	$	160,821	$	555,714	$	576,241	$	906,976	$	631,152
Total Distributable Earnings (Loss)		32,393		300,145		203,076		220,970		301,978
Net Assets for Shares Outstanding (10) (11)	$	193,214	$	855,859	$	779,317	$	1,127,946	$	933,130
Net Asset Value, Offering and Redemption Price per Share	$	1.04	$	1.72	$	1.77	$	3.39	$	2.04
(1) Unaffiliated Investments, at Cost	$	178,765	$	632,782	$	666,831	$	954,502	$	728,249
(4) Foreign Currency, at Cost		—		—		90		—		—
(10) Shares Outstanding		186,411		496,303		439,204		332,461		456,334
(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.

162

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2019 (unaudited) (in thousands)

	Mid Cap Value Portfolio		Small Cap Growth Stock Portfolio		Index 600 Stock Portfolio		Small Cap Value Portfolio		International Growth Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	544,792	$	625,259	$	263,196	$	580,981	$	743,545
Foreign Currency, at Value (4)		—		—		—		—		243
Receivable for Portfolio Shares Sold		84		50		225		67		154
Receivable for Investment Securities Sold		1,680		2,762		1,550		6,701		332
Outstanding Swap Contracts, at Value (8)		—		—		714		—		—
Receivable for Foreign Currency		5		—		—		—		—
Prepaid Expenses and Other Assets		14		15		23		14		17
Dividends and Interest Receivable		1,010		285		274		446		2,290
Total Assets		547,585		628,371		265,982		588,209		746,581
Liabilities
Payable for Portfolio Shares Redeemed		1,147		211		22		6,464		413
Payable for Investment Securities Purchased		1,513		6,618		1,267		501		382
Accrued Foreign Capital Gains Tax		—		—		—		—		138
Payable for Foreign Currency		153		—		—		—		—
Collateral from Counterparty		348		—		350		—		—
Investment Advisory Fees		312		266		50		398		357
Accrued Expenses		52		36		35		46		73
Total Liabilities		3,525		7,131		1,724		7,409		1,363
Net Assets	$	544,060	$	621,240	$	264,258	$	580,800	$	745,218
Represented By:
Aggregate Paid in Capital (10) (11)	$	461,559	$	407,441	$	211,553	$	335,627	$	574,579
Total Distributable Earnings (Loss)		82,501		213,799		52,705		245,173		170,639
Net Assets for Shares Outstanding (10) (11)	$	544,060	$	621,240	$	264,258	$	580,800	$	745,218
Net Asset Value, Offering and Redemption Price per Share	$	1.68	$	2.90	$	1.43	$	2.40	$	1.69
(1) Unaffiliated Investments, at Cost	$	520,848	$	523,130	$	235,471	$	440,467	$	587,148
(4) Foreign Currency, at Cost		—		—		—		—		243
(10) Shares Outstanding		324,725		213,959		185,215		241,954		441,095
(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.

163

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2019 (unaudited) (in thousands)

	Research International Core Portfolio		International Equity Portfolio		Emerging Markets Equity Portfolio		Government Money Market Portfolio		Short-Term Bond Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	701,394	$	1,703,889	$	776,972	$	289,486	$	326,795
Investments in Repurchase Agreements, at Value (3)		—		—		—		147,000		—
Foreign Currency, at Value (4)		254		1,376		676		—		—
Receivable for Portfolio Shares Sold		139		213		164		191		785
Receivable for Investment Securities Sold		3		11,115		631		—		5,568
Receivable for Foreign Currency		—		1		—		—		—
Prepaid Expenses and Other Assets		16		25		16		11		6
Dividends and Interest Receivable		2,909		7,327		2,894		228		1,840
Total Assets		704,715		1,723,946		781,353		436,916		334,994
Liabilities
Payable for Portfolio Shares Redeemed		186		548		884		1,211		180
Payable for Investment Securities Purchased		—		6,512		20		—		7,893
Accrued Foreign Capital Gains Tax		144		—		1,435		—		—
Variation Margin Payable		—		—		—		—		16
Payable for Foreign Currency		—		1		—		—		—
Investment Advisory Fees		410		711		579		107		87
Accrued Expenses		66		121		87		38		46
Total Liabilities		806		7,893		3,005		1,356		8,222
Net Assets	$	703,909	$	1,716,053	$	778,348	$	435,560	$	326,772
Represented By:
Aggregate Paid in Capital (10) (11)	$	585,103	$	1,588,259	$	683,846	$	435,559	$	316,393
Total Distributable Earnings (Loss)		118,806		127,794		94,502		1		10,379
Net Assets for Shares Outstanding (10) (11)	$	703,909	$	1,716,053	$	778,348	$	435,560	$	326,772
Net Asset Value, Offering and Redemption Price per Share	$	1.04	$	1.69	$	1.08	$	1.00	$	1.06
(1) Unaffiliated Investments, at Cost	$	622,331	$	1,740,543	$	665,690	$	289,486	$	324,303
(3) Investments in Repurchase Agreements, at Cost		—		—		—		147,000		—
(4) Foreign Currency, at Cost		254		1,375		675		—		—
(10) Shares Outstanding		680,086		1,015,439		717,847		435,557		307,660
(11) Shares Authorized, $.01 Par Value		2,000,000		3,000,000		2,000,000		2,000,000		2,000,000

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

164

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2019 (unaudited) (in thousands)

	Select Bond Portfolio		Long-Term U.S. Government Bond Portfolio		Inflation Protection Portfolio		High Yield Bond Portfolio		Multi-Sector Bond Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	3,413,586	$	156,979	$	375,919	$	824,176	$	932,727
Investments in Repurchase Agreements, at Value (3)		—		—		—		—		252,500
Cash		11,530		—		—		883		1,145
Foreign Currency, at Value (4)		—		—		—		—		1,651
Cash Collateral for Derivative Positions		—		—		1		—		2,516
Receivable for Portfolio Shares Sold		662		27		95		165		218
Receivable for Investment Securities Sold		212,799		18,576		—		2,922		93,466
Receivable for Financing Transactions		—		116,500		—		—		—
Variation Margin Receivable		—		25		5		—		338
Outstanding Swap Contracts, at Value (8)		—		—		310		—		361
Receivable for Foreign Currency		—		—		—		—		807
Prepaid Expenses and Other Assets		41		9		13		18		18
Dividends and Interest Receivable		17,340		1,008		1,446		13,403		10,142
Total Assets		3,655,958		293,124		377,789		841,567		1,295,889
Liabilities
Payable for Portfolio Shares Redeemed		772		45		67		176		230
Payable for Investment Securities Purchased		491,321		24,726		—		9,155		320,138
Payable for Financing Transactions		—		139,756		—		—		—
Variation Margin Payable		—		47		16		—		153
Outstanding Options Written, at Value (6)		—		17		—		—		196
Securities Sold Short, at Value (7)		—		5,336		—		—		—
Payable for Reverse Repurchase Agreements		—		1,161		—		—		—
Outstanding Swap Contracts, at Value (9)		—		—		4,520		—		72
Payable for Foreign Currency		—		—		36		—		3,717
Collateral from Counterparty		293		1,215		22		—		880
Investment Advisory Fees		756		51		153		284		539
Deferred Income for Financing Transactions		—		4		—		—		—
Accrued Expenses		87		31		46		60		100
Total Liabilities		493,229		172,389		4,860		9,675		326,025
Net Assets	$	3,162,729	$	120,735	$	372,929	$	831,892	$	969,864
Represented By:
Aggregate Paid in Capital (10) (11)	$	3,004,268	$	117,699	$	364,028	$	769,180	$	893,649
Total Distributable Earnings (Loss)		158,461		3,036		8,901		62,712		76,215
Net Assets for Shares Outstanding (10) (11)	$	3,162,729	$	120,735	$	372,929	$	831,892	$	969,864
Net Asset Value, Offering and Redemption Price per Share	$	1.30	$	1.11	$	1.13	$	0.76	$	1.15
(1) Unaffiliated Investments, at Cost	$	3,332,360	$	150,302	$	369,078	$	827,179	$	913,386
(3) Investments in Repurchase Agreements, at Cost		—		—		—		—		252,500
(4) Foreign Currency, at Cost		—		—		—		—		1,504
(6) Premiums Received on Options Written		—		13		—		—		187
(7) Proceeds Received from Short Sales		—		5,329		—		—		—
(8) Premiums Paid on Swap Contracts		—		379		—		—		8,120
(9) Premiums Received from Swap Contracts		—		26		297		—		9,397
(10) Shares Outstanding		2,431,608		108,850		328,839		1,099,255		843,782
(11) Shares Authorized, $.01 Par Value		6,000,000		2,000,000		2,000,000		3,000,000		2,000,000

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

165

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2019 (unaudited) (in thousands)

	Balanced Portfolio		Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	184,492	$	23,951
Affiliated Investments, at Value (2)		2,036,147		252,971
Receivable for Portfolio Shares Sold		201		206
Receivable for Investment Securities Sold		11,000		1,500
Prepaid Expenses and Other Assets		47		14
Dividends and Interest Receivable		13		2
Total Assets		2,231,900		278,644
Liabilities
Payable for Portfolio Shares Redeemed		767		85
Investment Advisory Fees		91		11
Accrued Expenses		29		23
Total Liabilities		887		119
Net Assets	$	2,231,013	$	278,525
Represented By:
Aggregate Paid in Capital (10) (11)	$	1,887,836	$	229,357
Total Distributable Earnings (Loss)		343,177		49,168
Net Assets for Shares Outstanding (10) (11)	$	2,231,013	$	278,525
Net Asset Value, Offering and Redemption Price per Share	$	1.52	$	1.25
(1) Unaffiliated Investments, at Cost	$	183,163	$	23,749
(2) Affiliated Investments, at Cost		1,872,937		228,583
(10) Shares Outstanding		1,464,708		223,033
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

166

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Growth Stock Portfolio		Focused Appreciation Portfolio		Large Cap Core Stock Portfolio		Large Cap Blend Portfolio		Index 500 Stock Portfolio
Investment Income
Income
Interest (1)	$	301	$	92	$	35	$	119	$	536
Unaffiliated Dividends (1)		6,044		6,349		4,703		1,571		34,105
Total Income		6,345		6,441		4,738		1,690		34,641
Expenses
Investment Advisory Fees		2,090		3,432		1,219		633		3,340
Custodian Fees		2		2		5		1		12
Shareholder Reporting Fees		19		25		16		9		41
Audit Fees		13		13		13		12		17
Valuation Services		—		—		1		—		4
Compliance Fees		5		5		4		4		8
Directors Fees		21		20		20		18		26
Professional Fees		8		5		4		4		7
Trade Name Fees		—		—		—		—		52
Other Expenses		3		3		2		—		10
Total Expenses		2,161		3,505		1,284		681		3,517
Less Waived Fees:
Paid by Affiliate		(54)		(568)		(12)		(3)		(136)
Net Expenses		2,107		2,937		1,272		678		3,381
Net Investment Income (Loss)		4,238		3,504		3,466		1,012		31,260
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		48,830		19,960		3,773		6,280		24,880
Futures Contracts		—		—		—		—		5,745
Foreign Currency Transactions		—		—		1		—		—
Net Realized Gain (Loss) on Investments		48,830		19,960		3,774		6,280		30,625
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		133,086		161,325		92,388		17,905		489,826
Futures Contracts		—		—		—		—		1,235
Net Change in Unrealized Appreciation (Depreciation) of Investments		133,086		161,325		92,388		17,905		491,061
Net Gain (Loss) on Investments		181,916		181,285		96,162		24,185		521,686
Net Increase (Decrease) in Net Assets Resulting from Operations	$	186,154	$	184,789	$	99,628	$	25,197	$	552,946
(1) Net of Foreign Tax	$	—	$	243	$	24	$	34	$	—

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

167

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Large Company Value Portfolio		Domestic Equity Portfolio		Equity Income Portfolio		Mid Cap Growth Stock Portfolio		Index 400 Stock Portfolio
Investment Income
Income
Interest (1)	$	57	$	143	$	273	$	13	$	347
Unaffiliated Dividends (1)		2,620		10,472		11,852		3,578		7,639
Total Income		2,677		10,615		12,125		3,591		7,986
Expenses
Investment Advisory Fees		659		2,190		2,400		2,797		1,117
Custodian Fees		19		2		5		9		8
Shareholder Reporting Fees		9		23		24		23		27
Audit Fees		12		13		13		14		12
Valuation Services		6		—		1		1		3
Compliance Fees		4		5		5		5		5
Directors Fees		18		20		19		26		19
Professional Fees		4		4		5		5		5
Trade Name Fees		—		—		—		—		45
Other Expenses		—		2		2		3		3
Total Expenses		731		2,259		2,474		2,883		1,244
Less Waived Fees:
Paid by Affiliate		(19)		(56)		(157)		(4)		(100)
Net Expenses		712		2,203		2,317		2,879		1,144
Net Investment Income (Loss)		1,965		8,412		9,808		712		6,842
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		(169)		13,169		18,602		(211)		20,913
Futures Contracts		—		—		—		—		1,807
Foreign Currency Transactions		212		—		7		(1)		—
Net Realized Gain (Loss) on Investments		43		13,169		18,609		(212)		22,720
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		26,297		65,845		81,654		242,144		110,732
Futures Contracts		—		—		(8)		—		1,378
Foreign Currency Transactions		99		—		—		—		—
Net Change in Unrealized Appreciation (Depreciation) of Investments		26,396		65,845		81,646		242,144		112,110
Net Gain (Loss) on Investments		26,439		79,014		100,255		241,932		134,830
Net Increase (Decrease) in Net Assets Resulting from Operations	$	28,404	$	87,426	$	110,063	$	242,644	$	141,672
(1) Net of Foreign Tax	$	43	$	—	$	141	$	29	$	4

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

168

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Mid Cap Value Portfolio		Small Cap Growth Stock Portfolio		Index 600 Stock Portfolio		Small Cap Value Portfolio		International Growth Portfolio
Investment Income
Income
Interest (1)	$	154	$	114	$	152	$	126	$	203
Unaffiliated Dividends (1)		7,021		1,804		1,902		3,954		10,506
Total Income		7,175		1,918		2,054		4,080		10,709
Expenses
Investment Advisory Fees		2,224		1,605		301		2,455		2,077
Custodian Fees		23		5		12		8		62
Shareholder Reporting Fees		29		25		16		32		33
Audit Fees		12		13		11		13		13
Valuation Services		9		1		4		1		7
Compliance Fees		4		4		4		4		5
Directors Fees		19		19		19		19		20
Professional Fees		4		4		4		4		12
Trade Name Fees		—		—		12		—		—
Other Expenses		1		2		1		2		1
Total Expenses		2,325		1,678		384		2,538		2,230
Less Waived Fees:
Paid by Affiliate		(355)		—		—		(20)		—
Net Expenses		1,970		1,678		384		2,518		2,230
Net Investment Income (Loss)		5,205		240		1,670		1,562		8,479
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		1,091		22,710		5,156		12,409		(2,887)
Swap Contracts		—		—		(957)		—		—
Foreign Currency Transactions		221		—		—		1		(47)
Net Realized Gain (Loss) on Investments		1,312		22,710		4,199		12,410		(2,934)
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		74,731		99,959		22,726		77,674		126,439
Swap Contracts		—		—		1,606		—		—
Foreign Currency Transactions		113		—		—		—		9
Net Change in Unrealized Appreciation (Depreciation) of Investments		74,844		99,959		24,332		77,674		126,448
Net Gain (Loss) on Investments		76,156		122,669		28,531		90,084		123,514
Net Increase (Decrease) in Net Assets Resulting from Operations	$	81,361	$	122,909	$	30,201	$	91,646	$	131,993
(1) Net of Foreign Tax	$	138	$	—	$	1	$	5	$	448

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

169

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Research International Core Portfolio		International Equity Portfolio		Emerging Markets Equity Portfolio		Government Money Market Portfolio		Short-Term Bond Portfolio
Investment Income
Income
Interest (1)	$	109	$	440	$	143	$	5,292	$	4,620
Unaffiliated Dividends (1)		15,521		47,139		9,816		—		—
Total Income		15,630		47,579		9,959		5,292		4,620
Expenses
Investment Advisory Fees		2,558		5,547		3,874		645		516
Custodian Fees		63		112		68		24		15
Shareholder Reporting Fees		27		49		33		9		17
Audit Fees		13		15		13		12		14
Valuation Services		7		7		7		4		25
Compliance Fees		5		6		5		4		4
Directors Fees		20		26		21		18		24
Professional Fees		12		14		13		3		4
Other Expenses		2		4		1		1		1
Total Expenses		2,707		5,780		4,035		720		620
Less Waived Fees:
Paid by Affiliate		(164)		(1,173)		(422)		—		(1)
Net Expenses		2,543		4,607		3,613		720		619
Net Investment Income (Loss)		13,087		42,972		6,346		4,572		4,001
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		491		520		(1,736)		1		(12)
Futures Contracts		—		—		—		—		712
Foreign Currency Transactions		3		(166)		(48)		—		—
Net Realized Gain (Loss) on Investments		494		354		(1,784)		1		700
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		90,557		68,747		98,816		—		4,733
Futures Contracts		—		—		—		—		(107)
Foreign Currency Transactions		12		6		21		—		—
Net Change in Unrealized Appreciation (Depreciation) of Investments		90,569		68,753		98,837		—		4,626
Net Gain (Loss) on Investments		91,063		69,107		97,053		1		5,326
Net Increase (Decrease) in Net Assets Resulting from Operations	$	104,150	$	112,079	$	103,399	$	4,573	$	9,327
(1) Net of Foreign Tax	$	509	$	1,244	$	327	$	—	$	(1)

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

170

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Select Bond Portfolio		Long- Term U.S. Government Bond Portfolio		Inflation Protection Portfolio		High Yield Bond Portfolio		Multi-Sector Bond Portfolio
Investment Income
Income
Interest (1)	$	50,574	$	1,859	$	5,302	$	25,486	$	20,688
Total Income		50,574		1,859		5,302		25,486		20,688
Expenses
Investment Advisory Fees		4,535		309		963		1,684		3,541
Custodian Fees		41		8		12		3		85
Shareholder Reporting Fees		39		8		26		36		29
Audit Fees		19		19		13		20		21
Valuation Services		24		4		10		15		26
Compliance Fees		8		4		4		5		5
Directors Fees		26		18		18		19		20
Professional Fees		6		5		4		4		10
Interest Expense		—		207		—		—		53
Other Expenses		9		—		1		2		3
Total Expenses		4,707		582		1,051		1,788		3,793
Less Waived Fees:
Paid by Affiliate		(104)		(12)		(68)		—		(374)
Net Expenses		4,603		570		983		1,788		3,419
Net Investment Income (Loss)		45,971		1,289		4,319		23,698		17,269
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		46,582		(2)		(508)		(841)		322
Futures Contracts		—		2,093		(1,031)		—		8,431
Options Written		—		25		—		—		363
Short Sales		—		(92)		—		—		—
Swap Contracts		—		27		(793)		—		2,290
Foreign Currency Transactions		—		—		34		—		6,283
Reverse Repurchase Agreements		—		—		—		—		32
Net Realized Gain (Loss) on Investments		46,582		2,051		(2,298)		(841)		17,721
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		88,418		10,150		20,329		53,861		46,606
Futures Contracts		—		(1,689)		809		—		(1,052)
Options Written		—		(2)		—		—		24
Short Sales		—		23		—		—		—
Swap Contracts		—		(895)		251		—		8,130
Foreign Currency Transactions		—		—		(108)		—		(2,669)
Net Change in Unrealized Appreciation (Depreciation) of Investments		88,418		7,587		21,281		53,861		51,039
Net Gain (Loss) on Investments		135,000		9,638		18,983		53,020		68,760
Net Increase (Decrease) in Net Assets Resulting from Operations	$	180,971	$	10,927	$	23,302	$	76,718	$	86,029
(1) Net of Foreign Tax	$	1	$	—	$	—	$	—	$	—

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

171

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	1,524		$	158
Unaffiliated Dividends (1)		483			92
Total Income		2,007			250
Expenses
Investment Advisory Fees		3,236			707
Custodian Fees		3			3
Shareholder Reporting Fees		19			10
Audit Fees		16			14
Valuation Services		1			—
Compliance Fees		7			4
Directors Fees		27			17
Professional Fees		6			4
Other Expenses		7			1
Total Expenses		3,322			760
Less Waived Fees:
Paid by Affiliate		(2,697	)		(640	)
Net Expenses		625			120
Net Investment Income (Loss)		1,382			130
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		2,506			281
Affiliated Investment Securities		10,947			975
Futures Contracts		2,638			320
Net Realized Gain (Loss) on Investments		16,091			1,576
Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		4,914			977
Affiliated Investment Securities		221,581			31,881
Futures Contracts		(39	)		36
Net Change in Unrealized Appreciation (Depreciation) of Investments		226,456			32,894
Net Gain (Loss) on Investments		242,547			34,470
Net Increase (Decrease) in Net Assets Resulting from Operations	$	243,929		$	34,600

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

172

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

  (in thousands)

	Growth Stock Portfolio				Focused Appreciation Portfolio				Large Cap Core Stock Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	4,238	$	6,805	$	3,504	$	6,173	$	3,466	$	7,224
Net Realized Gain (Loss) on Investments		48,830		106,549		19,960		54,399		3,774		28,559
Net Change in Unrealized Appreciation (Depreciation) of Investments		133,086		(95,027)		161,325		(76,232)		92,388		(67,699)
Net Increase (Decrease) in Net Assets Resulting from Operations		186,154		18,327		184,789		(15,660)		99,628		(31,916)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(112,201)		—		(29,687)		—		(175,999)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(112,201)		—		(29,687)		—		(175,999)
Capital Transactions:
Shares Sold		13,960		30,152		15,972		41,239		8,162		16,770
Reinvestment of Distributions Paid		—		112,201		—		29,687		—		175,999
Shares Redeemed		(52,938)		(109,707)		(75,768)		(121,795)		(31,572)		(58,460)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(38,978)		32,646		(59,796)		(50,869)		(23,410)		134,309
Total Increase (Decrease) in Net Assets		147,176		(61,228)		124,993		(96,216)		76,218		(73,606)
Net Assets
Beginning of Period		898,626		959,854		849,169		945,385		518,971		592,577
End of Period	$	1,045,802	$	898,626	$	974,162	$	849,169	$	595,189	$	518,971
Portfolio Share Transactions:
Shares Sold		4,438		9,350		5,452		14,850		5,534		9,305
Reinvestment of Distributions Paid		—		34,166		—		10,174		—		114,285
Shares Redeemed		(16,551)		(33,587)		(25,385)		(42,895)		(21,121)		(31,045)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(12,113)		9,929		(19,933)		(17,871)		(15,587)		92,545

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

173

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

									Large Company Value
	Large Cap Blend Portfolio				Index 500 Stock Portfolio				Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,012	$	2,041	$	31,260	$	57,305	$	1,965	$	3,677
Net Realized Gain (Loss) on Investments		6,280		15,518		30,625		83,927		43		14,339
Net Change in Unrealized Appreciation (Depreciation) of Investments		17,905		(23,563)		491,061		(281,923)		26,396		(32,801)
Net Increase (Decrease) in Net Assets Resulting from Operations		25,197		(6,004)		552,946		(140,691)		28,404		(14,785)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(9,381)		—		(83,810)		—		(17,825)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(9,381)		—		(83,810)		—		(17,825)
Capital Transactions:
Shares Sold		2,329		5,179		121,595		222,060		4,361		9,342
Reinvestment of Distributions Paid		—		9,381		—		83,810		—		17,825
Shares Redeemed		(13,371)		(20,960)		(154,587)		(294,365)		(12,901)		(21,043)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(11,042)		(6,400)		(32,992)		11,505		(8,540)		6,124
Total Increase (Decrease) in Net Assets		14,155		(21,785)		519,954		(212,996)		19,864		(26,486)
Net Assets
Beginning of Period		154,435		176,220		3,009,141		3,222,137		173,350		199,836
End of Period	$	168,590	$	154,435	$	3,529,095	$	3,009,141	$	193,214	$	173,350
Portfolio Share Transactions:
Shares Sold		1,934		4,273		23,745		44,068		4,415		9,035
Reinvestment of Distributions Paid		—		7,740		—		15,789		—		17,684
Shares Redeemed		(10,833)		(17,081)		(29,974)		(58,062)		(12,843)		(20,059)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(8,899)		(5,068)		(6,229)		1,795		(8,428)		6,660

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

174

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Domestic Equity Portfolio				Equity Income Portfolio				Mid Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	8,412	$	15,947	$	9,808	$	18,166	$	712	$	2,056
Net Realized Gain (Loss) on Investments		13,169		40,633		18,609		48,110		(212)		47,139
Net Change in Unrealized Appreciation (Depreciation) of Investments		65,845		(77,719)		81,646		(137,665)		242,144		(119,657)
Net Increase (Decrease) in Net Assets Resulting from Operations		87,426		(21,139)		110,063		(71,389)		242,644		(70,462)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(43,137)		—		(76,785)		—		(183,778)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(43,137)		—		(76,785)		—		(183,778)
Capital Transactions:
Shares Sold		35,811		64,890		13,060		28,491		15,578		30,197
Reinvestment of Distributions Paid		—		43,137		—		76,785		—		183,778
Shares Redeemed		(39,843)		(90,499)		(48,480)		(96,826)		(73,645)		(113,798)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(4,032)		17,528		(35,420)		8,450		(58,067)		100,177
Total Increase (Decrease) in Net Assets		83,394		(46,748)		74,643		(139,724)		184,577		(154,063)
Net Assets
Beginning of Period		772,465		819,213		704,674		844,398		943,370		1,097,433
End of Period	$	855,859	$	772,465	$	779,317	$	704,674	$	1,127,947	$	943,370
Portfolio Share Transactions:
Shares Sold		21,310		38,131		7,766		15,812		4,966		8,943
Reinvestment of Distributions Paid		—		24,777		—		43,852		—		56,426
Shares Redeemed		(23,634)		(52,647)		(28,404)		(52,692)		(23,053)		(32,249)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(2,324)		10,261		(20,638)		6,972		(18,087)		33,120

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

175

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Index 400 Stock Portfolio				Mid Cap Value Portfolio				Small Cap Growth Stock Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	6,842	$	11,704	$	5,205	$	8,036	$	240	$	640
Net Realized Gain (Loss) on Investments		22,720		61,226		1,312		47,626		22,710		88,443
Net Change in Unrealized Appreciation (Depreciation) of Investments		112,110		(173,088)		74,844		(123,415)		99,959		(155,661)
Net Increase (Decrease) in Net Assets Resulting from Operations		141,672		(100,158)		81,361		(67,753)		122,909		(66,578)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(68,601)		—		(58,046)		—		(51,016)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(68,601)		—		(58,046)		—		(51,016)
Capital Transactions:
Shares Sold		37,908		73,566		19,234		44,293		15,257		36,654
Reinvestment of Distributions Paid		—		68,601		—		58,046		—		51,016
Shares Redeemed		(39,230)		(77,187)		(28,478)		(69,221)		(37,549)		(77,355)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(1,322)		64,980		(9,244)		33,118		(22,292)		10,315
Total Increase (Decrease) in Net Assets		140,350		(103,779)		72,117		(92,681)		100,617		(107,279)
Net Assets
Beginning of Period		792,780		896,559		471,943		564,624		520,622		627,901
End of Period	$	933,130	$	792,780	$	544,060	$	471,943	$	621,239	$	520,622
Portfolio Share Transactions:
Shares Sold		19,356		35,452		11,985		25,854		5,560		12,664
Reinvestment of Distributions Paid		—		32,792		—		34,613		—		16,926
Shares Redeemed		(19,827)		(36,515)		(17,636)		(38,167)		(13,529)		(26,019)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(471)		31,729		(5,651)		22,300		(7,969)		3,571

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

176

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Index 600 Stock Portfolio				Small Cap Value Portfolio				International Growth Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,670	$	2,604	$	1,562	$	2,747	$	8,479	$	8,728
Net Realized Gain (Loss) on Investments		4,199		16,031		12,410		88,748		(2,934)		21,855
Net Change in Unrealized Appreciation (Depreciation) of Investments		24,332		(40,964)		77,674		(167,486)		126,448		(108,625)
Net Increase (Decrease) in Net Assets Resulting from Operations		30,201		(22,329)		91,646		(75,991)		131,993		(78,042)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(13,363)		—		(49,860)		—		(9,563)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(13,363)		—		(49,860)		—		(9,563)
Capital Transactions:
Shares Sold		24,227		45,237		11,000		23,128		27,820		78,000
Reinvestment of Distributions Paid		—		13,363		—		49,860		—		9,563
Shares Redeemed		(11,973)		(23,453)		(51,918)		(90,299)		(40,677)		(71,457)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		12,254		35,147		(40,918)		(17,311)		(12,857)		16,106
Total Increase (Decrease) in Net Assets		42,455		(545)		50,728		(143,162)		119,136		(71,499)
Net Assets
Beginning of Period		221,803		222,348		530,072		673,234		626,082		697,581
End of Period	$	264,258	$	221,803	$	580,800	$	530,072	$	745,218	$	626,082
Portfolio Share Transactions:
Shares Sold		17,335		29,990		4,819		9,601		17,894		50,417
Reinvestment of Distributions Paid		—		8,523		—		19,817		—		5,984
Shares Redeemed		(8,543)		(15,458)		(22,194)		(35,622)		(25,840)		(45,088)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		8,792		23,055		(17,375)		(6,204)		(7,946)		11,313

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

177

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Research International Core Portfolio				International Equity Portfolio				Emerging Markets Equity Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018		For the Six Months Ended June 30, 2019 (Unaudited)		For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	13,087	$	12,145	$	42,972	$	43,471	$	6,346	$	8,709
Net Realized Gain (Loss) on Investments		494		23,850		354		103,993		(1,784)		(10,700)
Net Change in Unrealized Appreciation (Depreciation) of Investments		90,569		(127,153)		68,753		(437,893)		98,837		(97,719)
Net Increase (Decrease) in Net Assets Resulting from Operations		104,150		(91,158)		112,079		(290,429)		103,399		(99,710)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—		(10,485)		—		(45,975)		—		(9,240)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—		(10,485)		—		(45,975)		—		(9,240)
Capital Transactions:
Shares Sold		36,213		95,574		71,340		134,477		38,061		134,734
Reinvestment of Distributions Paid		—		10,485		—		45,975		—		9,240
Shares Redeemed		(32,039)		(66,836)		(71,434)		(167,653)		(38,462)		(77,955)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		4,174		39,223		(94)		12,799		(401)		66,019
Total Increase (Decrease) in Net Assets		108,324		(62,420)		111,985		(323,605)		102,998		(42,931)
Net Assets
Beginning of Period		595,585		658,005		1,604,068		1,927,673		675,350		718,281
End of Period	$	703,909	$	595,585	$	1,716,053	$	1,604,068	$	778,348	$	675,350
Portfolio Share Transactions:
Shares Sold		37,192		96,319		42,520		73,779		37,052		133,512
Reinvestment of Distributions Paid		—		10,210		—		24,892		—		9,468
Shares Redeemed		(32,670)		(64,843)		(42,441)		(89,966)		(37,584)		(74,780)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		4,522		41,686		79		8,705		(532)		68,200

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

178

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Government Money Market Portfolio						Short-Term Bond Portfolio						Select Bond Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018			For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018			For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	4,572		$	6,509		$	4,001		$	6,410		$	45,971		$	82,061
Net Realized Gain (Loss) on Investments		1			1			700			(955	)		46,582			(83,942	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		—			—			4,626			(1,176	)		88,418			(3,374	)
Net Increase (Decrease) in Net Assets Resulting from Operations		4,573			6,510			9,327			4,279			180,971			(5,255	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(4,572	)		(6,510	)		—			(4,636	)		—			(67,891	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(4,572	)		(6,510	)		—			(4,636	)		—			(67,891	)
Capital Transactions:
Shares Sold		101,688			197,800			38,404			44,754			125,227			363,798
Reinvestment of Distributions Paid		4,572			6,510			—			4,636			—			67,891
Shares Redeemed		(114,175	)		(200,274	)		(27,500	)		(36,006	)		(111,462	)		(334,484	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(7,915	)		4,036			10,904			13,384			13,765			97,205
Total Increase (Decrease) in Net Assets		(7,914	)		4,036			20,231			13,027			194,736			24,059
Net Assets
Beginning of Period		443,474			439,438			306,541			293,514			2,967,993			2,943,934
End of Period	$	435,560		$	443,474		$	326,772		$	306,541		$	3,162,729		$	2,967,993
Portfolio Share Transactions:
Shares Sold		101,688			197,800			36,821			43,395			99,966			295,214
Reinvestment of Distributions Paid		4,572			6,510			—			4,531			—			56,202
Shares Redeemed		(114,175	)		(200,274	)		(26,420	)		(34,921	)		(88,909	)		(272,611	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(7,915	)		4,036			10,401			13,005			11,057			78,805

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

179

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Long-Term U.S. Government Bond Portfolio						Inflation Protection Portfolio						High Yield Bond Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018			For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018			For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,289		$	2,709		$	4,319		$	9,216		$	23,698		$	45,363
Net Realized Gain (Loss) on Investments		2,051			(4,125	)		(2,298	)		(330	)		(841	)		1,585
Net Change in Unrealized Appreciation (Depreciation) of Investments		7,587			(988	)		21,281			(19,406	)		53,861			(68,201	)
Net Increase (Decrease) in Net Assets Resulting from Operations		10,927			(2,404	)		23,302			(10,520	)		76,718			(21,253	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(4,793	)		—			(7,200	)		—			(43,280	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(4,793	)		—			(7,200	)		—			(43,280	)
Capital Transactions:
Shares Sold		6,186			13,282			19,177			47,277			24,894			50,266
Reinvestment of Distributions Paid		—			4,793			—			7,200			—			43,280
Shares Redeemed		(7,846	)		(15,123	)		(19,121	)		(88,897	)		(33,086	)		(77,525	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(1,660	)		2,952			56			(34,420	)		(8,192	)		16,021
Total Increase (Decrease) in Net Assets		9,267			(4,245	)		23,358			(52,140	)		68,526			(48,512	)
Net Assets
Beginning of Period		111,468			115,713			349,571			401,711			763,366			811,878
End of Period	$	120,735		$	111,468		$	372,929		$	349,571		$	831,892		$	763,366
Portfolio Share Transactions:
Shares Sold		5,929			13,114			17,482			43,247			33,849			68,137
Reinvestment of Distributions Paid		—			4,941			—			6,666			—			60,112
Shares Redeemed		(7,597	)		(14,873	)		(17,479	)		(81,415	)		(45,080	)		(105,671	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(1,668	)		3,182			3			(31,502	)		(11,231	)		22,578

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

180

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)

	Multi-Sector Bond Portfolio						Balanced Portfolio						Asset Allocation Portfolio
	For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018			For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018			For the Six Months Ended June 30, 2019 (Unaudited)			For the Year Ended December 31, 2018
Change in Net Assets
Operations
Net Investment Income (Loss)	$	17,269		$	31,771		$	1,382		$	50,470		$	130		$	6,117
Net Realized Gain (Loss) on Investments		17,721			5,572			16,091			111,220			1,576			16,812
Net Change in Unrealized Appreciation (Depreciation) of Investments		51,039			(48,619	)		226,456			(234,110	)		32,894			(35,664	)
Net Increase (Decrease) in Net Assets Resulting from Operations		86,029			(11,276	)		243,929			(72,420	)		34,600			(12,735	)
Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		—			(26,878	)		—			(101,798	)		—			(12,682	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(26,878	)		—			(101,798	)		—			(12,682	)
Capital Transactions:
Shares Sold		55,201			134,871			55,270			93,813			9,220			18,451
Reinvestment of Distributions Paid		—			26,878			—			101,798			—			12,682
Shares Redeemed		(46,309	)		(89,633	)		(133,539	)		(263,510	)		(14,806	)		(33,418	)
Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		8,892			72,116			(78,269	)		(67,899	)		(5,586	)		(2,285	)
Total Increase (Decrease) in Net Assets		94,921			33,962			165,660			(242,117	)		29,014			(27,702	)
Net Assets
Beginning of Period		874,943			840,981			2,065,353			2,307,470			249,511			277,213
End of Period	$	969,864		$	874,943		$	2,231,013		$	2,065,353		$	278,525		$	249,511
Portfolio Share Transactions:
Shares Sold		50,018			125,393			37,693			63,864			7,669			15,238
Reinvestment of Distributions Paid		—			25,477			—			69,868			—			10,498
Shares Redeemed		(42,169	)		(83,748	)		(91,554	)		(179,627	)		(12,377	)		(27,594	)
Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		7,849			67,122			(53,861	)		(45,895	)		(4,708	)		(1,858	)

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

181

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2019 (unaudited) (in thousands)

	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations		$	10,927
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from
Operations to Net Cash from Operating Activities
Purchase of Investment Securities			(93,088	)
Proceeds from Disposition of Investment Securities			60,055
Proceeds from Disposition (Purchase) of Short-Term Investments, net			902
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps			(361	)
Proceeds from Securities Sold Short			22,285
Cash Paid for Terminated Options Written			(6	)
Premiums Received for Options Written			37
Amortization (Accretion) of Premium/Discount, net			(52	)
(Increase) Decrease in:
Receivable for Investment Securities Sold			(14,882	)
Prepaid Expenses and Other Assets			(7	)
Dividends and Interest Receivable			(271	)
Increase (Decrease) in:
Collateral from Counterparty			1,215
Payable for Investment Advisory Fees			(6	)
Accrued Expenses			(10	)
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities			(10,150	)
Futures Contracts			1,689
Options Written			2
Short Sales			(23	)
Swap Contracts			895
Net Realized (Gain) Loss from:
Investment Securities			2
Futures Contracts			(2,093	)
Options Written			(25	)
Short Sales			92
Swap Contracts			(27	)
Total Adjustments			(33,827	)
Net Cash (Used in) Provided by Operating Activities			(22,900	)
Cash Flows from Financing Activities
Cash Received from Financing Transactions			430,753
Cash (Used for) Financing Transactions			(407,502	)
Proceeds from Reverse Repurchase Agreements			1,160
Proceeds from Capital Shares Sold			6,178
Payment on Capital Shares Redeemed			(8,095	)
Net Cash (Used in) Provided by Financing Activities			22,494
Net Increase (Decrease) in Cash and Cash Equivalents			(406	)
Cash and Restricted Cash, Beginning of Period			406
Cash and Restricted Cash, End of Period		$	-

Supplemental disclosure of cash flow information:

Interest paid was $147 for the period ended June 30, 2019.

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

182

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183

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)

	Net Asset Value,  Beginning of Period		Net Investment   Income (Loss)			Net Realized and Unrealized   Gain (Loss) on   Investments			Total from Investment     Operations			Distributions from  Net Investment Income			Distributions from  Realized Gains on Investments
Growth Stock Portfolio
2019(j)	$	2.75	$	0.01		$	0.57		$	0.58		$	—		$	—
2018		3.03		0.02			0.08			0.10			(0.02	)		(0.36	)
2017		2.58		0.02			0.59			0.61			(0.03	)		(0.13	)
2016		2.81		0.03			0.04			0.07			(0.02	)		(0.28	)
2015		2.87		0.02			0.15			0.17			(0.02	)		(0.21	)
2014		2.94		0.02			0.22			0.24			(0.02	)		(0.29	)
Focused Appreciation Portfolio
2019(j)	$	2.57	$	0.01		$	0.55		$	0.56		$	—		$	—
2018		2.71		0.02			(0.07	)		(0.05	)		(0.01	)		(0.08	)
2017		2.08		0.02			0.68			0.70			(0.02	)		(0.05	)
2016		2.68		0.02			0.17			0.19			(0.01	)		(0.78	)
2015		2.63		0.01			0.34			0.35			—			(0.30	)
2014		2.69		0.00	(e)		0.22			0.22			(0.00	)(e)		(0.28	)
Large Cap Core Stock Portfolio
2019(j)	$	1.31	$	0.01		$	0.25		$	0.26		$	—		$	—
2018		1.96		0.02			(0.05	)		(0.03	)		(0.03	)		(0.59	)
2017		1.60		0.03			0.36			0.39			(0.03	)		—
2016		1.54		0.03			0.09			0.12			(0.03	)		(0.03	)
2015		1.65		0.03			(0.08	)		(0.05	)		(0.04	)		(0.02	)
2014		1.70		0.04			0.10			0.14			(0.03	)		(0.16	)
Large Cap Blend Portfolio
2019(j)	$	1.09	$	0.01		$	0.17		$	0.18		$	—		$	—
2018		1.21		0.01			(0.06	)		(0.05	)		(0.01	)		(0.06	)
2017		1.07		0.01			0.20			0.21			(0.01	)		(0.06	)
2016		1.03		0.01			0.12			0.13			(0.01	)		(0.08	)
2015		1.12		0.01			(0.03	)		(0.02	)		(0.01	)		(0.06	)
2014		1.04		0.01			0.11			0.12			(0.00	)(e)		(0.04	)
Index 500 Stock Portfolio
2019(j)	$	4.59	$	0.05		$	0.79		$	0.84		$	—		$	—
2018		4.93		0.09			(0.30	)		(0.21	)		(0.08	)		(0.05	)
2017		4.17		0.08			0.81			0.89			(0.08	)		(0.05	)
2016		3.88		0.08			0.37			0.45			(0.07	)		(0.09	)
2015		3.98		0.07			(0.03	)		0.04			(0.07	)		(0.07	)
2014		3.61		0.07			0.41			0.48			(0.06	)		(0.05	)
Large Company Value Portfolio
2019(j)	$	0.89	$	0.01		$	0.14		$	0.15		$	—		$	—
2018		1.06		0.02			(0.09	)		(0.07	)		(0.02	)		(0.08	)
2017		1.02		0.02			0.08			0.10			(0.02	)		(0.04	)
2016		0.99		0.02			0.12			0.14			(0.02	)		(0.09	)
2015		1.15		0.02			(0.06	)		(0.04	)		(0.02	)		(0.10	)
2014		1.07		0.02			0.12			0.14			—			(0.06	)
Domestic Equity Portfolio
2019(j)	$	1.55	$	0.02		$	0.15		$	0.17		$	—		$	—
2018		1.68		0.03			(0.07	)		(0.04	)		(0.03	)		(0.06	)
2017		1.54		0.03			0.18			0.21			(0.03	)		(0.04	)
2016		1.41		0.03			0.19			0.22			(0.03	)		(0.06	)
2015		1.44		0.03			(0.03	)		0.00	(e)		(0.03	)		—
2014		1.29		0.03			0.14			0.17			(0.02	)		—

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(r)  Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^(j)  For the six months ended June 30, 2019. (Unaudited)

^(c)  Computed on an annualized basis.

^(e)  Amount is less than $0.005.

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

184

Total     Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets,    End of Period    (thousands)		Ratio of Gross     Expenses to     Average Net     Assets(r)			Ratio of Net     Expenses to     Average Net     Assets(r)			Ratio of Net     Investment     Income (Loss)     to Average Net     Assets			Portfolio     Turnover Rate
$	—		$	3.33		20.88	%	$	1,045,802		0.43	%(c)		0.42	%(c)		0.84	%(c)		23.61	%
	(0.38	)		2.75		1.26			898,626		0.43			0.42			0.68			47.87
	(0.16	)		3.03		24.27			959,854		0.43			0.42			0.78			57.70
	(0.30	)		2.58		2.47			837,980		0.43			0.43			0.97			65.66
	(0.23	)		2.81		6.01			860,348		0.43			0.42			0.82			50.12
	(0.31	)		2.87		9.02			885,880		0.43			0.41			0.76			42.36
$	—		$	3.13		22.05	%	$	974,162		0.75	%(c)		0.63	%(c)		0.75	%(c)		2.30	%
	(0.09	)		2.57		(2.34	)		849,169		0.75			0.63			0.65			7.12
	(0.07	)		2.71		33.62			945,385		0.75			0.63			0.66			3.50
	(0.79	)		2.08		5.87			771,800		0.76			0.63			0.83			9.38
	(0.30	)		2.68		13.64			778,837		0.76			0.63			0.27			131.33
	(0.28	)		2.63		9.43			722,379		0.77			0.64			(0.02	)		54.58
$	—		$	1.57		19.35	%	$	595,189		0.45	%(c)		0.45	%(c)		1.21	%(c)		29.13	%
	(0.62	)		1.31		(6.04	)		518,971		0.45			0.44			1.23			64.61
	(0.03	)		1.96		24.87			592,577		0.45			0.44			1.56			100.72
	(0.06	)		1.60		7.57			514,495		0.45			0.45			1.96			6.83
	(0.06	)		1.54		(3.06	)		509,411		0.45			0.44			2.04			13.36
	(0.19	)		1.65		8.56			555,639		0.45			0.44			2.08			5.92
$	—		$	1.27		16.54	%	$	168,590		0.82	%(c)		0.82	%(c)		1.22	%(c)		10.39	%
	(0.07	)		1.09		(4.00	)		154,435		0.82			0.82			1.20			25.22
	(0.07	)		1.21		19.02			176,221		0.81			0.81			0.75			16.09
	(0.09	)		1.07		13.99			164,752		0.82			0.81			0.97			21.12
	(0.07	)		1.03		(2.42	)		153,841		0.81			0.81			0.99			16.11
	(0.04	)		1.12		12.58			166,948		0.82			0.82			0.91			27.31
$	—		$	5.43		18.39	%	$	3,529,094		0.21	%(c)		0.20	%(c)		1.87	%(c)		1.56	%
	(0.13	)		4.59		(4.58	)		3,009,141		0.21			0.20			1.74			4.16
	(0.13	)		4.93		21.52			3,222,137		0.21			0.21			1.82			2.92
	(0.16	)		4.17		11.73			2,678,914		0.21			0.21			1.97			3.28
	(0.14	)		3.88		1.17			2,386,253		0.21			0.21			1.87			4.17
	(0.11	)		3.98		13.46			2,370,298		0.22			0.22			1.84			2.65
$	—		$	1.04		16.40	%	$	193,214		0.77	%(c)		0.75	%(c)		2.08	%(c)		30.37	%
	(0.10	)		0.89		(7.92	)		173,350		0.76			0.74			1.89			60.83
	(0.06	)		1.06		11.10			199,836		0.75			0.73			2.15			53.45
	(0.11	)		1.02		15.36			195,773		0.75			0.72			2.07			79.86
	(0.12	)		0.99		(3.85	)		174,429		0.74			0.71			1.49			52.53
	(0.06	)		1.15		13.03			190,954		0.75			0.72			1.55			55.92
$	—		$	1.72		11.30	%	$	855,859		0.54	%(c)		0.53	%(c)		2.03	%(c)		4.65	%
	(0.09	)		1.55		(2.81	)		772,465		0.54			0.53			1.92			14.33
	(0.07	)		1.68		—			819,213		0.55			0.54			1.91			12.37
	(0.09	)		1.54		14.98			720,940		0.55			0.55			2.00			12.24
	(0.03	)		1.41		(0.09	)		610,458		0.56			0.55			2.06			14.15
	(0.02	)		1.44		13.87			620,021		0.56			0.56			1.92			7.97

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

185

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)

	Net Asset Value,    Beginning of Period		Net Investment   Income (Loss)			Net Realized and Unrealized   Gain (Loss) on   Investments			Total from Investment      Operations			Distributions from  Net Investment  Income			Distributions from  Realized Gains on Investments
Equity Income Portfolio
2019(j)	$	1.53	$	0.02		$	0.22		$	0.24		$	—		$	—
2018		1.86		0.04			(0.19	)		(0.15	)		(0.04	)		(0.14	)
2017		1.72		0.04			0.23			0.27			(0.04	)		(0.09	)
2016		1.56		0.04			0.24			0.28			(0.03	)		(0.09	)
2015		1.77		0.03			(0.14	)		(0.11	)		(0.03	)		(0.07	)
2014		1.72		0.03			0.10			0.13			(0.02	)		(0.06	)
Mid Cap Growth Stock Portfolio
2019(j)	$	2.69	$	0.00	(e)	$	0.70		$	0.70		$	—		$	—
2018		3.46		0.01			(0.17	)		(0.16	)		(0.00	)(e)		(0.61	)
2017		2.88		0.00	(e)		0.59			0.59			(0.01	)		—
2016		3.11		0.01			0.02			0.03			(0.01	)		(0.25	)
2015		3.40		0.01			0.02			0.03			(0.00	)(e)		(0.32	)
2014		3.92		0.01			0.27			0.28			(0.01	)		(0.79	)
Index 400 Stock Portfolio
2019(j)	$	1.74	$	0.01		$	0.29		$	0.30		$	—		$	—
2018		2.11		0.03			(0.24	)		(0.21	)		(0.02	)		(0.14	)
2017		1.96		0.02			0.27			0.29			(0.02	)		(0.12	)
2016		1.77		0.02			0.33			0.35			(0.02	)		(0.14	)
2015		1.96		0.02			(0.07	)		(0.05	)		(0.02	)		(0.12	)
2014		1.90		0.02			0.15			0.17			(0.02	)		(0.09	)
Mid Cap Value Portfolio
2019(j)	$	1.43	$	0.02		$	0.23		$	0.25		$	—		$	—
2018		1.83		0.03			(0.23	)		(0.20	)		(0.03	)		(0.17	)
2017		1.73		0.03			0.16			0.19			(0.03	)		(0.06	)
2016		1.54		0.03			0.32			0.35			(0.03	)		(0.13	)
2015		1.77		0.02			(0.04	)		(0.02	)		(0.03	)		(0.18	)
2014		1.67		0.03			0.24			0.27			(0.02	)		(0.15	)
Small Cap Growth Stock Portfolio
2019(j)	$	2.35	$	0.00	(e)	$	0.55		$	0.55		$	—		$	—
2018		2.88		0.00	(e)		(0.28	)		(0.28	)		—			(0.25	)
2017		2.39		0.00	(e)		0.52			0.52			(0.00	)(e)		(0.03	)
2016		2.37		0.00	(e)		0.28			0.28			(0.01	)		(0.25	)
2015		2.50		0.01			(0.01	)		—			(0.00	)(e)		(0.13	)
2014		2.60		0.00	(e)		0.20			0.20			—			(0.30	)
Index 600 Stock Portfolio
2019(j)	$	1.26	$	0.01		$	0.16		$	0.17		$	—		$	—
2018		1.45		0.02			(0.13	)		(0.11	)		(0.02	)		(0.06	)
2017		1.36		0.01			0.16			0.17			(0.03	)		(0.05	)
2016		1.13		0.01			0.29			0.30			(0.01	)		(0.06	)
2015		1.16		0.01			(0.04	)		(0.03	)		—			(0.00	)(e)
2014		1.33		0.01			0.06			0.07			(0.02	)		(0.22	)
Small Cap Value Portfolio
2019(j)	$	2.04	$	0.01		$	0.35		$	0.36		$	—		$	—
2018		2.54		0.01			(0.31	)		(0.30	)		(0.01	)		(0.19	)
2017		2.42		0.02			0.25			0.27			(0.02	)		(0.13	)
2016		2.10		0.02			0.61			0.63			(0.02	)		(0.29	)
2015		2.38		0.02			(0.14	)		(0.12	)		(0.02	)		(0.14	)
2014		2.45		0.02			(0.02	)		0.00	(e)		(0.01	)		(0.06	)

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(r)  Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^(j)  For the six months ended June 30, 2019. (Unaudited)

^(c)  Computed on an annualized basis.

^(e)  Amount is less than $0.005.

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

186

Total     Distributions			Net Asset Value,   End of Period		Total Return(d)			Net Assets,   End of Period   (thousands)		Ratio of Gross     Expenses to     Average Net     Assets(r)			Ratio of Net     Expenses to     Average Net     Assets(r)			Ratio of Net     Investment     Income (Loss)     to Average Net     Assets			Portfolio     Turnover Rate
$	—		$	1.77		15.80	%	$	779,317		0.65	%(c)		0.61	%(c)		2.59	%(c)		9.55	%
	(0.18	)		1.53		(9.35	)		704,674		0.65			0.61			2.25			16.57
	(0.13	)		1.86		16.24			844,398		0.65			0.62			2.04			21.27
	(0.12	)		1.72		19.17			798,167		0.66			0.64			2.42			23.09
	(0.10	)		1.56		(6.74	)		732,781		0.65			0.65			2.08			37.97
	(0.08	)		1.77		7.43			781,735		0.66			0.66			1.94			13.56
$	—		$	3.39		26.09	%	$	1,127,946		0.54	%(c)		0.54	%(c)		0.13	%(c)		11.86	%
	(0.61	)		2.69		(7.38	)		943,370		0.54			0.54			0.19			32.73
	(0.01	)		3.46		20.29			1,097,433		0.54			0.54			0.14			148.03
	(0.26	)		2.88		0.83			983,395		0.54			0.54			0.29			57.23
	(0.32	)		3.11		0.71			1,025,151		0.53			0.52			0.17			68.54
	(0.80	)		3.40		8.49			1,098,155		0.54			0.51			0.25			82.51
$	—		$	2.04		17.87	%	$	933,130		0.28	%(c)		0.26	%(c)		1.53	%(c)		6.48	%
	(0.16	)		1.74		(11.33	)		792,780		0.28			0.26			1.29			18.23
	(0.14	)		2.11		15.96			896,559		0.28			0.26			1.22			18.08
	(0.16	)		1.96		20.38			773,157		0.28			0.27			1.31			19.44
	(0.14	)		1.77		(2.38	)		634,401		0.28			0.27			1.23			18.70
	(0.11	)		1.96		9.42			652,404		0.28			0.27			1.25			12.20
$	—		$	1.68		17.30	%	$	544,060		0.89	%(c)		0.75	%(c)		1.99	%(c)		20.57	%
	(0.20	)		1.43		(12.85	)		471,943		0.89			0.76			1.50			61.68
	(0.09	)		1.83		11.81			564,624		0.88			0.76			1.79			46.45
	(0.16	)		1.73		23.23			518,217		0.89			0.77			1.71			53.81
	(0.21	)		1.54		(1.33	)		410,233		0.89			0.77			1.38			71.46
	(0.17	)		1.77		16.69			427,853		0.90			0.78			1.56			66.16
$	—		$	2.90		23.74	%	$	621,240		0.56	%(c)		0.56	%(c)		0.08	%(c)		19.65	%
	(0.25	)		2.35		(11.71	)		520,622		0.56			0.56			0.10			52.15
	(0.03	)		2.88		21.61			627,901		0.56			0.56			(0.01	)		43.11
	(0.26	)		2.39		12.25			545,052		0.58			0.58			0.19			44.26
	(0.13	)		2.37		0.32			494,932		0.57			0.56			0.22			48.21
	(0.30	)		2.50		8.66			529,548		0.57			0.57			0.12			27.07
$	—		$	1.43		13.52	%	$	264,258		0.31	%(c)		0.31	%(c)		1.33	%(c)		15.87	%
	(0.08	)		1.26		(8.78	)		221,803		0.31			0.31			1.06			37.83
	(0.08	)		1.45		12.93			222,348		0.33			0.33			1.04			36.46
	(0.07	)		1.36		26.12			173,883		0.36			0.35			1.00			52.14
	(0.00	)(e)		1.13		(2.35	)		113,993		0.36			0.34			0.95			46.59
	(0.24	)		1.16		5.34			101,286		0.39			0.35			0.93			49.73
$	—		$	2.40		17.42	%	$	580,800		0.88	%(c)		0.87	%(c)		0.54	%(c)		11.06	%
	(0.20	)		2.04		(12.73	)		530,072		0.88			0.87			0.43			22.36
	(0.15	)		2.54		11.65			673,234		0.88			0.86			0.56			14.51
	(0.31	)		2.42		32.39			647,830		0.89			0.88			0.93			24.02
	(0.16	)		2.10		(5.45	)		514,970		0.88			0.88			1.00			35.53
	(0.07	)		2.38		0.22			583,367		0.88			0.88			0.81			16.29

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

187

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)

	Net Asset Value, Beginning of Period		Net Investment    Income (Loss)			Net Realized and Unrealized   Gain (Loss) on   Investments			Total from    Investment    Operations			Distributions from Net Investment Income			Distributions from Realized Gains on Investments
International Growth Portfolio
2019(j)	$	1.39	$	0.02		$	0.28		$	0.30		$	—		$	—
2018		1.59		0.02			(0.20	)		(0.18	)		(0.02	)		—
2017		1.24		0.02			0.35			0.37			(0.02	)		—
2016		1.30		0.02			(0.07	)		(0.05	)		(0.01	)		—
2015		1.34		0.02			(0.04	)		(0.02	)		(0.02	)		—
2014		1.43		0.02			(0.09	)		(0.07	)		(0.02	)		—
Research International Core Portfolio
2019(j)	$	0.88	$	0.02		$	0.14		$	0.16		$	—		$	—
2018		1.04		0.02			(0.16	)		(0.14	)		(0.02	)		—
2017		0.82		0.02			0.22			0.24			(0.02	)		—
2016		0.85		0.02			(0.03	)		(0.01	)		(0.01	)		(0.01	)
2015		0.90		0.02			(0.03	)		(0.01	)		(0.02	)		(0.02	)
2014		0.99		0.02			(0.09	)		(0.07	)		(0.01	)		(0.01	)
International Equity Portfolio
2019(j)	$	1.58	$	0.04		$	0.07		$	0.11		$	—		$	—
2018		1.91		0.04			(0.32	)		(0.28	)		(0.05	)		—
2017		1.60		0.04			0.31			0.35			(0.04	)		—
2016		1.61		0.04			0.00	(e)		0.04			(0.03	)		(0.02	)
2015		1.77		0.04			(0.08	)		(0.04	)		(0.05	)		(0.07	)
2014		2.13		0.06			(0.24	)		(0.18	)		(0.04	)		(0.14	)
Emerging Markets Equity Portfolio
2019(j)	$	0.94	$	0.01		$	0.13		$	0.14		$	—		$	—
2018		1.10		0.01			(0.16	)		(0.15	)		(0.01	)		—
2017		0.87		0.02			0.22			0.24			(0.01	)		—
2016		0.80		0.01			0.07			0.08			(0.01	)		—
2015		0.93		0.01			(0.13	)		(0.12	)		(0.01	)		—
2014		0.99		0.01			(0.06	)		(0.05	)		(0.01	)		(0.00	)(e)
Government Money Market Portfolio
2019(j)	$	1.00	$	0.01		$	—		$	0.01		$	(0.01	)	$	—
2018		1.00		0.02			—			0.02			(0.02	)		(0.00	)(e)
2017		1.00		0.01			0.00	(e)		0.01			(0.01	)		(0.00	)(e)
2016		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		(0.00	)(e)
2015		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		(0.00	)(e)
2014		1.00		0.00	(e)		—			0.00	(e)		(0.00	)(e)		—
Short-Term Bond Portfolio
2019(j)	$	1.03	$	0.01		$	0.02		$	0.03		$	—		$	—
2018		1.03		0.02			—			0.02			(0.02	)		—
2017		1.03		0.02			(0.01	)		0.01			(0.01	)		—
2016		1.03		0.01			—			0.01			(0.01	)		—
2015		1.03		0.01			0.00	(e)		0.01			(0.01	)		—
2014		1.03		0.01			—			0.01			(0.01	)		—
Select Bond Portfolio
2019(j)	$	1.23	$	0.02		$	0.05		$	0.07		$	—		$	—
2018		1.26		0.03			(0.03	)		0.00	(e)		(0.03	)		—
2017		1.26		0.03			0.02			0.05			(0.03	)		(0.02	)
2016		1.25		0.02			0.03			0.05			(0.03	)		(0.01	)
2015		1.27		0.02			(0.01	)		0.01			(0.02	)		(0.01	)
2014		1.23		0.02			0.05			0.07			(0.03	)		—

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(r)  Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^(j)  For the six months ended June 30, 2019. (Unaudited)

^(c)  Computed on an annualized basis.

^(e)  Amount is less than $0.005.

^(g)  Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

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

188

Total     Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets,   End of Period   (thousands)		Ratio of Gross     Expenses to     Average Net     Assets(r)			Ratio of Net     Expenses to     Average Net     Assets(r)			Ratio of Net     Investment     Income (Loss)     to Average Net     Assets			Portfolio     Turnover Rate
$	—		$	1.69		21.16	%	$	745,218		0.65	%(c)		0.65	%(c)		2.45	%(c)		12.00	%
	(0.02	)		1.39		(11.28	)		626,082		0.65			0.65			1.28			33.34
	(0.02	)		1.59		30.03			697,581		0.67			0.67			1.32			19.52
	(0.01	)		1.24		(3.41	)		523,122		0.71			0.71			1.67			25.57
	(0.02	)		1.30		(1.73	)		485,313		0.74			0.74			1.12			134.92
	(0.02	)		1.34		(4.52	)		436,931		0.74			0.74			1.75			64.20
$	—		$	1.04		17.35	%	$	703,909		0.82	%(c)		0.77	%(c)		3.98	%(c)		10.16	%
	(0.02	)		0.88		(13.66	)		595,585		0.82			0.77			1.88			24.38
	(0.02	)		1.04		28.21			658,005		0.86			0.81			1.74			27.88
	(0.02	)		0.82		(1.12	)		499,649		0.92			0.88			1.99			40.80
	(0.04	)		0.85		(1.11	)		498,395		0.91			0.91			1.78			32.43
	(0.02	)		0.90		(6.71	)		457,008		0.94			0.94			2.45			25.24
$	—		$	1.69		6.96	%	$	1,716,053		0.68	%(c)		0.54	%(c)		5.08	%(c)		23.91	%
	(0.05	)		1.58		(15.41	)		1,604,068		0.68			0.54			2.36			31.04
	(0.04	)		1.91		22.30			1,927,673		0.70			0.57			2.40			20.68
	(0.05	)		1.60		2.89			1,628,267		0.71			0.62			2.65			16.25
	(0.12	)		1.61		(2.21	)		1,605,948		0.73			0.64			2.05			18.80
	(0.18	)		1.77		(8.80	)		1,635,378		0.72			0.66			2.91			17.84
$	—		$	1.08		15.32	%	$	778,348		1.11	%(c)		0.99	%(c)		1.74	%(c)		10.46	%
	(0.01	)		0.94		(13.75	)		675,350		1.11			1.00			1.27			16.67
	(0.01	)		1.10		27.84			718,281		1.18			1.06			1.61			98.21
	(0.01	)		0.87		9.06			521,800		1.25			1.16			1.24			47.33
	(0.01	)		0.80		(12.24	)		444,297		1.32			1.32			0.91			45.83
	(0.01	)		0.93		(6.25	)		416,997		1.35			1.35			1.02			45.75
$	(0.01	)	$	1.00		1.06	%	$	435,560		0.33	%(c)		0.33	%(c)		2.13	%(c)		—	%
	(0.02	)		1.00		1.54			443,474		0.34			0.34			1.53			—
	(0.01	)		1.00		0.60			439,438		0.33			0.33			0.59			—
	(0.00	)(e)		1.00		0.13			501,635		0.32			0.32			0.11			—
	(0.00	)(e)		1.00		0.01			445,287		0.33			0.26			0.01			—
	(0.00	)(e)		1.00		0.07			438,752		0.33			0.07			0.07			—
$	—		$	1.06		3.01	%	$	326,772		0.40	%(c)		0.40	%(c)		2.56	%(c)		24.47	%(g)
	(0.02	)		1.03		1.36			306,541		0.39			0.39			2.14			41.45	(g)
	(0.01	)		1.03		1.33			293,514		0.42			0.41			1.60			45.77
	(0.01	)		1.03		1.67			269,833		0.43			0.43			1.33			36.61
	(0.01	)		1.03		0.72			244,204		0.43			0.42			1.17			35.76
	(0.01	)		1.03		0.38			234,487		0.41			0.41			0.76			196.15
$	—		$	1.30		6.12	%	$	3,162,729		0.31	%(c)		0.30	%(c)		3.04	%(c)		214.73	%(g)
	(0.03	)		1.23		(0.21	)		2,967,993		0.31			0.31			2.74			293.74	(g)
	(0.05	)		1.26		3.58			2,943,934		0.32			0.31			2.15			390.26	(g)
	(0.04	)		1.26		3.06			2,839,045		0.32			0.31			1.91			524.79	(g)
	(0.03	)		1.25		0.53			2,856,958		0.31			0.31			1.76			476.41	(g)
	(0.03	)		1.27		5.56			2,841,156		0.32			0.32			1.97			308.80	(g)

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

189

Financial Highlights

NORTHWESTERN MUTUAL SERIES FUND, INC.

(For a share outstanding through the period)

	Net Asset Value,    Beginning of Period		Net Investment    Income (Loss)			Net Realized    and Unrealized    Gain (Loss) on Investments			Total from    Investment Operations			Distributions from    Net Investment Income			Distributions from  Realized Gains on Investments
Long-Term U.S. Government Bond Portfolio(s)
2019(j)	$	1.01	$	0.01		$	0.09		$	0.10		$	—		$	—
2018		1.08		0.03			(0.06	)		(0.03	)		(0.02	)		(0.02	)
2017		1.06		0.03			0.05			0.08			(0.02	)		(0.04	)
2016		1.08		0.03			(0.01	)		0.02			(0.02	)		(0.02	)
2015		1.12		0.03			(0.05	)		(0.02	)		(0.02	)		—
2014		0.92		0.03			0.19			0.22			(0.02	)		—
Inflation Protection Portfolio
2019(j)	$	1.06	$	0.01		$	0.06		$	0.07		$	—		$	—
2018		1.11		0.03			(0.06	)		(0.03	)		(0.02	)		—
2017		1.09		0.02			0.01			0.03			(0.01	)		(0.00	)(e)
2016		1.05		0.02			0.03			0.05			(0.01	)		—
2015		1.10		0.01			(0.03	)		(0.02	)		(0.03	)		—
2014		1.08		0.01			0.03			0.04			(0.01	)		(0.01	)
High Yield Bond Portfolio
2019(j)	$	0.69	$	0.02		$	0.05		$	0.07		$	—		$	—
2018		0.75		0.04			(0.06	)		(0.02	)		(0.04	)		—
2017		0.74		0.04			0.01			0.05			(0.04	)		—
2016		0.68		0.04			0.06			0.10			(0.04	)		—
2015		0.72		0.04			(0.05	)		(0.01	)		(0.03	)		—
2014		0.75		0.04			(0.03	)		0.01			(0.04	)		—
Multi-Sector Bond Portfolio(s)
2019(j)	$	1.05	$	0.02		$	0.08		$	0.10		$	—		$	—
2018		1.09		0.04			(0.05	)		(0.01	)		(0.03	)		—
2017		1.05		0.04			0.04			0.08			(0.04	)		—
2016		0.99		0.04			0.07			0.11			(0.05	)		—
2015		1.08		0.04			(0.05	)		(0.01	)		(0.06	)		(0.02	)
2014		1.08		0.04			(0.01	)		0.03			(0.03	)		—
Balanced Portfolio
2019(j)	$	1.36	$	0.00	(e)	$	0.16		$	0.16		$	—		$	—
2018		1.47		0.03			(0.07	)		(0.04	)		(0.04	)		(0.03	)
2017		1.40		0.03			0.12			0.15			(0.03	)		(0.05	)
2016		1.38		0.02			0.07			0.09			(0.03	)		(0.04	)
2015		1.48		0.02			(0.02	)		—			(0.03	)		(0.07	)
2014		1.56		0.02			0.07			0.09			(0.04	)		(0.13	)
Asset Allocation Portfolio
2019(j)	$	1.10	$	0.00	(e)	$	0.15		$	0.15		$	—		$	—
2018		1.21		0.03			(0.09	)		(0.06	)		(0.02	)		(0.03	)
2017		1.12		0.02			0.15			0.17			(0.03	)		(0.05	)
2016		1.11		0.02			0.06			0.08			(0.03	)		(0.04	)
2015		1.20		0.02			(0.03	)		(0.01	)		(0.02	)		(0.06	)
2014		1.28		0.01			0.05			0.06			(0.03	)		(0.11	)

^(d)  Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for periods less than one year.

^(r)  Expense ratios are based on the direct expenses of the Portfolio and do not include the effect of underlying funds’ expenses. For additional information on underlying funds’ expenses, please refer to the Fee and Expense table in the Prospectus.

^(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 for the Long-Term U.S. Government Portfolio would be 0.67% and 0.65% respectively for the period ended June 30, 2019, 0.67% and 0.65% respectively for the period ended December 31, 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, and 0.67% and 0.65% respectively in 2014. The ratios for the Multi-Sector Bond Portfolio would be 0.82% and 0.74% respectively for the period ended June 30, 2019, and 0.81% and 0.74% respectively for the period ended December 31, 2018.

^(j)  For the six months ended June 30, 2019. (Unaudited)

^(c)  Computed on an annualized basis.

^(g)  Portfolio Turnover Rate excludes the impact of mortgage dollar roll transactions.

^(e)  Amount is less than $0.005.

^(h)  Portfolio Turnover Rate excludes the impact of in-kind transactions.

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

190

Total     Distributions			Net Asset Value, End of Period		Total Return(d)			Net Assets,    End of Period    (thousands)		Ratio of Gross     Expenses to     Average Net     Assets(r)			Ratio of Net     Expenses to     Average Net     Assets(r)			Ratio of Net     Investment     Income (Loss)     to Average Net     Assets			Portfolio     Turnover Rate
$	—		$	1.11		9.91	%	$	120,735		1.04	%(c)		1.02	%(c)		2.30	%(c)		5.40	%(g)
	(0.04	)		1.01		(2.04	)		111,468		0.90			0.89			2.48			42.53	(g)
	(0.06	)		1.08		8.28			115,713		0.94			0.92			2.64			50.94	(g)
	(0.04	)		1.06		1.09			110,391		0.77			0.77			2.19			126.34	(g)
	(0.02	)		1.08		(1.47	)		104,513		0.69			0.67			2.32			32.93	(g)
	(0.02	)		1.12		23.73			109,250		0.68			0.67			2.67			116.62	(g)
$	—		$	1.13		6.68	%	$	372,929		0.59	%(c)		0.55	%(c)		2.42	%(c)		19.53	%
	(0.02	)		1.06		(2.61	)		349,571		0.59			0.55			2.55			22.87
	(0.01	)		1.11		3.58			401,711		0.61			0.57			2.05			20.82
	(0.01	)		1.09		4.68			326,927		0.64			0.59			1.55			33.80
	(0.03	)		1.05		(2.20	)		287,089		0.63			0.59			0.52			17.29
	(0.02	)		1.10		3.14			285,685		0.63			0.59			1.26			20.25
$	—		$	0.76		10.19	%	$	831,892		0.44	%(c)		0.44	%(c)		5.89	%(c)		13.86	%
	(0.04	)		0.69		(2.71	)		763,366		0.45			0.45			5.65			22.94
	(0.04	)		0.75		6.88			811,878		0.45			0.45			5.48			31.59
	(0.04	)		0.74		14.59			756,947		0.47			0.46			5.83			35.58
	(0.03	)		0.68		(1.36	)		688,124		0.46			0.46			5.55			27.49
	(0.04	)		0.72		1.18			701,988		0.47			0.47			5.43			96.48
$	—		$	1.15		9.84	%	$	969,864		0.83	%(c)		0.75	%(c)		3.77	%(c)		13.43	%(g)
	(0.03	)		1.05		(1.30	)		874,943		0.82			0.75			3.67			37.42	(g)
	(0.04	)		1.09		8.38			840,981		0.82			0.75			4.06			48.84
	(0.05	)		1.05		11.09			689,849		0.84			0.78			3.86			42.81
	(0.08	)		0.99		(2.22	)		580,634		0.85			0.79			4.13			58.14	(g)
	(0.03	)		1.08		3.25			546,059		0.86			0.81			3.89			58.51	(g)
$	—		$	1.52		11.99	%	$	2,231,013		0.31	%(c)		0.06	%(c)		0.13	%(c)		3.73	%
	(0.07	)		1.36		(3.45	)		2,065,353		0.31			0.06			2.25			27.29
	(0.08	)		1.47		11.98			2,307,470		0.31			0.06			1.75			16.58
	(0.07	)		1.40		6.58			2,202,834		0.31			0.07			1.73			23.64
	(0.10	)		1.38		(0.12	)		2,219,466		0.31			0.08			1.43			13.53
	(0.17	)		1.48		5.56			2,367,127		0.32			0.16			1.29			56.83	(g),(h)
$	—		$	1.25		13.96	%	$	278,525		0.57	%(c)		0.09	%(c)		0.10	%(c)		3.34	%
	(0.05	)		1.10		(4.88	)		249,511		0.57			0.09			2.24			32.14
	(0.08	)		1.21		14.87			277,213		0.57			0.09			1.68			22.05
	(0.07	)		1.12		7.79			250,399		0.58			0.09			1.69			25.59
	(0.08	)		1.11		(0.43	)		249,413		0.58			0.08			1.47			15.36
	(0.14	)		1.20		5.15			266,409		0.62			0.23			1.13			39.50	(g),(h)

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

191

Notes to Financial Statements (unaudited)

NOTE 1. ORGANIZATION

Northwestern Mutual Series Fund, Inc. (the “Series Fund”) is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is also considered an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Series Fund consists of the Growth Stock Portfolio, Focused Appreciation Portfolio, Large Cap Core Stock Portfolio, Large Cap Blend Portfolio, Index 500 Stock Portfolio, Large Company Value Portfolio, Domestic Equity Portfolio, Equity Income Portfolio, Mid Cap Growth Stock Portfolio, Index 400 Stock Portfolio, Mid Cap Value Portfolio, Small Cap Growth Stock Portfolio, Index 600 Stock Portfolio, Small Cap Value Portfolio, International Growth Portfolio, Research International Core Portfolio, International Equity Portfolio, Emerging Markets Equity Portfolio, Government Money Market Portfolio, Short-Term Bond Portfolio, Select Bond Portfolio, Long-Term U.S. Government Bond Portfolio, Inflation Protection Portfolio, High Yield Bond Portfolio, Multi-Sector Bond Portfolio, Balanced Portfolio and Asset Allocation Portfolio (each, a “Portfolio” or collectively, the “Portfolios”). All of the outstanding shares of each Portfolio are held by an affiliate, The Northwestern Mutual Life Insurance Company (“Northwestern Mutual”), for its segregated asset accounts (either directly or indirectly through one or more underlying Portfolios operating as affiliated fund of funds). The Government Money Market Portfolio is a government money market fund under Rule 2a-7 of the 1940 Act.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Series Fund in the preparation of its financial statements.

A. Use of Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

B. Foreign Income and Capital Gains Taxes — The Portfolios may be subject to income taxes imposed by certain countries in which they invest. Foreign withholding taxes on dividends and interest are netted against income and separately disclosed in the Statements of Operations.

Some of the Portfolios may be subject to capital gains taxes imposed by certain countries in which they invest. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

C. Federal Income Taxes — The Portfolios’ policy is to continue to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all of their taxable income to their respective shareholders. The Portfolios also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax, as applicable, on distributable income and gains.

In accordance with the authoritative guidance for uncertainty in income taxes, management of the Series Fund has reviewed all open tax years (2015 to 2018) for major jurisdictions and concluded there was no material impact to the Portfolios’ net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

D. Distributions — Dividends from net investment income and net realized capital gains are declared and paid each business day for the Government Money Market Portfolio and at least annually for the remaining Portfolios, when applicable.

E. Other — The Portfolios record security transactions on trade date. The basis for determining cost on sale of securities is identified cost. Interest income is recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized 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

192

Notes to Financial Statements (unaudited)

Portfolios are allocated among applicable Portfolios on an equitable and consistent basis considering such things as the nature and type of expenses and the relative net assets of the Portfolios. The Portfolios consider highly liquid temporary cash investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in the short-term investments on the Schedule of Investments as well as in investments on the Statement of Assets and Liabilities. Temporary cash overdrafts are reported as a payable to custodian.

F. New Accounting Pronouncements — In March 2017, the FASB issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). 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. The ASU has been adopted, and the impacts are not material.

In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 will be effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. Early adoption is permitted. In 2018, management early adopted certain aspects that allow removal of certain disclosure requirements. Management is currently assessing the potential impact of the remaining requirements to future financial statements.

NOTE 3. SECURITY VALUATION

For purposes of calculating a net asset value, Portfolio securities and other assets are valued as of the close of trading on the New York Stock Exchange (“Exchange”) on each day during which the Exchange is open for trading.

The Fair Value Measurements and Disclosures Topic of the Financial Accounting Standards Codification defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

• Level 1 — fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

• Level 2 — fair value is determined by other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and other data used in fair valuation)

• Level 3 — fair value is determined by significant unobservable inputs (including the Portfolios’ own assumptions in determining fair value)

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolios’ perceived risk of that instrument.

The following is a description of the valuation techniques and significant inputs used in determining the value of the Portfolios’ investments classified as Level 1 and Level 2 in the fair value hierarchy:

• Equity securities (common and preferred stock) 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

193

Notes to Financial Statements (unaudited)

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, bank loans, and non-U.S. bonds are generally valued on the basis of service provider prices that use broker dealer quotations or valuation estimates from internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, call features, maturities, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

• Fixed income securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 in the fair value hierarchy.

• Mortgage related and asset backed securities are generally issued as separate tranches, or classes, of securities within each deal. These securities are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage related and asset backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

• Investments in open-end mutual funds (including other Portfolios) 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 and over-the-counter financial derivatives, such as foreign currency contracts, options contracts, or swap agreements derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These derivatives are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Depending on the product and the terms of the transaction, the value of the derivatives can be estimated using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 in the fair value hierarchy.

The following is a description of the valuation techniques and significant inputs used in determining the value the Portfolios’ investments classified as Level 3 in the fair value hierarchy:

• Securities and other assets for which market quotes are not readily available are valued at fair market value as determined in good faith in accordance with procedures adopted by the Series Fund’s Board of Directors (“Board”). Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g. trade information or broker quotes). The factors considered in reaching these values at June 30, 2019 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration and recoverability.

194

Notes to Financial Statements (unaudited)

A table summarizing each Portfolio’s investments under this hierarchy is included following each Portfolio’s Schedule of Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments’ valuation changes. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. Additionally, U.S GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets categorized as Level 3 in the fair value hierarchy. In accordance with the requirements, a Level 3 reconciliation and details of significant unobservable inputs have been included in the notes to the Schedule of Investments for Portfolios that have a material amount of Level 3 investments. As of June 30, 2019, there were no Portfolios that owned a material amount of Level 3 securities.

The Series Fund has adopted policies and procedures which govern the pricing of Portfolio securities. The Board has delegated the day-to-day responsibility for pricing Portfolio securities and other investments to Mason Street Advisors, LLC (“MSA”), the Portfolios’ investment adviser, Northwestern Mutual in its capacity as fund administrator, and State Street Bank and Trust Company in its capacity as fund accountant, subject to the oversight of a Pricing Committee appointed by the Board and comprised of 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 policy and procedures approved by the Board and any variances from these pricing procedures when appropriate. All such actions are subject to further review and approval by the Board at its next regular meeting.

NOTE 4. SECURITIES AND OTHER INVESTMENTS

A. Delayed Delivery Transactions and When-Issued Securities — Certain Portfolios may engage in securities transactions on a when-issued or delayed delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations. When delayed delivery purchases are outstanding, a Portfolio will earmark liquid assets on its records in amounts sufficient to meet the purchase price. A Portfolio may dispose of or renegotiate a delayed delivery transaction, which may result in a capital gain or loss.

B. Repurchase Agreements — Certain Portfolios may engage in repurchase transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and a Portfolio to resell, the obligation at an agreed upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Portfolio’s custodian or designated sub-custodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed at all times the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. If the counterparty should default, a Portfolio will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

C. Restricted Securities — Certain Portfolios may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from registration before being sold to the public. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult.

D. Foreign Currency Transactions — Certain Portfolios may have securities and other assets and liabilities denominated in foreign currencies which are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize exchange rate risk from the trade date to the settlement date of such transaction. Such foreign currency exchange contracts are marked to market daily.

The Portfolios do not separately report the results of operations due to fluctuations in foreign exchange rates on investments

195

Notes to Financial Statements (unaudited)

from the changes arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, and the differences between the amounts of income and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent of the amounts actually received or paid.

E. Mortgage Backed and Asset Backed Securities — Certain Portfolios may invest in mortgage backed securities, including collateralized mortgage obligations, and asset backed securities. Mortgage backed securities are interests in pools of residential or commercial mortgage loans and asset backed securities are interests in pools of other assets, including various types of loans and credit card receivables. These securities provide a monthly payment, consisting of both a principal and interest component. Interest payments may be based on either fixed rates or adjustable rates. Receipt of principal payment reduces the outstanding par amount of the security and may generate realized gains or losses. Yields on mortgage backed securities are affected by interest and prepayment rates, which, in turn, are influenced by a variety of economic, geographical, social and other factors. Maturities on mortgage backed securities represent stated maturity dates. Actual maturity dates may differ based on prepayment rates. Unlike mortgage backed securities issued or guaranteed by the U.S. government or one of its sponsored entities, mortgage backed securities and asset backed securities issued by private issuers do not have a government or government sponsored entity guarantee. These issuers may provide credit enhancements through external entities such as financial institutions or through the structuring of the transaction itself. There is no guarantee that credit enhancements, if any, will be sufficient to prevent losses.

F. Inflation-Indexed Bonds — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase 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. For the period ended June 30, 2019, the Long-Term U.S. Government Bond Portfolio entered into financing transactions utilizing various U.S. Treasury bonds.

I. Loan Participation and Assignments — Certain Portfolios may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Portfolios’ investments in a loan may be in the form of either actual participation in loans or assignments of all or part of the loans from third parties. A loan is often administered by a bank or other financial institution that acts as an agent for all holders. The agent administers the terms of the loan which are specified in the loan agreement. The Portfolios may invest in multiple series or

196

Notes to Financial Statements (unaudited)

tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right to enforce compliance with the terms of the loan agreement and as a result, the Portfolios may be subject to the credit risk of the borrower and lender that is selling the loan agreement. When the Portfolios purchase assignments from lenders they acquire direct rights against the borrower of the loan. The Portfolios may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments can include lines of credit, which may require the Portfolios to grant additional cash to the borrower upon demand from the borrower. These unfunded loan commitments are in fact a future obligation in full, although a percentage of the loan amount may not be utilized by the borrower. When investing in a loan, the Portfolios have the right to receive principal, interest and any fees from the lender selling the loan agreement and only when the payments are received by the lender from the borrower. There may also be a commitment fee due to the Portfolios based on the unused portion of the line of credit of the floating rate loan. In certain cases, the Portfolios may be entitled to a penalty fee if there was a prepayment of a floating rate loan by the borrower. Fees that are earned or paid will be reflected as interest income or interest expense on the Statements of Operations. As of June 30, 2019, there were no unfunded loan commitments outstanding.

J. Reverse Repurchase Agreements — Certain Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Portfolio delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Portfolio is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Portfolio to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. When effecting reverse repurchase transactions, the Portfolio will hold securities of a dollar amount equal in value to the securities subject to the reverse repurchase agreement in a segregated account. As of June 30, 2019, there were reverse repurchase agreements held in the Long-Term U.S. Government 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 fund 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 the fund 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

197

Notes to Financial Statements (unaudited)

Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

B. Forward Foreign Currency Contracts — The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies or as part of an investment strategy. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is recorded. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts.

C. Options — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing call options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put 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

198

Notes to Financial Statements (unaudited)

Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

Interest Rate Swaps — Interest rate swap agreements involve the exchange by a Portfolio with another party to pay or receive a set of cash flows, e.g., an exchange of floating rate payments for fixed rate payments based on a notional amount of principal.

Total Return Swaps — Total return swap agreements involve commitments to pay or receive a financing rate in exchange for the total return of an underlying reference entity, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

Credit Default Swaps — Credit default swap agreements involve one party making a series of payments to another party in exchange for the right to receive a cash payment equal to the notional value of the swap in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging market country. A Portfolio may use credit default swaps to provide a measure of protection against defaults of the issuers where the Portfolio owns or has exposure to the corporate or sovereign issue or to take an active long or short position on the likelihood of a particular issuer’s default.

As a seller of protection, the Portfolio generally receives an upfront payment and/or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Portfolio adds leverage to its investments because the Portfolio has investment exposure on the notional amount of the swap. As a buyer of protection, the Portfolio generally makes an upfront payment or pays a fixed rate of interest throughout the term of the swap provided that there is no credit event. The Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging market country serve as an indicator of the current status of the payment/performance risk and represent the likelihood of a credit event occurring. The implied credit spread of a particular referenced entity reflects the cost of selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and indicate a greater likelihood a credit event could occur as defined under the terms of the agreement. Open credit default swaps on corporate or sovereign issues and credit indices are disclosed in the Schedules of Investments.

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the Schedules of Investments. These maximum potential amounts would be partially offset by any recovery values of the referenced obligations, upfront payments received upon entering into the agreement, or net amounts received by the Portfolio from the settlement of credit default swap agreements purchasing protection for the same referenced obligation.

E. Derivative Disclosures — Derivative positions held by the Portfolios by contract type and primary risk exposure, including location on the Statement of Assets and Liabilities and value as of June 30, 2019, are (amounts in thousands):

199

Notes to Financial Statements (unaudited)

	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	$	193	Payables – Futures Variation Margin	$	-
Large Company Value Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		2	Payables – Foreign Currency Purchased		61
Equity Income Portfolio
Equity contracts	Receivables – Futures Variation Margin		7	Payables – Futures Variation Margin		-
Index 400 Stock Portfolio
Equity contracts	Receivables – Futures Variation Margin		205	Payables – Futures Variation Margin		-
Mid Cap Value Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		5	Payables – Foreign Currency Purchased		153
Index 600 Portfolio
Equity contracts	Receivables – Outstanding Swaps Contracts, at Value		714	Payables – Outstanding Swaps Contracts, at Value		-
International Equity Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		1	Payables – Foreign Currency Purchased		1
Short-Term Bond Portfolio
Interest rate contracts	Receivables – Futures Variation Margin		-	Payables – Futures Variation Margin		16
Long-Term U.S. Government Bond Portfolio
Interest rate contracts	Receivables – Futures Variation Margin		-	Payables – Futures Variation Margin		44
Interest rate contracts	Receivables – Cleared Swap Variation Margin		25	Payables – Cleared Swap Variation Margin		3
Interest rate contracts	Receivables – Outstanding Options Written, at Value		-	Payables – Outstanding Options Written, at Value		17
Inflation Protection Portfolio
Foreign exchange contracts	Receivables – Foreign Currency Sold		-	Payables – Foreign Currency Purchased		36
Interest rate contracts	Receivables – Futures Variation Margin		3	Payables – Futures Variation Margin		4
Other contracts	Receivables – Cleared Swap Variation Margin		2	Payables – Cleared Swap Variation Margin		12
Other contracts	Receivables – Outstanding Swaps Contracts, at Value		310	Payables – Outstanding Swaps Contracts, at Value		4,520
Multi-Sector Bond Portfolio
Credit contracts	Receivables – Outstanding Swaps Contracts, at Value		102	Payables – Outstanding Swaps Contracts, at Value		72
Credit contracts	Receivables – Cleared Swap Variation Margin		241	Payables – Cleared Swap Variation Margin		60
Interest rate contracts	Receivables – Outstanding Swaps Contracts, at Value		259	Payables – Outstanding Swaps Contracts, at Value		-
Foreign exchange contracts	Receivables – Foreign Currency Sold		807	Payables – Foreign Currency Purchased		3,717
Interest rate contracts	Receivables – Outstanding Options Written, at Value		-	Payables – Outstanding Options Written, at Value		196
Interest rate contracts	Receivables – Futures Variation Margin		83	Payables – Futures Variation Margin		92
Interest rate contracts	Receivables – Cleared Swap Variation Margin		14	Payables – Cleared Swap Variation Margin		1

200

Notes to Financial Statements (unaudited)

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2019 are (amounts in thousands):

Realized Gain (Loss) on Derivatives Instruments

Portfolio

Options       Written

Futures

Forward      Currency      Contracts

Swaps

Total

Index 500 Stock Portfolio

Equity contracts

$

–

$

5,745

$

–

$

–

$

5,745

Large Company Value Portfolio

Foreign currency exchange contracts

–

–

212

–

212

Equity Income Portfolio

Foreign currency exchange contracts

–

–

7

–

7

Index 400 Stock Portfolio

Equity contracts

–

1,807

–

–

1,807

Mid Cap Value Portfolio

Foreign currency exchange contracts

–

–

221

–

221

Index 600 Stock Portfolio

Equity contracts

–

–

–

(957

)

(957

)

International Growth Portfolio

Foreign currency exchange contracts

–

–

(47

)

–

(47

)

Research International Core Portfolio

Foreign currency exchange contracts

–

–

3

–

3

International Equity Portfolio

Foreign currency exchange contracts

–

–

(166

)

–

(166

)

Emerging Markets Equity Portfolio

Foreign currency exchange contracts

–

–

(48

)

–

(48

)

Short-Term Bond Portfolio

Interest rate contracts

–

712

–

–

712

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

25

2,093

–

27

2,145

Inflation Protection Portfolio

Foreign currency exchange contracts

–

–

34

–

34

Interest rate contracts

–

(1,031

)

–

–

(1,031

)

Credit contracts

(18

)

(18

)

Other contracts

–

–

–

(775

)

(775

)

Multi-Sector Bond Portfolio

Credit contracts

–

–

–

4,766

4,766

Foreign currency exchange contracts

–

–

6,283

–

6,283

Interest rate contracts

363

8,431

–

(2,476

)

6,318

Balanced Portfolio

Equity contracts

–

2,638

–

–

2,638

Asset Allocation Portfolio

Equity contracts

–

320

–

–

320

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2019 are (amounts in thousands):

Change in Unrealized Appreciation (Depreciation) on Derivative Instruments

Portfolio

Options   Written

Futures

Forward Currency  Contracts

Swaps

Total

Index 500 Stock Portfolio

Equity contracts

$

–

$

1,235

$

–

$

–

$

1,235

Large Company Value Portfolio

Foreign currency exchange contracts

–

–

99

–

99

Equity Income Portfolio

Equity contracts

–

(8

)

–

–

(8

)

201

Notes to Financial Statements (unaudited)

Change in Unrealized Appreciation (Depreciation) on Derivative Instruments

Portfolio

Options Written

Futures

Forward Currency Contracts

Swaps

Total

Index 400 Stock Portfolio

Equity contracts

$     –

$      1,378

$     –

$     –

$      1,378

Mid Cap Value Portfolio

Foreign currency exchange contracts

–

–

113

–

113

Index 600 Stock Portfolio

Equity Contracts

–

–

–

1,606

1,606

International Growth Portfolio

Foreign currency exchange contracts

–

–

9

–

9

Research International Core Portfolio

Foreign currency exchange contracts

–

–

12

–

12

International Equity Portfolio

Foreign currency exchange contracts

–

–

6

–

6

Emerging Markets Equity Portfolio

Foreign currency exchange contracts

–

–

21

–

21

Short–Term Bond Portfolio

Interest rate contracts

–

107

–

–

107

Long–Term U.S. Government Bond Portfolio

Interest rate contracts

(2

)

(1,689

)

–

(895

)

(2,586

)

Inflation Protection Portfolio

Foreign currency exchange contracts

–

–

(108

)

–

(108

)

Interest rate contracts

–

809

–

–

809

Credit contracts

–

–

–

(92

)

(92

)

Other contracts

–

–

–

343

343

Multi–Sector Bond Portfolio

Credit contracts

–

–

–

6,428

6,428

Foreign currency exchange contracts

–

–

(2,669

)

–

(2,669

)

Interest rate contracts

24

(1,052

)

–

1,707

679

Balanced Portfolio

Equity contracts

–

(39

)

–

–

(39

)

Asset Allocation Portfolio

Equity contracts

–

36

–

–

36

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2019 are:

	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
Portfolio	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the     Counter     Options
Index 500 Stock Portfolio
Equity contracts		–		298		–		–		–
Large Company Value Portfolio
Foreign currency exchange contracts		–		–		15,535		–		–
Equity Income Portfolio
Equity contracts		–		2				–		–
Index 400 Stock Portfolio
Equity contracts		–		116		–		–		–
Mid Cap Value Portfolio
Foreign currency exchange contracts		–		–		36,186		–		–
Index 600 Stock Portfolio
Equity contracts		–		–		–		10		–

202

Notes to Financial Statements (unaudited)

	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
Portfolio	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the     Counter     Options
International Growth Portfolio
Foreign currency exchange contracts		–		–		1,170		–		–
Research International Core Portfolio
Foreign currency exchange contracts		–		–		8		–		–
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		–		–		30		–		–
Short-Term Bond Portfolio
Interest rate contracts		–		378		–		–		–
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		34		588		–		27,010		–
Inflation Protection Portfolio
Foreign currency exchange contracts		–		–		2,994		–		–
Credit contracts		–		–		–		6,067		–
Interest rate contracts		–		328		–		–		–
Other contracts		–		–		–		106,017		–
Multi-Sector Bond Portfolio
Credit contracts		–		–		–		272,374		–
Foreign currency exchange contracts		–		–		600,181		–		–
Interest rate contracts		88,178		1,745		–		528,366		22,100
Balanced Portfolio
Equity contracts		–		106		–		–		–
Asset Allocation Portfolio
Equity contracts		–		16		–		–		–

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 governs repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that governs certain OTC financial derivative

203

Notes to Financial Statements (unaudited)

transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the fund 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, 2019, has been limited such that the net amount cannot be less than zero.

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral as of period end:

Large Company Value Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward  Contacts			Swaps		Total Liabilities			Net Market   Value			Collateral Pledged/   (Received)		Net  Exposure
Goldman Sachs International	$	-	$	-	$	-	$	(16	)	$	-	$	(16	)	$	(16	)	$	-	$	(16	)
Morgan Stanley Capital Services		2		-		2		(45	)		-		(45	)		(43	)		-		(43	)
Total	$	2	$	-	$	2	$	(61	)	$	-	$	(61	)	$	(59	)	$	-	$	(59	)
Mid Cap Value Portfolio
	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts			Swaps		Total Liabilities			Net Market Value			Collateral Pledged/   (Received)		Net  Exposure
Goldman Sachs International	$	-	$	-	$	-	$	(52	)	$	-	$	(52	)	$	(52	)	$	-	$	(52	)
Morgan Stanley Capital Services, Inc.		5		-		5		(101	)		-		(101	)		(96	)		-		(96	)
Total	$	5	$	-	$	5	$	(153	)	$	-	$	(153	)	$	(148	)	$	-	$	(148	)

204

Notes to Financial Statements (unaudited)

Index 600 Stock Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward Contacts		Swaps		Total Liabilities		Net Market Value		Collateral Pledged/ (Received)			Net  Exposure
JP Morgan Chase Bank NA	$	-	$	714	$	714	$	-	$	-	$	-	$	714	$	(350	)	$	364
Total	$	-	$	714	$	714	$	-	$	-	$	-	$	714	$	(350	)	$	364

Inflation Protection Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total Assets		Forward  Contacts			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)		Net  Exposure
Bank of America NA	$	-	$	4	$	4	$	-		$	(1,649	)	$	(1,649	)	$	(1,645	)	$	1,595	$	(50	)
Barclays Bank PLC		-		-		-		-			(2,511	)		(2,511	)		(2,511	)		2,220		(291	)
Goldman Sachs International		-		305		305		-			(360	)		(360	)		(55	)		-		(55	)
Morgan Stanley Capital Services, Inc.		-		-		-		(36	)		-			(36	)		(36	)		-		(36	)
Total	$	-	$	309	$	309	$	(36	)	$	(4,520	)	$	(4,556	)	$	(4,247	)	$	3,815	$	(432	)

Multi-Sector Bond Portfolio

	Derivative Assets (000’s)						Derivative Liabilities (000’s)
Counterparty	Forward Contacts		Swaps		Total  Assets		Forward Contacts			Written Options			Swaps			Total Liabilities			Net Market Value			Collateral Pledged/ (Received)			Net  Exposure
Bank of America NA	$	95	$	-	$	95	$	(403	)	$	-		$	-		$	(403	)	$	(308	)	$	308		$	-
Barclays Bank PLC		5		26		31		(9	)		-			-			(9	)		22						-
BNP Paribas SA		152		-		152		(224	)		-			(1	)		(225	)		(73	)		73			-
Goldman Sachs International		257		27		284		(2,901	)		(19	)		(39	)		(2,959	)		(2,675	)		26			(2,649	)
HSBC Bank USA NA		260		29		289		(127	)		-			(32	)		(159	)		130			(60	)		70
JP Morgan Chase Bank NA		13		271		284		(30	)		-			-			(30	)		254			(220	)		-
Morgan Stanley Capital Services		-		-		-		-			(93	)		-			(93	)		(93	)		-			(93	)
Royal Bank of Scotland PLC		-		-		-		(8	)		-			-			(8	)		(8	)		-			(8	)
UBS AG		1		8		9		(1	)		-			-			(1	)		8			-			8
Total	$	783	$	361	$	1,144	$	(3,703	)	$	(112	)	$	(72	)	$	(3,887	)	$	(2,743	)	$	127		$	(2,616	)

The following is a summary by counterparty of the market value of repurchase agreements, financing transactions, collateral and net exposure as of period end:

Government Money Market Portfolio

Counterparty	Investment in Repurchase  Agreements		Payable for Reverse Repurchase  Agreements		Payable for Financing Transactions		Net Market Value		Collateral Pledged/  (Received)			Net Exposure
Bank of Montreal	$	4,000	$	-	$	-	$	4,000	$	(4,000	)	$	-
Bank of Nova Scotia		25,000		-		-		25,000		(25,000	)		-
BNP Paribas SA		20,000		-		-		20,000		(20,000	)		-
Citigroup Global Markets		20,000		-		-		20,000		(20,000	)		-
Goldman Sachs International		10,000		-		-		10,000		(10,000	)		-
HSBC Bank USA		5,000		-		-		5,000		(5,000	)		-
Mitsubishi UFJ Securities USA		10,000		-		-		10,000		(10,000	)		-
Mizuho Bank		10,000		-		-		10,000		(10,000	)		-
Natixis SA		20,000		-		-		20,000		(20,000	)		-
TD Securities USA		23,000		-		-		23,000		(23,000	)		-
Total	$	147,000	$	-	$	-	$	147,000	$	(147,000	)	$	-

205

Notes to Financial Statements (unaudited)

Long-Term US Government Bond Portfolio

Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements		Payable for Financing Transactions			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Barclays Bank PLC	$	-	$	-	$	(777	)	$	(777	)	$	776		$      (1	)
Goldman Sachs International		-		-		(58,830	)		(58,830	)		58,826		(4	)
Morgan Stanley Capital Services		-		-		(80,146	)		(80,146	)		80,028		(118	)
Total	$	-	$	-	$	(139,753	)	$	(139,753	)	$	139,690		$ (123)

Multi-Sector Bond Portfolio

Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements		Payable for Financing Transactions		Net Market Value		Collateral Pledged/ (Received)			Net Exposure
Barclays Bank PLC	$	100,000	$	-	$	-	$	100,000	$	(100,000	)	$	-
BNP Paribas SA		52,500		-		-		52,500		(52,500	)		-
JP Morgan Chase Bank NA		100,000		-		-		100,000		(100,000	)		-
Total	$	252,500	$	-	$	-	$	252,500	$	(252,500	)	$	-

NOTE 7. INVESTMENT ADVISORY, SUB-ADVISORY, AND COMPLIANCE FEES

The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services to MSA, an affiliate and wholly owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay 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%

206

Notes to Financial Statements (unaudited)

Portfolio	First $100 Million	Next $150 Million	Excess Over $250 Million
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%

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, fees for class action, other passive securities litigation and anti-trust claim filing services and such non-recurring and extraordinary expenses as they may arise) will not exceed the following amounts:

Portfolio		Expiration
Focused Appreciation Portfolio	0.90%		April 30, 2020
Large Cap Blend Portfolio	0.85%		April 30, 2020
Large Company Value Portfolio	0.80%		April 30, 2020
Domestic Equity Portfolio	0.75%		April 30, 2020
Equity Income Portfolio	0.75%		April 30, 2020
Mid Cap Value Portfolio	1.00%		April 30, 2020
Index 600 Stock Portfolio	0.35%		April 30, 2020
Small Cap Value Portfolio	1.00%		April 30, 2020
International Growth Portfolio	1.10%		April 30, 2020
Research International Core Portfolio	1.15%		April 30, 2020
Emerging Markets Equity Portfolio	1.50%		April 30, 2020
Short-Term Bond Portfolio	0.45%		April 30, 2020
Long-Term U.S. Government Bond Portfolio	0.65%		April 30, 2020
Inflation Protection Portfolio	0.65%		April 30, 2020
Multi-Sector Bond Portfolio	0.90%		April 30, 2020
Asset Allocation Portfolio	0.75%		April 30, 2020

Growth Stock Portfolio –MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $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, 2020.

207

Notes to Financial Statements (unaudited)

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, 2020.

Large Cap Core Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $400 million, and 0.37% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

Large Cap Blend Portfolio – Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that the management fee is 0.76% on the Portfolio’s first $150 million of average net assets, 0.69% on the next $150 million, 0.62% on the next $200 million, and 0.56% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

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, 2020.

Domestic Equity Portfolio – For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 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. Effective May 1, 2019, 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, 0.46% on the next $500 million, and 0.44% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

Equity Income Portfolio – For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 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. Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% 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, 2020.

Mid Cap Growth Stock Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.80% on the Portfolio’s first $50 million, 0.65% on the next $50 million, 0.50% on the next $900 million, and 0.49% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

Mid Cap Value Portfolio – For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 0.79% on the Portfolio’s first $150 million of average net assets, 0.69% on the next $350 million, and 0.66% on the average net assets in excess of $500 million. Effective May 1, 2019, 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, 0.68% on the next $350 million, and 0.65% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

208

Notes to Financial Statements (unaudited)

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, 2020.

International Growth Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.75% on the Portfolio’s first $100 million of average net assets, 0.65% 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, 2020.

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, 2020.

International Equity Portfolio – For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 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. Effective May 1, 2019, 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, 0.46% on the next $500 million, and 0.40% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

Emerging Markets Equity Portfolio – For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that its management fee was 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. Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that its management fee is 1.00% on the Portfolio’s first $250 million of average net assets, 0.92% on the next $250 million, 0.89% 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, 2020.

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, 2020.

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, 2020.

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, 2020.

Long-Term U.S. Government Bond Portfolio – MSA has agreed to waive a portion of its management fee such that the management fee is 0.555% on the Portfolio’s first $100 million of average net assets, 0.515% on the next $150 million, 0.495% of the next $250 million, and 0.445% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

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

209

Notes to Financial Statements (unaudited)

0.30% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

Multi-Sector Bond Portfolio – For the period from January 1, 2019 through April 30, 2019, MSA agreed to waive a portion of its management fee such that the management fee was 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.67% on average net assets in excess of $500 million. Effective May 1, 2019, MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.65% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2020.

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, 2020.

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, 2020.

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, passive foreign investment companies, and financing transactions.

It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Permanent differences primarily relate to character differences with respect to income on swaps, foreign currency transactions, foreign bond sales, passive foreign investment companies and paydowns on structured product investments.

A summary of the Portfolios’ capital loss carryovers as of December 31, 2018 is provided below:

	Short- Term Loss Carryover		Long- Term Loss Carryover		Losses   Utilized
	(Amounts in thousands)
International Growth Portfolio	$	–	$	–	$	18,651
Research International Core Portfolio		–		–		5,733
International Equity Portfolio		–		–		21,869
Emerging Markets Equity Portfolio		–		27,787		–
Short-Term Bond Portfolio		1,292		1,794		–
Select Bond Portfolio		53,137		41,852		–
Long-Term U.S. Government Bond Portfolio		2,299		1,140		–
Inflation Protection Portfolio		–		2,853		–
High Yield Bond Portfolio		–		3,390		1,585
Multi-Sector Bond Portfolio		15,599		4,204		–

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the

210

Notes to Financial Statements (unaudited)

first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the years ended December 31, 2018 was as follows:

	2018 Distributions Paid From:
Portfolio	Ordinary     Income		Long-term   Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	19,301	$	92,900
Focused Appreciation Portfolio		5,061		24,625
Large Cap Core Stock Portfolio		13,132		162,866
Large Cap Blend Portfolio		1,436		7,945
Index 500 Stock Portfolio		55,595		28,215
Large Company Value Portfolio		6,580		11,246
Domestic Equity Portfolio		16,392		26,745
Equity Income Portfolio		18,363		58,421
Mid Cap Growth Stock Portfolio		48,744		135,034
Index 400 Stock Portfolio		11,291		57,311
Mid Cap Value Portfolio		14,430		43,616
Small Cap Growth Stock Portfolio		6,699		44,317
Index 600 Stock Portfolio		5,807		7,556
Small Cap Value Portfolio		4,714		45,147
International Growth Portfolio		9,563		—
Research International Core Portfolio		10,485		—
International Equity Portfolio		45,976		—
Emerging Markets Equity Portfolio		9,240		—
Government Money Market Portfolio		6,510		—
Short-Term Bond Portfolio		4,636		—
Select Bond Portfolio		67,892		—
Long-Term U.S. Government Bond Portfolio		4,123		671
Inflation Protection Portfolio		7,199		—
High Yield Bond Portfolio		43,280		—
Multi-Sector Bond Portfolio		26,878		—
Balanced Portfolio		55,333		46,465
Asset Allocation Portfolio		6,104		6,578

As of December 31, 2018, 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	$	6,805	$	106,399	$	–		$	120,793
Focused Appreciation Portfolio		6,173		54,376		–			180,004
Large Cap Core Stock Portfolio		13,608		22,462		–			(18,012	)
Large Cap Blend Portfolio		2,685		14,864		–			19,209
Index 500 Stock Portfolio		56,955		82,722		–			1,431,031
Large Company Value Portfolio		6,196		11,792		–			(13,998	)
Domestic Equity Portfolio		16,004		40,576		–			156,140
Equity Income Portfolio		19,167		46,397		–			27,451
Mid Cap Growth Stock Portfolio		39,746		9,001		–			(70,421	)
Index 400 Stock Portfolio		14,512		57,141		–			88,889
Mid Cap Value Portfolio		14,444		43,748		–			(57,038	)
Small Cap Growth Stock Portfolio		16,390		72,405		–			2,094
Index 600 Stock Portfolio		3,844		15,085		–			3,599
Small Cap Value Portfolio		3,918		87,580		–			62,030
International Growth Portfolio		9,182		2,373		–			27,637
Research International Core Portfolio		11,737		18,842		–			(15,311	)
International Equity Portfolio		41,463		80,375		–			(105,401	)
Emerging Markets Equity Portfolio		8,489		–		(27,787	)		11,240
Government Money Market Portfolio		–		–		–			–
Short-Term Bond Portfolio		6,513		–		(3,086	)		(2,245	)
Select Bond Portfolio		85,803		–		(94,989	)		(13,301	)

211

Notes to Financial Statements (unaudited)

Portfolio	Undistributed Ordinary Income		Undistributed Long-Term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)
			(Amounts in thousands)
Long-Term U.S. Government Bond Portfolio	$	2,528	$	–	$	(3,439	)	$	(6,880)
Inflation Protection Portfolio		9,618		–		(2,853	)		(20,219)
High Yield Bond Portfolio		45,460		–		(3,390	)		(56,077)
Multi-Sector Bond Portfolio		44,755		–		(19,803	)		(32,671)
Balanced Portfolio		51,404		11,849		–			(63,871)
Asset Allocation Portfolio		6,129		17,044		–			(8,596)

NOTE 9. VOLUNTARY REIMBURSEMENTS

Northwestern Mutual voluntarily reimburses foreign equity portfolios for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolios. The amounts reimbursed represent approximately 79% of the foreign dividend taxes withheld attributable to the portion of the Portfolio owned by Northwestern Mutual. Reimbursements are recorded when foreign dividend taxes are accrued.

Voluntary reimbursements for the period ended June 30, 2019 are summarized below:

Portfolio	2019  Reimbursements
International Growth Portfolio	$	932,317
Research International Core Portfolio		1,254,969
International Equity Portfolio		4,237,149
Emerging Markets Equity Portfolio		898,547

NOTE 10. GUARANTEES

In the normal course of business, the Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of material loss to be remote.

NOTE 11. INVESTMENT INCOME AND SECURITIES TRANSACTIONS

For the period ended June 30, 2019, transactions in securities other than short term investments were:

Portfolios	Total Security   Purchases		U.S. Govt. Security   Purchases		Total Security Sales/     Maturities		U.S. Govt. Security Sales/   Maturities
			(Amounts in thousands)
Growth Stock Portfolio	$	232,478	$	—	$	248,023	$	—
Focused Appreciation Portfolio		21,363		—		71,907		—
Large Cap Core Stock Portfolio		165,592		—		185,576		—
Large Cap Blend Portfolio		16,146		—		30,318		—
Index 500 Stock Portfolio		55,195		—		51,410		—
Large Company Value Portfolio		55,838		—		60,791		—
Domestic Equity Portfolio		65,522		—		38,055		—
Equity Income Portfolio		71,282		—		97,399		—
Mid Cap Growth Stock Portfolio		127,230		—		183,076		—
Index 400 Stock Portfolio		59,561		—		56,361		—
Mid Cap Value Portfolio		105,715		—		104,511		—
Small Cap Growth Stock Portfolio		115,336		—		133,033		—
Index 600 Stock Portfolio		52,187		—		37,978		—
Small Cap Value Portfolio		62,336		—		89,647		—
International Growth Portfolio		93,240		—		81,333		—
Research International Core Portfolio		86,067		—		65,934		—
International Equity Portfolio		420,305		—		395,608		—

212

Notes to Financial Statements (unaudited)

Portfolios	Total Security   Purchases		U.S. Govt. Security   Purchases		Total Security Sales/     Maturities		U.S. Govt. Security Sales/   Maturities
			(Amounts in thousands)
Emerging Markets Equity Portfolio	$	82,309	$	—	$	75,423	$	—
Short-Term Bond Portfolio		66,808		49,873		38,956		37,785
Select Bond Portfolio		1,265,944		5,278,960		1,256,180		5,250,214
Long-Term U.S. Government Bond Portfolio		715		483,293		14		458,158
Inflation Protection Portfolio		28,133		40,619		19,894		45,115
High Yield Bond Portfolio		120,746		—		107,912		—
Multi-Sector Bond Portfolio		137,932		—		60,630		—
Balanced Portfolio		76,414		—		179,893		—
Asset Allocation Portfolio		8,521		—		19,951		—

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, 2019 are as follows:

Portfolio	Value at 12/31/2018		Purchases		Sales		Value at 6/30/2019		Change in Unrealized Appreciation/ Depreciation		Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2019
									(Amounts in thousands)
Balanced:
Growth Stock	$	125,484	$	-	$	9,900	$	141,722	$	24,060	$	2,078		$	-	$	-		13.5%
Focused Appreciation		65,037		-		8,600		70,714		11,915		2,362			-		-		7.3%
Large Cap Core Stock		63,284		-		4,600		70,866		12,123		59			-		-		11.9%
Large Cap Blend		66,379		-		6,400		70,885		9,377		1,530			-		-		42.0%
Large Company Value		64,660		-		4,700		70,525		10,337		228			-		-		36.5%
Domestic Equity		67,231		-		4,400		70,400		6,114		1,455			-		-		8.2%
Equity Income		64,672		-		4,100		70,749		9,677		500			-		-		9.1%
Mid Cap Growth Stock		88,838		-		17,500		93,652		24,525		(2,211	)		-		-		8.7%
Mid Cap Value		85,154		-		6,500		93,121		14,071		397			-		-		17.3%
Small Cap Growth Stock		19,908		-		5,500		18,842		3,579		855			-		-		3.0%
Small Cap Value		29,958		-		16,000		19,089		4,259		872			-		-		4.2%
International Growth		41,168		-		4,000		45,560		7,739		652			-		-		6.1%
Research International Core		102,333		-		8,000		111,670		15,166		2,170			-		-		15.9%
International Equity		38,248		-		-		40,910		2,663		-			-		-		2.4%
Emerging Markets Equity		9,714		-		-		11,202		1,488		-			-		-		1.4%
Select Bond		819,476		22,000		-		892,690		51,214		-			-		-		28.2%
High Yield Bond		130,276		-		-		143,550		13,274		-			-		-		17.2%
	$	1,881,820	$	22,000	$	100,200	$	2,036,147	$	221,581	$	10,947		$	-	$	-

213

Notes to Financial Statements (unaudited)

Portfolio	Value at 12/31/2018		Purchases		Sales		Value at 6/30/2019		Change in Unrealized Appreciation/ Depreciation		Realized Gain (Loss)			Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2019
									(Amounts in thousands)
Asset Allocation:
Growth Stock	$	18,864	$	-	$	900	$	21,898	$	3,744	$	189		$	-	$	-		2.1%
Focused Appreciation		9,769		-		1,000		10,916		1,872		275			-		-		1.1%
Large Cap Core Stock		10,734		-		500		12,305		2,064		7			-		-		2.1%
Large Cap Blend		11,335		-		900		12,299		1,650		215			-		-		7.3%
Large Company Value		9,804		-		500		10,908		1,580		24			-		-		5.6%
Domestic Equity		9,998		-		200		10,926		1,062		66			-		-		1.3%
Equity Income		9,620		-		200		10,938		1,493		24			-		-		1.4%
Mid Cap Growth Stock		12,844		-		2,125		13,974		3,502		(247	)		-		-		1.3%
Mid Cap Value		12,228		-		675		13,636		2,046		37			-		-		2.5%
Small Cap Growth Stock		4,736		-		675		5,149		948		140			-		-		0.8%
Small Cap Value		6,151		-		1,925		5,284		944		114			-		-		1.0%
International Growth		7,803		-		300		9,130		1,578		50			-		-		1.2%
Research International Core		17,045		-		300		19,687		2,860		81			-		-		2.8%
International Equity		7,291		-		-		7,798		508		-			-		-		0.5%
Emerging Markets Equity		1,920		-		-		2,214		294		-			-		-		0.3%
Select Bond		56,264		2,700		-		62,539		3,575		-			-		-		2.0%
High Yield Bond		21,209		-		-		23,370		2,160		-			-		-		2.8%
	$	227,615	$	2,700	$	10,200	$	252,971	$	31,880	$	975		$	-	$	-

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, 2019, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):

Portfolio	Cross Trade  Purchases
Large Cap Core Portfolio	$	2,765
Large Company Value Portfolio		1.055
Mid Cap Value Portfolio		1,422
Small Cap Growth Portfolio		751
Small Cap Value Portfolio		269
International Growth Portfolio		1,297
Research International Core Portfolio		286
High Yield Bond Portfolio		222

	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gains  (Losses) on Sales
Large Cap Core Portfolio	$	2,091	$	218
Large Company Value Portfolio		366		24
Mid Cap Growth Stock Portfolio		539		(143	)
Mid Cap Value Portfolio		166		(19	)
Small Cap Value Portfolio		319		(1,264	)
International Growth Portfolio		4,148		(974	)
Research International Core Portfolio		41		2

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 dismissal is being appealed 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

214

Notes to Financial Statements (unaudited)

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. Based on a decision issued by the U.S. Supreme Court in a different case, the constructive fraudulent transfer case was remanded to the Second Circuit Court of Appeals for a determination of the effect of the recent decision on the claims asserted in the Tribune case. Proceedings are pending in the Second Circuit Court of Appeals. 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, 2019, were: Index 500 Stock Portfolio $977,000 (0.03%) of net assets; Small Cap Value Portfolio $618,000 (0.11% of net assets); and Equity Income Portfolio $2,873,000 (0.37% of net assets). Management has not concluded that a loss is reasonably likely to occur, and therefore no loss accrual has been recorded.

215

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements

ADR	American Depositary Receipt
AFC	Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR	Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE	Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
IO	Interest Only Security
GO	General Obligation
RB	Revenue Bond
CPURNSA	U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange
Currency Abbreviations
ARS	Argentine Peso
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNH	Chinese Yuan Renminbi - Offshore
CNY	Chinese Yuan Renminbi
DKK	Danish Krone
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
KES	Kenyan Shilling
KRW	South Korean Won
MXN	Mexican New Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PHP	Philippines Peso
PLN	Polish Zloty
RUB	Russian Ruble
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
ZAR	South African Rand

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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 on a monthly basis with the Securities and Exchange Commission (SEC) on Form N-PORT. Each Portfolio’s holdings reported on Form N-PORT for the first and third quarters of the fiscal year are available on the SEC’s website at http://www.sec.gov. The Government Money Market Portfolio filed its schedule of portfolio holdings for the quarterly period ending March 31, 2019 on Form N-Q. This Form N-Q filing, the final Form N-Q filing to be made by the Series Fund, is available on the SEC’s website. 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.

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Northwestern Mutual Series Fund, Inc.

Annual Contract Review Process

Under Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), contracts for investment advisory services are required to be reviewed, evaluated and approved by a majority of an investment company’s independent directors each year. In addition, each investment company is required to disclose in its annual or semi-annual report, as applicable, the material factors and conclusions that formed the basis for the board’s approval or renewal of any investment advisory agreements within the investment company’s most recently completed fiscal half-year period.

At least annually, the Board of Directors (the “Board”) of Northwestern Mutual Series Fund, Inc. (the “Series Fund”) considers and votes upon the renewal of the investment sub-advisory agreements between Mason Street Advisors, LLC (“Mason Street Advisors”) and each of the sub-advisers of those portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”) for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the Board the opportunity to focus on a smaller number of relationships at any one meeting, the Board considers the annual continuation of the sub-advisory agreements on a staggered basis during the course of the year.

Board Approvals During the Six-Month Period Ended June 30, 2019

At its February 28, 2019 meeting, the Board, including the directors who are not “interested persons” (as that term is defined in the 1940 Act) of the Series Fund or Mason Street Advisors (the “Independent Directors”), unanimously approved the continuance of the Amended and Restated Advisory Agreement between the Series Fund and Mason Street Advisors with respect to each of the Series Fund’s Portfolios (the “Advisory Agreement”).

Also at its February 28, 2019 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a (1) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Mellon Investments Corporation (“Mellon”) relating to the Series Fund’s Growth Stock Portfolio, and a (2) Third Amended and restated Investment Sub-Advisory Agreement between Mason Street Advisors and Wellington Management Company LLP (“Wellington”) relating to the Series Fund’s Small Cap Growth Stock, Large Cap Core Stock and Mid Cap Growth Stock Portfolios.

At its June 5, 2019 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a (1) Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Massachusetts Financial Services Company (“MFS”) relating to the Series Fund’s Research International Core Portfolio, (2) Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and FIAM LLC (“FIAM”) relating to the Series Fund’s International Growth Portfolio, (3) Fourth 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) Second 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 Amended Investment Sub-Advisory Agreement between Mason Street Advisors and Aberdeen Asset Managers Limited (“Aberdeen”) relating to the Series Fund’s Emerging Markets Equity Portfolio. 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

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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 course of the meetings, including how these standards should be applied to the review of information relating to sub-advisers under the Series Fund’s manager of managers structure. During the course of their deliberations, the Independent Directors had the opportunity to meet privately without representatives of Mason Street Advisors and the Sub-Advisers, and were represented throughout the process by legal counsel.

Continuation of the Advisory Agreement between the Series Fund and Mason Street Advisors

At its February 28, 2019 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 and its affiliates during the course of that meeting, the materials provided to the directors in advance of the meeting included Mason Street Advisor’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from Mason Street Advisors designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Advisory Agreement. Those materials also included an independent report prepared by Broadridge (“Broadridge Report”) for each of the Portfolios. The Broadridge Report provided details regarding the fees, expenses, and performance returns captured over a variety of measurement periods, as well as comparative information associated with a Broadridge peer group for each Portfolio as selected by Broadridge based on the Portfolio’s investment style, characteristics and asset levels, and further customized to filter out funds with different share class characteristics and fund structures. The Broadridge Report included an executive summary of the performance and expense information compiled by Broadridge to facilitate the directors’ review. The materials provided to the Independent Directors included an overview from the Mason Street Advisors’ Chief Compliance Officer (“MSA-CCO”) of Mason Street Advisors’ compliance program, as well as the MSA-CCO’s Annual Compliance Report summarizing the results of his review and assessment of the adequacy of Mason Street Advisors’ compliance program. The Independent Directors were also provided with an overview from the Series Fund’s Chief Compliance Officer (“SF-CCO”) of the Series Fund’s compliance program along with the SF-CCO’s Annual Compliance Report summarizing the results of his review and assessment of the adequacy of the Series Fund’s compliance program. In addition to the information presented at the February 28, 2019 meeting, the directors’ considerations were informed by the information regularly provided to them throughout the year regarding the Portfolios and Mason Street Advisors, their experience with and knowledge of the nature and quality of services provided by Mason Street Advisors to the Portfolios and their interactions with representatives of Mason Street Advisors and its affiliates.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of the Advisory Agreement include those discussed below. The directors evaluated the information they deemed relevant on a Portfolio-by-Portfolio basis. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the directors. Further, different directors may have placed greater weight on certain factors than did other directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of Mason Street Advisors’ services, factors considered by the directors included Mason Street Advisors’ overall business, organization and management structure, and the tenure and experience of Mason Street Advisors’ investment personnel. The directors considered the performance of each Portfolio over various time periods as presented at the February 28, 2019 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

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related to the oversight and evaluation of the various sub-advisers appointed to manage the majority of the Series Fund’s Portfolios. The directors noted favorably the collaborative efforts of Mason Street Advisor’s portfolio managers providing day-to-day portfolio management services for the two allocation and three index-based 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 risk management infrastructure implemented by Mason Street Advisors, the Series Fund’s compliance program and compliance infrastructure, and its various compliance policies and procedures, oversight of brokerage and trading, and succession planning were also considered by the directors.

Based on their review of these factors, and reflecting upon their experience with Mason Street Advisors’ services provided to the Portfolios, the Board concluded, as part of their overall evaluation of the Advisory Agreement, that they were satisfied with the nature, extent and quality of services provided by Mason Street Advisors with respect to each Portfolio, including the resources committed by Mason Street Advisors and its affiliates in providing those services, and the experience and capabilities of the personnel rendering such services.

Investment Performance. The Broadridge Report and reporting information provided by Lipper 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 considering performance for each Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate benchmarks and indices, and to the performance averages of each Portfolio’s respective Broadridge and Lipper peer groups for the same periods; (ii) the Broadridge overall star rating and Lipper quintile rating for each Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Portfolio for the one-, three- and five-year time periods (as applicable). 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 Broadridge regarding each Portfolio’s net returns relative to net expenses for the five-year period ended December 31, 2018, focusing in particular on those Portfolios in the bottom half on a comparative basis. The directors considered the steps that already had been taken to improve the performance of those Portfolios, which included, in all but one instance, the appointment of new sub-advisers. The directors noted that, with respect to the Growth Stock Portfolio, performance improvement plans implemented by the Portfolio’s sub-adviser would continue to be monitored.

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 among 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 as reported by Broadridge, which indicated that 15 of the 27 Portfolios were ranked in the first quartile of their respective Broadridge category peer groups for the one-year period ended December 31, 2018, that 13 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, 2018, and that 19 of the 27 Portfolios were ranked in the first or second quartile for the five-year period ended December 31, 2018. The directors also considered the performance returns of the Portfolios as reported by Lipper, which indicated that 19 of the 27 Portfolios were ranked in either the first or second quartile for the one-year period ended December 31, 2018, and that 19 of the 27 Portfolios were ranked in the first or second quartile for the three-year period ended December 31, 2018.

Based on the Board’s review of investment performance over various periods, an analysis of the factors resulting in the performance of certain of the Portfolios, the Board concluded that, considering investment performance within the context

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of its overall determinations regarding the Advisory Agreement, it was satisfied with the relative investment performance of each Portfolio over time.

Management Fees and Other Expenses. The Broadridge Report assisted the Board in the evaluation of the relative expenses of the Portfolios. The directors reviewed a comparison of the management fees of the Portfolios and those of an independently selected peer group of mutual funds for each of the Portfolios. The directors further considered the expenses of each Portfolio and a comparison of those expenses with each Portfolio’s respective peer group and fund category group as a guide to help assess the reasonableness of each Portfolio’s advisory fees and net and total expense ratios. The Broadridge Report also included additional comparative information relating to other fee components, including costs relating to custodial services, shareholder reporting, audit expenses and advisory fees. The directors used the comparative data to help assess the reasonableness of each Portfolio’s advisory fee, although they acknowledged that it was difficult to make precise comparisons with other funds because of the differing manner in which service providers bundle the services they provide and the fees they charge.

In evaluating the level of management fees paid by each Portfolio, the directors considered the structure and size of the Portfolios, the fees paid by each Portfolio under the Advisory Agreement, the expense cap and fee waiver agreements in place for certain Portfolios, and the amounts waived or reimbursed by Mason Street Advisors under such agreements. In considering Mason Street Advisors’ management fees on a stand-alone basis, the directors took into consideration that the management fees compensated Mason Street Advisors for a broader range of services (both investment management and administrative services) than may be included under a typical investment management contract, and concluded that as a result of these additional services, viewing Mason Street Advisors’ management fees in light of Broadridge-reported averages might not provide a complete frame of reference for comparative purposes.

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. The directors commented specifically on Mason Street Advisors’ consistent attention to managing portfolio expenses. The directors expressed satisfaction with the continued good expense rankings of the Portfolios, observing that all but one of the Portfolios were ranked in Broadridge’s first or second quartile (meaning lowest expenses) for total expenses within their respective category groups at December 31, 2018, with 23 of the Portfolios ranking in the first quartile. The directors considered the savings that continue to be achieved by the 2017 change in the Portfolios’ custodian, and the resulting favorable impact on the expense rankings of the Portfolios. The directors considered that, with respect to the Large Cap Blend Portfolio, which had ranked in the 55th percentile in expenses for the year ended December 31, 2018, the advisory fee waiver that was being implemented by Mason Street Advisors should improve the Portfolio’s expense ranking as assets in the Portfolio increase.

Based on their review of the management fees and other expenses, the comparative data, the performance of each Portfolio, and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Portfolios (as modified by the applicable expense waivers and fee caps) were reasonable in relation to the nature, scope and quality of advisory services provided by Mason Street Advisors and the performance of the Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors with respect to the Portfolios. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser, noting that it had remained consistent with prior years. The directors considered Mason Street Advisors’ quarterly presentation to the directors regarding Mason Street Advisors’ revenues,

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expenses, income and profit margins allocable to its services to the Portfolios on an aggregate and a per Portfolio basis, and reviewed Mason Street Advisors’ allocation methodology with respect to its revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by information regarding the range of expenses in each Portfolio’s respective Broadridge peer group and fund group category and the ranking of each Portfolio within the applicable peer group and fund group category. In connection with its review of the profitability of Mason Street Advisors’ services to the Portfolios, the directors considered services provided by affiliates of Mason Street Advisors.

The directors considered the allocation of fees as between Mason Street Advisors and each sub-adviser as well as applicable asset levels, breakpoints, total expenses and management fee waivers that are in place for those Portfolios. As part of the allocation of fees, the Board considered Mason Street Advisors’ decision for the upcoming year to add an advisory fee waiver for the Large Cap Blend Portfolio, to increase advisory fee waivers with respect to six of the Portfolios, and to retain 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 a certain mutual fund partner program offered by such brokerage affiliate of Mason Street Advisors, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors.

The directors 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 and the reduced advisory fees charged for those two Portfolios.

The directors recognized the difficulty in obtaining reliable comparative data about mutual fund managers’ profitability, since such information generally is not publicly available and may be impacted by numerous factors specific to the investment adviser and its method of allocating revenues and expenses. Based on their review of the profitability provided for each Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability arising from each Portfolio was not excessive.

Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with Portfolio investors. The directors considered that breakpoints are contained in the management fee schedules for 20 of the 27 Portfolios and further considered the extent to which the Portfolios may benefit from economies of scale through those breakpoints. The directors also considered Mason Street Advisors’ explanation of why breakpoints for the remaining Portfolios had not been established, including that those Portfolios were ranked the lowest or close to the lowest in terms of total expenses of each Portfolio’s respective peer group as determined by Broadridge or benefited from advisory fee waivers and/or expense limitation agreements put in place by Mason Street Advisors. Also considered was Mason Street Advisors’ commitment to continue to regularly work with the Board to evaluate the need for additional breakpoints or fee waivers as each Portfolio’s assets grow over time. In particular, the directors considered that Mason Street Advisors had agreed to add an advisory fee waiver to the Large Cap Blend Portfolio and to increase fee waivers with respect to six of 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.

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Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisers

At its February 28, 2019 and June 5, 2019 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 performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers’ responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each Sub-Adviser. The directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the Sub-Advisory Agreements include those discussed below. The directors evaluated a variety of information they deemed relevant on a Portfolio-by-Portfolio basis. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the Board. Further, different directors may have placed greater weight on certain factors than did other directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Sub-Adviser’s services, the directors reviewed each Sub-Adviser’s financial strength, 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 update presentations given by the portfolio managers and how the Sub-Advised Portfolios were being positioned in the current market environment. The directors also considered Mason Street Advisors’ reports on due diligence visits and conference calls that had been conducted with certain of the Sub-Advisers.

With respect to the Sub-Advisory Agreements reviewed in February, the directors considered the potential impact of the modified role of the principal portfolio manager assigned to the Growth Stock Portfolio, for which Mellon serves as sub-adviser, and whether the Portfolio was likely to achieve strong performance under the current portfolio management team. The directors also considered Mellon’s management presentation provided to the Board outlining recent organizational changes and the evolution of the portfolio management team for the Portfolio, as well as the loss of certain analysts on the investment team, and assessed the potential impact of these developments on investment management resources. The directors considered the performance track record of the current portfolio management team and the firm’s new compensation structure in place for portfolio managers. The directors also considered the impact of the 2018 merger of Mellon into an affiliated investment adviser, as well as recent layoffs affecting Mellon’s parent company. The directors took into consideration Mellon’s representations that the parent company layoffs have not affected the investment teams, and information regarding the firms’ planned investments into its asset management business. With respect to Wellington, the directors commented favorably regarding the depth of talent on the firm’s investment team, particularly in light of the addition of analysts in certain sectors, and the capabilities of the portfolio manager providing services to the Large Cap Core Stock Portfolio.

With respect to the Sub-Advisory Agreements considered for continuance in June, the directors considered recent and planned workforce reductions by Templeton’s parent company, as well as Templeton’s assurances that the reductions would not impact Templeton’s investment professional staff. The directors observed that while Templeton had experienced recent declines in assets under management, it was not anticipated that the declines would have a negative impact on the firm’s

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ability to attract and retain investment professionals. The directors also considered recent changes made by Templeton to its global equity investment group and research platform structure, concluding that such changes should improve the efficiency of the firm’s investment management process. With respect to Aberdeen, the sub-adviser to the Emerging Markets Equity Portfolio, the directors considered updated information about the continued impact of the 2017 merger of Aberdeen’s parent company with Standard Life plc, and remained confident that the merger had not negatively affected the portfolio management team assigned to the Portfolio, or the investment process previously employed by Aberdeen. With respect to the Research International Core Portfolio, for which MFS serves as sub-adviser, the directors considered that certain changes were made in the portfolio managers responsible for the Portfolio, but noted favorably that, in light of the research-driven investment process employed by MFS, such personnel changes were unlikely to cause a negative impact. The directors also considered certain changes in the sector team leads on the MFS investment team and viewed favorably the background and experience of the newly-appointed sector leads. With respect to the Large Cap Blend Portfolio, for which FMI serves as sub-adviser, the directors considered the current positioning of the holdings in the Portfolio and expressed a high degree of confidence in the portfolio manager for the Portfolio. With respect to the International Growth Portfolio, for which FIAM serves as sub-adviser, the directors considered recent sector lead changes, and concluded that such changes would not be impactful to the firm’s ability to continue to provide high-quality services to the Portfolio.

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 considering performance for each Sub-Advised Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Sub-Advised Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Broadridge and Lipper peer groups for the same periods; (ii) the Broadridge overall star rating and Lipper quintile rating for each Sub-Advised Portfolio; and (iii) the Broadridge and Lipper performance rankings for each Sub-Advised Portfolio for the one-, three- and five-year time periods (as applicable). The directors evaluated each Sub-Advised Portfolio’s performance against these peer groups and industry benchmarks and indices, and viewed this information as providing an objective comparative 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.

With respect to the Growth Stock Portfolio managed by Mellon, the directors considered the performance track record of the current portfolio management team and the firm’s new compensation structure in place for portfolio managers. The directors noted that the Growth Stock Portfolio was ranked in Lipper’s 27th percentile for the year ended December 31, 2018, and had experienced strong recent performance. The directors considered the repeatability of such performance in light of the changes to the portfolio management team at Mellon. The directors considered that there had been no changes to the firm’s investment philosophy or the investment process employed for the Growth Stock Portfolio as a result of the portfolio management transition. With respect to the Portfolios managed by Wellington, the directors considered the challenged performance for the one-year period ended December 31, 2018. With respect to the Small Cap Growth Stock Portfolio managed by Wellington, the directors commented favorably on the Portfolio’s overall strong long-term performance record. The directors also noted favorably the portfolio manager’s presentation to the Board, and the explanation offered for the Portfolio’s near-term underperformance. With respect to the Mid Cap Growth Stock Portfolio managed by Wellington, the directors observed that the portfolio manager was adhering to the investment process that had previously been communicated to the Board, despite short-term performance challenges. The directors also commented favorably on the

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quality of the presentation provided to the Board by the portfolio manager for the Mid Cap Growth Stock Portfolio. With respect to the Mid Cap Growth Stock Portfolio and the Large Cap Core Stock Portfolio, also managed by Wellington, the directors noted that it was premature to draw any conclusions regarding underperformance for 2018 given Wellington’s short tenure as sub-adviser for these Portfolios. The directors commented favorably regarding the depth of talent on the firm’s investment team and the capabilities of the portfolio manager providing services to the Large Cap Core Stock Portfolio.

With respect to the Research International Core Portfolio managed by MFS, the directors identified no performance concerns. The directors commended the strong performance record for the International Growth Portfolio during FIAM’s tenure as sub-adviser. With respect to the International Equity Portfolio sub-advised by Templeton the directors noted recent performance challenges and considered the structural changes implemented by Templeton to address these performance concerns. With respect to the Emerging Markets Portfolio, the directors considered Aberdeen’s explanation for the underperformance during 2017, and noted that the Portfolio had outperformed its benchmark for the three-month and one-year periods ended March 31, 2019. With respect to the Large Cap Blend Portfolio, the directors considered the explanation of FMI’s portfolio manager regarding the impact of the extended bull market on the Portfolio’s performance, and observed that the Portfolio continued to perform as expected given its stated investment style. The directors also noted that the Portfolio had outperformed during the fourth quarter of 2018.

In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. While attentive to short term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance. For the reasons set forth above, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Sub-Advisory Agreements, it was satisfied with the relative investment performance of the Sub-Advised Portfolios.

Management Fees and Other Expenses. The directors evaluated the reasonableness of the management fees and total expenses paid by the Sub-Advised Portfolios under the Sub-Advisory Agreements. The directors considered the fees paid by each Sub-Advised Portfolio. The directors also considered the sub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly-managed accounts. In considering the level of management fees, the directors evaluated the size of the Sub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the existing expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio.

As part of their evaluation, the directors reviewed an independent analysis prepared by Broadridge of comparative expense data for each Sub-Advised Portfolio. Broadridge provided data as of December 31, 2018 comparing each Sub-Advised Portfolio’s net and total expenses with those of a peer group of funds utilized in connection with variable insurance products sharing a similar investment classification, objective and asset allocation, each as selected by Broadridge. The directors considered the comparative data as a guide to help assess the reasonableness of each Sub-Advised Portfolio’s net and total expense ratios. The directors considered that 26 of the Sub-Advised Portfolios were in the first or second Broadridge quartiles (meaning lowest) for total expenses associated with their respective category groups for the period ended December 31, 2018, and that six of the seven Sub-Advised Portfolios at issue were ranked in Broadridge’s first quartile for total expenses for the same period. The directors considered that the remaining Sub-Advised Portfolio was ranked in the 55th percentile for net total expenses, but also noted that FMI had agreed to a sub-advisory fee reduction in connection with the renewal of its Sub-Advisory Agreement.

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

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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.

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 expense-based rankings of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided. 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 a mutual fund partner program offered by such brokerage affiliate, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors. The directors also reviewed information concerning certain of the Sub-Advisers’ soft dollar arrangements and any other benefits to the Sub-Advisers arising from their relationships with the Sub-Advised Portfolios. Based on their review, the Board concluded, within the context of their overall determinations regarding the Sub-Advisory Agreements, that they were satisfied that the fees paid by each of the Sub-Advised Portfolios, and the profits realized by Mason Street Advisors and the Sub-Advisers due to their relationship with the Sub-Advised Portfolios, were not excessive.

Economies of Scale. The directors also considered whether each Sub-Advised Portfolio’s expense structure permitted economies of scale to be shared with such Portfolio’s investors. The directors considered the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios and the extent to which the Sub-Advised Portfolios may benefit from economies of scale through those breakpoints. The directors also took into account the expense limitation arrangements in place for the Large Cap Blend, International Growth, Research International Core and Emerging Markets Equity Portfolios, and the fee waiver arrangements in place with respect to the Large Cap Core Stock, Mid Cap Growth Stock, Large Cap Blend, 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-

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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.

Conclusions of the Directors

Based on a consideration of the foregoing, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment, concluded that the terms of the Advisory Agreement and the Sub-Advisory Agreements were fair and reasonable and approved the continuation of each Agreement for another year as being in the best interests of each Portfolio.

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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 15, 2019

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 15, 2019

By:	/s/ Todd M. Jones
	Todd M. Jones, Vice President,
	Chief Financial Officer and Treasurer
Date: August 15, 2019