Northwestern Mutual Series Fund, Inc.

N-CSRS 1 d144619dncsrs.htm NORTHWESTERN MUTUAL SERIES FUND, INC. Northwestern Mutual Series Fund, Inc.

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, 2021

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

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

REPORT ON FORM N-CSR

RESPONSES FOR NORTHWESTERN MUTUAL SERIES FUND, INC.

Item 1.

Reports to Stockholders

(a) The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

(b) Not applicable.

Semi-Annual Report June 30, 2021

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering 27 Portfolios

•

Growth Stock Portfolio

•

Focused Appreciation Portfolio

•

Large Cap Core Stock Portfolio

•

Large Cap Blend Portfolio

•

Index 500 Stock Portfolio

•

Large Company Value Portfolio

•

Domestic Equity Portfolio

•

Equity Income Portfolio

•

Mid Cap Growth Stock Portfolio

•

Index 400 Stock Portfolio

•

Mid Cap Value Portfolio

•

Small Cap Growth Stock Portfolio

•

Index 600 Stock Portfolio

•

Small Cap Value Portfolio

•

International Growth Portfolio

•

Research International Core Portfolio

•

International Equity Portfolio

•

Emerging Markets Equity Portfolio

•

Government Money Market Portfolio

•

Short-Term Bond Portfolio

•

Select Bond Portfolio

•

Long-Term U.S. Government Bond Portfolio

•

Inflation Protection Portfolio

•

High Yield Bond Portfolio

•

Multi-Sector Bond Portfolio

•

Balanced Portfolio

•

Asset Allocation Portfolio

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports are no longer sent by mail unless you specifically request paper copies of the reports from Northwestern Mutual, the issuer of your variable annuity and/or variable life insurance contract. Instead, your Fund annual and semi-annual reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change, will continue to receive reports electronically, and you need not take any action. You may elect to receive all future reports in paper free of charge by informing Northwestern Mutual that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all future shareholder reports.

Northwestern Mutual Series Fund, Inc.

Table of Contents


Expense Examples			1

Series Fund Overviews and Schedules of Investments:

Growth Stock Portfolio			4

Focused Appreciation Portfolio			8

Large Cap Core Stock Portfolio			11

Large Cap Blend Portfolio			15

Index 500 Stock Portfolio			18

Large Company Value Portfolio			25

Domestic Equity Portfolio			29

Equity Income Portfolio			32

Mid Cap Growth Stock Portfolio			36

Index 400 Stock Portfolio			40

Mid Cap Value Portfolio			46

Small Cap Growth Stock Portfolio			50

Index 600 Stock Portfolio			54

Small Cap Value Portfolio			63

International Growth Portfolio			67

Research International Core Portfolio			71

International Equity Portfolio			75

Emerging Markets Equity Portfolio			78

Government Money Market Portfolio			82

Short-Term Bond Portfolio			86

Select Bond Portfolio			106

Long-Term U.S. Government Bond Portfolio			121

Inflation Protection Portfolio			126

High Yield Bond Portfolio			134

Multi-Sector Bond Portfolio			145

Balanced Portfolio			168

Asset Allocation Portfolio			171

Statements of Assets and Liabilities			174

Statements of Operations			180

Statements of Changes in Net Assets			186

Statement of Cash Flows			195

Financial Highlights			196

Notes to Financial Statements			204

Abbreviations			227

Proxy Voting and Portfolio Holdings			228

Statement Regarding Liquidity Risk Management Program			229

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements			231

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, 2021 to June 30, 2021).

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, 2021		Ending Account Value June 30, 2021		Expenses Paid During Period January 1, 2021 to June 30, 2021*		Annualized Expense Ratio

Growth Stock Portfolio
Actual		$1,000.00		$1,125.42		$2.21		0.42	%
Hypothetical (5% return before expenses)		1,000.00		1,022.71		2.11		0.42

Focused Appreciation Portfolio
Actual		1,000.00		1,138.66		3.29		0.62
Hypothetical (5% return before expenses)		1,000.00		1,021.72		3.11		0.62

Large Cap Core Stock Portfolio
Actual		1,000.00		1,143.31		2.29		0.43
Hypothetical (5% return before expenses)		1,000.00		1,022.66		2.16		0.43

Large Cap Blend Portfolio
Actual		1,000.00		1,102.87		4.07		0.78
Hypothetical (5% return before expenses)		1,000.00		1,020.93		3.91		0.78

Index 500 Stock Portfolio
Actual		1,000.00		1,151.34		1.07		0.20
Hypothetical (5% return before expenses)		1,000.00		1,023.80		1.00		0.20

Expense Examples (unaudited)


	Beginning Account Value January 1, 2021		Ending Account Value June 30, 2021		Expenses Paid During Period January 1, 2021 to June 30, 2021*		Annualized Expense Ratio

Large Company Value Portfolio
Actual		$1,000.00		$1,137.86		$3.92		0.74	%
Hypothetical (5% return before expenses)		1,000.00		1,021.12		3.71		0.74

Domestic Equity Portfolio
Actual		1,000.00		1,125.46		2.69		0.51
Hypothetical (5% return before expenses)		1,000.00		1,022.27		2.56		0.51

Equity Income Portfolio
Actual		1,000.00		1,184.71		3.09		0.57
Hypothetical (5% return before expenses)		1,000.00		1,021.97		2.86		0.57

Mid Cap Growth Stock Portfolio
Actual		1,000.00		1,085.51		2.74		0.53
Hypothetical (5% return before expenses)		1,000.00		1,022.17		2.66		0.53

Index 400 Stock Portfolio
Actual		1,000.00		1,174.42		1.29		0.24
Hypothetical (5% return before expenses)		1,000.00		1,023.60		1.20		0.24

Mid Cap Value Portfolio
Actual		1,000.00		1,157.48		3.85		0.72
Hypothetical (5% return before expenses)		1,000.00		1,021.22		3.61		0.72

Small Cap Growth Stock Portfolio
Actual		1,000.00		1,050.57		2.80		0.55
Hypothetical (5% return before expenses)		1,000.00		1,022.07		2.76		0.55

Index 600 Stock Portfolio
Actual		1,000.00		1,232.31		1.49		0.27
Hypothetical (5% return before expenses)		1,000.00		1,023.46		1.35		0.27

Small Cap Value Portfolio
Actual		1,000.00		1,162.58		4.61		0.86
Hypothetical (5% return before expenses)		1,000.00		1,020.53		4.31		0.86

International Growth Portfolio
Actual		1,000.00		1,095.37		3.22		0.62
Hypothetical (5% return before expenses)		1,000.00		1,021.72		3.11		0.62

Research International Core Portfolio
Actual		1,000.00		1,078.75		3.81		0.74
Hypothetical (5% return before expenses)		1,000.00		1,021.12		3.71		0.74

International Equity Portfolio
Actual		1,000.00		1,092.32		2.65		0.51
Hypothetical (5% return before expenses)		1,000.00		1,022.27		2.56		0.51

Emerging Markets Equity Portfolio
Actual		1,000.00		1,058.91		4.65		0.91
Hypothetical (5% return before expenses)		1,000.00		1,020.28		4.56		0.91

Expense Examples (unaudited)


	Beginning Account Value January 1, 2021		Ending Account Value June 30, 2021		Expenses Paid During Period January 1, 2021 to June 30, 2021*		Annualized Expense Ratio

Government Money Market Portfolio
Actual		$1,000.00		$1,000.00		$0.40		0.08	%
Hypothetical (5% return before expenses)		1,000.00		1,024.40		0.40		0.08

Short-Term Bond Portfolio
Actual		1,000.00		1,003.72		1.89		0.38
Hypothetical (5% return before expenses)		1,000.00		1,022.91		1.91		0.38

Select Bond Portfolio
Actual		1,000.00		984.63		1.48		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		922.57		3.19		0.67
Hypothetical (5% return before expenses)		1,000.00		1,021.47		3.36		0.67

Inflation Protection Portfolio
Actual		1,000.00		1,021.43		2.71		0.54
Hypothetical (5% return before expenses)		1,000.00		1,022.12		2.71		0.54

High Yield Bond Portfolio
Actual		1,000.00		1,038.62		2.22		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		1,003.45		3.53		0.71
Hypothetical (5% return before expenses)		1,000.00		1,021.27		3.56		0.71

Balanced Portfolio
Actual		1,000.00		1,052.77		0.31		0.06
Hypothetical (5% return before expenses)		1,000.00		1,024.50		0.30		0.06

Asset Allocation Portfolio
Actual		1,000.00		1,074.25		0.41		0.08
Hypothetical (5% return before expenses)		1,000.00		1,024.40		0.40		0.08

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.

Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology	38.6	%
Communication Services	26.5	%
Consumer Discretionary	18.6	%
Health Care	10.7	%
Financials	2.8	%
Industrials	2.0	%
Materials	0.5	%
Short-Term Investments & Other Net Assets	0.3	%
Consumer Staples	0.0	%

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.

Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (99.7%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (26.5%)
Alphabet, Inc. - Class A *		8,435		20,596
Alphabet, Inc. - Class C *		37,505		94,000
Facebook, Inc. - Class A *		288,135		100,187
IAC/InterActiveCorp *		14,521		2,239
Live Nation Entertainment, Inc. *		33,700		2,952
Match Group, Inc. *		89,273		14,395
Netflix, Inc. *		43,577		23,018
Pinterest, Inc. *		154,696		12,213
ROBLOX Corp. *		5,800		522
Sea, Ltd. *		97,257		26,707
Snap, Inc. *		396,166		26,995
Spotify Technology SA *		21,022		5,793
Tencent Holdings, Ltd.		337,800		25,408
T-Mobile US, Inc. *		21,400		3,099
Vimeo, Inc. *		19,832		972

Total				359,096


Consumer Discretionary (18.6%)
Alibaba Group Holding, Ltd., ADR *		45,948		10,420
Amazon.com, Inc. *		43,261		148,825
Aptiv PLC *		10,650		1,675
Booking Holdings, Inc. *		4,369		9,560
Carvana Co. *		22,562		6,810
Chipotle Mexican Grill, Inc. *		6,021		9,334
Coupang, Inc. *		7,872		329
Dollar General Corp.		44,932		9,723
DoorDash, Inc. *		33,526		5,979
Etsy, Inc. *		16,652		3,428
Expedia, Inc. *		5,400		884
Hilton Worldwide Holdings, Inc. *		17,492		2,110
JD.com, Inc., ADR *		11,600		926
Lululemon Athletica, Inc. *		29,006		10,586
Marriott International, Inc. - Class A *		5,838		797
McDonald’s Corp.		4,772		1,102
NIKE, Inc. - Class B		48,994		7,569
Pinduoduo, Inc. *		1,718		218
Roku, Inc. *		6,435		2,955
Ross Stores, Inc.		87,828		10,891
Starbucks Corp.		12,966		1,450
The TJX Cos., Inc.		33,685		2,271
The Walt Disney Co. *		9,300		1,635
Wayfair, Inc. - Class A *		400		126


Common Stocks (99.7%)	Shares/ Par ⁺		Value $ (000’s)

Consumer Discretionary continued
Yum! Brands, Inc.		21,144		2,432

Total				252,035


Consumer Staples (0.0%)
The Estee Lauder Cos., Inc. - Class A		1,350		430

Total				430


Financials (2.8%)
The Charles Schwab Corp.		81,958		5,967
Chubb, Ltd.		2,577		409
The Goldman Sachs Group, Inc.		40,244		15,274
Marsh & McLennan Cos., Inc.		17,394		2,447
Morgan Stanley		12,609		1,156
MSCI, Inc.		3,149		1,679
S&P Global, Inc.		27,496		11,286

Total				38,218


Health Care (10.7%)
Align Technology, Inc. *		2,828		1,728
Anthem, Inc.		19,879		7,590
AstraZeneca PLC, ADR		50,813		3,044
Centene Corp. *		60,866		4,439
Cigna Corp.		58,366		13,837
Danaher Corp.		54,759		14,695
Dentsply Sirona, Inc.		56,900		3,599
Eli Lilly & Co.		1,222		280
Exact Sciences Corp. *		529		66
HCA Healthcare, Inc.		48,017		9,927
Humana, Inc.		3,385		1,499
Incyte Corp. *		31,152		2,621
Intuitive Surgical, Inc. *		22,501		20,693
Stryker Corp.		61,358		15,936
Thermo Fisher Scientific, Inc.		13,151		6,634
UnitedHealth Group, Inc.		64,521		25,837
Veeva Systems, Inc. - Class A *		13,645		4,243
Vertex Pharmaceuticals, Inc. *		4,788		965
Zoetis, Inc.		38,474		7,170

Total				144,803


Industrials (2.0%)
Cintas Corp.		4,660		1,780
Copart, Inc. *		6,337		835
CoStar Group, Inc. *		74,350		6,158


Common Stocks (99.7%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Equifax, Inc.		7,583		1,816
Generac Holdings, Inc. *		7,700		3,197
General Electric Co.		339,452		4,569
Roper Technologies, Inc.		13,136		6,177
TransUnion		18,122		1,990
Union Pacific Corp.		127		28

Total				26,550


Information Technology (38.6%)
Advanced Micro
Devices, Inc. *		112,302		10,549
Apple, Inc.		457,496		62,659
ASML Holding NV		15,980		11,040
Atlassian Corp. PLC *		14,419		3,704
Automatic Data Processing, Inc.		456		91
Coupa Software, Inc. *		11,054		2,897
CrowdStrike Holdings, Inc. *		7,863		1,976
Datadog, Inc.- Class A *		21,212		2,208
DocuSign, Inc. *		28,254		7,899
Fidelity National Information Services, Inc.		53,888		7,634
Fiserv, Inc. *		102,662		10,974
Fortinet, Inc. *		28,329		6,748
Global Payments, Inc.		124,644		23,376
Intuit, Inc.		76,177		37,340
Marvell Technology, Inc.		139,398		8,131
Mastercard, Inc. - Class A		77,749		28,385
Maxim Integrated Products, Inc.		18,762		1,977
Microchip Technology, Inc.		17,179		2,572
Microsoft Corp.		290,699		78,750
MongoDB, Inc. *		18,099		6,543
Monolithic Power Systems		1,101		411
NVIDIA Corp.		26,277		21,024
Paycom Software, Inc. *		3,420		1,243
PayPal Holdings, Inc. *		124,448		36,274
salesforce.com, Inc. *		101,511		24,796
ServiceNow, Inc. *		52,543		28,875
Shopify, Inc. *		5,633		8,230
Snowflake, Inc. *		3,356		811
Splunk, Inc. *		23,553		3,405
Square, Inc. - Class A *		6,268		1,528
Synopsys, Inc. *		42,266		11,657

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

Growth Stock Portfolio


Common Stocks (99.7%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Taiwan Semiconductor Manufacturing Co., Ltd., ADR		1,900		228
TE Connectivity, Ltd.		16,329		2,208
Texas Instruments, Inc.		31,375		6,033
Twilio, Inc. - Class A *		7,191		2,834
Visa, Inc. - Class A		186,881		43,697
Workday, Inc. - Class A *		12,025		2,871
Zendesk, Inc. *		1,617		233
Zoom Video Communications, Inc. *		31,329		12,125

Total				523,936


Materials (0.5%)
Avery Dennison Corp.		11,600		2,439
Linde PLC		11,655		3,370
The Sherwin-Williams Co.		3,404		927

Total				6,736


Total Common Stocks
(Cost: $792,384)				1,351,804


Short-Term Investments (0.6%)

Money Market Funds (0.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% #		8,596,879		8,597

Total				8,597


Total Short-Term Investments
(Cost: $8,597)				8,597


Total Investments (100.3%)
(Cost: $800,981)^@				1,360,401

Other Assets, Less
Liabilities (-0.3%)				(3,806	)

Net Assets (100.0%)				1,356,595

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $800,981 and the net unrealized appreciation of investments based on that cost was $559,420 which is comprised of $561,757 aggregate gross unrealized appreciation and $2,337 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.

Growth Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	1,351,804	$	-	$	-
Short-Term Investments		8,597		-		-
Total Assets:	$	1,360,401	$	-	$	-

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

Focused Appreciation Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology	33.4	%
Communication Services	15.7	%
Health Care	15.0	%
Consumer Discretionary	14.9	%
Industrials	10.9	%
Consumer Staples	4.3	%
Financials	2.6	%
Short-Term Investments & Other Net Assets	1.6	%
Energy	1.6	%

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.

Focused Appreciation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (98.4%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (15.7%)
Alphabet, Inc. - Class A *		16,547		40,404
Alphabet, Inc. - Class C *		16,279		40,800
Facebook, Inc. - Class A *		230,905		80,288
The Walt Disney Co. *		240,426		42,260

Total				203,752


Consumer Discretionary (14.9%)
Alibaba Group Holding, Ltd., ADR *		231,266		52,447
Amazon.com, Inc. *		23,401		80,503
Starbucks Corp.		294,743		32,955
Yum China Holdings, Inc.		189,789		12,574
Yum! Brands, Inc.		135,183		15,550

Total				194,029


Consumer Staples (4.3%)
Colgate-Palmolive Co.		200,064		16,275
Monster Beverage Corp. *		429,942		39,275

Total				55,550


Energy (1.6%)
Schlumberger, Ltd.		636,427		20,372

Total				20,372


Common Stocks (98.4%)	Shares/ Par ⁺		Value $ (000’s)

Financials (2.6%)
FactSet Research Systems, Inc.		49,506		16,615
SEI Investments Co.		279,521		17,322

Total				33,937


Health Care (15.0%)
Cerner Corp.		212,439		16,604
Illumina, Inc. *		71,817		33,985
Intuitive Surgical, Inc. *		18,940		17,418
Novartis AG, ADR		411,730		37,566
Novo Nordisk A/S, ADR		147,218		12,332
Regeneron Pharmaceuticals, Inc. *		62,356		34,828
Roche Holding AG, ADR		704,867		33,122
Vertex Pharmaceuticals, Inc. *		44,282		8,929

Total				194,784


Industrials (10.9%)
The Boeing Co. *		237,863		56,982
Deere & Co.		149,596		52,764
Expeditors International of Washington, Inc.		255,939		32,402

Total				142,148


Information Technology (33.4%)
Autodesk, Inc. *		190,780		55,689
Automatic Data Processing, Inc.		43,837		8,707
Cisco Systems, Inc.		418,288		22,169


Common Stocks (98.4%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Microsoft Corp.		201,997		54,721
NVIDIA Corp.		102,593		82,085
Oracle Corp.		656,082		51,069
QUALCOMM, Inc.		190,260		27,194
salesforce.com, Inc. *		187,703		45,850
Visa, Inc. - Class A		300,965		70,372
Workday, Inc. - Class A *		67,881		16,206

Total				434,062


Total Common Stocks
(Cost: $589,976)				1,278,634


Short-Term Investments (1.3%)

Money Market Funds (1.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% #		17,068,011		17,068

Total				17,068


Total Short-Term Investments
(Cost: $17,068)				17,068


Total Investments (99.7%)
(Cost: $607,044)@				1,295,702

Other Assets, Less
Liabilities (0.3%)				4,222

Net Assets (100.0%)				1,299,924

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $607,044 and the net unrealized appreciation of investments based on that cost was $688,658 which is comprised of $698,223 aggregate gross unrealized appreciation and $9,565 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.

Focused Appreciation Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	1,278,634	$	-	$	-
Short-Term Investments		17,068		-		-
Total Assets:	$	1,295,702	$	-	$	-

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

Large Cap Core Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology		21.5	%
Health Care		13.6	%
Communication Services		13.4	%
Financials		12.7	%
Consumer Discretionary		11.2	%
Industrials		9.6	%
Consumer Staples		5.8	%
Energy		3.3	%
Utilities		2.8	%
Materials		2.7	%
Real Estate		2.1	%
Investment Companies		0.8	%
Short-Term Investments & Other Net Assets		0.5	%

Sector Allocation is subject to change.

Large Cap Core Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (13.4%)
Alphabet, Inc. - Class A *		15,418		37,647
Charter Communications, Inc. - Class A *		17,997		12,984
DISH Network Corp. - Class A *		64,276		2,687
Electronic Arts, Inc.		18,740		2,695
Facebook, Inc. - Class A *		69,860		24,291
Match Group, Inc. *		24,717		3,986
Netflix, Inc. *		10,177		5,375
Omnicom Group, Inc.		120,367		9,628
Snap, Inc. *		51,979		3,542
T-Mobile US, Inc. *		30,067		4,355

Total				107,190


Consumer Discretionary (11.2%)
Airbnb, Inc. *		34,098		5,222
Amazon.com, Inc. *		11,683		40,191
Booking Holdings, Inc. *		1,513		3,311
Caesars Entertainment, Inc. *		57,206		5,935
Carnival Corp. *		81,226		2,141
Chipotle Mexican Grill, Inc. *		3,111		4,823
Hilton Worldwide Holdings, Inc. *		31,622		3,814
Ross Stores, Inc.		29,993		3,719
Starbucks Corp.		71,340		7,977
Tesla Motors, Inc. *		7,549		5,131
The TJX Cos., Inc.		106,569		7,185

Total				89,449


Consumer Staples (5.8%)
Archer-Daniels-Midland Co.		92,214		5,588
Constellation Brands, Inc. - Class A		41,514		9,710
The Estee Lauder Cos., Inc. - Class A		10,844		3,449
Mondelez International, Inc.		128,635		8,032
Monster Beverage Corp. *		58,878		5,379
Sysco Corp.		186,024		14,463

Total				46,621


Energy (3.3%)
ConocoPhillips		77,170		4,700
Marathon Petroleum Corp.		49,138		2,969


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)

Energy continued
Pioneer Natural Resources Co.		10,953		1,780
Royal Dutch Shell PLC - Class A, ADR		138,411		5,592
Royal Dutch Shell PLC - Class B, ADR		238,065		9,244
Schlumberger, Ltd.		51,462		1,647

Total				25,932


Financials (12.7%)
American Express Co.		53,396		8,823
American International Group, Inc.		96,989		4,617
Ares Management Corp. - Class A		111,581		7,095
Athene Holding, Ltd. - Class A *		40,312		2,721
Bank of America Corp.		571,364		23,557
Berkshire Hathaway, Inc. - Class B *		15,236		4,234
The Charles Schwab Corp.		211,978		15,434
Chubb, Ltd.		28,632		4,551
CME Group, Inc.		29,881		6,355
Equitable Holdings, Inc.		202,723		6,173
The Hartford Financial Services Group, Inc.		45,631		2,828
Marsh & McLennan Cos., Inc.		29,485		4,148
The Progressive Corp.		22,009		2,162
Public Storage		6,166		1,854
S&P Global, Inc.		16,773		6,884

Total				101,436


Health Care (13.6%)
Align Technology, Inc. *		4,052		2,476
Anthem, Inc.		10,861		4,147
AstraZeneca PLC, ADR		115,349		6,909
Biogen, Inc. *		3,901		1,351
Boston Scientific Corp. *		123,536		5,282
Bristol-Myers Squibb Co.		98,248		6,565
Centene Corp. *		55,712		4,063
Danaher Corp.		25,432		6,825
Edwards Lifesciences Corp. *		33,860		3,507
Eli Lilly & Co.		49,824		11,436
HCA Healthcare, Inc.		10,448		2,160
Humana, Inc.		8,210		3,635
Illumina, Inc. *		5,186		2,454
Incyte Corp. *		7,519		633
Insulet Corp. *		5,644		1,549


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)

Health Care continued
Intuitive Surgical, Inc. *		4,868		4,477
Laboratory Corp. of America Holdings *		6,741		1,860
McKesson Corp.		7,656		1,464
Pfizer, Inc.		268,935		10,532
PPD, Inc. *		20,400		940
Regeneron Pharmaceuticals, Inc. *		2,781		1,553
Royalty Pharma PLC		6,429		264
Seattle Genetics, Inc. *		6,641		1,048
Teleflex, Inc.		9,278		3,728
Thermo Fisher Scientific, Inc.		13,520		6,820
UnitedHealth Group, Inc.		12,277		4,916
Vertex Pharmaceuticals, Inc. *		8,620		1,738
Zoetis, Inc.		31,044		5,785

Total				108,117


Industrials (9.6%)
The Boeing Co. *		18,811		4,506
CSX Corp.		68,655		2,203
Equifax, Inc.		8,392		2,010
FedEx Corp.		27,701		8,264
Fortive Corp.		71,230		4,968
General Electric Co.		83,022		1,118
IHS Markit, Ltd.		46,424		5,230
Ingersoll-Rand, Inc. *		95,522		4,662
J.B. Hunt Transport Services, Inc.		30,133		4,910
Johnson Controls International PLC		63,667		4,370
Lockheed Martin Corp.		13,520		5,115
Otis Worldwide Corp.		30,371		2,484
Parker Hannifin Corp.		16,249		4,990
Raytheon Co.		83,509		7,124
Southwest Airlines Co. *		14,739		783
Trane Technologies PLC		13,252		2,440
Uber Technologies, Inc. *		21,393		1,072
Wabtec Corp.		82,527		6,792
Waste Management, Inc.		23,049		3,229

Total				76,270


Information Technology (21.5%)
Adobe Systems, Inc. *		6,664		3,903

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

Large Cap Core Stock Portfolio


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Advanced Micro Devices, Inc. *		89,930		8,447
Apple, Inc.		226,083		30,964
Cognizant Technology Solutions Corp. - Class A		53,730		3,721
FLEETCOR Technologies, Inc. *		21,338		5,464
Global Payments, Inc.		57,107		10,710
GoDaddy, Inc. *		22,962		1,997
KLA-Tencor Corp.		11,303		3,665
Marvell Technology, Inc.		137,090		7,996
Micron Technology, Inc. *		82,715		7,029
Microsoft Corp.		155,271		42,063
NVIDIA Corp.		2,477		1,982
PayPal Holdings, Inc. *		28,791		8,392
salesforce.com, Inc. *		31,025		7,579
ServiceNow, Inc. *		5,145		2,827
Shopify, Inc. *		2,870		4,193
Skyworks Solutions, Inc.		9,752		1,870
Snowflake, Inc. *		1,915		463
Teradyne, Inc.		8,877		1,189
Texas Instruments, Inc.		39,028		7,505
UiPath, Inc. *		1,868		127
Visa, Inc. - Class A		27,962		6,538
Workday, Inc. - Class A *		11,466		2,737

Total				171,361


Materials (2.7%)
Ball Corp.		23,901		1,936
Celanese Corp. - Class A		31,052		4,708
Crown Holdings, Inc.		19,040		1,946
FMC Corp.		34,366		3,718
Linde PLC		16,453		4,757
PPG Industries, Inc.		25,013		4,246

Total				21,311


Real Estate (2.1%)
American Tower Corp.		23,133		6,249
Prologis, Inc.		40,424		4,832
Welltower, Inc.		67,125		5,578

Total				16,659


Utilities (2.8%)
Duke Energy Corp.		72,239		7,131
Edison International		68,445		3,958
Exelon Corp.		116,160		5,147


Common Stocks (98.7%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
FirstEnergy Corp.		168,496		6,270

Total				22,506


Total Common Stocks
(Cost: $552,711)				786,852


Investment Companies (0.8%)

Investment Companies (0.8%)
SPDR S&P 500 ETF Trust		15,696		6,719

Total				6,719


Total Investment Companies
(Cost: $6,659)				6,719


Short-Term Investments (0.9%)

Money Market Funds (0.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% #		7,128,397		7,128

Total				7,128

Total Short-Term Investments
(Cost: $7,128)				7,128


Total Investments (100.4%)
(Cost: $566,498)@				800,699

Other Assets, Less
Liabilities (-0.4%)				(3,427	)

Net Assets (100.0%)				797,272

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

Large Cap Core Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $566,498 and the net unrealized appreciation of investments based on that cost was $234,201 which is comprised of $235,907 aggregate gross unrealized appreciation and $1,706 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	786,852	$	-	$	-
Investment Companies		6,719		-		-
Short-Term Investments		7,128		-		-
Total Assets:	$	800,699	$	-	$	-

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

Large Cap Blend Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Financials		24.2	%
Health Care		16.8	%
Consumer Discretionary		16.6	%
Industrials		14.1	%
Communication Services		12.9	%
Consumer Staples		4.6	%
Short-Term Investments & Other Net Assets		3.1	%
Materials		3.0	%
Information Technology		2.9	%
Energy		1.8	%

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.

Large Cap Blend Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (12.9%)
Alphabet, Inc. - Class A *		2,116		5,167
Comcast Corp. - Class A		159,535		9,097
Facebook, Inc. - Class A *		15,371		5,345
Omnicom Group, Inc.		67,490		5,398

Total				25,007


Consumer Discretionary (16.6%)
Booking Holdings, Inc. *		2,775		6,072
Dollar General Corp.		41,591		9,000
Dollar Tree, Inc. *		69,394		6,905
Sony Corp., ADR		78,219		7,604
The TJX Cos., Inc.		38,522		2,597

Total				32,178


Consumer Staples (4.6%)
PepsiCo, Inc.		13,604		2,015
Unilever PLC, ADR		119,707		7,003

Total				9,018


Energy (1.8%)
Schlumberger, Ltd.		113,360		3,629

Total				3,629


Financials (24.2%)
Arch Capital Group, Ltd. *		74,551		2,903


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

Financials continued
Berkshire Hathaway, Inc. - Class B *		47,201		13,118
The Charles Schwab Corp.		114,635		8,347
Chubb, Ltd.		24,818		3,945
JPMorgan Chase & Co.		47,230		7,346
Northern Trust Corp.		51,330		5,935
The Progressive Corp.		54,683		5,370

Total				46,964


Health Care (16.8%)
Fresenius Medical Care AG & Co. KGaA, ADR		140,158		5,826
Koninklijke Philips NV		126,353		6,280
Quest Diagnostics, Inc.		60,350		7,964
Smith & Nephew PLC, ADR		123,044		5,345
UnitedHealth Group, Inc.		18,100		7,248

Total				32,663


Industrials (14.1%)
Dover Corp.		27,979		4,214
Eaton Corp. PLC		28,852		4,275
Emerson Electric Co.		29,465		2,836
Expeditors International of Washington, Inc.		19,293		2,442
Masco Corp.		165,164		9,730
PACCAR, Inc.		42,896		3,828

Total				27,325


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

Information Technology (2.9%)
Micron Technology, Inc. *		65,696		5,583

Total				5,583


Materials (3.0%)
PPG Industries, Inc.		34,715		5,894

Total				5,894


Total Common Stocks
(Cost: $135,641)				188,261


Short-Term Investments (3.1%)

Money Market Funds (3.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		5,930,324		5,930

Total				5,930

Total Short-Term Investments
(Cost: $5,930)				5,930


Total Investments (100.0%)
(Cost: $141,571)^@				194,191

Other Assets, Less
Liabilities (0.0%)				14

Net Assets (100.0%)				194,205

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $141,571 and the net unrealized appreciation of investments based on that cost was $52,620 which is comprised of $55,672 aggregate gross unrealized appreciation and $3,052 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.

Large Cap Blend Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	188,261	$	-	$	-
Short-Term Investments		5,930		-		-
Total Assets:	$	194,191	$	-	$	-

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

Index 500 Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology		27.1	%
Health Care		12.8	%
Consumer Discretionary		12.1	%
Financials		11.2	%
Communication Services		11.0	%
Industrials		8.4	%
Consumer Staples		5.8	%
Energy		2.8	%
Materials		2.6	%
Real Estate		2.6	%
Utilities		2.4	%
Short-Term Investments & Other Net Assets		1.2	%

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

Index 500 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (11.0%)
Activision Blizzard, Inc.		105,084		10,029
Alphabet, Inc. - Class A *		40,993		100,096
Alphabet, Inc. - Class C *		38,813		97,278
AT&T, Inc.		972,199		27,980
Charter Communications, Inc. - Class A *		18,773		13,544
Comcast Corp. - Class A		623,798		35,569
Discovery Communications, Inc. - Class A *		22,115		678
Discovery Communications, Inc. - Class C *		43,668		1,265
DISH Network Corp. - Class A *		34,111		1,426
Electronic Arts, Inc.		38,968		5,605
Facebook, Inc. - Class A *		326,594		113,560
Fox Corp.		21,340		751
Fox Corp. - Class A		42,670		1,584
The Interpublic Group of Companies, Inc.		53,804		1,748
Live Nation Entertainment, Inc. *		19,725		1,728
Lumen Technologies Inc		136,211		1,851
Netflix, Inc. *		60,381		31,894
News Corp. - Class A		53,931		1,390
News Corp. - Class B		16,798		409
Omnicom Group, Inc.		29,655		2,372
Take-Two Interactive Software, Inc. *		15,867		2,809
T-Mobile US, Inc. *		80,402		11,645
Twitter, Inc. *		107,279		7,382
Verizon Communications, Inc.		564,313		31,618
ViacomCBS, Inc.		82,545		3,731
The Walt Disney Co. *		247,657		43,531

Total				551,473


Consumer Discretionary (12.1%)
Advance Auto Parts, Inc.		9,322		1,912
Amazon.com, Inc. *		58,431		201,012
Aptiv PLC *		36,314		5,713
AutoZone, Inc. *		2,935		4,380
Best Buy Co., Inc.		30,385		3,494
Booking Holdings, Inc. *		5,592		12,236
BorgWarner, Inc.		33,721		1,637


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

Consumer Discretionary continued
Caesars Entertainment, Inc. *		28,539		2,961
CarMax, Inc. *		22,820		2,947
Carnival Corp. *		109,318		2,882
Chipotle Mexican Grill, Inc. *		3,860		5,984
D.R. Horton, Inc.		44,087		3,984
Darden Restaurants, Inc.		17,961		2,622
Dollar General Corp.		32,196		6,967
Dollar Tree, Inc. *		30,986		3,083
Domino’s Pizza, Inc.		5,105		2,381
eBay, Inc.		87,937		6,174
Etsy, Inc. *		17,394		3,580
Expedia, Inc. *		19,534		3,198
Ford Motor Co. *		529,254		7,865
The Gap, Inc.		28,378		955
Garmin, Ltd.		20,577		2,976
General Motors Co. *		176,166		10,424
Genuine Parts Co.		19,901		2,517
Hanesbrands, Inc.		48,050		897
Hasbro, Inc.		17,580		1,662
Hilton Worldwide Holdings, Inc. *		38,273		4,616
The Home Depot, Inc.		144,928		46,216
L Brands, Inc.		32,227		2,322
Las Vegas Sands Corp. *		45,308		2,387
Leggett & Platt, Inc.		18,278		947
Lennar Corp. - Class A		37,952		3,771
LKQ Corp. *		38,624		1,901
Lowe’s Companies, Inc.		96,353		18,690
Marriott International, Inc. - Class A *		36,687		5,009
McDonald’s Corp.		101,537		23,454
MGM Resorts International		56,555		2,412
Mohawk Industries, Inc. *		7,475		1,437
Newell Brands, Inc.		52,092		1,431
NIKE, Inc. - Class B		173,094		26,741
Norwegian Cruise Line Holdings, Ltd. *		49,769		1,464
NVR, Inc. *		450		2,238
O’Reilly Automotive, Inc. *		9,345		5,291
Penn National Gaming, Inc. *		20,370		1,558
Pool Corp.		5,540		2,541
PulteGroup, Inc.		34,275		1,870
PVH Corp. *		9,807		1,055
Ralph Lauren Corp.		6,652		784
Ross Stores, Inc.		47,873		5,936


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

Consumer Discretionary continued
Royal Caribbean Cruises, Ltd. *		29,997		2,558
Starbucks Corp.		160,670		17,965
Tapestry, Inc. *		38,268		1,664
Target Corp.		67,433		16,301
Tesla Motors, Inc. *		104,972		71,349
The TJX Cos., Inc.		165,803		11,178
Tractor Supply Co.		15,253		2,838
Ulta Beauty, Inc. *		7,330		2,535
Under Armour, Inc. - Class A *		26,008		550
Under Armour, Inc. - Class C *		26,845		499
VF Corp.		44,116		3,619
Whirlpool Corp.		8,628		1,881
Wynn Resorts, Ltd. *		14,416		1,763
Yum! Brands, Inc.		41,585		4,784

Total				607,998


Consumer Staples (5.8%)
Altria Group, Inc.		250,510		11,944
Archer-Daniels-Midland Co.		76,753		4,651
Brown-Forman Corp. - Class B		25,179		1,887
Campbell Soup Co.		27,937		1,274
Church & Dwight Co., Inc.		34,343		2,927
The Clorox Co.		16,542		2,976
The Coca-Cola Co.		528,197		28,581
Colgate-Palmolive Co.		114,509		9,315
Conagra Brands, Inc.		63,449		2,308
Constellation Brands, Inc. - Class A		22,761		5,324
Costco Wholesale Corp.		60,061		23,764
The Estee Lauder Cos., Inc. - Class A		31,728		10,092
General Mills, Inc.		81,964		4,994
The Hershey Co.		19,511		3,398
Hormel Foods Corp.		38,729		1,849
The J.M. Smucker Co.		15,711		2,036
Kellogg Co.		35,087		2,257
Kimberly-Clark Corp.		45,895		6,140
The Kraft Heinz Co.		89,389		3,645
The Kroger Co.		102,967		3,945
Lamb Weston Holdings, Inc.		20,187		1,628
McCormick & Co., Inc.		34,307		3,030
Molson Coors Beverage Co. - Class B *		25,954		1,394
Mondelez International, Inc.		191,186		11,938

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

Index 500 Stock Portfolio


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

Consumer Staples continued
Monster Beverage Corp. *		49,385		4,511
PepsiCo, Inc.		188,050		27,863
Philip Morris International, Inc.		211,803		20,992
The Procter & Gamble Co.		333,707		45,027
Sysco Corp.		70,265		5,463
Tyson Foods, Inc. - Class A		40,574		2,993
Walgreens Boots Alliance, Inc.		99,332		5,226
Walmart, Inc.		187,154		26,393

Total				289,765


Energy (2.8%)
APA Corp.		52,071		1,126
Baker Hughes		100,594		2,301
Cabot Oil & Gas Corp.		54,982		960
Chevron Corp.		262,626		27,507
ConocoPhillips		184,421		11,231
Devon Energy Corp.		81,620		2,382
Diamondback Energy, Inc.		25,088		2,356
EOG Resources, Inc.		78,760		6,572
Exxon Mobil Corp.		577,053		36,401
Halliburton Co.		121,947		2,819
Hess Corp.		37,700		3,292
Kinder Morgan, Inc.		260,852		4,755
Marathon Oil Corp.		108,892		1,483
Marathon Petroleum Corp.		87,450		5,284
NOV, Inc. *		53,559		821
Occidental Petroleum Corp.		115,612		3,615
ONEOK, Inc.		61,303		3,411
Phillips 66		58,662		5,034
Pioneer Natural Resources Co.		31,589		5,134
Schlumberger, Ltd.		192,027		6,147
Valero Energy Corp.		56,254		4,392
The Williams Cos., Inc.		162,121		4,304

Total				141,327


Financials (11.2%)
AFLAC, Inc.		84,769		4,549
The Allstate Corp.		40,755		5,316
American Express Co.		88,126		14,561
American International Group, Inc.		115,997		5,521
Ameriprise Financial, Inc.		16,227		4,039
Aon PLC		30,929		7,385
Arthur J. Gallagher & Co.		27,927		3,912
Assurant, Inc.		8,183		1,278
Bank of America Corp.		1,027,877		42,379


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

Financials continued
The Bank of New York Mellon Corp.		109,480		5,609
Berkshire Hathaway, Inc. - Class B *		258,346		71,799
BlackRock, Inc.		19,375		16,953
Capital One Financial Corp.		61,540		9,520
CBOE Holdings, Inc.		14,904		1,774
The Charles Schwab Corp.		205,692		14,976
Chubb, Ltd.		61,465		9,769
Cincinnati Financial Corp.		20,642		2,407
Citigroup, Inc.		281,749		19,934
Citizens Financial Group, Inc.		58,913		2,702
CME Group, Inc.		48,855		10,390
Comerica, Inc.		19,187		1,369
Discover Financial Services		41,086		4,860
Everest Re Group, Ltd.		5,513		1,389
Fifth Third Bancorp		94,613		3,617
First Republic Bank		23,995		4,491
Franklin Resources, Inc.		37,588		1,202
Globe Life, Inc.		13,283		1,265
The Goldman Sachs Group, Inc.		46,373		17,600
The Hartford Financial Services Group, Inc.		49,430		3,063
Huntington Bancshares, Inc.		202,055		2,883
Intercontinental Exchange, Inc.		77,513		9,201
Invesco, Ltd.		51,960		1,389
JPMorgan Chase & Co.		412,613		64,178
KeyCorp		127,936		2,642
Lincoln National Corp.		25,061		1,575
Loews Corp.		32,145		1,757
M&T Bank Corp.		17,698		2,572
MarketAxess Holdings, Inc.		5,237		2,428
Marsh & McLennan Cos., Inc.		68,922		9,696
MetLife, Inc.		100,703		6,027
Moody’s Corp.		21,814		7,905
Morgan Stanley		202,886		18,603
MSCI, Inc.		11,401		6,078
Nasdaq, Inc.		15,840		2,785
Northern Trust Corp.		28,710		3,319
People’s United Financial, Inc.		58,608		1,004
PNC Financial Services Group, Inc.		57,667		11,001
Principal Financial Group, Inc.		32,971		2,083
The Progressive Corp.		79,305		7,789
Prudential Financial, Inc.		53,227		5,454


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

Financials continued
Raymond James Financial, Inc.		16,812		2,184
Regions Financial Corp.		132,491		2,674
S&P Global, Inc.		32,794		13,460
State Street Corp.		46,957		3,864
SVB Financial Group *		7,412		4,124
Synchrony Financial		71,964		3,492
T. Rowe Price Group, Inc.		30,484		6,035
The Travelers Cos., Inc.		34,062		5,099
Truist Financial Corp.		183,602		10,190
U.S. Bancorp		184,036		10,484
Unum Group		28,094		798
W.R. Berkley Corp.		19,422		1,446
Wells Fargo & Co.		563,237		25,509
Willis Towers Watson PLC		17,207		3,958
Zions Bancorporation		22,625		1,196

Total				558,511


Health Care (12.8%)
Abbott Laboratories		241,409		27,987
AbbVie, Inc.		240,698		27,112
ABIOMED, Inc. *		6,234		1,946
Agilent Technologies, Inc.		42,106		6,224
Alexion Pharmaceuticals, Inc. *		30,189		5,546
Align Technology, Inc. *		9,653		5,898
AmerisourceBergen Corp.		20,286		2,323
Amgen, Inc.		78,315		19,089
Anthem, Inc.		33,176		12,667
Baxter International, Inc.		68,719		5,532
Becton Dickinson and Co.		40,041		9,738
Biogen, Inc. *		20,326		7,038
Bio-Rad Laboratories, Inc. - Class A *		2,969		1,913
Boston Scientific Corp. *		193,982		8,295
Bristol-Myers Squibb Co.		304,496		20,346
Cardinal Health, Inc.		37,958		2,167
Catalent, Inc. *		22,697		2,454
Centene Corp. *		79,982		5,833
Cerner Corp.		40,463		3,163
Charles River Laboratories International, Inc. *		6,814		2,521
Cigna Corp.		46,773		11,088
The Cooper Cos., Inc.		6,765		2,681
CVS Health Corp.		180,443		15,056
Danaher Corp.		86,576		23,234
DaVita, Inc. *		9,009		1,085

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

Index 500 Stock Portfolio


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

Health Care continued
Dentsply Sirona, Inc.		30,149		1,907
Dexcom, Inc. *		13,247		5,656
Edwards Lifesciences Corp. *		84,512		8,753
Eli Lilly & Co.		108,145		24,821
Gilead Sciences, Inc.		172,923		11,908
HCA Healthcare, Inc.		35,708		7,382
Henry Schein, Inc. *		19,696		1,461
Hologic, Inc. *		35,454		2,366
Humana, Inc.		17,657		7,817
IDEXX Laboratories, Inc. *		11,519		7,275
Illumina, Inc. *		20,136		9,529
Incyte Corp. *		25,678		2,160
Intuitive Surgical, Inc. *		16,195		14,894
IQVIA Holdings, Inc. *		25,853		6,265
Johnson & Johnson		358,946		59,133
Laboratory Corp. of America Holdings *		13,436		3,706
McKesson Corp.		22,166		4,239
Medtronic PLC		183,348		22,759
Merck & Co., Inc.		344,771		26,813
Mettler-Toledo International, Inc. *		3,154		4,369
Organon & Co. *		34,671		1,049
PerkinElmer, Inc.		15,447		2,385
Perrigo Co. PLC		18,828		863
Pfizer, Inc.		762,918		29,876
Quest Diagnostics, Inc.		17,444		2,302
Regeneron Pharmaceuticals, Inc. *		14,186		7,923
ResMed, Inc.		19,991		4,928
STERIS PLC		13,309		2,746
Stryker Corp.		44,520		11,563
Teleflex, Inc.		6,424		2,581
Thermo Fisher Scientific, Inc.		53,572		27,025
UnitedHealth Group, Inc.		128,631		51,509
Universal Health Services, Inc. - Class B		10,722		1,570
Vertex Pharmaceuticals, Inc. *		35,242		7,106
Viatris, Inc.		166,424		2,378
Waters Corp. *		8,129		2,809
West Pharmaceutical Services, Inc.		10,198		3,662
Zimmer Biomet Holdings, Inc.		28,593		4,598
Zoetis, Inc.		64,672		12,052

Total				643,074


Industrials (8.4%)
3M Co.		78,839		15,660
A.O. Smith Corp.		18,683		1,346
Alaska Air Group, Inc. *		17,059		1,029


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

Industrials continued
Allegion PLC		11,636		1,621
American Airlines Group, Inc. *		83,448		1,770
AMETEK, Inc.		31,737		4,237
The Boeing Co. *		74,578		17,866
C.H. Robinson Worldwide, Inc.		17,273		1,618
Carrier Global Corp.		112,383		5,462
Caterpillar, Inc.		75,001		16,322
Cintas Corp.		12,124		4,631
Copart, Inc. *		28,665		3,779
CSX Corp.		307,521		9,865
Cummins, Inc.		19,830		4,835
Deere & Co.		42,424		14,963
Delta Air Lines, Inc. *		87,974		3,806
Dover Corp.		19,879		2,994
Eaton Corp. PLC		54,971		8,146
Emerson Electric Co.		81,009		7,796
Equifax, Inc.		16,780		4,019
Expeditors International of Washington, Inc.		23,350		2,956
Fastenal Co.		79,196		4,118
FedEx Corp.		33,326		9,942
Fortive Corp.		46,515		3,244
Fortune Brands Home & Security, Inc.		19,165		1,909
Generac Holdings, Inc. *		8,613		3,576
General Dynamics Corp.		31,278		5,888
General Electric Co.		1,197,919		16,124
Honeywell International, Inc.		94,639		20,759
Howmet Aerospace, Inc. *		53,833		1,856
Huntington Ingalls Industries, Inc.		5,586		1,177
IDEX Corp.		10,443		2,298
IHS Markit, Ltd.		51,413		5,792
Illinois Tool Works, Inc.		39,102		8,742
Ingersoll-Rand, Inc. *		51,277		2,503
J.B. Hunt Transport Services, Inc.		11,517		1,877
Jacobs Engineering Group, Inc.		17,881		2,386
Johnson Controls International PLC		97,585		6,697
Kansas City Southern		12,787		3,623
L3Harris Technologies, Inc.		27,510		5,946
Lockheed Martin Corp.		33,189		12,557
Masco Corp.		36,146		2,129
Nielsen Holdings PLC		49,247		1,215
Norfolk Southern Corp.		33,961		9,014
Northrop Grumman Corp.		20,404		7,415
Old Dominion Freight Line, Inc.		12,692		3,221
Otis Worldwide Corp.		54,360		4,445


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

Industrials continued
PACCAR, Inc.		47,790		4,265
Parker Hannifin Corp.		17,271		5,304
Pentair PLC		22,947		1,549
Quanta Services, Inc.		19,155		1,735
Raytheon Co.		206,099		17,582
Republic Services, Inc.		29,018		3,192
Robert Half International, Inc.		15,724		1,399
Rockwell Automation, Inc.		15,510		4,436
Rollins, Inc.		30,518		1,044
Roper Technologies, Inc.		14,149		6,653
Snap-on, Inc.		7,479		1,671
Southwest Airlines Co. *		81,427		4,323
Stanley Black & Decker, Inc.		22,102		4,531
Teledyne Technologies, Inc. *		6,386		2,675
Textron, Inc.		29,435		2,024
Trane Technologies PLC		33,097		6,095
TransDigm Group, Inc. *		7,509		4,861
Union Pacific Corp.		90,548		19,914
United Continental Holdings, Inc. *		43,638		2,282
United Parcel Service, Inc. - Class B		98,662		20,519
United Rentals, Inc. *		9,951		3,174
Verisk Analytics, Inc.		21,578		3,770
W.W. Grainger, Inc.		5,865		2,569
Wabtec Corp.		24,680		2,031
Waste Management, Inc.		52,591		7,369
Xylem, Inc.		24,862		2,982

Total				421,123


Information Technology (27.1%)
Accenture PLC - Class A		86,362		25,459
Adobe Systems, Inc. *		65,154		38,157
Advanced Micro Devices, Inc. *		165,614		15,556
Akamai Technologies, Inc. *		22,457		2,618
Amphenol Corp. - Class A		80,389		5,499
Analog Devices, Inc.		50,069		8,620
ANSYS, Inc. *		11,847		4,112
Apple, Inc.		2,138,134		292,839
Applied Materials, Inc.		124,926		17,789
Arista Networks, Inc. *		7,515		2,723
Autodesk, Inc. *		30,362		8,863
Automatic Data Processing, Inc.		57,683		11,457
Broadcom, Inc.		55,654		26,538

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

Index 500 Stock Portfolio


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

Information Technology continued
Broadridge Financial Solutions, Inc.		15,949		2,576
Cadence Design Systems, Inc. *		37,344		5,109
CDW Corp.		19,727		3,445
Cisco Systems, Inc.		574,418		30,444
Citrix Systems, Inc.		16,985		1,992
Cognizant Technology Solutions Corp. - Class A		71,986		4,986
Corning, Inc.		105,393		4,311
DXC Technology Co. *		35,095		1,367
Enphase Energy, Inc. *		18,769		3,447
F5 Networks, Inc. *		7,722		1,441
Fidelity National Information Services, Inc.		84,652		11,993
Fiserv, Inc. *		81,182		8,678
FLEETCOR Technologies, Inc. *		11,505		2,946
Fortinet, Inc. *		18,586		4,427
Gartner, Inc. *		11,691		2,832
Global Payments, Inc.		40,455		7,587
Hewlett Packard Enterprise Co.		177,540		2,588
HP, Inc.		163,737		4,943
Intel Corp.		550,400		30,899
International Business Machines Corp.		121,844		17,861
Intuit, Inc.		37,210		18,239
IPG Photonics Corp. *		4,926		1,038
Jack Henry & Associates, Inc.		9,632		1,575
Juniper Networks, Inc.		45,486		1,244
Keysight Technologies, Inc. *		24,570		3,794
KLA-Tencor Corp.		20,850		6,760
Lam Research Corp.		19,353		12,593
Leidos Holdings, Inc.		18,455		1,866
Mastercard, Inc. - Class A		119,238		43,533
Maxim Integrated Products, Inc.		36,874		3,885
Microchip Technology, Inc.		37,849		5,667
Micron Technology, Inc. *		151,779		12,898
Microsoft Corp.		1,026,593		278,104
Monolithic Power Systems		5,845		2,183
Motorola Solutions, Inc.		22,689		4,920
NetApp, Inc.		30,815		2,521
NortonLifeLock, Inc.		76,405		2,080
NVIDIA Corp.		84,954		67,972
NXP Semiconductors NV		37,232		7,659
Oracle Corp.		247,616		19,274
Paychex, Inc.		44,137		4,736


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

Information Technology continued
Paycom Software, Inc. *		6,758		2,456
PayPal Holdings, Inc. *		159,938		46,619
PTC, Inc. *		14,404		2,035
Qorvo, Inc. *		14,926		2,920
QUALCOMM, Inc.		153,752		21,976
salesforce.com, Inc. *		126,219		30,831
Seagate Technology Holdings PLC		27,523		2,420
ServiceNow, Inc. *		26,914		14,791
Skyworks Solutions, Inc.		23,005		4,411
Synopsys, Inc. *		20,497		5,653
TE Connectivity, Ltd.		44,550		6,024
Teradyne, Inc.		22,907		3,069
Texas Instruments, Inc.		125,849		24,201
Trimble Navigation, Ltd. *		34,306		2,807
Tyler Technologies, Inc. *		5,563		2,516
VeriSign, Inc. *		13,187		3,003
Visa, Inc. - Class A		230,602		53,919
Western Digital Corp. *		41,969		2,987
Western Union Co.		56,713		1,303
Xilinx, Inc.		33,814		4,891
Zebra Technologies Corp. - Class A *		7,355		3,894

Total				1,359,369


Materials (2.6%)
Air Products and Chemicals, Inc.		30,475		8,767
Albemarle Corp.		15,981		2,692
Amcor PLC		204,147		2,340
Avery Dennison Corp.		11,507		2,419
Ball Corp.		45,124		3,656
Celanese Corp. - Class A		16,102		2,441
CF Industries Holdings, Inc.		29,509		1,518
Corteva, Inc.		99,460		4,411
Dow, Inc.		102,323		6,475
DuPont de Nemours, Inc.		72,190		5,588
Eastman Chemical Co.		18,688		2,182
Ecolab, Inc.		33,574		6,915
FMC Corp.		17,900		1,937
Freeport-McMoRan, Inc.		200,419		7,438
International Flavors & Fragrances, Inc.		33,302		4,975
International Paper Co.		51,904		3,182
Linde PLC		70,907		20,499
LyondellBasell Industries NV - Class A		35,469		3,649
Martin Marietta Materials, Inc.		8,591		3,022


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

Materials continued
The Mosaic Co.		47,588		1,519
Newmont Mining Corp.		110,716		7,017
Nucor Corp.		41,090		3,942
Packaging Corp. of America		13,082		1,772
PPG Industries, Inc.		32,584		5,532
Sealed Air Corp.		21,403		1,268
The Sherwin-Williams Co.		32,609		8,884
Vulcan Materials Co.		18,279		3,182
WestRock Co.		36,233		1,928

Total				129,150


Real Estate (2.6%)
Alexandria Real Estate Equities, Inc.		18,698		3,402
American Tower Corp.		61,977		16,742
AvalonBay Communities, Inc.		19,259		4,019
Boston Properties, Inc.		19,540		2,239
CBRE Group, Inc. *		46,275		3,967
Crown Castle International Corp.		59,411		11,591
Digital Realty Trust, Inc.		38,648		5,815
Duke Realty Corp.		51,310		2,429
Equinix, Inc.		12,109		9,719
Equity Residential		47,243		3,638
Essex Property Trust, Inc.		8,995		2,699
Extra Space Storage, Inc.		17,940		2,939
Federal Realty Investment Trust		9,496		1,113
Healthpeak Properties, Inc.		74,265		2,472
Host Hotels & Resorts, Inc. *		97,298		1,663
Iron Mountain, Inc.		39,752		1,682
Kimco Realty Corp.		59,663		1,244
Mid-America Apartment Communities, Inc.		15,777		2,657
Prologis, Inc.		100,651		12,031
Public Storage		20,480		6,158
Realty Income Corp.		51,163		3,415
Regency Centers Corp.		21,769		1,395
SBA Communications Corp.		15,277		4,869
Simon Property Group, Inc.		44,113		5,756
UDR, Inc.		40,623		1,990
Ventas, Inc.		51,671		2,950
Vornado Realty Trust		21,635		1,010
Welltower, Inc.		55,757		4,633
Weyerhaeuser Co.		102,968		3,544

Total				127,781

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

Index 500 Stock Portfolio


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

Utilities (2.4%)
The AES Corp.		91,753		2,392
Alliant Energy Corp.		34,454		1,921
Ameren Corp.		34,154		2,734
American Electric Power Co., Inc.		68,476		5,792
American Water Works Co., Inc.		25,006		3,854
Atmos Energy Corp.		18,820		1,809
CenterPoint Energy, Inc.		80,804		1,981
CMS Energy Corp.		39,499		2,334
Consolidated Edison, Inc.		47,194		3,385
Dominion Resources, Inc.		110,392		8,122
DTE Energy Co.		26,701		3,460
Duke Energy Corp.		103,901		10,257
Edison International		52,215		3,019
Entergy Corp.		27,621		2,754
Evergy, Inc.		31,291		1,891


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

Utilities continued
Eversource Energy		47,292		3,795
Exelon Corp.		131,462		5,825
FirstEnergy Corp.		74,849		2,785
NextEra Energy, Inc.		266,421		19,523
NiSource, Inc.		52,863		1,295
NRG Energy, Inc.		33,690		1,358
Pinnacle West Capital Corp.		15,533		1,273
PPL Corp.		106,058		2,966
Public Service Enterprise Group, Inc.		67,425		4,028
Sempra Energy		42,946		5,690
The Southern Co.		145,738		8,819
WEC Energy Group, Inc.		43,513		3,870
Xcel Energy, Inc.		72,537		4,779

Total				121,711


Total Common Stocks
(Cost: $1,666,592)				4,951,282


Short-Term Investments (1.1%)	Shares/ Par ⁺		Value $ (000’s)

Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#,ß		52,875,161		52,875

Total				52,875


Total Short-Term Investments
(Cost: $52,875)				52,875


Total Investments (99.9%)
(Cost: $1,719,467)^@				5,004,157

Other Assets, Less
Liabilities (0.1%)				4,192

Net Assets (100.0%)				5,008,349

Exchange Traded or Centrally Cleared Derivatives Futures


Issuer	Long/Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Variation Margin (000’s)
E-mini S&P 500 Futures		Long		USD		13		266		9/21	$	57,038	$	1,362	$	86

													$	1,362	$	86


	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	$	-	$	86	$	86	$	-	$	-	$	-	$	-
Centrally Cleared Derivatives

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

*	Non income producing

ß	Cash or securities with an aggregate value of $52,875 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,719,467 and the net unrealized appreciation of investments based on that cost was $3,286,052 which is comprised of $3,343,088 aggregate gross unrealized appreciation and $57,036 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.

Index 500 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	4,951,282	$	-	$	-
Short-Term Investments		52,875		-		-
Other Financial Instruments^
Futures		1,362		-		-
Total Assets:	$	5,005,519	$	-	$	-

^ 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.

Large Company Value Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Financials	22.2	%
Health Care	22.0	%
Consumer Staples	11.7	%
Industrials	10.6	%
Information Technology	8.7	%
Energy	6.2	%
Utilities	5.3	%
Communication Services	4.6	%
Consumer Discretionary	4.0	%
Short-Term Investments & Other Net Assets	1.8	%
Materials	1.7	%
Real Estate	1.2	%

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.

The Portfolio may invest in 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.

Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (98.2%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (4.6%)
Verizon Communications, Inc.		145,812		8,170
The Walt Disney Co. *		13,968		2,455

Total				10,625


Consumer Discretionary (4.0%)
Advance Auto Parts, Inc.		18,893		3,876
Dollar Tree, Inc. *		36,060		3,588
Honda Motor Co., Ltd., ADR		53,831		1,732

Total				9,196


Consumer Staples (11.7%)
Colgate-Palmolive Co.		24,462		1,990
Conagra Brands, Inc.		60,807		2,212
Danone SA		17,726		1,248
Kimberly-Clark Corp.		14,955		2,001
Koninklijke Ahold Delhaize NV		64,969		1,931
Mondelez International, Inc.		51,605		3,222
PepsiCo, Inc.		25,489		3,777
The Procter & Gamble Co.		13,713		1,850
Unilever PLC, ADR		97,393		5,698
Walmart, Inc.		21,748		3,067

Total				26,996


Energy (6.2%)
Baker Hughes		76,447		1,748
Chevron Corp.		51,652		5,410
ConocoPhillips		62,258		3,792
Total SA, ADR		75,744		3,428

Total				14,378


Financials (22.2%)
AFLAC, Inc.		63,281		3,396
The Allstate Corp.		18,309		2,388
Ameriprise Financial, Inc.		9,453		2,353
The Bank of New York Mellon Corp.		148,152		7,590
Berkshire Hathaway, Inc. - Class B *		31,682		8,805
Chubb, Ltd.		26,611		4,229
JPMorgan Chase & Co.		48,503		7,544
MetLife, Inc.		33,544		2,008
Northern Trust Corp.		21,754		2,515
Truist Financial Corp.		94,917		5,268


Common Stocks (98.2%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
U.S. Bancorp		90,034		5,129

Total				51,225


Health Care (22.0%)
Becton Dickinson and Co.		14,892		3,622
Cerner Corp.		53,081		4,149
Cigna Corp.		11,262		2,670
CVS Health Corp.		30,583		2,552
Johnson & Johnson		65,041		10,715
McKesson Corp.		9,118		1,744
Medtronic PLC		82,430		10,232
Merck & Co., Inc.		59,272		4,610
Pfizer, Inc.		43,846		1,717
Quest Diagnostics, Inc.		13,855		1,828
Roche Holding AG		4,279		1,612
Universal Health Services, Inc. - Class B		14,780		2,164
Zimmer Biomet Holdings, Inc.		20,063		3,226

Total				50,841


Industrials (10.6%)
Emerson Electric Co.		59,934		5,768
General Dynamics Corp.		13,624		2,565
Johnson Controls International PLC		18,882		1,296
Norfolk Southern Corp.		7,403		1,965
nVent Electric PLC		73,619		2,300
Raytheon Co.		44,456		3,793
Republic Services, Inc.		18,034		1,984
Siemens AG		21,721		3,441
Southwest Airlines Co. *		23,818		1,264

Total				24,376


Information Technology (8.7%)
Automatic Data Processing, Inc.		11,858		2,355
Cisco Systems, Inc.		121,066		6,417
F5 Networks, Inc. *		13,055		2,437
Oracle Corp.		46,229		3,598
TE Connectivity, Ltd.		13,085		1,769
Texas Instruments, Inc.		18,112		3,483

Total				20,059


Materials (1.7%)
Mondi PLC		61,639		1,621


Common Stocks (98.2%)	Shares/ Par ⁺		Value $ (000’s)

Materials continued
Sonoco Products Co.		35,522		2,376

Total				3,997


Real Estate (1.2%)
Healthpeak Properties, Inc.		79,086		2,633

Total				2,633


Utilities (5.3%)
Duke Energy Corp.		25,906		2,557
Eversource Energy		24,184		1,941
Pinnacle West Capital Corp.		52,819		4,330
Xcel Energy, Inc.		52,796		3,478

Total				12,306


Total Common Stocks
(Cost: $189,468)				226,632


Short-Term Investments (1.6%)

Money Market Funds (1.6%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		3,627,410		3,627

Total				3,627


Total Short-Term Investments
(Cost: $3,627)				3,627

Total Investments (99.8%)
(Cost: $193,095)^@				230,259

Other Assets, Less
Liabilities (0.2%)				533

Net Assets (100.0%)				230,792

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

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 Date	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Morgan Stanley Capital Services, Inc.	CHF	98	106	9/30/2021	$	-	$	(1	)	$	(1	)
Sell	Morgan Stanley Capital Services, Inc.	CHF	1,352	1,465	9/30/2021		9		-			9
Sell	Morgan Stanley Capital Services, Inc.	EUR	7,194	8,546	9/30/2021		32		-			32
Buy	Morgan Stanley Capital Services, Inc.	GBP	244	339	9/30/2021		-		(2	)		(2	)
Sell	Morgan Stanley Capital Services, Inc.	GBP	4,779	6,612	9/30/2021		28		-			28
Sell	Morgan Stanley Capital Services, Inc.	JPY	164,557	1,482	9/30/2021		6		-			6

						$	75	$	(3	)	$	72


	Financial Derivative Assets (000’s)					Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps	Total		Forward Contracts			Options	Swaps	Total
Total Over the Counter Derivatives	$	75	-	$	75	$	(3	)	-	-	$	(3)

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $193,095 and the net unrealized appreciation of investments based on that cost was $37,236 which is comprised of $37,605 aggregate gross unrealized appreciation and $369 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.

Large Company Value Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	226,632	$	-		$	-
Short-Term Investments		3,627		-			-
Other Financial Instruments^
Forward Currency Contracts		-		75			-
Total Assets:	$	230,259	$	75		$	-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		(3	)		-
Total Liabilities:	$	-	$	(3	)	$	-

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

Domestic Equity Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology	18.2	%
Health Care	17.4	%
Financials	15.3	%
Industrials	12.3	%
Communication Services	8.7	%
Consumer Discretionary	8.6	%
Consumer Staples	5.8	%
Energy	3.6	%
Real Estate	3.3	%
Materials	3.1	%
Utilities	2.7	%
Short-Term Investments & Other Net Assets	1.0	%

Sector Allocation is subject to change.

Domestic Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (8.7%)
Comcast Corp. - Class A		558,411		31,840
Verizon Communications, Inc.		498,300		27,920
The Walt Disney Co. *		171,036		30,063

Total				89,823


Consumer Discretionary (8.6%)
Dollar General Corp.		144,440		31,255
Dollar Tree, Inc. *		262,200		26,089
Lowe’s Companies, Inc.		163,100		31,637

Total				88,981


Consumer Staples (5.8%)
Archer-Daniels-Midland Co.		468,500		28,391
Conagra Brands, Inc.		850,233		30,931

Total				59,322


Energy (3.6%)
ConocoPhillips		610,900		37,204

Total				37,204


Financials (15.3%)
American International Group, Inc.		654,600		31,159
Discover Financial Services		283,813		33,572
MetLife, Inc.		517,832		30,992
Truist Financial Corp.		541,200		30,037
U.S. Bancorp		563,700		32,114

Total				157,874


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Health Care (17.4%)
Cardinal Health, Inc.		527,200		30,098
Cigna Corp.		125,603		29,777
CVS Health Corp.		357,200		29,805
Johnson & Johnson		180,700		29,768
Merck & Co., Inc.		409,500		31,847
Viatris, Inc.		1,945,975		27,808

Total				179,103


Industrials (12.3%)
Caterpillar, Inc.		100,624		21,899
Dover Corp.		53,962		8,127
Honeywell International, Inc.		140,860		30,897
Northrop Grumman Corp.		88,900		32,309
Raytheon Co.		395,379		33,730

Total				126,962


Information Technology (18.2%)
Broadcom, Inc.		62,200		29,660
Cisco Systems, Inc.		593,800		31,471
Cognizant Technology Solutions Corp. - Class A		438,718		30,386
Fidelity National Information Services, Inc.		209,727		29,712
Motorola Solutions, Inc.		152,100		32,983
Oracle Corp.		425,800		33,144

Total				187,356


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Materials (3.1%)
DuPont de Nemours, Inc.		406,184		31,443

Total				31,443


Real Estate (3.3%)
Equity Residential		446,695		34,395

Total				34,395


Utilities (2.7%)
Edison International		485,700		28,083

Total				28,083

Total Common Stocks
(Cost: $744,202)				1,020,546


Short-Term Investments (1.0%)

Money Market Funds (1.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		10,784,534		10,785


Total				10,785


Total Short-Term Investments
(Cost: $10,785)				10,785


Total Investments (100.0%)
(Cost: $754,987)@				1,031,331

Other Assets, Less
Liabilities (0.0%)				456

Net Assets (100.0%)				1,031,787

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $754,987 and the net unrealized appreciation of investments based on that cost was $276,344 which is comprised of $280,874 aggregate gross unrealized appreciation and $4,530 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.

Domestic Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	1,020,546	$	-	$	-
Short-Term Investments		10,785		-		-
Total Assets:	$	1,031,331	$	-	$	-

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

Equity Income Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Financials		22.8	%
Health Care		14.8	%
Industrials		11.8	%
Information Technology		8.9	%
Utilities		8.2	%
Consumer Staples		6.9	%
Energy		6.1	%
Materials		5.8	%
Communication Services		5.0	%
Consumer Discretionary		4.4	%
Real Estate		4.1	%
Short-Term Investments & Other Net Assets		1.2	%

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 frequent adjustments over the course of the last several years. A significant rise in interest rates or economic downturn could cause a company to unexpectedly reduce or eliminate its dividend.

Equity Income Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (5.0%)
AT&T, Inc.		81,462		2,344
Comcast Corp. - Class A		258,425		14,735
Fox Corp.		169,901		5,981
News Corp. - Class A		417,456		10,758
Verizon Communications, Inc.		32,695		1,832
The Walt Disney Co. *		42,316		7,438

Total				43,088


Consumer Discretionary (4.4%)
General Motors Co. *		21,800		1,290
Kohl’s Corp.		118,506		6,531
Las Vegas Sands Corp. *		147,615		7,778
Mattel, Inc. *		283,553		5,699
McDonald’s Corp.		6,500		1,501
The TJX Cos., Inc.		72,654		4,898
Volkswagen Group of America Finance LLC		404,573		10,131

Total				37,828


Consumer Staples (6.9%)
Altria Group, Inc.		62,089		2,960
Bunge, Ltd.		21,300		1,665
The Coca-Cola Co.		88,000		4,762
Conagra Brands, Inc.		277,977		10,113
Kimberly-Clark Corp.		77,933		10,426
Mondelez International, Inc.		8,400		524
Philip Morris International, Inc.		110,794		10,981
Tyson Foods, Inc. - Class A		196,436		14,489
Walmart, Inc.		24,700		3,483

Total				59,403


Energy (6.1%)
Chevron Corp.		17,900		1,875
ConocoPhillips		14,500		883
EOG Resources, Inc.		115,191		9,611
Exxon Mobil Corp.		128,072		8,079
Halliburton Co.		156,600		3,620
Hess Corp.		10,900		952
Occidental Petroleum Corp.		55,186		1,726
Targa Resources Corp.		57,164		2,541
TC Energy Corp.		133,885		6,630
Total SA, ADR		380,526		17,223

Total				53,140


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

Financials (22.8%)
American International Group, Inc.		381,328		18,151
Bank of America Corp.		83,323		3,435
The Bank of New York Mellon Corp.		90,900		4,657
The Charles Schwab Corp.		62,800		4,572
Chubb, Ltd.		97,246		15,456
Citizens Financial Group, Inc.		80,900		3,711
Equitable Holdings, Inc.		318,804		9,708
Fifth Third Bancorp		357,194		13,656
Franklin Resources, Inc.		68,128		2,179
The Goldman Sachs Group, Inc.		20,200		7,667
The Hartford Financial Services Group, Inc.		38,600		2,392
Huntington Bancshares, Inc.		465,600		6,644
JPMorgan Chase & Co.		49,057		7,630
Loews Corp.		245,002		13,389
Marsh & McLennan Cos., Inc.		16,147		2,272
MetLife, Inc.		298,849		17,886
Morgan Stanley		141,724		12,995
PNC Financial Services Group, Inc.		39,245		7,486
Raymond James Financial, Inc.		40,000		5,196
State Street Corp.		56,489		4,648
Wells Fargo & Co.		725,126		32,841

Total				196,571


Health Care (14.4%)
AbbVie, Inc.		123,692		13,933
Anthem, Inc.		44,554		17,011
AstraZeneca PLC, ADR		35,200		2,109
Becton Dickinson and Co.		52,491		12,765
Biogen, Inc. *		8,200		2,839
Cardinal Health, Inc.		48,100		2,746
Centene Corp. *		32,300		2,356
Cigna Corp.		19,084		4,524
CVS Health Corp.		136,199		11,364
Gilead Sciences, Inc.		45,877		3,159
GlaxoSmithKline PLC		74,989		1,472
Johnson & Johnson		63,324		10,432
Medtronic PLC		106,129		13,174
Merck & Co., Inc.		52,768		4,104
Organon & Co. *		3,696		112
Pfizer, Inc.		199,055		7,795
Sanofi		126,106		6,641


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

Health Care continued
UnitedHealth Group, Inc.		8,600		3,444
Zimmer Biomet Holdings, Inc.		27,300		4,390

Total				124,370


Industrials (11.8%)
3M Co.		9,500		1,887
Airbus SE *		3,000		97
Alaska Air Group, Inc. *		17,855		1,077
The Boeing Co. *		40,700		9,750
Caterpillar, Inc.		9,790		2,131
Cummins, Inc.		3,500		853
Flowserve Corp.		23,281		939
General Electric Co.		1,872,840		25,208
L3Harris Technologies, Inc.		61,147		13,217
Nielsen Holdings PLC		259,640		6,405
PACCAR, Inc.		35,000		3,124
Siemens AG, ADR		27,164		2,163
Snap-on, Inc.		23,812		5,320
Southwest Airlines Co. *		34,300		1,821
Stericycle, Inc. *		80,923		5,790
United Parcel Service, Inc. - Class B		107,511		22,359

Total				102,141


Information Technology (8.9%)
Applied Materials, Inc.		79,026		11,253
Cisco Systems, Inc.		151,100		8,008
Citrix Systems, Inc.		63,540		7,451
Microsoft Corp.		45,491		12,324
NXP Semiconductors NV		17,686		3,639
QUALCOMM, Inc.		152,601		21,811
TE Connectivity, Ltd.		18,200		2,461
Texas Instruments, Inc.		50,030		9,621

Total				76,568


Materials (5.8%)
Akzo Nobel NV, ADR		76,191		3,147
CF Industries Holdings, Inc.		295,114		15,184
DuPont de Nemours, Inc.		61,397		4,753
International Flavors & Fragrances, Inc.		62,203		9,293
International Paper Co.		259,080		15,884
PPG Industries, Inc.		9,107		1,546

Total				49,807

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

Equity Income Portfolio


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

Real Estate (4.1%)
CyrusOne, Inc.		12,800		916
Equity Residential		151,784		11,687
Rayonier, Inc.		188,143		6,760
Welltower, Inc.		32,765		2,723
Weyerhaeuser Co.		388,014		13,355

Total				35,441


Utilities (7.1%)
Ameren Corp.		62,500		5,002
Dominion Resources, Inc.		36,300		2,671
Edison International		63,076		3,647
Entergy Corp.		21,000		2,094
NextEra Energy, Inc.		66,788		4,894
NiSource, Inc.		425,336		10,421
Sempra Energy		96,385		12,769
The Southern Co.		327,200		19,799

Total				61,297


Total Common Stocks
(Cost: $610,773)				839,654


Preferred Stocks (0.3%)

Utilities (0.3%)
NiSource, Inc., 7.750%,		23,878		2,454

Total				2,454


Total Preferred Stocks
(Cost: $2,388)				2,454


Convertible Preferred Stocks (1.2%)

Health Care (0.4%)
Becton Dickinson and Co., 6.000%, 6/1/23		59,093		3,162

Total				3,162


Utilities (0.8%)
NextEra Energy, Inc., 5.279%, 3/1/23		49,295		2,414
Sempra Energy, 6.750%, 7/15/21		11,807		1,166
The Southern Co., 6.750%, 8/1/22		66,083		3,346

Total				6,926

Total Convertible Preferred Stocks
(Cost: $9,833)				10,088


Short-Term Investments (1.1%)	Shares/ Par ⁺		Value $ (000’s)

Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		9,387,055		9,387

Total				9,387

Total Short-Term Investments
(Cost: $9,387)				9,387

Total Investments (99.9%)
(Cost: $632,381)^@				861,583

Other Assets, Less
Liabilities (0.1%)				1,242

Net Assets (100.0%)				862,825

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

Equity Income Portfolio

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $632,381 and the net unrealized appreciation of investments based on that cost was $229,202 which is comprised of $238,379 aggregate gross unrealized appreciation and $9,177 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Preferred Stocks	$	2,454	$	-	$	-
Common Stocks		839,654		-		-
Convertible Preferred Stocks		10,088		-		-
Short-Term Investments		9,387		-		-
Total Assets:	$	861,583	$	-	$	-

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

Mid Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology		25.7	%
Health Care		19.8	%
Industrials		14.8	%
Financials		11.4	%
Consumer Discretionary		11.2	%
Real Estate		6.1	%
Utilities		3.2	%
Communication Services		3.0	%
Materials		2.5	%
Consumer Staples		2.1	%
Energy		0.1	%
Short-Term Investments & Other Net Assets		0.1	%

Sector Allocation is subject to change.

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

Mid Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (3.0%)
Cable One, Inc.		9,509		18,189
CarGurus, Inc. *		319,786		8,388
Zynex, Inc. *		1,396,680		14,847

Total				41,424


Consumer Discretionary (11.2%)
CarMax, Inc. *		98,182		12,680
Carter’s, Inc.		131,869		13,605
Choice Hotels International, Inc.		159,277		18,932
Etsy, Inc. *		125,295		25,791
Hyatt Hotels Corp. - Class A *		83,242		6,463
NVR, Inc. *		4,773		23,737
PVH Corp. *		187,029		20,122
Under Armour, Inc. - Class C *		596,811		11,083
YETI Holdings, Inc. *		254,074		23,329

Total				155,742


Consumer Staples (2.1%)
Lamb Weston Holdings, Inc.		204,849		16,523
Performance Food Group Co. *		251,722		12,206

Total				28,729


Energy (0.1%)
Cabot Oil & Gas Corp.		81,973		1,431

Total				1,431


Financials (11.4%)
Credit Acceptance Corp. *		44,004		19,983
Cullen / Frost Bankers, Inc.		105,086		11,770
Erie Indemnity Co.		22,608		4,371
First Citizens BancShares, Inc. - Class A		19,758		16,453
First Republic Bank		84,246		15,769
FNF Group		222,554		9,672
Globe Life, Inc.		85,933		8,185
Hamilton Lane, Inc.		71,891		6,551
M&T Bank Corp.		98,543		14,319
Markel Corp. *		14,601		17,327
Prosperity Bancshares, Inc.		147,384		10,582
South State Corp.		81,550		6,668
W.R. Berkley Corp.		99,654		7,417


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

Financials continued
White Mountains Insurance Group, Ltd.		8,899		10,216

Total				159,283


Health Care (19.8%)
Allakos, Inc. *		103,939		8,873
Amedisys, Inc. *		42,445		10,396
Apellis Pharmaceuticals, Inc. *		257,921		16,301
Arena Pharmaceuticals, Inc. *		151,292		10,318
Encompass Health Corp.		151,872		11,851
Hill-Rom Holdings, Inc.		204,769		23,260
Icon Public Limited Co. *		15,384		3,180
Integra LifeSciences Holdings Corp. *		304,007		20,745
Iovance Biotherapeutics, Inc. *		395,971		10,303
Jazz Pharmaceuticals PLC *		87,474		15,539
Kodiak Sciences, Inc. *		95,343		8,867
LHC Group, Inc. *		66,859		13,389
Mirati Therapeutics, Inc. *		42,599		6,881
Molina Healthcare, Inc. *		55,882		14,141
NuVasive, Inc. *		205,868		13,954
PRA Health Sciences, Inc. *		124,498		20,568
PTC Therapeutics, Inc. *		273,355		11,555
Reata Pharmaceuticals, Inc. *		116,435		16,479
Sage Therapeutics, Inc. *		191,204		10,862
Syneos Health, Inc. *		135,151		12,095
Teleflex, Inc.		39,560		15,895

Total				275,452


Industrials (14.8%)
AMERCO		24,654		14,531
Dun & Bradstreet Holdings, Inc. *		375,084		8,016
GFL Environmental, Inc.		472,366		15,078
Graco, Inc.		100,808		7,631
IAA Spinco, Inc. *		227,096		12,386


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

Industrials continued
IDEX Corp.		99,487		21,892
Ingersoll-Rand, Inc. *		608,407		29,696
KAR Auction Services, Inc. *		500,876		8,790
Knight-Swift Transportation Holdings, Inc.		458,321		20,835
Lennox International, Inc.		61,645		21,625
Lincoln Electric Holdings, Inc.		117,866		15,524
The Middleby Corp. *		44,370		7,688
Science Applications International Corp.		144,120		12,644
Watsco, Inc.		35,202		10,090

Total				206,426


Information Technology (25.7%)
Aspen Technology, Inc. *		74,486		10,245
Black Knight, Inc. *		69,795		5,443
CDW Corp.		96,187		16,799
Coherent, Inc. *		12,869		3,402
CommScope Holding Co., Inc. *		1,225,505		26,115
F5 Networks, Inc. *		154,923		28,918
First Solar, Inc. *		283,789		25,686
Flex, Ltd. *		1,158,341		20,700
Genpact, Ltd.		633,748		28,791
Guidewire Software, Inc. *		122,584		13,818
II-VI, Inc. *		430,091		31,220
LiveRamp Holdings, Inc. *		145,854		6,833
Lumentum Holdings, Inc. *		242,719		19,910
MKS Instruments, Inc.		132,387		23,558
National Instruments Corp.		235,929		9,975
Q2 Holdings, Inc. *		121,526		12,466
Shift4 Payments, Inc. *		143,559		13,454
Silicon Laboratories, Inc. *		102,407		15,694
Teradata Corp. *		337,396		16,860
WEX, Inc. *		144,183		27,957

Total				357,844


Materials (2.5%)
Element Solutions, Inc.		643,852		15,053
Packaging Corp. of America		39,222		5,312
Silgan Holdings, Inc.		200,792		8,333

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

Mid Cap Growth Stock Portfolio


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

Materials continued
Steel Dynamics, Inc.		113,809		6,783

Total				35,481


Real Estate (6.1%)
Douglas Emmett, Inc.		188,901		6,351
Equity Commonwealth		197,325		5,170
Life Storage, Inc.		215,986		23,186
PS Business Parks, Inc.		31,920		4,727
Redfin Corp. *		186,254		11,810
Rexford Industrial Realty, Inc.		278,750		15,875
Store Capital Corp.		538,448		18,582

Total				85,701


Utilities (3.2%)
Black Hills Corp.		131,538		8,633
NiSource, Inc.		213,236		5,224
Pinnacle West Capital Corp.		107,205		8,788
UGI Corp.		481,739		22,309

Total				44,954

Total Common Stocks
(Cost: $1,042,828)				1,392,467


Short-Term Investments (0.1%)

Money Market Funds (0.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		1,663,214		1,663

Total				1,663

Total Short-Term Investments
(Cost: $1,663)				1,663


Total Investments (100.0%)
(Cost: $1,044,491)^@				1,394,130

Other Assets, Less
Liabilities (0.0%)				(324	)

Net Assets (100.0%)				1,393,806

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

Mid Cap Growth Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,044,491 and the net unrealized appreciation of investments based on that cost was $349,639 which is comprised of $374,696 aggregate gross unrealized appreciation and $25,057 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	1,392,467	$	-	$	-
Short-Term Investments		1,663		-		-
Total Assets:	$	1,394,130	$	-	$	-

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

Index 400 Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Industrials		17.1	%
Financials		15.0	%
Information Technology		14.8	%
Consumer Discretionary		14.6	%
Health Care		11.0	%
Real Estate		9.6	%
Materials		6.4	%
Consumer Staples		3.4	%
Utilities		3.3	%
Energy		2.0	%
Communication Services		1.8	%
Short-Term Investments & Other Net Assets		1.0	%

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

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Communication Services (1.8%)
Cable One, Inc.		2,925		5,595
Cinemark Holdings, Inc. *		58,970		1,294
Iridium Communications, Inc. *		63,012		2,520
John Wiley & Sons, Inc. - Class A		23,537		1,416
The New York Times Co. - Class A		78,042		3,399
TEGNA, Inc.		118,738		2,227
Telephone and Data Systems, Inc.		53,836		1,220
TripAdvisor, Inc. *		53,006		2,136
World Wrestling Entertainment, Inc.- Class A		24,453		1,416
Yelp, Inc. *		37,477		1,498

Total				22,721


Consumer Discretionary (14.6%)
Adient PLC *		50,834		2,298
Adtalem Global Education, Inc. *		26,377		940
American Eagle Outfitters, Inc.		81,526		3,060
AutoNation, Inc. *		29,125		2,761
Boyd Gaming Corp. *		43,536		2,677
Brunswick Corp.		41,871		4,171
Callaway Golf Co. *		62,816		2,119
Capri Holdings, Ltd. *		81,321		4,651
Carter’s, Inc.		23,582		2,433
Choice Hotels International, Inc.		15,609		1,855
Churchill Downs, Inc.		18,643		3,696
Columbia Sportswear Co.		16,507		1,624
Cracker Barrel Old Country Store, Inc.		12,825		1,904
Crocs, Inc. *		35,037		4,083
Dana Holding Corp.		78,203		1,858
Deckers Outdoor Corp. *		15,000		5,761
Dick’s Sporting Goods, Inc.		35,188		3,525
Five Below, Inc. *		30,098		5,817
Foot Locker, Inc.		55,511		3,421
Fox Factory Holding Corp. *		22,596		3,517
Gentex Corp.		129,769		4,294
The Goodyear Tire & Rubber Co. *		150,482		2,581
Graham Holdings Co. - Class B		2,183		1,384


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Consumer Discretionary continued
Grand Canyon Education, Inc. *		24,852		2,236
H&R Block, Inc.		97,324		2,285
Harley-Davidson, Inc.		82,917		3,799
Helen of Troy, Ltd. *		13,187		3,008
Jack in the Box, Inc.		11,917		1,328
KB Home		47,635		1,940
Kohl’s Corp.		83,977		4,628
Lear Corp.		29,464		5,164
Lithia Motors, Inc. - Class A		16,036		5,511
Marriott Vacations Worldwide Corp. *		22,991		3,662
Mattel, Inc. *		187,400		3,767
Murphy USA, Inc.		13,415		1,789
Nordstrom, Inc. *		58,857		2,152
Ollie’s Bargain Outlet Holdings, Inc. *		30,477		2,564
Papa John’s International, Inc.		17,800		1,859
Polaris Industries, Inc.		30,980		4,243
Restoration Hardware, Inc. *		9,068		6,157
Scientific Games Corp. - Class A *		30,422		2,356
Service Corp. International		90,355		4,842
Six Flags Entertainment Corp. *		40,975		1,773
Skechers USA, Inc. - Class A *		72,416		3,608
Strategic Education, Inc.		13,195		1,004
Taylor Morrison Home Corp. *		69,643		1,840
Tempur Sealy International, Inc.		98,842		3,874
Texas Roadhouse, Inc.		35,217		3,388
Thor Industries, Inc.		29,810		3,369
Toll Brothers, Inc.		60,298		3,486
TopBuild Corp. *		17,778		3,516
Travel + Leisure Co.		46,450		2,761
TRI Pointe Homes, Inc. *		63,352		1,358
Urban Outfitters, Inc. *		37,001		1,525
Visteon Corp. *		15,090		1,825
Weight Watchers International, Inc. *		25,833		934
The Wendy’s Co.		94,962		2,224
Williams-Sonoma, Inc.		41,009		6,547
Wingstop, Inc.		16,048		2,530
Wyndham Hotels & Resorts, Inc.		50,404		3,644


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Consumer Discretionary continued
YETI Holdings, Inc. *		40,296		3,700

Total				186,626


Consumer Staples (3.4%)
BJ’s Wholesale Club Holdings, Inc. *		73,640		3,504
The Boston Beer Co., Inc. - Class A *		5,016		5,120
Casey’s General Stores, Inc.		19,847		3,863
Coty, Inc. - Class A *		153,366		1,432
Darling Ingredients, Inc. *		87,974		5,938
Energizer Holdings, Inc.		31,416		1,350
Flowers Foods, Inc.		105,641		2,557
Grocery Outlet Holding Corp. *		46,855		1,624
The Hain Celestial Group, Inc. *		43,808		1,758
Ingredion, Inc.		36,110		3,268
Lancaster Colony Corp.		10,483		2,029
Nu Skin Enterprises, Inc.		26,791		1,518
Pilgrim’s Pride Corp. *		26,331		584
Post Holdings, Inc. *		31,780		3,447
Sanderson Farms, Inc.		10,744		2,020
Sprouts Farmers Market, Inc. *		63,763		1,584
Tootsie Roll Industries, Inc.		9,520		323
TreeHouse Foods, Inc. *		30,215		1,345

Total				43,264


Energy (2.0%)
Antero Midstream Corp.		154,675		1,607
ChampionX Corp. *		100,776		2,585
Cimarex Energy Co.		55,325		4,008
CNX Resources Corp. *		118,765		1,622
EQT Corp. *		149,853		3,336
Equitrans Midstream Corp.		217,945		1,855
HollyFrontier Corp.		80,501		2,648
Murphy Oil Corp.		78,049		1,817
Targa Resources Corp.		123,289		5,480
World Fuel Services Corp.		34,123		1,083

Total				26,041

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

Index 400 Stock Portfolio


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Financials (15.0%)
Affiliated Managers Group, Inc.		22,472		3,465
Alleghany Corp. *		7,485		4,993
American Financial Group, Inc.		37,182		4,637
Associated Banc-Corp.		82,622		1,692
BancorpSouth Bank		51,746		1,466
Bank of Hawaii Corp.		21,697		1,827
Bank OZK		64,872		2,735
Brighthouse Financial, Inc. *		46,211		2,104
Brown & Brown, Inc.		125,775		6,684
Cathay General Bancorp		40,405		1,590
CIT Group, Inc.		53,357		2,753
CNO Financial Group, Inc.		70,471		1,665
Commerce Bancshares, Inc.		56,734		4,230
Cullen / Frost Bankers, Inc.		30,525		3,419
East West Bancorp, Inc.		76,256		5,467
Essent Group, Ltd.		60,569		2,723
Evercore, Inc. - Class A		22,111		3,113
F.N.B. Corp.		171,258		2,112
FactSet Research Systems, Inc.		20,351		6,830
Federated Investors, Inc. - Class B		50,092		1,699
First American Financial Corp.		59,117		3,686
First Financial Bankshares, Inc.		76,552		3,761
First Horizon National Corp.		296,889		5,130
FirstCash, Inc.		22,184		1,696
Fulton Financial Corp.		87,770		1,385
Glacier Bancorp, Inc.		51,262		2,823
Hancock Holding Co.		46,894		2,084
Hanover Insurance Group, Inc.		19,262		2,613
Home BancShares, Inc.		81,309		2,007
Interactive Brokers Group, Inc. - Class A		43,377		2,851
International Bancshares Corp.		30,112		1,293
Janus Henderson Group PLC		91,628		3,556
Jefferies Financial Group, Inc.		107,413		3,673
Kemper Corp.		32,578		2,407
Kinsale Capital Group, Inc.		11,572		1,907
LendingTree, Inc. *		5,989		1,269
Mercury General Corp.		14,365		933
MGIC Investment Corp.		183,015		2,489
Navient Corp.		96,944		1,874


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Financials continued
New York Community Bancorp, Inc.		249,622		2,751
Old Republic International Corp.		152,923		3,809
PacWest Bancorp		63,141		2,599
Pinnacle Financial Partners, Inc.		40,899		3,611
Primerica, Inc.		21,267		3,257
PROG Holdings, Inc.		36,088		1,737
Prosperity Bancshares, Inc.		50,019		3,591
Reinsurance Group of America, Inc.		36,603		4,173
RenaissanceRe Holdings, Ltd.		26,783		3,986
RLI Corp.		21,477		2,246
SEI Investments Co.		63,673		3,946
Selective Insurance Group, Inc.		32,370		2,627
Signature Bank		31,061		7,630
SLM Corp.		174,261		3,649
Sterling Bancorp		103,342		2,562
Stifel Financial Corp.		56,503		3,665
Synovus Financial Corp.		80,002		3,510
Texas Capital Bancshares, Inc. *		27,284		1,732
Trustmark Corp.		34,280		1,056
UMB Financial Corp.		23,439		2,181
Umpqua Holdings Corp.		119,149		2,198
United Bankshares, Inc.		72,463		2,645
Valley National Bancorp		217,879		2,926
Washington Federal, Inc.		38,709		1,230
Webster Financial Corp.		48,806		2,603
Wintrust Financial Corp.		30,752		2,326

Total				190,887


Health Care (11.0%)
Acadia Healthcare Co., Inc. *		48,449		3,040
Amedisys, Inc. *		17,500		4,286
Arrowhead Pharmaceuticals, Inc. *		56,140		4,649
Bio-Techne Corp.		20,936		9,427
Chemed Corp.		8,568		4,066
Emergent Biosolutions, Inc. *		24,490		1,543
Encompass Health Corp.		53,699		4,190
Envista Holdings Corp. *		86,362		3,732
Exelixis, Inc. *		169,113		3,081


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Health Care continued
Globus Medical, Inc. - Class A *		41,776		3,239
Haemonetics Corp. *		27,472		1,831
Halozyme Therapeutics, Inc. *		72,089		3,274
HealthEquity, Inc. *		44,822		3,607
Hill-Rom Holdings, Inc.		35,737		4,059
ICU Medical, Inc. *		10,627		2,187
Integra LifeSciences Holdings Corp. *		38,309		2,614
Jazz Pharmaceuticals PLC *		32,306		5,739
LHC Group, Inc. *		17,078		3,420
Ligand Pharmaceuticals, Inc. - Class B *		8,980		1,178
LivaNova PLC *		26,305		2,212
Masimo Corp. *		27,202		6,595
Medpace Holdings, Inc. *		14,873		2,627
Molina Healthcare, Inc. *		31,477		7,966
Nektar Therapeutics *		98,480		1,690
Neogen Corp. *		58,017		2,671
Neurocrine Biosciences, Inc. *		50,992		4,963
NuVasive, Inc. *		27,773		1,882
Patterson Cos., Inc.		47,014		1,429
Penumbra, Inc. *		18,268		5,007
PRA Health Sciences, Inc. *		34,937		5,772
Progyny, Inc. *		20,157		1,189
Quidel Corp. *		20,817		2,667
R1 RCM, Inc. *		74,322		1,653
Repligen Corp. *		27,461		5,482
STAAR Surgical Co. *		25,308		3,859
Syneos Health, Inc. *		54,621		4,888
Tenet Healthcare Corp. *		57,404		3,845
United Therapeutics Corp. *		24,167		4,336

Total				139,895


Industrials (17.1%)
Acuity Brands, Inc.		19,212		3,593
AECOM *		78,786		4,989
AGCO Corp.		33,222		4,331
ASGN, Inc. *		28,649		2,777
Avis Budget Group, Inc. *		27,733		2,160
Axon Enterprise, Inc. *		34,819		6,156
The Brink’s Co.		26,764		2,057
Builders FirstSource, Inc. *		111,721		4,766
Carlisle Cos., Inc.		28,146		5,387
Clean Harbors, Inc. *		26,930		2,508
Colfax Corp. *		63,705		2,918
Crane Co.		26,726		2,469
Curtiss-Wright Corp.		21,969		2,609

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

Index 400 Stock Portfolio


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Donaldson Co., Inc.		67,895		4,313
Dycom Industries, Inc. *		16,550		1,233
EMCOR Group, Inc.		29,301		3,610
EnerSys		23,075		2,255
Flowserve Corp.		69,949		2,820
Fluor Corp. *		67,719		1,199
FTI Consulting, Inc. *		18,360		2,508
GATX Corp.		18,975		1,679
Graco, Inc.		91,340		6,914
Healthcare Services Group, Inc.		40,391		1,275
Herman Miller, Inc.		31,882		1,503
Hexcel Corp. *		45,190		2,820
Hubbell, Inc.		29,246		5,464
IAA Spinco, Inc. *		72,436		3,951
Insperity, Inc.		19,459		1,759
ITT, Inc.		46,258		4,237
JetBlue Airways Corp. *		170,083		2,854
KAR Auction Services, Inc. *		67,310		1,181
Kennametal, Inc.		45,157		1,622
Kirby Corp. *		32,480		1,970
Knight-Swift Transportation Holdings, Inc.		65,958		2,998
Landstar System, Inc.		20,623		3,259
Lennox International, Inc.		18,516		6,495
Lincoln Electric Holdings, Inc.		32,115		4,230
ManpowerGroup, Inc.		29,321		3,487
MasTec, Inc. *		30,327		3,218
Mercury Systems, Inc. *		30,348		2,011
The Middleby Corp. *		29,965		5,192
MSA Safety, Inc.		19,651		3,254
MSC Industrial Direct Co., Inc. - Class A		25,254		2,266
Nordson Corp.		29,112		6,390
nVent Electric PLC		89,993		2,811
Oshkosh Corp.		37,011		4,613
Owens Corning, Inc.		56,148		5,497
Regal Beloit Corp.		21,809		2,912
Ryder System, Inc.		29,027		2,158
Simpson Manufacturing Co., Inc.		23,426		2,587
Stericycle, Inc. *		49,294		3,527
Sunrun, Inc. *		86,941		4,850
Terex Corp.		37,517		1,787
Tetra Tech, Inc.		29,086		3,550
The Timken Co.		36,833		2,968
The Toro Co.		57,560		6,325
Trex Co., Inc. *		62,018		6,339
Trinity Industries, Inc.		43,255		1,163
Univar Solutions, Inc. *		91,565		2,232
Valmont Industries, Inc.		11,468		2,707
Watsco, Inc.		17,713		5,077


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Industrials continued
Werner Enterprises, Inc.		30,884		1,375
Woodward, Inc.		31,560		3,878
XPO Logistics, Inc. *		54,731		7,656

Total				218,699


Information Technology (14.8%)
ACI Worldwide, Inc. *		63,829		2,371
Alliance Data Systems Corp.		26,691		2,781
Amkor Technology, Inc.		57,877		1,370
Arrow Electronics, Inc. *		39,855		4,537
Aspen Technology, Inc. *		36,682		5,045
Avnet, Inc.		53,762		2,155
Belden, Inc.		24,141		1,221
Blackbaud, Inc. *		26,401		2,021
Brooks Automation, Inc.		39,909		3,803
CACI International, Inc. - Class A *		12,713		3,243
CDK Global, Inc.		65,526		3,256
Ceridian HCM Holding, Inc. *		70,616		6,773
Ciena Corp. *		83,272		4,737
Cirrus Logic, Inc. *		30,857		2,627
Cognex Corp.		94,975		7,983
Coherent, Inc. *		13,240		3,500
CommVault Systems, Inc. *		24,776		1,937
Concentrix Corp. *		22,477		3,614
Cree, Inc. *		62,162		6,088
Envestnet, Inc. *		29,414		2,231
Fair Isaac Corp. *		15,511		7,797
First Solar, Inc. *		45,906		4,155
Genpact, Ltd.		93,589		4,252
II-VI, Inc. *		56,433		4,096
j2 Global, Inc. *		22,777		3,133
Jabil Circuit, Inc.		72,041		4,187
KBR, Inc.		76,133		2,904
Lattice Semiconductor Corp. *		73,345		4,120
Littelfuse, Inc.		13,205		3,364
LiveRamp Holdings, Inc. *		37,040		1,735
Lumentum Holdings, Inc. *		40,972		3,361
Manhattan Associates, Inc. *		34,187		4,952
MAXIMUS, Inc.		32,998		2,903
MKS Instruments, Inc.		29,773		5,298
National Instruments Corp.		70,643		2,987
NCR Corp. *		70,327		3,208
NetScout Systems, Inc. *		39,700		1,133
Paylocity Holding Corp. *		20,280		3,869


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Information Technology continued
Qualys, Inc. *		18,037		1,816
Sabre Corp. *		171,533		2,141
SailPoint Technologies Holdings, Inc. *		49,897		2,548
Science Applications International Corp.		31,114		2,730
Semtech Corp. *		34,820		2,396
Silicon Laboratories, Inc. *		24,155		3,702
SolarEdge Technologies, Inc. *		28,020		7,744
Synaptics, Inc. *		19,014		2,958
SYNNEX Corp.		22,313		2,717
Teradata Corp. *		58,921		2,944
Universal Display Corp.		23,111		5,138
ViaSat, Inc. *		36,609		1,825
Vishay Intertechnology, Inc.		71,214		1,606
Vontier Corp.		91,108		2,968
WEX, Inc. *		24,132		4,679
Xerox Holdings Corp.		87,169		2,048

Total				188,707


Materials (6.4%)
AptarGroup, Inc.		35,441		4,991
Ashland Global Holdings, Inc.		29,319		2,565
Avient Corp.		48,977		2,408
Cabot Corp.		30,380		1,730
The Chemours Co.		89,284		3,107
Cleveland-Cliffs, Inc. *		247,272		5,331
CMC Materials, Inc.		15,766		2,377
Commercial Metals Co.		64,905		1,994
Compass Minerals International, Inc.		18,366		1,088
Eagle Materials, Inc.		22,877		3,251
Grief, Inc. - Class A		14,339		868
Ingevity Corp. *		21,440		1,744
Louisiana-Pacific Corp.		55,202		3,328
Minerals Technologies, Inc.		18,050		1,420
NewMarket Corp.		3,955		1,273
Olin Corp.		77,184		3,571
Reliance Steel & Aluminum Co.		34,274		5,172
Royal Gold, Inc.		35,316		4,030
RPM International, Inc.		69,627		6,175
The Scotts Miracle-Gro Co. - Class A		21,921		4,207
Sensient Technologies Corp.		22,662		1,962
Silgan Holdings, Inc.		42,240		1,753
Sonoco Products Co.		54,066		3,617
Steel Dynamics, Inc.		107,973		6,435
United States Steel Corp.		145,494		3,492
Valvoline, Inc.		97,546		3,166

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

Index 400 Stock Portfolio


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Materials continued
Worthington Industries, Inc.		18,973		1,161

Total				82,216


Real Estate (9.6%)
American Campus Communities, Inc.		74,056		3,460
Apartment Income REIT Corp.		84,612		4,013
Brixmor Property Group, Inc.		159,681		3,655
Camden Property Trust		52,604		6,979
CoreSite Realty Corp.		23,119		3,112
Corporate Office Properties Trust		60,200		1,685
Cousins Properties, Inc.		79,802		2,935
CyrusOne, Inc.		66,084		4,726
Douglas Emmett, Inc.		88,552		2,977
EastGroup Properties, Inc.		21,599		3,552
EPR Properties *		40,416		2,129
First Industrial Realty Trust, Inc.		69,480		3,629
Healthcare Realty Trust, Inc.		76,548		2,312
Highwoods Properties, Inc.		56,175		2,537
Hudson Pacific Properties, Inc.		80,967		2,252
JBG SMITH Properties		59,206		1,866
Jones Lang LaSalle, Inc. *		27,666		5,408
Kilroy Realty Corp.		57,000		3,969
Lamar Advertising Co. - Class A		46,756		4,882
Life Storage, Inc.		41,460		4,451
The Macerich Co.		90,212		1,646
Medical Properties Trust, Inc.		317,096		6,374
National Retail Properties, Inc.		94,367		4,424
National Storage Affiliates Trust		37,298		1,886
OMEGA Healthcare Investors, Inc.		126,952		4,607
Park Hotels & Resorts, Inc. *		126,906		2,615
Pebblebrook Hotel Trust		70,984		1,672
Physicians Realty Trust		116,465		2,151
Potlatch Corp.		36,174		1,923
PS Business Parks, Inc.		10,848		1,606
Rayonier, Inc.		75,108		2,699
Rexford Industrial Realty, Inc.		72,327		4,119
Sabra Health Care REIT, Inc.		116,748		2,125


Common Stocks (99.0%)	Shares/ Par ⁺		Value $ (000’s)

Real Estate continued
SL Green Realty Corp.		37,228		2,978
Spirit Realty Capital, Inc.		61,712		2,952
Store Capital Corp.		131,316		4,532
Urban Edge Properties		59,463		1,136
Weingarten Realty Investors		64,315		2,063

Total				122,037


Utilities (3.3%)
ALLETE, Inc.		28,097		1,966
Black Hills Corp.		33,944		2,228
Essential Utilities, Inc.		120,379		5,501
Hawaiian Electric Industries, Inc.		58,579		2,477
IDACORP, Inc.		27,281		2,660
MDU Resources Group, Inc.		108,590		3,403
National Fuel Gas Co.		48,922		2,556
New Jersey Resources Corp.		52,029		2,059
NorthWestern Corp.		27,176		1,637
OGE Energy Corp.		107,640		3,622
ONE Gas, Inc.		28,550		2,116
PNM Resources, Inc.		46,029		2,245
Southwest Gas Holdings, Inc.		31,360		2,076
Spire, Inc.		27,929		2,018
UGI Corp.		112,308		5,201

Total				41,765


Total Common Stocks (Cost: $816,036)				1,262,858


Short-Term Investments (1.0%)

Money Market Funds (0.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		11,745,254		11,745

Total				11,745


US Government & Agencies (0.1%)
US Treasury 0.010%, 7/15/21 b		915,000		915

Total				915


Total Short-Term Investments
(Cost: $12,660)				12,660


Short-Term Investments (1.0%)	Shares/ Par ⁺	Value $ (000’s)

US Government & Agencies continued
Total Investments (100.0%)
(Cost: $828,696)^@			1,275,518

Other Assets, Less
Liabilities (0.0%)			469

Net Assets (100.0%)			1,275,987

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

Index 400 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives Futures

Issuer

Long/Short

Currency

Notional Par
(000’s)

Number
of
Contracts

Expiration
Date

Notional
Value
(000’s)

Unrealized
Appreciation/
(Depreciation)
(000’s)

Variation Margin
(000’s)

S&P 400 Mini Index Futures

Long

USD

9/21

$14,000

$(114)

$10

$(114)

$10

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Market Value
(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

$–

$10

$–

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

b	Cash or securities with an aggregate value of $915 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $828,696 and the net unrealized appreciation of investments based on that cost was $446,708 which is comprised of $474,108 aggregate gross unrealized appreciation and $27,400 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	1,262,858		$	-	$	-
Short-Term Investments
Money Market Funds		11,745			-		-
All Others		-			915		-
Total Assets:	$	1,274,603		$	915	$	-
Liabilities:
Other Financial Instruments^
Futures		(114	)		-		-
Total Liabilities:	$	(114	)	$	-	$	-

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

Mid Cap Value Portfolio (unaudited)

Sector Allocation 6/30/21


Sector			% of Net Assets
Financials			19.3%
Industrials			17.1%
Health Care			16.3%
Consumer Discretionary			8.0%
Consumer Staples			8.0%
Utilities			7.6%
Information Technology			5.9%
Materials			5.3%
Real Estate			5.1%
Energy			4.6%
Short-Term Investments & Other Net Assets			1.4%
Communication Services			1.4%

Sector Allocation is subject to change.

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

Mid Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (1.4%)
Fox Corp.		257,588		9,067

Total				9,067


Consumer Discretionary (8.0%)
Advance Auto Parts, Inc.		65,067		13,348
BorgWarner, Inc.		153,118		7,432
Bridgestone Corp.		75,600		3,440
Dollar Tree, Inc. *		91,065		9,061
Genuine Parts Co.		20,573		2,602
Honda Motor Co., Ltd., ADR		215,752		6,943
Polaris Industries, Inc.		32,885		4,504
Sodexo SA *		73,556		6,864

Total				54,194


Consumer Staples (8.0%)
Conagra Brands, Inc.		358,135		13,029
General Mills, Inc.		66,000		4,021
The J.M. Smucker Co.		43,173		5,594
Kellogg Co.		69,167		4,450
Kimberly-Clark Corp.		44,784		5,991
Koninklijke Ahold Delhaize NV		409,000		12,158
Orkla ASA		499,954		5,092
Sysco Corp.		47,339		3,681

Total				54,016


Energy (4.6%)
Baker Hughes		237,601		5,434
Cimarex Energy Co.		44,824		3,248
ConocoPhillips		197,916		12,053
Devon Energy Corp.		120,703		3,523
Pioneer Natural Resources Co.		40,111		6,519

Total				30,777


Financials (19.3%)
AFLAC, Inc.		202,132		10,846
The Allstate Corp.		42,453		5,538
Ameriprise Financial, Inc.		33,965		8,453
Arthur J. Gallagher & Co.		19,079		2,673
The Bank of New York Mellon Corp.		333,365		17,078
Capitol Federal Financial, Inc.		184,733		2,176
Chubb, Ltd.		84,920		13,497
Commerce Bancshares, Inc.		22,884		1,706


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

Financials continued
Eastern Bankshares, Inc.		38,823		799
First Hawaiian, Inc.		126,921		3,597
The Hartford Financial Services Group, Inc.		52,559		3,257
M&T Bank Corp.		45,252		6,576
Northern Trust Corp.		127,427		14,733
Prosperity Bancshares, Inc.		51,386		3,689
Reinsurance Group of America, Inc.		90,027		10,263
State Street Corp.		53,689		4,418
T. Rowe Price Group, Inc.		39,726		7,865
Truist Financial Corp.		160,845		8,927
Westamerica Bancorporation		69,917		4,057

Total				130,148


Health Care (16.3%)
Baxter International, Inc.		45,599		3,671
Becton Dickinson and Co.		29,621		7,203
Cardinal Health, Inc.		192,192		10,972
Centene Corp. *		68,554		5,000
Cerner Corp.		163,976		12,816
Envista Holdings Corp. *		77,824		3,363
Henry Schein, Inc. *		134,960		10,013
Koninklijke Philips NV		58,964		2,930
McKesson Corp.		42,181		8,067
Quest Diagnostics, Inc.		96,484		12,733
Universal Health Services, Inc. - Class B		86,500		12,666
Zimmer Biomet Holdings, Inc.		126,049		20,271

Total				109,705


Industrials (17.1%)
BAE Systems PLC		980,646		7,081
Beacon Roofing Supply, Inc. *		39,898		2,125
Crane Co.		45,221		4,177
Cummins, Inc.		14,434		3,519
Emerson Electric Co.		147,063		14,153
General Dynamics Corp.		47,963		9,030
Heartland Express, Inc.		271,215		4,646
Hubbell, Inc.		46,887		8,760
IMI, PLC		139,446		3,318


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

Industrials continued
Johnson Controls International PLC		57,127		3,921
MSC Industrial Direct Co., Inc. - Class A		110,405		9,907
nVent Electric PLC		386,360		12,070
Oshkosh Corp.		46,767		5,829
PACCAR, Inc.		54,452		4,860
Republic Services, Inc.		78,232		8,606
Southwest Airlines Co. *		206,767		10,977
Textron, Inc.		32,982		2,268

Total				115,247


Information Technology (5.9%)
Amdocs, Ltd.		49,788		3,852
CDK Global, Inc.		85,262		4,237
Euronet Worldwide, Inc. *		21,314		2,885
F5 Networks, Inc. *		37,161		6,936
HP, Inc.		257,784		7,783
Juniper Networks, Inc.		164,726		4,505
Open Text Corp.		111,658		5,672
TE Connectivity, Ltd.		26,229		3,546

Total				39,416


Materials (5.3%)
Amcor PLC		301,959		3,460
Axalta Coating Systems, Ltd. *		187,799		5,726
Mondi PLC		375,631		9,878
Packaging Corp. of America		33,146		4,489
Sonoco Products Co.		184,212		12,324

Total				35,877


Real Estate (5.1%)
Equinix, Inc.		6,034		4,843
Essex Property Trust, Inc.		20,613		6,184
Healthcare Trust of America, Inc.		208,466		5,566
Healthpeak Properties, Inc.		255,742		8,514
MGM Growth Properties LLC - Class A		196,949		7,212
Weyerhaeuser Co.		62,152		2,139

Total				34,458


Utilities (7.6%)
Atmos Energy Corp.		54,613		5,249
Edison International		198,602		11,483

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

Mid Cap Value Portfolio


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

Utilities continued
Evergy, Inc.		60,269		3,642
Eversource Energy		49,254		3,952
NorthWestern Corp.		158,426		9,541
Pinnacle West Capital Corp.		130,829		10,724
Spire, Inc.		71,676		5,180
Xcel Energy, Inc.		26,110		1,720

Total				51,491


Total Common Stocks
(Cost: $555,375)				664,396


Short-Term Investments (1.3%)

Money Market Funds (1.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		8,581,156		8,581

Total				8,581


Total Short-Term Investments
(Cost: $8,581)				8,581


Total Investments (99.9%)
(Cost: $563,956)^@				672,977


Other Assets, Less
Liabilities (0.1%)				779

Net Assets (100.0%)				673,756

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 Date	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services, Inc.	EUR	15,273	18,143	09/30/2021	$	68	$	—		$	68
Buy	Morgan Stanley Capital Services, Inc.	GBP	310	429	09/30/2021		—		(3	)		(3	)
Sell	Morgan Stanley Capital Services, Inc.	GBP	12,951	17,919	09/30/2021		77		—			77
Sell	Morgan Stanley Capital Services, Inc.	JPY	696,509	6,274	09/30/2021		25		—			25
Buy	Morgan Stanley Capital Services, Inc.	NOK	933	108	09/30/2021		—		(1	)		(1	)
Sell	Morgan Stanley Capital Services, Inc.	NOK	38,768	4,504	09/30/2021		3		—			3
						$	173	$	(4	)	$	169

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

Mid Cap Value Portfolio


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts			Options		Swaps		Total
Total Over the Counter	$	173		—	$	173	$	(4	)		—		—	$	(4	)
Derivatives

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $563,956 and the net unrealized appreciation of investments based on that cost was $109,190 which is comprised of $113,207 aggregate gross unrealized appreciation and $4,017 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. See Note 3 for additional information on portfolio valuation.


	Valuation Inputs
Description	Level 1—Quoted Prices		Level 2—Other Significant Observable Inputs			Level 3—Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Common Stocks	$	664,396	$	-		$	-
Short-Term Investments		8,581		-			-
Other Financial Instruments^
Forward Currency Contracts		-		173			-
Total Assets:	$	672,977	$	173		$	-
Liabilities:
Other Financial Instruments^
Forward Currency Contracts		-		(4	)		-
Total Liabilities:	$	-	$	(4	)	$	-

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

Small Cap Growth Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Health Care		29.4	%
Information Technology		23.3	%
Industrials		15.4	%
Consumer Discretionary		14.4	%
Financials		4.6	%
Consumer Staples		4.1	%
Real Estate		3.6	%
Communication Services		1.9	%
Materials		1.8	%
Short-Term Investments & Other Net Assets		1.5	%

Sector Allocation is subject to change.

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

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

Small Cap Growth Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (98.5%)	Shares/ Par⁺		Value $ (000’s)

Communication Services (1.9%)
Bandwidth, Inc.*		27,287		3,764
Cardlytics, Inc.*		97,709		12,402

Total				16,166


Consumer Discretionary (14.4%)
BJ’s Restaurants, Inc.*		103,581		5,090
Churchill Downs, Inc.		34,617		6,863
Deckers Outdoor Corp.*		17,342		6,661
Floor & Decor Holdings, Inc.*		56,787		6,002
Foot Locker, Inc.		121,672		7,499
Fox Factory Holding Corp.*		66,873		10,409
GAN, Ltd.*		231,752		3,810
Lithia Motors, Inc. - Class A		10,607		3,645
Mister Car Wash, Inc.*		122,800		2,644
Ollie’s Bargain Outlet Holdings, Inc.*		100,269		8,436
Patrick Industries, Inc.		88,953		6,494
Penn National Gaming, Inc.*		65,305		4,995
PVH Corp.*		54,421		5,855
Shutterstock, Inc.		66,866		6,564
Thor Industries, Inc.		61,322		6,929
TopBuild Corp.*		52,884		10,459
Under Armour, Inc. - Class C*		194,294		3,608
Wingstop, Inc.		67,169		10,588
YETI Holdings, Inc.*		70,905		6,511

Total				123,062


Consumer Staples (4.1%)
BellRing Brands, Inc.*		85,088		2,667
Celsius Holdings, Inc.*		65,163		4,958
Freshpet, Inc.*		46,043		7,503
Hostess Brands, Inc.*		206,670		3,346
Lancaster Colony Corp.		8,746		1,692
Performance Food Group Co.*		192,519		9,335
The Simply Good Foods Co.*		140,885		5,144

Total				34,645


Financials (4.6%)
James River Group Holdings, Ltd.		102,355		3,840
Kemper Corp.		50,704		3,747
MGIC Investment Corp.		405,132		5,510
OneMain Holdings, Inc.		102,980		6,170
Stifel Financial Corp.		94,620		6,137


Common Stocks (98.5%)	Shares/ Par⁺		Value $ (000’s)

Financials continued
Synovus Financial Corp.		108,147		4,745
Triumph Bancorp, Inc.*		72,616		5,392
Western Alliance Bancorporation		43,661		4,054

Total				39,595


Health Care (29.4%)
Aclaris Therapeutics, Inc.*		160,836		2,824
AdaptHealth LLC*		197,614		5,417
Allakos, Inc.*		40,832		3,486
ALX Oncology Holdings, Inc.*		60,613		3,314
Amedisys, Inc.*		15,019		3,679
Apellis Pharmaceuticals, Inc.*		95,250		6,020
Arena Pharmaceuticals, Inc.*		47,441		3,235
Arrowhead Pharmaceuticals, Inc.*		55,977		4,636
Arvinas, Inc.*		43,867		3,378
AtriCure, Inc.*		81,872		6,495
BioAtla, Inc.*		49,948		2,117
Biohaven Pharmaceutical Holding Co., Ltd.*		27,979		2,716
Blueprint Medicines Corp.*		45,230		3,978
Cardiovascular Systems, Inc.*		85,314		3,639
Celldex Therapeutics, Inc.*		116,376		3,892
Covetrus, Inc.*		158,304		4,274
Dicerna Pharmaceuticals, Inc.*		128,359		4,790
Dyne Therapeutics, Inc.*		159,570		3,357
Fate Therapeutics, Inc.*		27,555		2,391
Glaukos Corp.*		52,943		4,491
Globus Medical, Inc. - Class A*		89,872		6,968
Health Catalyst, Inc.*		104,402		5,795
Heron Therapeutics, Inc.*		217,348		3,373
Homology Medicines, Inc.*		254,726		1,852
ImmunoGen, Inc.*		421,661		2,779


Common Stocks (98.5%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
Integer Holdings Corp.*		71,843		6,768
Integra LifeSciences Holdings Corp.*		107,182		7,314
Intellia Therapeutics, Inc.*		20,100		3,254
KalVista Pharmaceuticals, Inc.*		107,875		2,585
Karuna Therapeutics, Inc.*		27,384		3,121
Kodiak Sciences, Inc.*		40,681		3,783
Kura Oncology, Inc.*		143,047		2,983
Kymera Therapeutics, Inc.*		69,577		3,374
LHC Group, Inc.*		40,509		8,112
Madrigal Pharmaceuticals, Inc.*		35,062		3,415
Mersana Therapeutics, Inc.*		232,788		3,161
Mirati Therapeutics, Inc.*		19,192		3,100
ModivCare, Inc.*		49,136		8,357
Nanostring Technologies, Inc.*		79,007		5,119
NeoGenomics, Inc.*		125,187		5,655
Nevro Corp.*		40,809		6,766
Omnicell, Inc.*		85,433		12,939
OraSure Technologies, Inc.*		170,443		1,728
Owens & Minor, Inc.		25,200		1,067
PTC Therapeutics, Inc.*		82,234		3,476
R1 RCM, Inc.*		387,525		8,619
Radius Health, Inc.*		161,292		2,942
RAPT Therapeutics, Inc.*		80,231		2,551
Reata Pharmaceuticals, Inc.*		23,832		3,373
Revance Therapeutics, Inc.*		135,872		4,027
Revolution Medicines, Inc.*		57,160		1,814
Rocket Pharmaceuticals, Inc.*		87,284		3,866
Syndax Pharmaceuticals, Inc.*		149,321		2,564
Tandem Diabetes Care, Inc.*		56,616		5,514
TCR2 Therapeutics, Inc.*		140,621		2,308

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

Small Cap Growth Stock Portfolio


Common Stocks (98.5%)	Shares/ Par⁺		Value $ (000’s)

Health Care continued
TG Therapeutics, Inc.*		112,853		4,378
Theravance Biopharma, Inc.*		179,224		2,602
Turning Point Therapeutics, Inc.*		47,634		3,716
Veracyte, Inc.*		92,146		3,684
Y-mAbs Therapeutics, Inc.*		102,833		3,476

Total				250,407


Industrials (15.4%)
Altra Industrial Motion Corp.		60,652		3,944
Applied Industrial Technologies, Inc.		68,110		6,202
Armstrong World Industries, Inc.		37,765		4,051
ASGN, Inc.*		80,896		7,841
Boise Cascade Co.		49,459		2,886
Builders FirstSource, Inc.*		137,419		5,862
BWX Technologies, Inc.		78,532		4,564
CACI International, Inc. - Class A*		32,087		8,186
Clean Harbors, Inc.*		32,498		3,027
Curtiss-Wright Corp.		38,566		4,580
EnerSys		39,764		3,886
Exponent, Inc.		59,532		5,311
Hydrofarm Holdings Group, Inc.*		133,792		7,908
Insperity, Inc.		71,025		6,419
ITT, Inc.		65,502		5,999
John Bean Technologies Corp.		62,834		8,961
Marten Transport, Ltd.		137,606		2,269
Mercury Systems, Inc.*		47,447		3,145
Rexnord Corp.		124,977		6,254
Science Applications International Corp.		54,708		4,800
SPX Corp.*		89,961		5,495
SPX Flow, Inc.		89,983		5,870
Tetra Tech, Inc.		59,192		7,224
Trex Co., Inc.*		28,564		2,920
Viad Corp.*		66,746		3,327

Total				130,931


Information Technology (23.3%)
Alarm.com Holdings, Inc.*		73,099		6,191
Axcelis Technologies, Inc.*		108,271		4,376
Blackbaud, Inc.*		64,948		4,973
Cirrus Logic, Inc.*		67,089		5,711
Concentrix Corp.*		50,233		8,077
Digital Turbine, Inc.*		116,122		8,829
Everbridge, Inc.*		35,893		4,884


Common Stocks (98.5%)	Shares/ Par⁺		Value $ (000’s)

Information Technology continued
ExlService Holdings, Inc.*		84,330		8,961
Five9, Inc.*		22,966		4,212
II-VI, Inc.*		127,790		9,276
Insight Enterprises, Inc.*		65,542		6,555
j2 Global, Inc.*		65,497		9,009
Lattice Semiconductor Corp.*		172,455		9,689
LiveRamp Holdings, Inc.*		91,201		4,273
Lumentum Holdings, Inc.*		62,349		5,114
Manhattan Associates, Inc.*		45,310		6,563
Medallia, Inc.*		153,400		5,177
Mimecast, Ltd.*		90,365		4,794
Momentive Global, Inc.*		142,806		3,009
Paylocity Holding Corp.*		12,799		2,442
Perficient, Inc.*		116,582		9,376
Power Integrations, Inc.		98,019		8,043
Q2 Holdings, Inc.*		58,248		5,975
Rapid7, Inc.*		91,149		8,625
Repay Holdings Corp.*		226,770		5,452
SentinelOne, Inc.*		7,900		336
Sprinklr, Inc.*		116,400		2,397
Sprout Social, Inc.*		83,098		7,431
Synaptics, Inc.*		51,749		8,051
Telos Corp.*		162,406		5,523
Varonis Systems, Inc.*		132,085		7,611
Verra Mobility Corp.*		515,877		7,929

Total				198,864


Materials (1.8%)
Axalta Coating Systems, Ltd.*		163,318		4,980
Ingevity Corp.*		48,866		3,976
Louisiana-Pacific Corp.		86,739		5,229
Ranpak Holdings Corp.*		55,246		1,383

Total				15,568


Real Estate (3.6%)
Essential Properties Realty Trust, Inc.		226,731		6,131
Independence Realty Trust, Inc.		310,623		5,662
PS Business Parks, Inc.		45,928		6,801
Rexford Industrial Realty, Inc.		110,182		6,275


Common Stocks (98.5%)	Shares/ Par⁺		Value $ (000’s)

Real Estate continued
Ryman Hospitality Properties, Inc.*		75,836		5,988

Total				30,857


Total Common Stocks
(Cost: $592,722)				840,095


Short-Term Investments (1.7%)

Money Market Funds (1.7%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		14,246,831		14,247

Total				14,247


Total Short-Term Investments
(Cost: $14,247)				14,247


Total Investments (100.2%)
(Cost: $606,969)^@				854,342

Other Assets, Less
Liabilities (-0.2%)				(2,064	)

Net Assets (100.0%)				852,278

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

Small Cap Growth Stock Portfolio

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $606,969 and the net unrealized appreciation of investments based on that cost was $247,373 which is comprised of $271,399 aggregate gross unrealized appreciation and $24,026 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	840,095	$	-	$	-
Short-Term Investments		14,247		-		-
Total Assets:	$	854,342	$	-	$	-

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

Index 600 Stock Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Financials		17.0	%
Industrials		16.2	%
Consumer Discretionary		14.4	%
Information Technology		13.3	%
Health Care		11.6	%
Real Estate		7.6	%
Materials		5.2	%
Energy		4.6	%
Consumer Staples		4.0	%
Communication Services		2.0	%
Utilities		1.5	%
Investment Companies		1.4	%
Short-Term Investments & Other Net Assets		1.2	%

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.

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

Index 600 Stock Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (2.0%)
AMC Networks, Inc. - Class A*		11,916		796
ATN International, Inc.		4,256		194
Cincinnati Bell, Inc.*		19,733		304
Cogent Communications Holdings, Inc.		16,406		1,262
Consolidated Communications Holdings, Inc.*		28,500		251
The E.W. Scripps Co. - Class A		22,372		456
Gannett Co., Inc.*		52,486		288
The Marcus Corp.*		9,336		198
Meredith Corp.*		15,741		684
QuinStreet, Inc.*		19,128		355
Scholastic Corp.		11,647		441
Shenandoah Telecommunications Co.		19,363		939
Spok Holdings, Inc.		6,891		66
TechTarget, Inc.*		9,165		710
Vonage Holdings Corp.*		91,607		1,320

Total				8,264


Consumer Discretionary (14.4%)
Aaron’s Holdings Company, Inc.		13,245		424
Abercrombie & Fitch Co. - Class A*		24,018		1,115
American Axle & Manufacturing Holdings, Inc.*		44,121		457
American Public Education, Inc.*		7,236		205
America’s Car-Mart, Inc.*		2,394		339
Asbury Automotive Group, Inc.*		7,501		1,285
Barnes & Noble Education, Inc.*		12,345		89
Bed Bath & Beyond, Inc.*		41,345		1,376
Big Lots, Inc.		12,388		818
BJ’s Restaurants, Inc.*		9,029		444
Bloomin’ Brands, Inc.*		31,378		852
Boot Barn Holdings, Inc.*		11,343		953
Brinker International, Inc.*		17,741		1,097
The Buckle, Inc.		11,204		557
Caleres, Inc.		14,859		406


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

Consumer Discretionary continued
The Cato Corp. - Class A		7,521		127
Cavco Industries, Inc.*		3,308		735
Century Communities, Inc.		11,379		757
The Cheesecake Factory, Inc.*		17,870		968
Chico’s FAS, Inc.*		47,501		313
The Children’s Place, Inc.*		5,681		529
Chuy’s Holdings, Inc.*		7,751		289
Conn’s, Inc.*		7,510		192
Cooper-Standard Holding, Inc.*		6,570		191
Core-Mark Holding Co., Inc.		17,512		788
Dave & Buster’s Entertainment, Inc.*		18,526		752
Designer Brands, Inc.*		22,985		380
DineEquity, Inc.*		6,652		594
Dorman Products, Inc.*		11,074		1,148
El Pollo Loco Holdings, Inc.*		7,358		135
Ethan Allen Interiors, Inc.		8,504		235
Fiesta Restaurant Group, Inc.*		6,851		92
Fossil Group, Inc.*		18,371		262
GameStop Corp. - Class A*		21,525		4,609
Genesco, Inc.*		5,509		351
Gentherm, Inc.*		12,829		911
G-III Apparel Group, Ltd.*		16,883		555
Group 1 Automotive, Inc.		6,627		1,023
Guess?, Inc.		14,855		392
Haverty Furniture Cos., Inc.		6,564		281
Hibbett Sports, Inc.*		6,286		563
Installed Building Products, Inc.		8,753		1,071
iRobot Corp.*		10,894		1,017
Kontoor Brands, Inc.		18,326		1,034
La-Z-Boy, Inc.		17,963		665
LCI Industries		9,790		1,287
LGI Homes, Inc.*		8,509		1,378
Liquidity Services, Inc.*		10,518		268
Lumber Liquidators Holdings, Inc.*		11,299		238
M.D.C. Holdings, Inc.		21,534		1,090
M/I Homes, Inc.*		11,318		664
Macy’s, Inc.*		120,873		2,292


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

Consumer Discretionary continued
MarineMax, Inc.*		8,595		419
Meritage Homes Corp.*		14,678		1,381
Monarch Casino & Resort, Inc.*		5,023		332
Monro, Inc.		12,988		825
Motorcar Parts of America, Inc.*		7,388		166
Movado Group, Inc.		6,526		205
The ODP Corporation*		20,753		996
Oxford Industries, Inc.		6,549		647
Perdoceo Education Corp.*		27,310		335
PetMed Express, Inc.		7,857		250
Red Robin Gourmet Burgers, Inc.*		6,100		202
Regis Corp.*		9,418		88
Rent-A-Center, Inc.		23,140		1,228
Ruth’s Hospitality Group, Inc.*		12,399		286
Sally Beauty Holdings, Inc.*		43,810		967
Shake Shack, Inc. - Class A*		14,098		1,509
Shoe Carnival, Inc.		3,352		240
Shutterstock, Inc.		8,646		849
Signet Jewelers, Ltd.*		20,306		1,641
Sleep Number Corp.*		9,487		1,043
Sonic Automotive, Inc. - Class A		9,061		405
Stamps.com, Inc.*		7,103		1,423
Standard Motor Products, Inc.		7,744		336
Steven Madden, Ltd.		29,838		1,306
Sturm, Ruger & Co., Inc.		6,818		613
Tupperware Brands Corp.*		19,262		457
Unifi, Inc.*		5,806		141
Universal Electronics, Inc.*		5,332		259
Vera Bradley, Inc.*		8,594		106
Vista Outdoor, Inc.*		22,392		1,036
Winnebago Industries, Inc.		13,032		886
Wolverine World Wide, Inc.		32,128		1,081
Zumiez, Inc.*		8,185		401

Total				60,652


Consumer Staples (4.0%)
The Andersons, Inc.		12,146		371
B&G Foods, Inc.		25,110		824
Calavo Growers, Inc.		6,455		409

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

Index 600 Stock Portfolio


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

Consumer Staples continued
Cal-Maine Foods, Inc.		14,524		526
Celsius Holdings, Inc.*		12,753		970
Central Garden & Pet Co.*		19,235		947
The Chefs’ Warehouse, Inc.*		12,639		402
Coca-Cola Consolidated, Inc.		1,799		724
e.l.f. Beauty, Inc.*		15,017		408
Edgewell Personal Care Co.		21,080		925
Fresh Del Monte Produce, Inc.		11,809		388
Inter Parfums, Inc.		6,873		495
J & J Snack Foods Corp.		5,831		1,017
John B. Sanfilippo & Son, Inc.		3,447		305
Medifast, Inc.		4,561		1,291
MGP Ingredients, Inc.		5,105		345
National Beverage Corp.		9,044		427
PriceSmart, Inc.		9,060		825
Seneca Foods Corp. - Class A*		2,605		133
The Simply Good Foods Co.*		32,681		1,193
SpartanNash Co.		14,056		271
United Natural Foods, Inc.*		21,833		807
Universal Corp.		9,513		542
USANA Health Sciences, Inc.*		4,474		458
Vector Group, Ltd.		49,628		702
WD-40 Co.		5,316		1,363

Total				17,068


Energy (4.6%)
Archrock, Inc.		50,026		446
Bonanza Creek Energy, Inc.		7,401		348
Bristow Group, Inc.*		8,985		230
Callon Petroleum Co.*		17,937		1,035
CONSOL Energy, Inc.*		11,740		217
Core Laboratories NV		17,935		698
DMC Global, Inc.*		7,241		407
Dorian LPG, Ltd.*		10,498		148
Dril-Quip, Inc.*		13,704		464
Green Plains, Inc.*		16,439		553
Helix Energy Solutions Group, Inc.*		54,841		313
Helmerich & Payne, Inc.		41,776		1,363
Laredo Petroleum, Inc.*		3,747		348
Matador Resources Co.		42,562		1,533
Matrix Service Co.*		10,240		107


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

Energy continued
Nabors Industries, Ltd.*		2,526		289
Oceaneering International, Inc.*		38,689		602
Oil States International, Inc.*		23,676		186
Par Pacific Holdings, Inc.*		17,252		290
Patterson-UTI Energy, Inc.		72,733		723
PBF Energy, Inc.*		37,277		570
PDC Energy, Inc.		38,499		1,763
Penn Virginia Corp.*		5,931		140
ProPetro Holding Corp.*		31,671		290
Range Resources Corp.*		100,649		1,687
Renewable Energy Group, Inc.*		18,480		1,152
REX American Resources Corp.*		2,041		184
RPC, Inc.*		22,561		112
SM Energy Co.		42,473		1,046
Southwestern Energy Co.*		251,980		1,429
Talos Energy, Inc.*		12,329		193
US Silica Holdings, Inc.*		28,826		333

Total				19,199


Financials (17.0%)
Allegiance Bancshares, Inc.		7,184		276
Ambac Financial Group, Inc.*		17,892		280
American Equity Investment Life Holding Co.		33,304		1,076
Ameris Bancorp		27,040		1,369
AMERISAFE, Inc.		7,493		447
Apollo Commercial Real Estate Finance, Inc.		49,892		796
ARMOUR Residential REIT, Inc.		27,626		315
Assured Guaranty, Ltd.		29,241		1,388
Axos Financial, Inc.*		19,979		927
B. Riley Financial, Inc.		6,858		518
Banc of California, Inc.		17,309		304
BancFirst Corp.		7,253		453
The Bancorp, Inc.*		19,759		455
BankUnited, Inc.		36,179		1,544
Banner Corp.		13,496		732
Berkshire Hills Bancorp, Inc.		19,877		545
Blucora, Inc.*		18,785		325
Boston Private Financial Holdings, Inc.		31,974		472


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

Financials continued
Brightsphere Investment Group, Inc.		23,080		541
Brookline Bancorp, Inc.		30,319		453
Cadence Bancorp		48,373		1,010
Capitol Federal Financial, Inc.		50,045		589
Capstead Mortgage Corp.		37,522		230
Central Pacific Financial Corp.		10,976		286
City Holding Co.		6,079		457
Columbia Banking System, Inc.		27,826		1,073
Community Bank System, Inc.		20,892		1,580
Customers Bancorp, Inc.*		11,502		448
CVB Financial Corp.		49,538		1,020
Dime Community Bancshares, Inc.		13,704		461
Donnelley Financial Solutions, Inc.*		11,537		381
Eagle Bancorp, Inc.		12,374		694
eHealth, Inc.*		10,135		592
Ellington Financial, Inc.		16,974		325
Employers Holdings, Inc.		11,063		473
Encore Capital Group, Inc.*		12,023		570
Enova International, Inc.*		14,257		488
EZCORP, Inc. - Class A*		20,404		123
FB Financial Corp.		13,044		487
First Bancorp		94,678		1,449
First Commonwealth Financial Corp.		37,306		525
First Financial Bancorp		37,731		892
First Hawaiian, Inc.		50,560		1,433
First Midwest Bancorp, Inc.		44,357		880
Flagstar Bancorp, Inc.		18,413		778
Genworth Financial, Inc. - Class A*		196,522		766
Granite Point Mortgage Trust, Inc.		21,360		315
Great Western Bancorp, Inc.		21,375		701
Green Dot Corp. - Class A*		21,104		989
Greenhill & Co., Inc.		5,619		87
Hanmi Financial Corp.		11,908		227
HCI Group, Inc.		2,531		252
Heritage Financial Corp. of Washington		13,984		350
Hilltop Holdings, Inc.		25,238		919
HomeStreet, Inc.		8,285		338
Hope Bancorp, Inc.		47,929		680

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

Index 600 Stock Portfolio


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

Financials continued
Horace Mann Educators Corp.		16,086		602
Independent Bank Corp.		12,808		967
Independent Bank Group, Inc.		14,238		1,053
Invesco Mortgage Capital, Inc.		110,118		429
Investors Bancorp, Inc.		87,391		1,246
James River Group Holdings, Ltd.		14,450		542
KKR Real Estate Finance Trust, Inc.		10,563		228
Meta Financial Group, Inc.		12,380		627
Mr. Cooper Group, Inc.*		26,388		872
National Bank Holding Corp. - Class A		11,935		450
NBT Bancorp, Inc.		16,839		606
New York Mortgage Trust, Inc.		147,062		657
NMI Holdings, Inc. - Class A*		33,223		747
Northfield Bancorp, Inc.		17,881		293
Northwest Bancshares, Inc.		49,327		673
OFG Bancorp		20,012		443
Old National Bancorp		64,275		1,132
Pacific Premier Bancorp, Inc.		36,702		1,552
Palomar Holdings, Inc.*		8,433		636
Park National Corp.		5,515		648
PennyMac Mortgage Investment Trust		37,978		800
Piper Jaffray Cos., Inc.		5,592		724
PRA Group, Inc.*		17,761		683
Preferred Bank		5,258		333
ProAssurance Corp.		20,922		476
Provident Financial Services, Inc.		28,124		644
Ready Capital Corp.		22,358		355
Redwood Trust, Inc.		43,817		529
Renasant Corp.		21,847		874
S&T Bancorp, Inc.		15,260		478
Safety Insurance Group, Inc.		5,510		431
Seacoast Banking Corp. of Florida		21,440		732
Selectquote, Inc.*		17,111		330
ServisFirst Bancshares, Inc.		18,268		1,242
Simmons First National Corp. - Class A		42,011		1,233
SiriusPoint, Ltd.*		29,397		296
Southside Bancshares, Inc.		12,000		459


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

Financials continued
Stewart Information Services Corp.		10,402		590
StoneX Group, Inc.*		6,455		392
Tompkins Financial Corp.		4,679		363
Triumph Bancorp, Inc.*		8,782		652
Trupanion, Inc.*		13,045		1,501
TrustCo Bank Corp.		7,472		257
Two Harbors Investment Corp.		105,925		801
United Community Banks, Inc.		33,663		1,078
United Fire Group, Inc.		8,379		232
United Insurance Holdings Corp.		7,898		45
Universal Insurance Holdings, Inc.		10,983		152
Veritex Holdings, Inc.		19,176		679
Virtus Investment Partners, Inc.		2,788		774
Walker & Dunlop, Inc.		11,467		1,197
Westamerica Bancorporation		10,416		604
WisdomTree Investments, Inc.		43,475		270
World Acceptance Corp.*		1,523		244
WSFS Financial Corp.		18,432		859

Total				71,796


Health Care (11.6%)
Addus HomeCare Corp.*		5,856		511
Allscripts Healthcare Solutions, Inc.*		54,742		1,013
AMN Healthcare Services, Inc.*		18,325		1,777
Amphastar Pharmaceuticals, Inc.*		14,231		287
AngioDynamics, Inc.*		14,794		401
ANI Pharmaceuticals, Inc.*		3,845		135
Anika Therapeutics, Inc.*		5,592		242
Apollo Medical Holdings, Inc.*		5,116		321
Avanos Medical, Inc.*		18,644		678
Cara Therapeutics, Inc.*		16,690		238
Cardiovascular Systems, Inc.*		15,565		664
Coherus Biosciences, Inc.*		25,862		358
Collegium Pharmaceutical, Inc.*		13,660		323
Community Health Systems, Inc.*		48,170		744


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

Health Care continued
Computer Programs and Systems, Inc.		4,965		165
CONMED Corp.		11,283		1,551
Corcept Therapeutics, Inc.*		40,703		895
CorVel Corp.*		3,531		474
Covetrus, Inc.*		38,665		1,044
Cross Country Healthcare, Inc.*		13,585		224
CryoLife, Inc.*		15,169		431
Cutera, Inc.*		6,887		338
Cytokinetics, Inc.*		27,820		551
Eagle Pharmaceuticals, Inc.*		4,525		194
Enanta Pharmaceuticals, Inc.*		6,968		307
Endo International PLC*		90,456		423
Ensign Group, Inc.		20,030		1,736
Fulgent Genetics, Inc.*		6,861		633
Glaukos Corp.*		17,946		1,522
Hanger, Inc.*		14,938		378
HealthStream, Inc.*		9,774		273
Heska Corp.*		3,841		882
Innoviva, Inc.*		24,360		327
Inogen, Inc.*		7,209		470
Integer Holdings Corp.*		12,789		1,205
Invacare Corp.*		13,552		109
The Joint Corp.*		5,118		429
Lantheus Holdings, Inc.*		26,166		723
LeMaitre Vascular, Inc.		6,631		405
Luminex Corp.		17,063		628
Magellan Health, Inc.*		9,026		850
MEDNAX, Inc.*		33,424		1,008
Meridian Bioscience, Inc.*		16,821		373
Merit Medical Systems, Inc.*		19,113		1,236
Mesa Laboratories, Inc.		1,892		513
ModivCare, Inc.*		4,729		804
Myriad Genetics, Inc.*		29,880		914
Natus Medical, Inc.*		13,191		343
NeoGenomics, Inc.*		45,724		2,065
NextGen Healthcare, Inc.*		21,553		358
Omnicell, Inc.*		16,748		2,536
OraSure Technologies, Inc.*		27,905		283
Organogenesis Holdings, Inc.*		19,401		322
Orthofix Medical, Inc.*		7,595		305
Owens & Minor, Inc.		29,141		1,233
Pacira Biosciences, Inc.*		17,084		1,037
The Pennant Group, Inc.*		9,878		404

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

Index 600 Stock Portfolio


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

Health Care continued
Phibro Animal Health Corp. - Class A		7,881		228
Prestige Brands Holdings, Inc.*		19,347		1,008
RadNet, Inc.*		16,959		571
REGENXBIO, Inc.*		13,514		525
Select Medical Holdings Corp.		41,828		1,768
Simulations Plus, Inc. Spectrum		5,932		326
Pharmaceuticals, Inc.*		62,587		235
Supernus Pharmaceuticals, Inc.*		20,563		633
Surmodics, Inc.*		5,374		292
Tabula Rasa HealthCare, Inc.*		8,747		437
Tactile Systems Technology, Inc.*		7,620		396
Tivity Health, Inc.*		14,699		387
US Physical Therapy, Inc.		5,006		580
Vanda Pharmaceuticals, Inc.*		21,548		463
Varex Imaging Corp.*		15,264		409
Vericel Corp.*		17,977		944
Xencor, Inc.*		22,570		778
Zynex, Inc.*		7,567		117

Total				48,690


Industrials (16.2%)
AAON, Inc.		15,858		993
AAR Corp.*		12,872		499
ABM Industries, Inc.		26,017		1,154
Aerojet Rocketdyne Holdings, Inc.		28,876		1,394
Aerovironment, Inc.*		8,707		872
Alamo Group, Inc.		3,844		587
Albany International Corp. - Class A		11,904		1,063
Allegiant Travel Co.*		5,650		1,096
American Woodmark Corp.*		6,596		539
Apogee Enterprises, Inc.		9,994		407
Applied Industrial Technologies, Inc.		15,073		1,373
ArcBest Corp.		9,848		573
Arcosa, Inc.		18,681		1,097
Astec Industries, Inc.		8,809		554
Atlas Air Worldwide Holdings, Inc.*		10,687		728
AZZ, Inc.		9,701		502
Barnes Group, Inc.		18,061		926
Brady Corp. - Class A		18,811		1,054
Chart Industries, Inc.*		13,800		2,019


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

Industrials continued
CIRCOR International, Inc.*		7,849		256
Comfort Systems USA, Inc.		14,073		1,109
Deluxe Corp.		16,370		782
DXP Enterprises, Inc.*		6,849		228
Echo Global Logistics, Inc.*		10,329		318
Encore Wire Corp.		8,002		606
Enerpac Tool Group Corp.		23,313		621
EnPro Industries, Inc.		7,985		776
ESCO Technologies, Inc.		10,102		948
Exponent, Inc.		20,209		1,803
Federal Signal Corp.		23,470		944
Forrester Research, Inc.*		4,304		197
Forward Air Corp.		10,594		951
Franklin Electric Co., Inc.		14,949		1,205
Gibraltar Industries, Inc.*		12,655		966
GMS, Inc.*		16,618		800
Granite Construction, Inc.		17,762		738
The Greenbrier Cos., Inc.		12,731		555
Griffon Corp.		17,605		451
Harsco Corp.*		30,736		628
Hawaiian Holdings, Inc.*		19,811		483
Heartland Express, Inc.		18,870		323
Heidrick & Struggles International, Inc.		7,557		337
Hillenbrand, Inc.		29,180		1,286
HNI Corp.		16,884		742
Hub Group, Inc. - Class A*		13,099		864
Insteel Industries, Inc.		7,537		242
Interface, Inc.		22,821		349
John Bean Technologies Corp.		12,311		1,756
Kaman Corp.		10,780		543
Kelly Services, Inc. - Class A*		12,984		311
Korn Ferry		20,941		1,519
Lindsay Corp.		4,230		699
Lydall, Inc.*		6,635		402
Marten Transport, Ltd.		22,782		376
Matson, Inc.		16,845		1,078
Matthews International Corp. - Class A		12,278		442
Meritor, Inc.*		28,150		659
Moog, Inc. - Class A		11,347		954
Mueller Industries, Inc.		22,160		960
MYR Group, Inc.*		6,525		593
National Presto Industries, Inc.		2,019		205


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

Industrials continued
NOW, Inc.*		42,822		406
Park Aerospace Corp.		7,229		108
Patrick Industries, Inc.		8,668		633
PGT Innovations, Inc.*		23,137		537
Pitney Bowes, Inc.		68,046		597
Powell Industries, Inc.		3,434		106
Proto Labs, Inc.*		10,738		986
Quanex Building Products Corp.		13,035		324
Raven Industries, Inc.		13,926		806
Resideo Technologies, Inc.*		55,762		1,673
Resources Connection, Inc.		11,933		171
Saia, Inc.*		10,213		2,140
SkyWest, Inc.*		19,528		841
SPX Corp.*		17,559		1,072
SPX Flow, Inc.		16,371		1,068
Standex International Corp.		4,753		451
Team, Inc.*		11,969		80
Tennant Co.		7,209		576
Titan International, Inc.*		19,607		166
Triumph Group, Inc.*		23,650		491
TrueBlue, Inc.*		13,748		386
UFP Industries, Inc.		23,986		1,783
UniFirst Corp.		5,907		1,386
US Ecology, Inc.*		12,216		458
Veritiv Corp.*		4,737		291
Viad Corp.*		7,940		396
Vicor Corp.*		8,249		872
Wabash National Corp.		20,125		322
Watts Water Technologies, Inc. - Class A		10,680		1,558

Total				68,119


Information Technology (13.3%)
3D Systems Corp.*		48,486		1,938
8x8, Inc.*		42,614		1,183
ADTRAN, Inc.		18,762		387
Advanced Energy Industries, Inc.		14,895		1,679
Agilysys, Inc.*		7,965		453
Alarm.com Holdings, Inc.*		17,557		1,487
Applied Optoelectronics, Inc.*		9,566		81
Arlo Technologies, Inc.*		31,550		214
Axcelis Technologies, Inc.*		13,031		527
Badger Meter, Inc.		11,315		1,110
Bel Fuse, Inc. - Class B		3,912		56
Benchmark Electronics, Inc.		13,895		395

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

Index 600 Stock Portfolio


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

Information Technology continued
BM Technologies, Inc.*,Æ,d		1,673		19
Bottomline Technologies, Inc.*		15,244		565
CalAmp Corp.*		13,642		174
CEVA, Inc.*		8,844		418
Cohu, Inc.*		18,784		691
Comtech Telecommunications Corp.		10,102		244
CSG Systems International, Inc.		12,730		601
CTS Corp.		12,538		466
Daktronics, Inc.*		14,269		94
Diebold, Inc.*		30,334		390
Digi International, Inc.*		13,185		265
Diodes, Inc.*		16,437		1,311
DSP Group, Inc.*		8,638		128
Ebix, Inc.		9,115		309
ePlus, Inc.*		5,230		453
EVERTEC, Inc.		23,218		1,013
ExlService Holdings, Inc.*		12,971		1,378
Extreme Networks, Inc.*		48,877		545
Fabrinet*		14,299		1,371
FARO Technologies, Inc.*		7,035		547
FormFactor, Inc.*		30,106		1,098
Harmonic, Inc.*		39,168		334
Ichor Holdings, Ltd.*		10,890		586
Insight Enterprises, Inc.*		13,698		1,370
InterDigital, Inc.		11,930		871
Itron, Inc.*		17,499		1,750
Knowles Corp.*		35,965		710
Kulicke and Soffa Industries, Inc.		24,063		1,473
LivePerson, Inc.*		24,861		1,572
ManTech International Corp. - Class A		10,638		921
MaxLinear, Inc. - Class A*		26,597		1,130
Methode Electronics, Inc. - Class A		14,907		734
MicroStrategy, Inc. - Class A*		3,018		2,005
NETGEAR, Inc.*		11,813		453
OneSpan, Inc.*		13,102		335
Onto Innovation, Inc.*		19,018		1,389
OSI Systems, Inc.*		6,482		659
PC Connection, Inc.		4,264		197
PDF Solutions, Inc.*		11,444		208
Perficient, Inc.*		12,809		1,030
Photronics, Inc.*		24,572		325
Plantronics, Inc.*		14,767		616
Plexus Corp.*		11,091		1,014
Power Integrations, Inc.		23,521		1,930


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

Information Technology continued
Progress Software Corp.		17,051		789
Rambus, Inc.*		43,616		1,034
Rogers Corp.*		7,256		1,457
Sanmina Corp.*		25,251		984
ScanSource, Inc.*		9,874		278
SMART Global Holdings, Inc.*		5,271		251
SPS Commerce, Inc.*		13,905		1,388
Sykes Enterprises, Inc.*		15,405		827
TTEC Holdings, Inc.		7,076		729
TTM Technologies, Inc.*		38,673		553
Ultra Clean Holdings, Inc.*		16,986		913
Unisys Corp.*		25,978		658
Veeco Instruments, Inc.*		19,452		468
Viavi Solutions, Inc.*		88,605		1,565
Xperi Holding Corp.		40,668		904

Total				56,000


Materials (5.2%)
AdvanSix, Inc.*		10,879		325
Allegheny Technologies, Inc.*		49,327		1,028
American Vanguard Corp.		10,484		183
Arconic Corp.*		37,974		1,353
Balchem Corp.		12,576		1,651
Boise Cascade Co.		15,273		891
Carpenter Technology Corp.		18,625		749
Century Aluminum Co.*		19,569		252
Clearwater Paper Corp.*		6,470		187
Domtar Corp.*		19,482		1,071
Ferro Corp.*		32,024		691
FutureFuel Corp.		9,934		95
GCP Applied Technologies, Inc.*		18,783		437
Glatfelter Corp.		17,238		241
H.B. Fuller Co.		20,262		1,289
Hawkins, Inc.		7,347		241
Haynes International, Inc.		4,914		174
Innospec, Inc.		9,542		865
Kaiser Aluminum Corp.		6,146		759
Koppers Holdings, Inc.*		8,228		266
Kraton Corp.*		12,466		402
Livent Corp.*		61,809		1,197
Materion Corp.		7,919		597
Mercer International, Inc.		15,364		196
Myers Industries, Inc.		14,001		294
Neenah Paper, Inc.		6,532		328


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

Materials continued
O-I Glass, Inc.*		61,237		1,000
Olympic Steel, Inc.		3,542		104
Quaker Chemical Corp.		5,128		1,216
Rayonier Advanced Materials, Inc.*		24,667		165
Schweitzer-Mauduit International, Inc.		12,188		492
Stepan Co.		8,295		998
SunCoke Energy, Inc.		32,192		230
TimkenSteel Corp.*		14,909		211
Tredegar Corp.		10,048		138
Trinseo SA		15,025		899
US Concrete, Inc.*		6,253		461
Warrior Met Coal, Inc.		19,922		343

Total				22,019


Real Estate (7.6%)
Acadia Realty Trust		33,467		735
Agree Realty Corp.		26,397		1,861
Alexander & Baldwin, Inc.		28,063		514
American Assets Trust, Inc.		19,459		726
Armada Hoffler Properties, Inc.		23,394		311
Brandywine Realty Trust		66,258		908
CareTrust REIT, Inc.		37,541		872
Centerspace REIT		5,029		397
Chatham Lodging Trust*		18,845		243
Community Healthcare Trust, Inc.		8,902		422
CoreCivic, Inc.*		46,621		488
DiamondRock Hospitality Co.*		81,519		791
Diversified Healthcare Trust		92,398		386
Easterly Government Properties, Inc.		32,517		685
Essential Properties Realty Trust, Inc.		45,564		1,232
Four Corners Property Trust, Inc.		29,537		815
Franklin Street
Properties Corp.		37,446		197
The GEO Group, Inc.		47,153		336
Getty Realty Corp.		14,458		450
Global Net Lease, Inc.		37,001		685
Hersha Hospitality Trust*		14,257		153
Independence Realty Trust, Inc.		39,642		723
Industrial Logistics Properties Trust		25,327		662
Innovative Industrial Properties, Inc.		9,279		1,772
iStar, Inc.		28,409		589
Kite Realty Group Trust		32,765		721

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

Index 600 Stock Portfolio


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

Real Estate continued
Lexington Realty Trust		107,659		1,287
LTC Properties, Inc.		15,291		587
Mack-Cali Realty Corp.		33,420		573
Marcus & Millichap, Inc.*		9,359		364
NexPoint Residential Trust, Inc.		8,782		483
Office Properties Income Trust		18,732		549
RE/MAX Holdings, Inc. - Class A		7,326		244
Realogy Holdings Corp.*		45,152		823
Retail Opportunity Investments Corp.		129,324		1,767
RPT Realty		31,471		408
Safehold, Inc.		5,575		438
Saul Centers, Inc.		5,014		228
Service Properties Trust		63,910		805
SITE Centers Corp.		65,465		986
The St. Joe Co.		12,103		540
Summit Hotel Properties, Inc.*		41,160		384
Tanger Factory Outlet Centers, Inc.		39,092		737
Uniti Group, Inc.		90,531		959
Universal Health Realty Income Trust		4,965		306
Urstadt Biddle
Properties, Inc. - Class A		11,673		226
Washington Real Estate Investment Trust		32,787		754
Whitestone REIT		15,423		127
Xenia Hotels & Resorts, Inc.*		44,128		826

Total				32,075


Utilities (1.5%)
American States Water Co.		14,314		1,139
Avista Corp.		26,884		1,147
California Water Service Group		19,716		1,095
Chesapeake Utilities Corp.		6,806		819
Northwest Natural Holding Co.		11,892		625
South Jersey Industries, Inc.		43,585		1,130
Unitil Corp.		5,835		309

Total				6,264


Total Common Stocks
(Cost: $279,762)				410,146


Investment Companies (1.4%)	Shares/ Par⁺		Value $ (000’s)

Investment Companies (1.4%)
iShares Core S&P Small-Cap ETF		51,247		5,790

Total				5,790


Total Investment Companies
(Cost: $5,119)				5,790


Warrants (0.0%)

Energy (0.0%)
Nabors Industries, Ltd.*		1,013		10

Total				10


Total Warrants (Cost: $–)				10


Short-Term Investments (1.2%)

Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		4,597,982		4,598

Total				4,598


US Government & Agencies (0.1%)
US Treasury 0.010%, 7/15/21 b		420,000		420

Total				420

Total Short-Term Investments
(Cost: $5,018)				5,018

Total Investments (100.0%)
(Cost: $289,899)^@				420,964

Other Assets, Less
Liabilities (0.0%)				68

Net Assets (100.0%)				421,032

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

Index 600 Stock Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures


Issuer	Long/Short	Currency	Notional Par (000’s)	Number of Contracts	Expiration Date	Notional Value (000’s)	Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
E-mini Russell 2000 Index Futures	Long	USD	2	45	9/21	$5,193	$	(20	)	$	7
							$	(20	)	$	7

Financial Derivative Assets

Financial Derivative Liabilities

Variation Margin (000’s)

Market Value
(000’s)

Swaps

Futures

Total

Swaps

Futures

Total

Options

Total Exchange-Traded or Centrally Cleared Derivatives

–

Restricted Securities

Description

Acquisition

Date

Cost (000’s)

Value (000’s)

Value as a
Percentage of Net
Assets

BM Technologies, Inc.

1/8/21

–

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

d	Restricted security – see accompanying table for additional details

#	7-Day yield as of 6/30/2021.

b	Cash or securities with an aggregate value of $420 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $289,899 and the net unrealized appreciation of investments based on that cost was $131,045 which is comprised of $143,638 aggregate gross unrealized appreciation and $12,593 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.

Index 600 Stock Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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
Information Technology	$	55,981		$	-	$	19
All Others		354,146			-		-
Investment Companies		5,790			-		-
Short-Term Investments
Money Market Funds		4,598			-		-
All Others		-			420		-
Warrants		10			-
Total Assets:	$	420,525		$	420	$	19
Liabilities:
Other Financial Instruments^
Futures		(20	)		-		-
Total Liabilities:	$	(20	)	$	-	$	-

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended June 30, 2021.

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

Small Cap Value Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Financials		25.9	%
Industrials		16.2	%
Consumer Discretionary		10.7	%
Real Estate		8.7	%
Health Care		8.2	%
Information Technology		6.7	%
Energy		6.5	%
Materials		5.6	%
Utilities		4.0	%
Consumer Staples		3.0	%
Communication Services		2.4	%
Short-Term Investments & Other Net Assets		1.9	%
Technology		0.1	%
Industrial		0.1	%

Sector Allocation is subject to change.

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.

Small Cap Value Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (2.4%)
Advantage Solutions, Inc.*		230,586		2,488
Boston Omaha Corp.*		114,347		3,626
Cable One, Inc.		2,488		4,759
Scholastic Corp.		76,319		2,892
Thryv Holdings, Inc.*		66,553		2,380

Total				16,145


Consumer Discretionary (10.7%)
Aaron’s Holdings Company, Inc.		50,896		1,628
Bally’s Corp.*		16,714		904
BJ’s Restaurants, Inc.*		73,437		3,609
Cavco Industries, Inc.*		23,280		5,173
Dorman Products, Inc.*		36,114		3,744
The Goodyear Tire & Rubber Co.*		94,800		1,626
Hanesbrands, Inc.		147,607		2,756
Hibbett Sports, Inc.*		35,814		3,210
LCI Industries		27,112		3,563
Lumber Liquidators Holdings, Inc.*		149,970		3,164
Marriott Vacations Worldwide Corp.*		26,461		4,215
Meritage Homes Corp.*		34,865		3,280
Monro, Inc.		55,033		3,495
Papa John’s International, Inc.		36,618		3,824
Petco Health & Wellness Co., Inc.*		105,876		2,373
Planet Fitness, Inc.*		30,962		2,330
Pool Corp.		8,519		3,907
Poshmark, Inc. - Class A*		31,348		1,497
Red Robin Gourmet Burgers, Inc.*		79,978		2,648
Steven Madden, Ltd.		120,743		5,284
Strategic Education, Inc.		76,032		5,783
Visteon Corp.*		29,457		3,562

Total				71,575


Consumer Staples (3.0%)
Coca-Cola Consolidated, Inc.		10,336		4,156
Grocery Outlet Holding Corp.*		69,330		2,403
Nomad Foods, Ltd.*		231,798		6,553
Post Holdings, Inc.*		34,273		3,718


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

Consumer Staples continued
The Simply Good Foods Co.*		85,983		3,139

Total				19,969


Energy (6.5%)
Cactus, Inc.		143,461		5,268
ChampionX Corp.*		302,154		7,750
Devon Energy Corp.		242,094		7,067
International Seaways, Inc.		102,951		1,975
Liberty Oilfield Services, Inc.*		351,383		4,975
Magnolia Oil & Gas Corp.*		345,401		5,399
Matador Resources Co.		230,345		8,295
REX American Resources Corp.*		34,526		3,113

Total				43,842


Financials (25.9%)
Atlantic Capital Bancshares, Inc.*		50,429		1,284
BankUnited, Inc.		176,706		7,544
BRP Group, Inc.*		136,487		3,637
Columbia Banking System, Inc.		122,069		4,707
CrossFirst Bankshares, Inc.*		168,396		2,315
Eastern Bankshares, Inc.		137,730		2,833
FB Financial Corp.		122,169		4,559
Glacier Bancorp, Inc.		88,228		4,860
Green Dot Corp. - Class A*		70,069		3,283
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		123,814		6,952
HarborOne Bancorp, Inc.		273,711		3,925
Hercules Capital, Inc.		197,548		3,370
Heritage Financial Corp. of Washington		66,634		1,667
Home BancShares, Inc.		335,141		8,271
Houlihan Lokey, Inc.		62,432		5,106
Howard Bancorp, Inc.*		206,512		3,331
Independent Bank Corp.		34,016		2,568
James River Group Holdings, Ltd.		88,569		3,323
Live Oak Bancshares, Inc.		107,823		6,362


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

Financials continued
Meridian Bancorp, Inc.		171,513		3,509
National Bank Holding Corp. - Class A		113,714		4,292
Origin Bancorp, Inc.		94,360		4,007
Palomar Holdings, Inc.*		31,269		2,360
PCSB Financial Corp.		77,169		1,402
PennyMac Financial Services, Inc.		58,543		3,613
PennyMac Mortgage Investment Trust		187,023		3,939
Pinnacle Financial Partners, Inc.		104,511		9,227
Popular, Inc.		67,291		5,050
PRA Group, Inc.*		36,625		1,409
ProAssurance Corp.		123,758		2,815
PROG Holdings, Inc.		91,701		4,414
Radian Group, Inc.		213,479		4,750
Southern First Bancshares, Inc.*		68,570		3,508
State Auto Financial Corp.		117,754		2,016
StepStone Group, Inc.		33,826		1,164
TowneBank		171,168		5,207
Virtus Investment Partners, Inc.		21,277		5,910
Walker & Dunlop, Inc.		25,609		2,673
Webster Financial Corp.		89,608		4,780
Western Alliance Bancorporation		115,044		10,682
WSFS Financial Corp.		154,560		7,201

Total				173,825


Health Care (8.2%)
Acceleron Pharma, Inc.*		18,349		2,303
Agiliti, Inc.*		101,213		2,214
Arvinas, Inc.*		18,211		1,402
Atrion Corp.		7,107		4,413
Blueprint Medicines Corp.*		19,150		1,684
C4 Therapeutics, Inc.*		34,700		1,313
Ensign Group, Inc.		46,883		4,063
Envista Holdings Corp.*		95,820		4,140
FIGS, Inc.*		5,584		280
Insmed, Inc.*		56,110		1,597
Karuna Therapeutics, Inc.*		10,019		1,142
Kodiak Sciences, Inc.*		14,317		1,331
Kymera Therapeutics, Inc.*		15,900		771

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

Small Cap Value Portfolio


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

Health Care continued
Molina Healthcare, Inc.*		4,643		1,175
MultiPlan Corp.*		45,042		429
Option Care Health, Inc.*		198,998		4,352
Ortho Clinical Diagnostics Holdings PLC*		70,512		1,510
The Pennant Group, Inc.*		60,543		2,476
Phreesia, Inc.*		50,550		3,099
Quidel Corp.*		7,357		943
Replimune Group, Inc.*		42,810		1,645
Select Medical Holdings Corp.		192,212		8,123
Turning Point Therapeutics, Inc.*		14,900		1,162
Ultragenyx Pharmaceutical, Inc.*		24,353		2,322
Xencor, Inc.*		36,557		1,261

Total				55,150


Industrial (0.1%)
Xometry, Inc.*		6,139		537

Total				537


Industrials (16.2%)
ABM Industries, Inc.		36,500		1,619
Air Lease Corp.		39,379		1,644
Alamo Group, Inc.		13,018		1,988
Allegiant Travel Co.*		7,788		1,511
Ameresco, Inc.*		25,867		1,622
Beacon Roofing Supply, Inc.*		108,875		5,798
Blue Bird Corp.*		97,002		2,411
Brady Corp. - Class A		65,334		3,661
Chart Industries, Inc.*		10,959		1,604
CIRCOR International, Inc.*		85,581		2,790
Enerpac Tool Group Corp.		130,111		3,464
ESCO Technologies, Inc.		50,273		4,716
FTI Consulting, Inc.*		12,280		1,678
Helios Technologies, Inc.		74,189		5,790
JELD-WEN Holding, Inc.*		96,282		2,528
Kelly Services, Inc. - Class A*		52,022		1,247
Korn Ferry		72,121		5,232
Landstar System, Inc.		28,192		4,455
Matson, Inc.		32,734		2,095
McGrath RentCorp		51,427		4,195
MSA Safety, Inc.		21,057		3,487
Parsons Corp.*		58,981		2,321


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

Industrials continued
Resideo Technologies, Inc.*		77,600		2,328
Rush Enterprises, Inc.		40,255		1,741
Ryder System, Inc.		27,720		2,060
Shoals Technologies Group, Inc.*		72,633		2,578
SPX Corp.*		61,674		3,767
Stericycle, Inc.*		67,098		4,801
Thermon Group Holdings, Inc.*		125,569		2,140
The Timken Co.		37,324		3,008
Triumph Group, Inc.*		310,844		6,450
UFP Industries, Inc.		114,129		8,484
UniFirst Corp.		7,743		1,817
Univar Solutions, Inc.*		142,226		3,467

Total				108,497


Information Technology (6.7%)
Belden, Inc.		158,884		8,035
Ceridian HCM Holding, Inc.*		44,277		4,247
DoubleVerify Holdings, Inc.*		8,621		365
Entegris, Inc.		32,304		3,972
Harmonic, Inc.*		682,555		5,815
i3 Verticals, Inc.*		82,481		2,493
Knowles Corp.*		25,729		508
Littelfuse, Inc.		35,355		9,008
MaxLinear, Inc. - Class A*		72,811		3,094
nCino, Inc.*		24,737		1,482
Onto Innovation, Inc.*		27,412		2,002
Semtech Corp.*		27,671		1,904
Workiva, Inc.*		18,244		2,031

Total				44,956


Materials (5.6%)
Alcoa Corp.*		21,117		778
American Vanguard Corp.		101,816		1,783
Atotech, Ltd.*		145,383		3,712
Carpenter Technology Corp.		102,377		4,118
Clearwater Paper Corp.*		110,197		3,192
Constellium SE*		345,342		6,544
Minerals Technologies, Inc.		48,708		3,832
Myers Industries, Inc.		134,798		2,831
Orion Engineered Carbons SA*		208,662		3,962
Quaker Chemical Corp.		15,652		3,713
Reliance Steel & Aluminum Co.		22,806		3,441

Total				37,906


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

Real Estate (8.7%)
American Campus Communities, Inc.		65,257		3,049
Apartment Investment & Management Co. - Class A		233,943		1,570
EastGroup Properties, Inc.		32,998		5,426
Essential Properties Realty Trust, Inc.		80,423		2,175
Healthcare Realty Trust, Inc.		126,864		3,831
JBG SMITH Properties		155,436		4,898
Potlatch Corp.		94,908		5,044
PS Business Parks, Inc.		25,235		3,737
Safehold, Inc.		34,752		2,728
Saul Centers, Inc.		95,333		4,333
The St. Joe Co.		142,428		6,354
Sunstone Hotel Investors, Inc.*		482,631		5,994
Terreno Realty Corp.		104,363		6,733
Washington Real Estate Investment Trust		116,262		2,674

Total				58,546


Technology (0.1%)
Integral Ad Science Holding Corp.*		32,646		672

Total				672


Utilities (4.0%)
California Water Service Group		72,215		4,011
Chesapeake Utilities Corp.		64,189		7,724
IDACORP, Inc.		39,088		3,811
MGE Energy, Inc.		60,921		4,535
NorthWestern Corp.		35,000		2,108
ONE Gas, Inc.		64,998		4,817

Total				27,006


Total Common Stocks
(Cost: $429,885)				658,626


Warrants (0.0%)

Communication Services (0.0%)
Advantage Solutions, Inc.*		19,088		47

Total				47

Total Warrants (Cost: $24)				47

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

Small Cap Value Portfolio


Short-Term Investments (2.1%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (2.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030% ^#		13,777,604		13,778

Total				13,778


Total Short-Term Investments
(Cost: $13,778)				13,778


Total Investments (100.2%)
(Cost: $443,687)^@				672,451


Other Assets, Less
Liabilities (-0.2%)				(1,048	)

Net Assets (100.0%)				671,403

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,687 and the net unrealized appreciation of investments based on that cost was $228,764 which is comprised of $235,806 aggregate gross unrealized appreciation and $7,042 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	658,626	$	-	$	-
Short-Term Investments		13,778		-		-
Warrants		47		-		-
Total Assets:	$	672,451	$	-	$	-

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

International Growth Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Industrials		24.6	%
Information Technology		24.4	%
Financials		14.0	%
Health Care		11.1	%
Consumer Discretionary		8.4	%
Consumer Staples		5.8	%
Materials		4.8	%
Communication Services		4.5	%
Telecommunication Services		0.8	%
Real Estate		0.8	%
Energy		0.6	%
Short-Term Investments & Other Net Assets		0.2	%

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.

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

International Growth Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (99.8%)	Country		Shares/ Par⁺		Value $ (000’s)

Communication Services (4.5%)
Adevinta ASA - Class B*		Norway		252,057		4,830
Alphabet, Inc. - Class A*		United States		4,400		10,744
Rightmove PLC		United Kingdom		527,500		4,739
Safaricom, Ltd.		Kenya		16,324,600		6,355
Schibsted ASA - Class B		Norway		162,799		6,780
Tencent Holdings, Ltd.		Cayman Islands		165,700		12,463

Total						45,911


Consumer Discretionary (8.4%)
Alibaba Group Holding, Ltd.*		Cayman Islands		38,000		1,077
Alibaba Group Holding, Ltd., ADR*		Cayman Islands		41,879		9,497
Autoliv, Inc.		United States		42,500		4,155
Compass Group PLC*		United Kingdom		579,000		12,190
InterContinental Hotels Group PLC, ADR*		United Kingdom		75,884		5,061
LVMH Moet Hennessy Louis Vuitton SE		France		52,300		41,010
PRADA SPA		Italy		940,000		7,137
USS Co., Ltd.		Japan		315,100		5,497

Total						85,624


Consumer Staples (5.8%)
Clicks Group, Ltd.		South Africa		217,852		3,748
Nestle SA		Switzerland		426,569		53,120
PriceSmart, Inc.		United States		29,000		2,639

Total						59,507


Energy (0.6%)
Reliance Industries, Ltd.		India		60,000		1,705
Reliance Industries, Ltd., GDR		India		72,000		4,075

Total						5,780


Financials (14.0%)
AIA Group, Ltd.		Hong Kong		2,607,688		32,410
Deutsche Borse Aktiengesellschaft		Germany		48,500		8,465
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		265,500		15,826
Housing Development Finance Corp., Ltd.		India		125,663		4,189
Kotak Mahindra Bank, Ltd.*		India		173,500		3,980
London Stock Exchange Group PLC		United Kingdom		101,800		11,223
Marsh & McLennan Cos., Inc.		United States		114,823		16,153
Moody’s Corp.		United States		47,200		17,104
MSCI, Inc.		United States		32,500		17,325
S&P Global, Inc.		United States		38,400		15,761

Total						142,436


Common Stocks (99.8%)	Country		Shares/ Par⁺		Value $ (000’s)

Health Care (11.1%)
CSL, Ltd.		Australia		90,795		19,419
Dechra Pharmaceuticals PLC		United Kingdom		65,200		3,942
Hoya Corp.		Japan		174,900		23,190
ResMed, Inc.		United States		69,500		17,133
Roche Holding AG		Switzerland		104,652		39,423
Sanofi		France		33,700		3,531
UCB SA		Belgium		63,500		6,638

Total						113,276


Industrials (24.6%)
Airbus SE*		Netherlands		96,000		12,344
Assa Abloy AB - Class B		Sweden		695,300		20,945
Atlas Copco AB - Class A		Sweden		379,200		23,218
Auckland International Airport, Ltd.*		New Zealand		482,455		2,452
CAE, Inc.*		Canada		182,000		5,606
Canadian Pacific Railway, Ltd.		Canada		134,000		10,304
Edenred		France		148,800		8,478
Epiroc AB		Sweden		593,200		13,516
Experian PLC		Jersey		430,200		16,579
FANUC Corp.		Japan		76,100		18,354
Interpump Group SpA		Italy		135,400		8,018
KONE Oyj		Finland		126,700		10,336
Legrand SA		France		121,700		12,881
MISUMI Group, Inc.		Japan		496,300		16,797
Nabtesco Corp.		Japan		68,500		2,590
OSG Corp.		Japan		150,600		2,611
Recruit Holdings Co., Ltd.		Japan		517,600		25,485
Safran SA		France		87,500		12,131
Schindler Holding AG		Switzerland		32,693		10,000
Schindler Holding AG - Registered Shares		Switzerland		6,085		1,778
SHO-BOND Holdings Co., Ltd.		Japan		134,761		5,610
Vestas Wind Systems A/S		Denmark		264,000		10,305

Total						250,338


Information Technology (24.4%)
Amadeus IT Group SA*		Spain		279,000		19,625
ASML Holding NV		Netherlands		83,000		57,023
Azbil Corp.		Japan		275,800		11,432
Black Knight, Inc.*		United States		60,500		4,718
Dlocal, Ltd.*		Cayman Islands		23,700		1,245
Keyence Corp.		Japan		59,800		30,181
Lam Research Corp.		United States		21,000		13,665
Lasertec Corp.		Japan		60,900		11,835
Mastercard, Inc. - Class A		United States		52,250		19,076
NICE, Ltd.*		Israel		49,100		12,150
SAP SE		Germany		129,419		18,237
Spectris PLC		United Kingdom		160,500		7,189
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		743,000		15,867
Temenos AG		Switzerland		41,100		6,601

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

International Growth Portfolio

Common Stocks (99.8%)

Country

Shares/

Par⁺

Value

$ (000’s)

Information Technology continued

Visa, Inc. - Class A

United
States

85,225

19,927

Total

248,771

Materials (4.8%)

CRH PLC, ADR

Ireland

200,900

10,214

Franco-Nevada Corp.

Canada

48,900

7,096

Linde PLC

Ireland

81,355

23,475

The Sherwin-Williams Co.

United
States

30,700

8,364

Total

49,149

Real Estate (0.8%)

Vonovia SE

Germany

119,600

7,732

Total

7,732

Common Stocks (99.8%)

Country

Shares/

Par⁺

Value

$ (000’s)

Telecommunication Services (0.8%)

Cellnex Telecom SA

Spain

132,739

8,455

Total

8,455

Total Common Stocks

(Cost: $640,171)

1,016,979

Short-Term Investments (0.4%)

Money Market Funds (0.4%)

State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#

United
States

4,104,671

4,105

Total

4,105

Total Short-Term Investments

(Cost: $4,105)

4,105

Total Investments (100.2%)

(Cost: $644,276)^@

1,021,084

Other Assets, Less

Liabilities (-0.2%)

(2,252

)

Net Assets (100.0%)

1,018,832


Investments Percentage by Country is based on Net Assets:
United States			16.6%
Japan			15.3%
Switzerland			10.9%
France			7.6%
Netherlands			6.8%
Sweden			5.7%
Other			37.3%
Total			100.2%

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
Date

Unrealized
Appreciation
(000’s)

Unrealized

(Depreciation)

(000’s)

Net Unrealized
Appreciation/
(Depreciation)
(000’s)

Buy

Morgan Stanley Capital Services, Inc.

CAD

7/2/21

$ -p

$ -

$ -P

$ -p

$ -

$ -P

Financial Derivative Assets (000’s)

Financial Derivative Liabilities (000’s)

Forward

Contracts

Swaps

Total

Forward

Contracts

Options

Swaps

Total

Total Over the Counter Derivatives

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

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

International Growth Portfolio

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $644,276 and the net unrealized appreciation of investments based on that cost was $376,808 which is comprised of $380,505 aggregate gross unrealized appreciation and $3,697 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 Investments at June 30, 2021. 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	$	1,016,979	$	-		$	-
Short-Term Investments		4,105		-			-
Other Financial Instruments^
Forward Currency Contracts		-		-	p		-
Total Assets:	$	1,021,084	$	-	p	$	-

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

Research International Core Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Financials		16.4	%
Industrials		15.6	%
Health Care		11.8	%
Consumer Discretionary		11.3	%
Consumer Staples		9.4	%
Information Technology		9.4	%
Materials		9.3	%
Communication Services		6.5	%
Utilities		3.2	%
Energy		2.9	%
Real Estate		2.7	%
Short-Term Investments & Other Net Assets		0.9	%
Telecommunication Services		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.

Research International Core Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (99.1%)	Country		Shares/ Par⁺		Value $ (000’s)

Communication Services (6.5%)
Advanced Info Service PCL - Foreign Shares		Thailand		667,600		3,562
carsales.com, Ltd.		Australia		150,964		2,237
Hellenic Telecommunications Organization SA		Greece		227,586		3,818
KDDI Corp.		Japan		280,400		8,746
NAVER Corp.		South Korea		23,671		8,776
NetEase, Inc., ADR		Cayman Islands		113,498		13,081
SEEK, Ltd.		Australia		91,205		2,267
SoftBank Group Corp.		Japan		108,100		7,565
Tele2 AB		Sweden		98,218		1,338
Tencent Holdings, Ltd.		Cayman Islands		116,000		8,725

Total						60,115


Consumer Discretionary (11.3%)
adidas AG		Germany		32,381		12,052
Bridgestone Corp.		Japan		119,900		5,456
Burberry Group PLC*		United Kingdom		109,936		3,142
Cie Financiere Richemont SA		Switzerland		60,168		7,280
Continental AG		Germany		42,247		6,211
Flutter Entertainment PLC*		Ireland		35,269		6,413
Koito Manufacturing Co., Ltd.		Japan		121,700		7,570
LVMH Moet Hennessy Louis Vuitton SE		France		26,382		20,687
Naspers, Ltd. - Class N		South Africa		21,521		4,518
Ocado Group PLC*		United Kingdom		61,506		1,704
Techtronic Industries Co., Ltd.		Hong Kong		712,500		12,443
Toyota Industries Corp.		Japan		73,300		6,341
Yamaha Corp.		Japan		70,900		3,848
Yum China Holdings, Inc.		United States		93,308		6,182
ZOZO, Inc.		Japan		56,500		1,920

Total						105,767


Consumer Staples (9.4%)
British American Tobacco PLC		United Kingdom		276,809		10,721
Danone SA		France		126,392		8,898
Diageo PLC		United Kingdom		349,026		16,710
Japan Tobacco, Inc.		Japan		267,100		5,045
Kao Corp.		Japan		110,900		6,823
Nestle SA		Switzerland		224,026		27,898
Reckitt Benckiser Group PLC		United Kingdom		97,355		8,615
Sugi Holdings Co.		Japan		46,100		3,361

Total						88,071


Energy (2.9%)
Cairn Energy PLC		United Kingdom		1,308,239		2,637
Eni SpA		Italy		386,283		4,704
Galp Energia SGPS SA		Portugal		563,328		6,113
Idemitsu Kosan Co., Ltd.		Japan		192,200		4,642


Common Stocks (99.1%)	Country		Shares/ Par⁺		Value $(000’s)

Energy continued
Oil Search, Ltd.		Papua New Guinea		1,303,396		3,724
TC Energy Corp.		Canada		101,051		5,000

Total						26,820


Financials (16.4%)
AIA Group, Ltd.		Hong Kong		1,370,600		17,035
AIB Group PLC*		Ireland		1,464,830		3,774
Aon PLC		Ireland		68,436		16,340
Bank of Ireland Group PLC*		Ireland		235,656		1,262
Beazley PLC*		United Kingdom		266,738		1,227
BNP Paribas SA		France		233,583		14,644
Credit Suisse Group AG		Switzerland		667,673		6,994
Euronext NV		Netherlands		103,657		11,271
HDFC Bank, Ltd.		India		586,851		11,819
Hiscox, Ltd.*		Bermuda		302,708		3,482
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		123,700		7,373
ING Groep NV		Netherlands		617,359		8,155
Julius Baer Group, Ltd.		Switzerland		120,338		7,853
Macquarie Group, Ltd.		Australia		57,643		6,762
Mitsubishi UFJ Financial Group, Inc.		Japan		1,631,000		8,810
Natwest Group PLC		United Kingdom		3,072,646		8,637
UBS Group AG		Switzerland		637,273		9,753
Zurich Insurance Group AG		Switzerland		20,626		8,275

Total						153,466


Health Care (11.8%)
Bayer AG		Germany		95,249		5,784
EssilorLuxottica SA		France		20,370		3,759
Koninklijke Philips NV		Netherlands		248,101		12,294
Kyowa Hakko Kirin Co., Ltd.		Japan		358,600		12,718
Novo Nordisk AS - Class B		Denmark		281,953		23,622
Qiagen NV*		Netherlands		165,597		8,003
Roche Holding AG		Switzerland		77,059		29,029
Santen Pharmaceutical Co., Ltd.		Japan		617,500		8,504
Terumo Corp.		Japan		160,500		6,504

Total						110,217


Industrials (15.6%)
51job, Inc.*		Cayman Islands		41,739		3,246
Brambles, Ltd.		Australia		825,599		7,083
Daikin Industries, Ltd.		Japan		70,000		13,037
GEA Group AG		Germany		209,692		8,494
Hitachi, Ltd.		Japan		296,500		16,977
Kubota Corp.		Japan		528,100		10,681
Legrand SA		France		106,471		11,269
MTU Aero Engines AG		Germany		18,087		4,480
Persol Holdings Co., Ltd.		Japan		134,700		2,661
Ritchie Bros Auctioneers, Inc.		Canada		128,237		7,603
Ryanair Holdings PLC*		Ireland		40,491		4,382

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

Research International Core Portfolio


Common Stocks (99.1%)	Country		Shares/ Par⁺		Value $ (000’s)

Industrials continued
Schindler Holding AG		Switzerland		30,600		9,359
Schneider Electric SE		France		150,530		23,682
SMC Corp.		Japan		17,000		10,046
Wolters Kluwer NV		Netherlands		120,141		12,069

Total						145,069


Information Technology (9.4%)
Amadeus IT Group SA*		Spain		107,852		7,586
Cadence Design Systems, Inc.*		United States		36,796		5,034
Constellation Software, Inc.		Canada		4,024		6,095
EPAM Systems, Inc.*		United States		17,119		8,747
Fujitsu, Ltd.		Japan		62,300		11,664
Kyocera Corp.		Japan		91,800		5,675
Nomura Research Institute, Ltd.		Japan		212,400		7,026
NXP Semiconductors NV		Netherlands		42,094		8,660
Samsung Electronics Co., Ltd.		South Korea		96,050		6,883
Scout24 AG*		Germany		66,449		5,604
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		365,189		7,799
Visa, Inc. - Class A		United States		30,981		7,244

Total						88,017


Materials (9.3%)
Akzo Nobel NV		Netherlands		107,481		13,280
Croda International PLC		United Kingdom		113,704		11,589
Glencore PLC*		Jersey		1,265,636		5,418
Kansai Paint Co., Ltd.		Japan		184,300		4,696
Linde PLC		Ireland		77,684		22,416
Nitto Denko Corp.		Japan		97,400		7,268
Sika AG		Switzerland		34,757		11,363
Symrise AG		Germany		75,427		10,509

Total						86,539


Real Estate (2.7%)
ESR Cayman, Ltd.*		Cayman Islands		1,371,800		4,629
Grand City Properties SA*		Luxembourg		361,081		9,753
LEG Immobilien AG		Germany		76,306		10,989

Total						25,371

Common Stocks (99.1%)

Country

Shares/

Par⁺

Value

$ (000’s)

Telecommunication Services (0.6%)

Cellnex Telecom SA

Spain

92,865

5,915

Total

5,915

Utilities (3.2%)

APA Group

Australia

429,022

2,864

China Resources Gas Group, Ltd.

Bermuda

814,000

4,885

CLP Holdings, Ltd.

Hong Kong

482,000

4,768

E.ON SE

Germany

398,972

4,614

Iberdrola SA

Spain

724,777

8,835

Orsted A/S

Denmark

30,319

4,254

Total

30,220

Total Common Stocks

(Cost: $678,082)

925,587

Warrants (0.0%)

Consumer Discretionary (0.0%)

Cie Financiere Richemont SA*

Switzerland

136,342

Total

Total Warrants

(Cost: $–)

Short-Term Investments (0.5%)

Money Market Funds (0.5%)

State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#

United
States

4,341,579

4,342

Total

4,342

Total Short-Term Investments

(Cost: $4,342)

4,342

Total Investments (99.6%)

(Cost: $682,424)^@

930,020

Other Assets, Less Liabilities (0.4%)

3,669

Net Assets (100.0%)

933,689


Investments Percentage by Country is based on Net Assets:
Japan			20.1%
Switzerland			12.6%
France			8.9%
Netherlands			7.9%
Germany			7.4%
United Kingdom			6.9%
Ireland			5.9%
Other			29.9%
Total			99.6%

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

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

Research International Core Portfolio

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $682,424 and the net unrealized appreciation of investments based on that cost was $247,596 which is comprised of $271,470 aggregate gross unrealized appreciation and $23,874 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	925,587	$	-	$	-
Short-Term Investments		4,342		-		-
Warrants		91		-		-
Total Assets:	$	930,020	$	-	$	-

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

International Equity Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Consumer Discretionary		19.5	%
Industrials		16.0	%
Materials		10.7	%
Health Care		10.1	%
Financials		9.9	%
Information Technology		9.7	%
Energy		7.3	%
Utilities		6.6	%
Communication Services		4.0	%
Consumer Staples		3.5	%
Short-Term Investments & Other Net Assets		2.6	%
Governments		0.1	%

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.

International Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


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

Communication Services (4.0%)
Deutsche Telekom AG		Germany		3,662,920		77,363

Total						77,363


Consumer Discretionary (19.5%)
adidas AG		Germany		91,480		34,049
Alibaba Group Holding, Ltd. *		Cayman Islands		1,163,680		32,973
Burberry Group PLC *		United Kingdom		770,290		22,014
Compass Group PLC *		United Kingdom		1,031,410		21,715
Continental AG		Germany		139,670		20,533
Honda Motor Co., Ltd.		Japan		1,282,310		40,976
Informa PLC *		United Kingdom		1,587,990		11,018
Isuzu Motors, Ltd.		Japan		3,522,240		46,511
Just Eat Takeaway.com NV *		Netherlands		262,520		24,240
Restaurant Brands International, Inc.		Canada		361,050		23,263
Sony Corp.		Japan		460,440		44,823
WH Smith PLC *		United Kingdom		618,890		13,771
Yum China Holdings, Inc.		United States		562,610		36,993

Total						372,879


Consumer Staples (3.5%)
Anheuser-Busch InBev SA/ NV		Belgium		402,190		29,000
Danone SA		France		409,380		28,819
Unilever PLC		United Kingdom		160,540		9,395

Total						67,214


Energy (7.3%)
BP PLC		United Kingdom		10,971,150		47,805
Equinor ASA		Norway		1,170,100		24,758
Royal Dutch Shell PLC - Class B		United Kingdom		1,238,720		23,972
TOTAL SA		France		933,150		42,218

Total						138,753


Financials (9.9%)
AIA Group, Ltd.		Hong Kong		4,211,850		52,348
Deutsche Borse Aktiengesellschaft		Germany		114,070		19,910
KB Financial Group, Inc., ADR *		South Korea		403,410		19,888
Shinhan Financial Group Co., Ltd. *		South Korea		537,740		19,386
Standard Chartered PLC		United Kingdom		4,111,122		26,217
Sumitomo Mitsui Financial Group, Inc.		Japan		1,524,870		52,570

Total						190,319


Health Care (10.1%)
AstraZeneca PLC		United Kingdom		302,460		36,329
Fresenius Medical Care AG & Co.		Germany		482,620		40,082


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

Health Care continued
GlaxoSmithKline PLC		United Kingdom		1,736,450		34,094
Icon Public Limited Co. *		Ireland		89,280		18,455
Richter Gedeon Nyrt		Hungary		328,290		8,740
Roche Holding AG		Switzerland		93,280		35,139
Smith & Nephew PLC		United Kingdom		909,530		19,659

Total						192,498


Industrials (16.0%)
Adecco Group AG		Switzerland		250,400		17,012
BAE Systems PLC		United Kingdom		6,375,240		46,035
CK Hutchison Holdings, Ltd.		Cayman Islands		3,285,990		25,605
Eiffage SA		France		269,060		27,373
Hitachi, Ltd.		Japan		1,220,260		69,869
International Consolidated Airlines Group, SA *		Spain		8,060,730		19,426
Komatsu, Ltd.		Japan		1,259,280		31,291
Mitsubishi Electric Corp.		Japan		2,484,900		36,067
Taisei Corp.		Japan		1,032,700		33,836

Total						306,514


Information Technology (9.7%)
Infineon Technologies AG		Germany		470,050		18,850
Kyocera Corp.		Japan		703,600		43,497
NXP Semiconductors NV		Netherlands		97,680		20,095
Samsung Electronics Co., Ltd. *		South Korea		826,650		59,238
Taiwan Semiconductor Manufacturing Co., Ltd.		Taiwan		2,028,625		43,321

Total						185,001


Materials (10.7%)
ArcelorMittal SA		Luxembourg		470,080		14,409
Barrick Gold Corp.		Canada		1,059,530		21,911
Covestro AG		Germany		364,260		23,522
CRH PLC		Ireland		614,410		30,963
DS Smith PLC		United Kingdom		5,769,250		33,351
Sumitomo Metal Mining Co., Ltd.		Japan		637,350		24,812
Wheaton Precious Metals Corp.		Canada		838,490		36,960
Yara International ASA		Norway		367,740		19,356

Total						205,284


Utilities (6.6%)
E.ON SE		Germany		4,788,900		55,388
Red Electrica Corp SA		Spain		1,615,270		29,984
Veolia Environnement SA		France		1,357,840		41,008

Total						126,380


Total Common Stocks
(Cost: $1,539,170)						1,862,205

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

International Equity Portfolio

Governments (0.1%)

Country

Shares/

Par ⁺

Value

$ (000’s)

Governments (0.1%)

Federal Home Loan Bank 0.010%, 7/1/21

1,300,000

1,300

Total

1,300

Total Governments

(Cost: $1,300)

1,300

Short-Term Investments (2.3%)

Country

Shares/

Par ⁺

Value

$ (000’s)

Money Market Funds (2.3%)

State Street Institutional U.S.
Government Money Market Fund - Premier Class 0.030%^#

United
States

43,976,157

43,976

Total

43,976

Total Short-Term Investments

(Cost: $43,976)

43,976

Total Investments (99.7%)

(Cost: $1,584,446)^@

1,907,481

Other Assets, Less Liabilities (0.3%)

6,159

Net Assets (100.0%)

1,913,640


Investments Percentage by Country is based on Net Assets:
Japan			22.3%
United Kingdom			18.1%
Germany			15.1%
France			7.2%
South Korea			5.1%
Other			31.9%
Total			99.7%

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,584,446 and the net unrealized appreciation of investments based on that cost was $323,035 which is comprised of $348,510 aggregate gross unrealized appreciation and $25,475 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 Investments at June 30, 2021. 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	$	1,862,205	$	-	$	-
Governments		-		1,300		-
Short-Term Investments		43,976		-		-
Total Assets:	$	1,906,181	$	1,300	$	-

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

Emerging Markets Equity Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Information Technology	27.5	%
Consumer Discretionary	18.5	%
Financials	17.6	%
Materials	10.3	%
Communication Services	5.6	%
Industrials	5.1	%
Consumer Staples	4.6	%
Health Care	3.3	%
Energy	3.1	%
Short-Term Investments & Other Net Assets	1.9	%
Real Estate	1.4	%
Utilities	1.1	%

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.

Emerging Markets Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (93.9%)	Country		Shares/ Par⁺		Value $ (000’s)

Communication Services (5.6%)
Sea, Ltd.*		Cayman Islands		27,912		7,665
Tencent Holdings, Ltd.		Cayman Islands		619,500		46,596
Yandex NV*		Netherlands		78,220		5,534

Total						59,795


Consumer Discretionary (18.5%)
Alibaba Group Holding, Ltd.*		Cayman Islands		1,920,400		54,414
Allegro.eu SA*		Luxembourg		489,201		8,419
China Tourism Group Duty Free Corp, Ltd. - Class A		China		300,597		13,961
Li Ning Co., Ltd.		Cayman Islands		889,500		10,860
Meituan Dianping - Class B*		Cayman Islands		372,100		15,355
MercadoLibre, Inc.*		United States		7,619		11,869
Midea Group Co., Ltd. - Class A		China		961,267		10,618
Naspers, Ltd. - Class N		South Africa		137,632		28,897
New Oriental Education & Technology Group, Inc.*		Cayman Islands		563,240		4,643
Prosus NV*		Netherlands		72,106		7,051
Sands China, Ltd.*		Cayman Islands		3,306,400		13,925
Shenzhou International Group Holdings, Ltd.		Cayman Islands		702,100		17,733

Total						197,745


Consumer Staples (4.6%)
Budweiser Brewing Co. APAC, Ltd.		Cayman Islands		3,062,400		9,663
Fomento Economico Mexicano SAB de CV, ADR		Mexico		158,900		13,429
Hindustan Unilever, Ltd.		India		283,719		9,447
ITC, Ltd.		India		3,534,357		9,638
Kweichow Moutai Co., Ltd. - Class A		China		23,280		7,410

Total						49,587


Energy (3.1%)
LUKOIL PJSC, ADR		Russia		151,355		13,964
Novatek PJSC		Russia		853,998		18,756

Total						32,720


Financials (17.6%)
AIA Group, Ltd.		Hong Kong		1,324,200		16,458
B3 SA - Brasil, Bolsa, Balcao		Brazil		1,658,300		5,608
Banco Bradesco SA, ADR		Brazil		3,479,920		17,852
Bank Central Asia Tbk PT		Indonesia		5,457,100		11,338
Bank of the Philippine Islands		Philippines		2,680,376		4,870
China Merchants Bank Co., Ltd. - Class H		China		2,353,000		20,077
Grupo Financiero Banorte SAB de CV		Mexico		2,409,150		15,513


Common Stocks (93.9%)	Country		Shares/ Par⁺		Value $ (000’s)

Financials continued
Hong Kong Exchanges & Clearing, Ltd.		Hong Kong		234,492		13,977
Housing Development Finance Corp., Ltd.		India		803,284		26,777
Kotak Mahindra Bank, Ltd.*		India		512,593		11,757
Ping An Insurance Group Co. of China, Ltd. - Class H		China		867,500		8,497
PT Bank Rakyat Indonesia Persero Tbk		Indonesia		32,733,800		8,895
Sberbank of Russia PJSC		Russia		2,992,876		12,470
SBI Life Insurance Co., Ltd.		India		972,100		13,172

Total						187,261


Health Care (3.3%)
Hangzhou Tigermed Consulting Co., Ltd. - Class A		China		198,999		5,953
Hangzhou Tigermed Consulting Co., Ltd. - Class H		China		92,100		2,159
Wuxi Biologics Cayman, Inc.*		Cayman Islands		1,468,000		26,905

Total						35,017


Industrials (5.1%)
China Conch Venture Holdings, Ltd.		Cayman Islands		1,655,500		6,972
Grupo Aeroportuario del Sureste SAB de CV - Class B*		Mexico		298,110		5,489
NARI Technology Co., Ltd. - Class A		China		3,258,615		11,720
Rumo SA*		Brazil		1,425,330		5,488
Shanghai International Airport Co., Ltd. - Class A		China		919,281		6,848
Sungrow Power Supply Co., Ltd. - Class A		China		519,097		9,244
WEG SA		Brazil		848,533		5,747
Xinjiang Goldwind Science & Technology Co., Ltd. - Class H		China		1,684,000		2,633

Total						54,141


Information Technology (23.3%)
ASML Holding NV		Netherlands		24,205		16,630
Delta Electronics, Inc.		Taiwan		797,000		8,667
GDS Holdings, Ltd.*		Cayman Islands		212,000		2,100
Hon Hai Precision Industry Co., Ltd.		Taiwan		2,702,000		10,861
LONGi Green Energy Technology Co., Ltd. - Class A		China		2,011,108		27,651
Samsung Electronics Co., Ltd.		South Korea		655,892		47,001

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

Emerging Markets Equity Portfolio

Common Stocks (93.9%)

Country

Shares/

Par⁺

Value

$ (000’s)

Information Technology continued

Samsung SDI Co., Ltd.

South Korea

25,952

16,085

Taiwan Semiconductor Manufacturing Co., Ltd.

Taiwan

4,444,290

94,907

Tata Consultancy Services, Ltd.

India

537,665

24,240

Total

248,142

Materials (10.3%)

Anglo American Platinum, Ltd.

South Africa

107,387

12,404

Grupo Mexico SAB de CV

Mexico

1,889,682

8,907

LG Chem, Ltd.

South Korea

28,823

21,755

Mondi PLC

United
Kingdom

525,774

13,844

UltraTech Cement, Ltd.

India

142,589

12,987

Vale SA, ADR

Brazil

1,337,960

30,519

Yunnan Energy New Material Co., Ltd. - Class A

China

253,395

9,180

Total

109,596

Real Estate (1.4%)

China Resources Land, Ltd.

Cayman Islands

3,640,000

14,744

Total

14,744

Common Stocks (93.9%)

Country

Shares/

Par⁺

Value

$ (000’s)

Utilities (1.1%)

China Resources Gas Group, Ltd.

Bermuda

1,916,000

11,500

Total

11,500

Total Common Stocks

(Cost: $682,511)

1,000,248

Preferred Stocks (4.2%)

Information Technology (4.2%)

Samsung Electronics Co., Ltd.

South Korea

687,434

44,989

Total

44,989

Total Preferred Stocks

(Cost: $24,675)

44,989

Short-Term Investments (2.1%)

Money Market Funds (2.1%)

State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#

United States

22,132,091

22,132

Total

22,132

Total Short-Term Investments

(Cost: $22,132)

22,132

Total Investments (100.2%)

(Cost: $729,318)^@

1,067,369

Other Assets, Less

Liabilities (-0.2%)

(2,368

)

Net Assets (100.0%)

1,065,001


Investments Percentage by Country is based on Net Assets:
Cayman Islands	21.7	%
China	12.9	%
South Korea	12.1	%
Taiwan	10.7	%
India	10.1	%
Brazil	6.1	%
Other	26.6	%
Total	100.2	%

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

*	Non income producing

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $729,318 and the net unrealized appreciation of investments based on that cost was $338,051 which is comprised of $371,201 aggregate gross unrealized appreciation and $33,150 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.

Emerging Markets Equity Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	44,989	$	-	$	-
Common Stocks		1,000,248		-		-
Short-Term Investments		22,132		-		-
Total Assets:	$	1,067,369	$	-	$	-

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

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.

Government Money Market Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Money Market Investments (103.0%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (0.0%)
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.030% ^#		48,898		49

Total				49


Repurchase Agreements (31.5%)
Tri-Party Bank of Montreal, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $20,000,028, collateralized by various US Treasury obligations, 0.000% to 2.000%, due from 2/15/2029 to 2/15/2050, aggregate par and fair value of $23,206,878 and $20,400,087, respectively)		20,000,000		20,000
Tri-Party Bank of Nova Scotia, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $12,000,017, collateralized by various US Treasury obligations, 0.125% to 2.375%, due from 7/31/2022 to 2/15/2051, aggregate par and fair value of $11,651,546 and $12,240,047, respectively)		12,000,000		12,000
Tri-Party BNP Paribas, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $30,000,042, collateralized by various US Treasury obligations, 0.000% to 3.000%, due from 12/2/2021 to 8/15/2048, aggregate par and fair value of $39,154,153 and $30,600,001, respectively)		30,000,000		30,000
Tri-Party BNP Paribas, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $10,000,014, collateralized by various US government sponsored agency obligations, 1.625% to 6.500%, due from 12/15/2033 to 6/20/2051, aggregate par and fair value of $9,542,439 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party Citigroup Global Markets, Inc., 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $6,000,008, collateralized by various US Treasury obligations, 0.125% to 2.125%, due from 4/30/2022 to 10/15/2024, aggregate par and fair value of $5,684,366 and $6,120,004, respectively)		6,000,000		6,000
Tri-Party Citigroup Global Markets, Inc., 0.060%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $15,000,025, collateralized by US Treasury Note, 1.500%, due 9/30/2021, par and fair value of $15,244,639 and $15,300,038, respectively)		15,000,000		15,000


Money Market Investments (103.0%)	Shares/ Par⁺		Value $ (000’s)

Repurchase Agreements continued
Tri-Party Goldman Sachs Group LP, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $15,000,021, collateralized by US government sponsored agency, 4.000%, due 12/20/2049, par and fair value of $14,431,648 and $15,300,000, respectively)		15,000,000		15,000
Tri-Party Mitsubishi UFJ, 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $10,000,014, collateralized by various US Treasury obligations and various US government sponsored agency obligations, 0.000% to 4.375%, due from 12/29/2027 to 10/15/2060, aggregate par and fair value of $9,996,875 and $10,200,000, respectively)		10,000,000		10,000
Tri-Party Mizuho Securities, 0.055%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $22,000,034, collateralized by US Treasury Inflation Index Note, 0.125%, due 4/15/2026, par and fair value of $20,649,378 and $22,440,030, respectively)		22,000,000		22,000
Tri-Party Natixis S.A., 0.050%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $10,000,014, collateralized by various US Treasury obligations, 0.125% to 4.375%, due from 6/30/2023 to 2/15/2050, aggregate par and fair value of $10,081,897 and $10,200,001, respectively)		10,000,000		10,000
Tri-Party TD Securities, 0.060%, 7/1/21 (Purchased on 6/30/21, to be repurchased at $19,000,032, collateralized by various US government sponsored agency obligations, 0.065% to 0.090%, due from 12/21/2022 to 4/10/2023, aggregate par and fair value of $19,387,745 and $19,380,965, respectively)		19,000,000		19,000

Total				169,000


US Government & Agencies (71.5%)
Federal Farm Credit Bank, 0.000%, 7/1/21		5,645,000		5,645
Federal Farm Credit Bank, 0.000%, 8/31/21		1,520,000		1,520
Federal Farm Credit Bank, 0.000%, 9/22/21		3,580,000		3,579
Federal Farm Credit Bank, 0.000%, 11/16/21		3,660,000		3,659
Federal Farm Credit Bank, 0.000%, 11/17/21		4,305,000		4,304
Federal Farm Credit Bank, 0.100%, (US SOFR plus 0.050%), 5/5/22		3,000,000		3,000
Federal Farm Credit Bank, 0.100%, (US SOFR plus 0.050%), 2/17/23		2,270,000		2,270
Federal Farm Credit Bank, 0.110%, (US SOFR plus 0.060%), 1/20/23		550,000		550

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

Government Money Market Portfolio


Money Market Investments (103.0%)	Shares/ Par⁺		Value $ (000’s)
US Government & Agencies continued
Federal Farm Credit Bank, 0.125%, (US SOFR plus 0.075%), 11/3/22		1,050,000		1,050
Federal Farm Credit Bank, 0.135%, (US SOFR plus 0.085%), 10/7/22		1,985,000		1,985
Federal Farm Credit Bank, 0.145%, (US SOFR plus 0.095%), 9/2/22		2,535,000		2,535
Federal Farm Credit Bank, 0.165%, (US Treasury 3 Month Bill Money Market Yield plus 0.120%), 5/2/22		735,000		735
Federal Farm Credit Bank, 0.183%, (ICE LIBOR USD 1 Month plus 0.110%), 11/12/21		500,000		500
Federal Farm Credit Bank, 0.200%, (US Treasury 3 Month Bill Money Market Yield plus 0.150%), 12/13/21		1,195,000		1,194
Federal Farm Credit Bank, 0.230%, (US SOFR plus 0.180%), 1/14/22		1,940,000		1,940
Federal Farm Credit Bank, 0.240%, (US SOFR plus 0.190%), 11/18/21		835,000		835
Federal Farm Credit Bank, 0.240%, (US SOFR plus 0.190%), 7/14/22		1,630,000		1,630
Federal Farm Credit Bank, 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), 7/1/21		1,450,000		1,450
Federal Farm Credit Bank, 0.270%, (US Treasury 3 Month Bill Money Market Yield plus 0.225%), 7/8/21		1,015,000		1,015
Federal Farm Credit Bank, 0.280%, (US SOFR plus 0.180%), 7/20/22		5,575,000		5,574
Federal Home Loan Bank, 0.000%, 7/14/21		560,000		560
Federal Home Loan Bank, 0.000%, 7/28/21		1,265,000		1,265
Federal Home Loan Bank, 0.000%, 8/4/21		750,000		750
Federal Home Loan Bank, 0.000%, 8/11/21		1,090,000		1,090
Federal Home Loan Bank, 0.000%, 8/12/21		810,000		810
Federal Home Loan Bank, 0.000%, 9/17/21		3,610,000		3,610
Federal Home Loan Bank, 0.000%, 9/23/21		2,705,000		2,705
Federal Home Loan Bank, 0.000%, 9/29/21		13,015,000		13,013
Federal Home Loan Bank, 0.000%, 11/5/21		1,605,000		1,605
Federal Home Loan Bank, 0.040%, 10/15/21		1,100,000		1,100
Federal Home Loan Bank, 0.050%, 12/23/21		1,330,000		1,330
Federal Home Loan Bank, 0.060%, (US SOFR plus 0.010%), 3/28/22		385,000		385
Federal Home Loan Bank, 0.060%, (US SOFR plus 0.010%), 3/30/22		615,000		615
Federal Home Loan Bank, 0.065%, (US SOFR plus 0.015%), 12/10/21		10,000,000		10,000
Federal Home Loan Bank, 0.065%, (US SOFR plus 0.015%), 12/16/22		5,915,000		5,915
Federal Home Loan Bank, 0.115%, (US SOFR plus 0.065%), 4/28/22		945,000		945
Federal Home Loan Bank, 0.125%, (US SOFR plus 0.075%), 7/8/21		1,465,000		1,465
Federal Home Loan Bank, 0.125%, (US SOFR plus 0.075%), 7/23/21		950,000		950
Federal Home Loan Bank, 0.135%, (US SOFR plus 0.085%), 9/10/21		4,415,000		4,415
Federal Home Loan Bank, 0.170%, (US SOFR plus 0.120%), 2/28/22		2,695,000		2,695


Money Market Investments (103.0%)	Shares/ Par⁺		Value $ (000’s)
US Government & Agencies continued
Federal Home Loan Mortgage Corp., 0.115%, (US SOFR plus 0.065%), 11/10/22		1,605,000		1,605
Federal Home Loan Mortgage Corp., 0.230%, (US SOFR plus 0.180%), 12/13/21		2,275,000		2,275
Federal Home Loan Mortgage Corp., 0.240%, (US SOFR plus 0.190%), 6/2/22		6,140,000		6,140
Federal Home Loan Mortgage Corp., 0.370%, (US SOFR plus 0.320%), 9/23/21		3,065,000		3,065
Federal National Mortgage Association, 0.340%, (US SOFR plus 0.290%), 10/4/21		8,000,000		8,000
Federal National Mortgage Association, 0.350%, (US SOFR plus 0.300%), 4/28/22		5,000,000		5,000
Federal National Mortgage Association, 0.400%, (US SOFR plus 0.350%), 4/7/22		2,740,000		2,740
Federal National Mortgage Association, 0.440%, (US SOFR plus 0.390%), 4/15/22		3,090,000		3,090
Federal National Mortgage Association, 1.375%, 10/7/21		1,280,000		1,284
US Treasury, 0.000%, 7/1/21		3,835,000		3,835
US Treasury, 0.000%, 7/8/21		16,115,000		16,115
US Treasury, 0.000%, 7/13/21		20,000,000		20,000
US Treasury, 0.000%, 7/22/21		4,969,000		4,969
US Treasury, 0.000%, 7/27/21		9,600,000		9,600
US Treasury, 0.000%, 7/29/21		15,000,000		15,000
US Treasury, 0.000%, 8/5/21		55,000,000		54,998
US Treasury, 0.000%, 8/10/21		2,040,000		2,040
US Treasury, 0.000%, 8/12/21		2,190,000		2,190
US Treasury, 0.000%, 8/24/21		10,000,000		9,999
US Treasury, 0.000%, 9/30/21		12,000,000		11,998
US Treasury, 0.000%, 10/5/21		9,380,000		9,379
US Treasury, 0.000%, 10/19/21		1,140,000		1,140
US Treasury, 0.000%, 11/2/21		1,863,600		1,863
US Treasury, 0.000%, 11/4/21		2,760,700		2,759
US Treasury, 0.000%, 11/12/21		925,000		925
US Treasury, 0.000%, 12/2/21		12,398,500		12,393
US Treasury, 0.000%, 12/9/21		8,987,400		8,986
US Treasury, 0.000%, 12/16/21		10,233,000		10,231
US Treasury, 0.000%, 12/23/21		16,360,000		16,356
US Treasury, 0.000%, 12/30/21		14,155,000		14,147
US Treasury, 0.000%, 1/27/22		8,376,900		8,373
US Treasury, 0.099%, (US Treasury 3 Month Bill Money Market Yield plus 0.049%), 1/31/23		9,500,000		9,501
US Treasury, 0.125%, 6/30/22		410,000		410
US Treasury, 0.270%, (US Treasury 3 Month Bill Money Market Yield plus 0.220%), 7/31/21		2,000,000		2,000
US Treasury, 0.375%, 3/31/22		135,000		135
US Treasury, 1.750%, 2/28/22		135,000		136
US Treasury, 1.750%, 6/15/22		110,000		112
US Treasury, 2.125%, 5/15/22		920,000		936

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

Government Money Market Portfolio


Money Market Investments (103.0%)	Shares/ Par ⁺		Value $ (000’s)
US Government & Agencies continued
US Treasury, 2.500%, 2/15/22		130,000		132

Total				384,050


Total Money Market Investments
(Cost: $553,099)				553,099


Total Investments (103.0%)
(Cost: $553,099)				553,099

Other Assets, Less				(16,189	)

Liabilities (-3.0%)
Net Assets (100.0%)				536,910

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

#	7-Day yield as of 6/30/2021.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	49	$	-	$	-
All Others		-		553,050		-
Total Assets:	$	49	$	553,050	$	-

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

Short-Term Bond Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Corporate Bonds		49.2	%
Structured Products		32.5	%
Governments		14.5	%
Short-Term Investments & Other Net Assets		3.0	%
Municipal Bonds		0.8	%

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 risks that are associated with the underlying bonds owned by the Portfolio. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance. High yield bonds generally have greater price swings and higher default risks than investment grade bonds.

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

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

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

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (0.3%)
LYB International Finance III, LLC 1.250%, 10/1/25		380,000		379
Nucor Corp. 2.000%, 6/1/25		155,000		161
POSCO 2.375%, 11/12/22 144A		810,000		827

Total				1,367


Communications (3.1%)
AT&T, Inc. 0.900%, 3/25/24 b		1,060,000		1,062
Baidu, Inc. 2.875%, 7/6/22 b		405,000		414
3.500%, 11/28/22 b		345,000		358
Charter Communications Operating LLC /
Charter Communications Operating Capital Corp. 4.464%, 7/23/22 b		2,107,000		2,181
4.908%, 7/23/25 b		995,000		1,127
Comcast Corp. 3.100%, 4/1/25 b		125,000		135
3.700%, 4/15/24 b		460,000		499
Cox Communications, Inc. 3.150%, 8/15/24 144A		298,000		318
Crown Castle Towers LLC 3.720%, 7/15/43 144A		300,000		310
Expedia, Inc. 3.600%, 12/15/23 b		565,000		600
Fox Corp. 3.666%, 1/25/22		420,000		428
NBN Co. Ltd. 1.450%, 5/5/26 144A		1,000,000		1,002
NTT Finance Corp. 0.373%, 3/3/23 144A		660,000		660
0.583%, 3/1/24 144A		265,000		265
The Priceline Group, Inc. 2.750%, 3/15/23		150,000		156
Sky, Ltd. 3.750%, 9/16/24 144A		310,000		339
T-Mobile USA, Inc. 2.250%, 2/15/26		470,000		473
3.500%, 4/15/25		515,000		558
Verizon Communications, Inc. 0.750%, 3/22/24		405,000		407
0.850%, 11/20/25		500,000		494
1.450%, 3/20/26		650,000		656
3.376%, 2/15/25		230,000		250
WPP Finance 2010 3.625%, 9/7/22		140,000		145

Total				12,837


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Consumer Staples (0.2%)
China Mengniu Dairy Co., Ltd. 1.875%, 6/17/25 §		856,000		862

Total				862


Consumer, Cyclical (4.7%)
7-Eleven, Inc. 0.612%, (ICE LIBOR USD 3 Month plus 0.450%), 8/10/22 144A		180,000		180
0.625%, 2/10/23 144A		200,000		200
0.800%, 2/10/24 144A		325,000		324
American Airlines Pass Through Trust, Series 2017-2, Class B 3.700%, 4/15/27 b		268,222		260
AutoZone, Inc. 3.625%, 4/15/25 b		235,000		257
Daimler Finance North America LLC 1.750%, 3/10/23 144A		815,000		832
Ford Motor Credit Co. LLC 3.813%, 10/12/21		220,000		222
5.875%, 8/2/21		200,000		201
General Motors Co. 4.875%, 10/2/23		530,000		577
5.400%, 10/2/23		500,000		551
General Motors Financial Co., Inc. 2.900%, 2/26/25		845,000		894
Harley-Davidson Financial Services, Inc. 2.550%, 6/9/22 144A		210,000		213
4.050%, 2/4/22 144A		560,000		572
Hasbro, Inc. 2.600%, 11/19/22		395,000		406
3.000%, 11/19/24		525,000		559
Hyundai Capital America 0.800%, 1/8/24 144A		390,000		388
0.875%, 6/14/24 144A		510,000		507
1.150%, 11/10/22 144A		385,000		387
2.375%, 2/10/23 144A		865,000		888
2.850%, 11/1/22 144A		228,000		234
3.000%, 6/20/22 144A		470,000		481
3.950%, 2/1/22 144A		245,000		250
Marriott International, Inc. 3.125%, 2/15/23		170,000		175
3.600%, 4/15/24		585,000		624
McDonald’s Corp. 1.450%, 9/1/25		270,000		275
3.300%, 7/1/25		155,000		168
3.350%, 4/1/23		305,000		320
Nissan Motor Acceptance Corp. 2.600%, 9/28/22 144A		1,010,000		1,031
2.650%, 7/13/22 144A		120,000		122
3.650%, 9/21/21 144A		405,000		408
Nissan Motor Co., Ltd. 3.043%, 9/15/23 144A		525,000		547
Nordstrom Inc. 2.300%, 4/8/24 144A		85,000		85
O’Reilly Automotive, Inc. 3.800%, 9/1/22		195,000		201

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

Short-Term Bond Portfolio


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Panasonic Corp. 2.536%, 7/19/22 144A		335,000		342
QVC, Inc. 4.375%, 3/15/23		710,000		749
Ralph Lauren Corp. 1.700%, 6/15/22		100,000		101
Ross Stores, Inc. 0.875%, 4/15/26		245,000		240
4.600%, 4/15/25		1,100,000		1,242
Starbucks Corp. 2.700%, 6/15/22		205,000		209
Toyota Industries Corp. 3.110%, 3/12/22 144A		435,000		443
Toyota Motor Credit Corp. 2.650%, 4/12/22		875,000		892
United Airlines Pass Through Trust, Series 2019-2, Class B 3.500%, 11/1/29		161,242		160
Volkswagen Group of America Finance LLC 0.750%, 11/23/22 144A		360,000		361
0.875%, 11/22/23 144A		345,000		346
2.500%, 9/24/21 144A		200,000		201
2.700%, 9/26/22 144A		290,000		298
2.900%, 5/13/22 144A		200,000		204
3.125%, 5/12/23 144A		200,000		209

Total				19,336


Consumer, Non-cyclical (7.9%)
AbbVie, Inc. 2.600%, 11/21/24 b		1,935,000		2,040
2.900%, 11/6/22 b		775,000		801
3.200%, 11/6/22 b		85,000		88
3.250%, 10/1/22 b		80,000		82
3.450%, 3/15/22 b		265,000		269
Aetna, Inc. 2.800%, 6/15/23 b		275,000		286
AmerisourceBergen Corp. 0.737%, 3/15/23 b		1,050,000		1,052
Archer-Daniels-Midland Co. 2.750%, 3/27/25 b		240,000		256
Astrazeneca Finance LLC 0.700%, 5/28/24 b		575,000		574
1.200%, 5/28/26 b		805,000		802
AstraZeneca PLC 0.300%, 5/26/23 b		825,000		823
3.500%, 8/17/23 b		205,000		218
BAT International Finance PLC 1.668%, 3/25/26 b		475,000		475
Baxalta, Inc. 3.600%, 6/23/22 b		125,000		128
Bayer US Finance II LLC 3.875%, 12/15/23 144A		505,000		541
Becton Dickinson and Co. 2.894%, 6/6/22 b		1,127,000		1,152
3.363%, 6/6/24 b		695,000		745
3.734%, 12/15/24 b		110,000		120
Bristol-Myers Squibb Co. 2.900%, 7/26/24 b		268,000		286
3.250%, 2/20/23 b		91,000		95


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Bunge, Ltd. Finance Corp. 3.000%, 9/25/22 b		1,880,000		1,931
4.350%, 3/15/24 b		55,000		60
Cardinal Health, Inc. 2.616%, 6/15/22 b		34,000		35
3.079%, 6/15/24 b		310,000		329
3.200%, 3/15/23 b		395,000		412
3.500%, 11/15/24 b		525,000		565
Cargill, Inc. 1.375%, 7/23/23 144A		300,000		305
Cigna Corp. 0.613%, 3/15/24 b		190,000		190
3.000%, 7/15/23 b		320,000		335
3.750%, 7/15/23 b		179,000		191
Coca-Cola European Partners PLC 0.800%, 5/3/24 144A		1,135,000		1,131
CommonSpirit Health 1.547%, 10/1/25 b		365,000		368
CVS Health Corp. 2.625%, 8/15/24 b		150,000		158
3.700%, 3/9/23 b		164,000		173
Diageo Capital PLC 1.375%, 9/29/25 b		300,000		305
EMD Finance LLC 2.950%, 3/19/22 144A		190,000		193
Equifax, Inc. 1.026%, (ICE LIBOR USD 3 Month plus 0.870%), 8/15/21 b		285,000		285
3.600%, 8/15/21 b		275,000		276
Gilead Sciences, Inc. 0.750%, 9/29/23		1,115,000		1,115
Global Payments, Inc. 2.650%, 2/15/25		345,000		363
Health Care Service Corp., a Mutual Legacy Reserve Co. 1.500%, 6/1/25 144A		780,000		792
Humana, Inc. 2.900%, 12/15/22		140,000		145
3.150%, 12/1/22		150,000		155
3.850%, 10/1/24		355,000		385
4.500%, 4/1/25		565,000		633
IHS Markit, Ltd. 3.625%, 5/1/24		380,000		408
Imperial Brands Finance PLC 3.125%, 7/26/24 144A		245,000		258
3.500%, 2/11/23 144A		1,010,000		1,044
3.750%, 7/21/22 144A		2,059,000		2,113
Moody’s Corp. 3.750%, 3/24/25		505,000		554
PayPal Holdings, Inc. 1.350%, 6/1/23		710,000		723
PeaceHealth Obligated Group 1.375%, 11/15/25		105,000		106
Perrigo Company PLC 4.000%, 11/15/23		200,000		209
Perrigo Finance Unlimited Co. 3.900%, 12/15/24		2,160,000		2,326
Philip Morris International, Inc. 1.125%, 5/1/23		220,000		223

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

Short-Term Bond Portfolio


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Prosperous Ray, Ltd. 4.625%, 11/12/23 §		650,000		698
RELX Capital, Inc. 3.500%, 3/16/23		270,000		283
Royalty Pharma PLC 0.750%, 9/2/23 144A		425,000		426
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		1,005,000		1,052
Stryker Corp. 0.600%, 12/1/23		190,000		190
Thermo Fisher Scientific, Inc. 4.133%, 3/25/25		180,000		199
Tyson Foods, Inc. 2.250%, 8/23/21		280,000		280

Total				32,755


Diversified (0.2%)
CK Hutchison International 17 II, Ltd. 2.750%, 3/29/23 §		650,000		674

Total				674


Energy (6.9%)
Aker BP ASA 3.000%, 1/15/25 144A		445,000		467
BP Capital Markets America, Inc. 2.937%, 4/6/23 b		470,000		490
Canadian Natural Resources, Ltd. 2.050%, 7/15/25 b		760,000		781
Cenovus Energy, Inc. 3.000%, 8/15/22 b		1,125,000		1,148
3.800%, 9/15/23 b		305,000		322
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25 b		425,000		487
7.000%, 6/30/24 b		1,110,000		1,272
Diamondback Energy, Inc. 2.875%, 12/1/24 b		830,000		877
4.750%, 5/31/25 b		660,000		743
Enbridge, Inc. 0.420%, (US SOFR plus 0.400%), 2/17/23 b		205,000		205
2.500%, 1/15/25 b		565,000		592
4.000%, 10/1/23 b		365,000		390
Energy Transfer Operating LP 2.900%, 5/15/25 b		115,000		121
3.600%, 2/1/23 b		175,000		182
4.200%, 9/15/23 b		135,000		144
4.250%, 3/15/23 b		780,000		818
4.900%, 2/1/24 b		425,000		462
5.875%, 1/15/24 b		1,054,000		1,168
Eni SpA 4.000%, 9/12/23 144A		755,000		806
Enterprise Products Operating LLC 3.500%, 2/1/22 b		500,000		510
EOG Resources, Inc. 2.625%, 3/15/23 b		140,000		145
EQT Corp. 3.000%, 10/1/22 b		1,020,000		1,042
Equinor ASA 2.875%, 4/6/25 b		880,000		940


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Exxon Mobil Corp. 2.992%, 3/19/25 b		1,025,000		1,099
Florida Gas Transmission Co., LLC 3.875%, 7/15/22 144A		250,000		256
Gray Oak Pipeline LLC 2.000%, 9/15/23 144A		295,000		301
2.600%, 10/15/25 144A		205,000		211
Husky Energy, Inc. 3.950%, 4/15/22		470,000		478
Kinder Morgan Energy Partners LP 3.950%, 9/1/22		70,000		72
MPLX LP 1.223%, (ICE LIBOR USD 3 Month plus 1.100%), 9/9/22		380,000		380
Occidental Petroleum Corp. 2.600%, 8/13/21		430,000		430
Pioneer Natural Resources Co. 0.550%, 5/15/23		350,000		350
0.750%, 1/15/24		370,000		370
Plains All American Pipeline LP / PAA Finance Corp. 2.850%, 1/31/23		725,000		744
Reliance Industries, Ltd. 5.400%, 2/14/22 §		800,000		822
Sabine Pass Liquefaction LLC 5.625%, 4/15/23		890,000		956
6.250%, 3/15/22		1,300,000		1,333
Saudi Arabian Oil Co. 2.750%, 4/16/22 144A		805,000		819
Schlumberger Finance Canada, Ltd. 1.400%, 9/17/25		155,000		157
Schlumberger Holdings Corp. 3.750%, 5/1/24 144A		865,000		931
4.000%, 12/21/25 144A		170,000		189
Shell International Finance BV 2.375%, 4/6/25		570,000		599
Suncor Energy, Inc. 2.800%, 5/15/23		395,000		411
Sunoco Logistics Partners Operations LP 3.450%, 1/15/23		55,000		57
4.250%, 4/1/24		35,000		38
Valero Energy Corp. 1.200%, 3/15/24		380,000		383
2.700%, 4/15/23		810,000		840
3.650%, 3/15/25		110,000		120
Western Midstream Operating LP 4.000%, 7/1/22		800,000		813
The Williams Cos., Inc. 3.700%, 1/15/23		979,000		1,019
Williams Partners LP 3.350%, 8/15/22		95,000		97
4.300%, 3/4/24		145,000		158

Total				28,545


Financial (17.6%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.950%, 2/1/22 b		475,000		483
4.125%, 7/3/23 b		960,000		1,019
4.450%, 12/16/21 b		605,000		614
4.500%, 9/15/23 b		485,000		520
4.875%, 1/16/24 b		150,000		163

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

Short-Term Bond Portfolio


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
AIA Group, Ltd. 0.655%, (ICE LIBOR USD 3 Month plus 0.520%), 9/20/21 144A		765,000		765
Air Lease Corp. 2.250%, 1/15/23 b		360,000		370
3.500%, 1/15/22 b		265,000		269
American International Group, Inc. 2.500%, 6/30/25 b		650,000		686
4.875%, 6/1/22 b		335,000		349
American Tower Corp. 5.000%, 2/15/24 b		225,000		250
Aon Corp. 2.200%, 11/15/22 b		180,000		184
Avolon Holdings Funding, Ltd. 2.125%, 2/21/26 144A		610,000		607
2.875%, 2/15/25 144A		435,000		448
3.625%, 5/1/22 144A		670,000		685
3.950%, 7/1/24 144A		130,000		139
Banco Bilbao Vizcaya Argentaria SA 0.875%, 9/18/23 b		1,000,000		1,003
Banco del Estado de Chile 2.704%, 1/9/25 144A		260,000		270
Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico 4.125%, 11/9/22 §		775,000		805
Banco Santander SA 0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24 b		600,000		601
Bank of America Corp. 0.810%, (US SOFR plus 0.740%), 10/24/24 b		695,000		698
0.976%, (US SOFR plus 0.690%), 4/22/25 b		605,000		607
1.348%, (ICE LIBOR USD 3 Month plus 1.160%), 1/20/23 b		665,000		669
2.503%, 10/21/22 b		280,000		282
Bank of Ireland Group PLC 4.500%, 11/25/23 144A		1,340,000		1,448
Banque Federative du Credit Mutuel SA 0.650%, 2/27/24 144A		505,000		504
2.125%, 11/21/22 144A		630,000		645
Barclays Bank PLC 1.700%, 5/12/22 b		285,000		288
Barclays PLC 4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24 b		370,000		394
BDO Unibank, Inc. 2.950%, 3/6/23 §		800,000		826
BPCE SA 1.370%, (ICE LIBOR USD 3 Month plus 1.220%), 5/22/22 144A		280,000		283
5.700%, 10/22/23 144A		1,070,000		1,185
Brighthouse Financial Global Funding 0.600%, 6/28/23 144A		1,315,000		1,315
1.000%, 4/12/24 144A		495,000		496
Brixmor Operating Partnership LP 3.250%, 9/15/23 b		820,000		861


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Capital One Financial Corp. 3.200%, 1/30/23 b		345,000		359
3.500%, 6/15/23 b		245,000		259
3.900%, 1/29/24 b		240,000		259
CC Holdings GS V LLC 3.849%, 4/15/23 b		1,360,000		1,440
The Charles Schwab Corp. 4.200%, 3/24/25		525,000		587
Citigroup, Inc. 0.981%, (US SOFR plus 0.669%), 5/1/25 b		500,000		501
2.312%, (US SOFR plus 0.867%), 11/4/22 b		575,000		579
2.900%, 12/8/21 b		675,000		681
3.106%, (US SOFR plus 2.750%), 4/8/26 b		650,000		696
Citizens Bank NA 3.250%, 2/14/22 b		290,000		295
Cooperatieve Rabobank UA 3.950%, 11/9/22 b		1,190,000		1,246
Credit Agricole SA 1.196%, (ICE LIBOR USD 3 Month plus 1.020%), 4/24/23 144A		315,000		319
Credit Suisse AG 0.495%, 2/2/24 b		485,000		483
1.000%, 5/5/23 b		860,000		869
2.800%, 4/8/22 b		610,000		622
Credit Suisse Group AG 2.997%, (3 Month LIBOR plus 1.200%), 12/14/23 144A		500,000		516
Creditcorp, Ltd. 2.750%, 6/17/25 144A		200,000		203
Crown Castle International Corp. 1.050%, 7/15/26 b		615,000		601
Danske Bank A/S 1.226%, 6/22/24 144A		880,000		889
3.001%, (ICE LIBOR USD 3 Month plus 1.249%), 9/20/22 144A		725,000		729
5.000%, 1/12/22 144A		665,000		680
Discover Bank 3.200%, 8/9/21 b		470,000		470
Eastern Creation II Investment Holdings, Ltd. 1.000%, 9/10/23 §		900,000		898
Equitable Financial Life Global Funding 0.500%, 4/6/23 144A		1,145,000		1,147
First Niagara Financial Group, Inc. 7.250%, 12/15/21		245,000		253
The Goldman Sachs Group, Inc. 0.481%, 1/27/23		385,000		385
0.627%, (US SOFR plus 0.538%), 11/17/23		115,000		115
0.657%, (US SOFR plus 0.505%), 9/10/24		335,000		334
0.673%, (US SOFR plus 0.572%), 3/8/24		335,000		336
0.966%, (ICE LIBOR USD 3 Month plus 0.780%), 10/31/22		330,000		331
3.500%, 4/1/25		490,000		532
5.750%, 1/24/22		825,000		851
Highwoods Realty LP 3.625%, 1/15/23		740,000		765
HPHT Finance 17, Ltd. 2.750%, 9/11/22 §		520,000		532

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

Short-Term Bond Portfolio


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
HSBC Holdings PLC 0.976%, (US SOFR plus 0.708%), 5/24/25		210,000		210
1.645%, (US SOFR plus 1.538%), 4/18/26		910,000		922
2.099%, (US SOFR plus 1.929%), 6/4/26		810,000		832
ING Groep NV 1.296%, (ICE LIBOR USD 3 Month plus 1.150%), 3/29/22		335,000		338
JPMorgan Chase & Co. 0.824%, (US SOFR plus 0.540%), 6/1/25		560,000		559
0.902%, (US SOFR plus 0.885%), 4/22/27		350,000		354
2.083%, (US SOFR plus 1.850%), 4/22/26		890,000		920
KeyBank NA 1.250%, 3/10/23		580,000		589
LeasePlan Corp. NV 2.875%, 10/24/24 144A		200,000		210
Lincoln National Corp. 4.000%, 9/1/23		130,000		139
Lloyds Banking Group PLC 1.326%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 6/15/23		200,000		202
LSEGA Financing PLC 0.650%, 4/6/24 144A		765,000		764
Marsh & McLennan Cos., Inc. 3.875%, 3/15/24		345,000		374
Metropolitan Life Global Funding I 0.400%, 1/7/24 144A		430,000		429
Mitsubishi UFJ Financial Group, Inc. 1.070%, (ICE LIBOR USD 3 Month plus 0.920%), 2/22/22		390,000		392
3.218%, 3/7/22		535,000		546
Mizuho Financial Group Cayman 2 Ltd. 4.200%, 7/18/22 §		930,000		963
Morgan Stanley 0.529%, (US SOFR plus 0.455%), 1/25/24		450,000		450
0.560%, (US SOFR plus 0.466%), 11/10/23		640,000		641
0.731%, (US SOFR plus 0.616%), 4/5/24		560,000		561
2.750%, 5/19/22		485,000		496
4.100%, 5/22/23		160,000		170
4.875%, 11/1/22		375,000		396
Nasdaq, Inc. 0.445%, 12/21/22		415,000		415
Nationwide Building Society 3.622%, (ICE LIBOR USD 3 Month plus 1.181%), 4/26/23 144A		615,000		631
3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A		260,000		273
NatWest Group PLC 3.875%, 9/12/23		520,000		555
NatWest Markets PLC 0.800%, 8/12/24 144A		390,000		388
2.375%, 5/21/23 144A		640,000		662
New York Life Global Funding 0.495%, (ICE LIBOR USD 3 Month plus 0.320%), 8/6/21 144A		585,000		585
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		230,000		242
5.250%, 8/15/22 144A		375,000		392


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
PNC Bank NA 2.450%, 7/28/22		325,000		332
2.950%, 1/30/23		335,000		348
Principal Life Global Funding II 0.750%, 4/12/24 144A		530,000		530
Public Storage 0.487%, (US SOFR plus 0.470%), 4/23/24		280,000		280
QNB Finance Ltd. 3.500%, 3/28/24 §		880,000		938
SBA Tower Trust 1.631%, 5/15/51 144A		280,000		280
1.884%, 1/15/26 144A		160,000		162
2.836%, 1/15/25 144A		440,000		462
Simon Property Group LP 2.000%, 9/13/24		225,000		233
3.375%, 10/1/24		450,000		484
Standard Chartered PLC 0.991%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.780%), 1/12/25 144A		220,000		219
1.319%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.170%), 10/14/23 144A		455,000		459
1.338%, (ICE LIBOR USD 3 Month plus 1.150%), 1/20/23 144A		435,000		437
2.744%, (ICE LIBOR USD 3 Month plus 1.200%), 9/10/22 144A		670,000		673
3.950%, 1/11/23 144A		600,000		626
State Street Corp. 2.825%, (US SOFR plus 2.690%), 3/30/23		160,000		163
SunTrust Bank 2.800%, 5/17/22		480,000		490
Svenska Handelsbanken AB 0.550%, 6/11/24 144A		420,000		418
1.418%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.630%), 6/11/27 144A		400,000		399
Swedbank AB 1.300%, 6/2/23 144A		505,000		512
Synchrony Bank 3.000%, 6/15/22		250,000		256
Synchrony Financial 2.850%, 7/25/22		2,066,000		2,115
4.250%, 8/15/24		545,000		596
The Toronto-Dominion Bank 0.550%, 3/4/24		1,015,000		1,014
Trininty Acquisition PLC 3.500%, 9/15/21		315,000		316
Truist Financial Corp. 0.433%, (US SOFR plus 0.400%), 6/9/25		410,000		410
UBS Group AG 1.008%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.830%), 7/30/24 144A		620,000		624
1.370%, (ICE LIBOR USD 3 Month plus 1.220%), 5/23/23 144A		415,000		419
Wells Fargo & Co. 1.654%, (US SOFR plus 1.600%), 6/2/24		410,000		419
2.188%, (US SOFR plus 2.000%), 4/30/26		400,000		415
3.500%, 3/8/22		56,000		57

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

Short-Term Bond Portfolio


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Wells Fargo Bank NA 2.082%, (ICE LIBOR USD 3 Month plus 0.650%), 9/9/22		490,000		492
Western Union Co. 2.850%, 1/10/25		570,000		603
Yongda Investment, Ltd. 2.250%, 6/16/25 §		643,000		645

Total				72,919


Industrial (2.5%)
Amphenol Corp. 2.050%, 3/1/25 b		405,000		421
Avnet, Inc. 4.875%, 12/1/22 b		180,000		190
Boral Finance, Ltd. 3.000%, 11/1/22 144A		65,000		67
Carrier Global Corp. 2.242%, 2/15/25 b		835,000		868
Caterpillar Financial Services Corp. 0.411%, (ICE LIBOR USD 3 Month plus 0.280%), 9/7/21 b		285,000		285
2.950%, 2/26/22 b		495,000		504
CNH Industrial Capital LLC 3.875%, 10/15/21 b		460,000		464
DAE Funding LLC 1.550%, 8/1/24 144A		265,000		265
5.250%, 11/15/21 144A		305,000		307
Deere & Co. 2.750%, 4/15/25 b		195,000		208
GATX Corp. 3.900%, 3/30/23		360,000		380
General Electric Co. 3.450%, 5/15/24		240,000		257
Guangzhou Metro Investment Finance BVI, Ltd. 1.507%, 9/17/25 §		800,000		791
Heathrow Funding, Ltd. 4.875%, 7/15/23 144A		725,000		726
Honeywell International, Inc. 1.350%, 6/1/25		435,000		443
Martin Marietta Materials, Inc. 0.650%, 7/15/23		475,000		476
Otis Worldwide Corp. 2.056%, 4/5/25		485,000		504
Republic Services, Inc. 2.500%, 8/15/24		375,000		394
Roper Technologies, Inc. 0.450%, 8/15/22		100,000		100
1.000%, 9/15/25		115,000		114
2.350%, 9/15/24		165,000		173
3.125%, 11/15/22		660,000		680
3.650%, 9/15/23		125,000		134
Siemens Financieringsmaatschappij NV 0.650%, 3/11/24 144A		390,000		390
SMBC Aviation Capital Finance DAC 3.550%, 4/15/24 144A		200,000		212
4.125%, 7/15/23 144A		200,000		213


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
Sydney Airport Finance Co. Pty Ltd. 3.900%, 3/22/23 144A		643,000		677

Total				10,243


Real Estate (0.2%)
SBA Tower Trust 3.448%, 3/15/23 144A		775,000		790

Total				790


Technology (2.9%)
Analog Devices, Inc. 2.950%, 4/1/25 b		140,000		150
Fidelity National Information Services, Inc. 0.375%, 3/1/23		650,000		649
0.600%, 3/1/24		310,000		310
Fiserv, Inc. 2.750%, 7/1/24		800,000		844
Fortinet, Inc. 1.000%, 3/15/26		380,000		376
HCL America, Inc. 1.375%, 3/10/26 144A		1,000,000		994
International Business Machines Corp. 2.500%, 1/27/22		510,000		517
2.850%, 5/13/22		350,000		358
2.875%, 11/9/22		155,000		160
Microchip Technology, Inc. 0.972%, 2/15/24 144A		685,000		685
0.983%, 9/1/24 144A		560,000		557
2.670%, 9/1/23		640,000		667
Micron Technology, Inc. 2.497%, 4/24/23		1,335,000		1,380
4.640%, 2/6/24		410,000		449
NXP BV / NXP Funding LLC 3.875%, 9/1/22 144A		665,000		690
4.625%, 6/1/23 144A		945,000		1,016
NXP BV / NXP Funding LLC / NXP USA, Inc. 2.700%, 5/1/25 144A		90,000		95
Oracle Corp. 2.400%, 9/15/23		745,000		772
2.500%, 4/1/25		1,250,000		1,313
Skyworks Solutions, Inc. 0.900%, 6/1/23		175,000		175

Total				12,157


Utilities (2.7%)
AES Corp. 3.300%, 7/15/25 144A		365,000		390
American Electric Power Co., Inc. 3.650%, 12/1/21 b		85,000		86
Edison International 2.950%, 3/15/23 b		310,000		320
3.125%, 11/15/22 b		290,000		299
Enel Finance International NV 2.650%, 9/10/24 144A		200,000		210
2.750%, 4/6/23 144A		260,000		270
2.875%, 5/25/22 144A		835,000		853
4.250%, 9/14/23 144A		1,035,000		1,115
FirstEnergy Corp. 3.350%, 7/15/22		320,000		325

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

Short-Term Bond Portfolio


Corporate Bonds (49.2%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Hero Asia Investment, Ltd. 1.500%, 11/18/23 §		950,000		950
Korea Hydro & Nuclear Power Co., Ltd. 1.250%, 4/27/26 144A		795,000		791
NextEra Energy Capital Holdings, Inc. 0.685%, (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		288
Pacific Gas & Electric Co. 3.500%, 6/15/25		555,000		582
San Diego Gas & Electric Co. 1.914%, 2/1/22		30,716		31
Saudi Electricity Global Sukuk Co. 2 3.473%, 4/8/23 §		800,000		837
Sempra Energy 2.875%, 10/1/22		265,000		271
Sinosing Services Pte, Ltd. 2.250%, 2/20/25 §		1,000,000		1,018
Southern California Edison Co. 2.400%, 2/1/22		180,000		182
Vistra Operations Co. LLC 3.550%, 7/15/24 144A		1,445,000		1,526

Total				10,954


Total Corporate Bonds
(Cost: $199,453)				203,439


Governments (14.5%)

Governments (14.5%)
US Treasury 0.125%, 10/31/22		6,820,000		6,817
0.125%, 11/30/22		13,390,000		13,381
0.125%, 12/31/22		1,935,000		1,933
0.125%, 1/31/23		5,450,000		5,445
0.125%, 3/31/23		1,000,000		999
0.125%, 4/30/23		22,860,000		22,817
0.125%, 5/31/23		2,250,000		2,245
0.125%, 6/30/23		6,170,000		6,155

Total				59,792


Total Governments				59,792

(Cost: $59,823)

Municipal Bonds (0.8%)

Municipal Bonds (0.8%)
Chicago Transit Authority 1.708%, 12/1/22 RB b		20,000		20
1.838%, 12/1/23 RB b		20,000		20
2.064%, 12/1/24 RB b		55,000		57
City of Houston TX Airport System Revenue 0.883%, 7/1/22 RB b		40,000		40
1.054%, 7/1/23 RB b		65,000		66
1.272%, 7/1/24 RB b		215,000		218
Dallas/Fort Worth International Airport 1.329%, 11/1/25 RB b		110,000		111
Florida State Board of Administration Finance Corp. 1.258%, 7/1/25 RB		735,000		742
Long Island Power Authority 0.764%, 3/1/23 RB		160,000		161


Municipal Bonds (0.8%)	Shares/ Par⁺		Value $ (000’s)

Municipal Bonds continued
Port Authority of New York & New Jersey 1.086%, 7/1/23 RB		625,000		633
State of Connecticut 1.998%, 7/1/24 GO		125,000		130
2.000%, 7/1/23 GO		50,000		52
2.098%, 7/1/25 GO		85,000		89
State of Illinois 2.250%, 10/1/22 GO		885,000		893


Total Municipal Bonds
(Cost: $3,190)				3,232


Structured Products (32.5%)

Asset Backed Securities (14.3%)
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C 2.710%, 8/18/22 b		6,921		7
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class D 3.130%, 1/18/23 b		620,000		625
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C 2.690%, 6/19/23 b		122,355		123
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class D 3.820%, 3/18/24 b		790,000		821
Americredit Automobile Receivables Trust, Series 2018-3, Class A3 3.380%, 7/18/23 b		172,052		173
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130%, 7/18/25 b		240,000		245
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C 1.590%, 10/20/25 b		320,000		325
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D 1.800%, 12/18/25 b		315,000		322
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C 1.060%, 8/18/26 b		245,000		247
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C 0.890%, 10/19/26 b		430,000		429
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D 1.210%, 12/18/26 b		270,000		269
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class D 1.290%, 6/18/27 b		575,000		580
Applebee’s Funding LLC / IHOP Funding LLC, Series 2019-1A, Class A2I 4.194%, 6/7/49 144A		585,575		600
Ares CLO, Ltd., Series 2020-57A, Class A 1.496%, (ICE LIBOR USD 3 Month plus 1.320%), 10/25/31 144A		495,000		495
ARI Fleet Lease Trust, Series 2017-A, Class A3 2.280%, 4/15/26 144A		236,495		237

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
ARI Fleet Lease Trust, Series 2020-A, Class B 2.060%, 11/15/28 144A		345,000		352
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A 2.970%, 3/20/24 144A		425,000		441
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class B 3.330%, 3/20/24 144A		435,000		450
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class C 4.950%, 3/20/25 144A		195,000		211
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class B 3.700%, 3/20/23 144A		120,000		122
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A 3.350%, 9/22/25 144A		340,000		365
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A 2.330%, 8/20/26 144A		250,000		261
Babson CLO, Ltd., Series 2017-IA, Class AR 0.988%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A		651,270		652
Bayview Mortgage Fund IVc Trust, Series 2017-RT3, Class A 3.500%, (AFC), 1/28/58 144A		351,311		355
Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL5, Class A 3.500%, (AFC), 6/28/57 144A		306,579		314
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A 3.500%, (AFC), 1/28/55 144A		103,914		107
BlueMountain CLO, Series 2015-2, Class A 1.120%, (ICE LIBOR USD 3 Month plus 0.930%), 7/18/27 144A		344,466		345
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280%, 9/26/33 144A		171,920		180
Capital Auto Receivables Asset Trust, Series 2017-1, Class C 2.700%, 9/20/22 144A		77,918		78
Capital Auto Receivables Asset Trust, Series 2018-1, Class D 3.700%, 6/20/25 144A		575,000		581
Capital Auto Receivables Asset Trust, Series 2018-2, Class C 3.690%, 12/20/23 144A		122,108		122
Carlyle Global Market Strategies, Series 2015-3A, Class A1R 1.184%, (ICE LIBOR USD 3 Month plus 1.000%), 7/28/28 144A		346,419		346
CarMax Auto Owner Trust, Series 2017-4, Class C 2.700%, 10/16/23 b		95,000		96
CarMax Auto Owner Trust, Series 2019-2, Class B 3.010%, 12/16/24 b		455,000		474
CarMax Auto Owner Trust, Series 2019-4, Class A4 2.130%, 7/15/25 b		345,000		357


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
CarMax Auto Owner Trust, Series 2020-1, Class B 2.210%, 9/15/25 b		430,000		444
CarMax Auto Owner Trust, Series 2020-1, Class C 2.340%, 11/17/25 b		190,000		196
CarMax Auto Owner Trust, Series 2020-4, Class D 1.750%, 4/15/27 b		300,000		303
Cayuga Park CLO, Ltd., Series 2020-1A, Class A 1.790%, (ICE LIBOR USD 3 Month plus 1.600%), 7/17/31 144A		550,000		550
Cedar Funding, Ltd., Series 2021-14A, Class A 1.225%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A		695,000		693
CIFC Funding, Ltd., Series 2014-2RA, Class A1 1.226%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A		915,000		915
CIFC Funding, Ltd., Series 2020-1A, Class A1 1.884%, (ICE LIBOR USD 3 Month plus 1.700%), 7/15/32 144A		655,000		655
CIFC Funding, Ltd., Series 2020-3A, Class A1 1.538%, (ICE LIBOR USD 3 Month plus 1.350%), 10/20/31 144A		435,000		436
CIFC Funding, Ltd., Series 2021-4A, Class A 1.238%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A		905,000		904
CNH Equipment Trust, Series 2020-A, Class A4 1.510%, 4/15/27 b		260,000		266
Daimler Trucks Retail Trust, Series 2020-1, Class A4 1.370%, 6/15/27 b		855,000		862
Drive Auto Receivables Trust, Series 2020-1, Class C 2.360%, 3/16/26 b		380,000		387
Dryden Senior Loan Fund, Series 2020- 86A, Class A 1.840%, (ICE LIBOR USD 3 Month plus 1.650%), 7/17/30 144A		895,000		896
Dryden Senior Loan Fund, Series 2020-86A, Class AR1 1.260%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A		610,000		610
Elara HGV Timeshare Issuer, Series 2017-A, Class A 2.690%, 3/25/30 144A		62,696		64
Elara HGV Timeshare Issuer, Series 2019-A, Class A 2.610%, 1/25/34 144A		147,354		152
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 3.140%, 2/20/24 144A		16,347		16
Enterprise Fleet Financing LLC, Series 2019-1, Class A2 2.980%, 10/22/24 144A		90,229		91

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Enterprise Fleet Financing LLC, Series 2019-3, Class A2 2.060%, 5/20/25 144A		219,907		223
Exeter Automobile Receivables Trust, Series 2021-2A, Class C 0.980%, 6/15/26 b		265,000		266
Ford Credit Auto Owner Trust, Series 2020- 2, Class C 1.740%, 4/15/33 144A		310,000		311
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C 1.420%, 9/15/25		440,000		445
GM Financial Automobile Leasing Trust, Series 2020-2, Class C 2.560%, 7/22/24		265,000		273
GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C 1.050%, 5/18/26		225,000		226
GM Financial Securitized Term, Series 2017- 3A, Class C 2.520%, 3/16/23 144A		475,000		476
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A 2.700%, 4/15/24 144A		355,000		362
Golub Capital Partners CLO, Series 2018- 39A, Class A1 1.338%, (ICE LIBOR USD 3 Month plus 1.150%), 10/20/28 144A		392,479		393
GS Mortgage Securities Trust, Series 2020- 2, Class A3 1.490%, 12/16/24		160,000		162
Hardee’s Funding LLC, Series 2018-1A, Class A21I 4.959%, 6/20/48 144A		306,338		325
Hilton Grand Vacations Trust, Series 2017- AA, Class A 2.660%, 12/26/28 144A		651,669		667
Hilton Grand Vacations Trust, Series 2017- AA, Class B 2.960%, (EXE), 12/26/28 144A		142,205		145
Hilton Grand Vacations Trust, Series 2020- AA, Class A 2.740%, 2/25/39 144A		204,621		212
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A3 1.410%, 11/15/24		350,000		355
Hyundai Auto Receivables Trust, Series 2019-A, Class B 2.940%, 5/15/25		325,000		337
KKR Financial CLO, Ltd., Series 2013, Class A1R 0.984%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A		543,129		542
KKR Financial CLO, Ltd., Series 2029, Class A 1.341%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A		1,000,000		1,000
Kubota Credit Owner Trust, Series 2020-1A, Class A3 1.960%, 3/15/24 144A		185,000		189


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Madison Park Funding XXIII, Ltd. 1.095%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A		715,000		714
1.675%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A		460,000		459
Madison Park Funding, Ltd., Series 2015- 18A, Class A1R 1.376%, (ICE LIBOR USD 3 Month plus 1.190%), 10/21/30 144A		690,000		690
Magnetite CLO, Ltd., Series 2020-25A, Class A 1.455%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A		405,000		406
Magnetite XVI, Ltd., Series 2015-16A, Class AR 0.990%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A		948,821		949
MetLife Securitization Trust, Series 2017-1A, Class A 3.000%, (AFC), 4/25/55 144A		124,707		127
Mill City Mortgage Loan Trust, Series 2016- 1, Class A1 2.500%, (AFC), 4/25/57 144A		14,989		15
Mill City Mortgage Loan Trust, Series 2017- 2, Class A1 2.750%, (AFC), 7/25/59 144A		162,521		165
MVW Owner Trust, Series 2017-1A, Class A 2.420%, 12/20/34 144A		228,977		234
MVW Owner Trust, Series 2017-1A, Class B 2.750%, 12/20/34 144A		24,103		25
MVW Owner Trust, Series 2017-1A, Class C 2.990%, 12/20/34 144A		26,513		27
MVW Owner Trust, Series 2019-2A, Class A 2.440%, 10/20/38 144A		136,076		138
MVW Owner Trust, Series 2020-1A, Class A 1.740%, 10/20/37 144A		241,838		246
MVW Owner Trust, Series 2021-1WA, Class C 1.940%, 1/22/41 144A		181,285		182
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		428,118		439
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		292,752		305
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A 2.640%, 5/15/68 144A		606,807		620
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A		380,000		392
Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A 2.150%, 11/15/68 144A		1,205,000		1,238
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A		353,615		357
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		223,709		225

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Navient Student Loan Trust, Series 2019-2A, Class A1 0.362%, (ICE LIBOR USD 1 Month plus 0.270%), 2/27/68 144A		40,341		40
Navient Student Loan Trust, Series 2019- GA, Class A 2.400%, 10/15/68 144A		848,243		866
Navient Student Loan Trust, Series 2020- HA, Class A 1.310%, 1/15/69 144A		130,331		131
Navient Student Loan Trust, Series 2021- BA, Class A 0.940%, 7/15/69 144A		565,922		566
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class A 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 7/25/25 144A		395,000		398
Nelnet Student Loan Trust, Series 2020-1A, Class A 0.832%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A		160,835		160
Neuberger Berman CLO, Ltd., Series 2019- 32A, Class AR 1.180%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A		955,000		955
Neuberger Berman CLO, Ltd., Series 2020- 38A, Class A 1.488%, (ICE LIBOR USD 3 Month plus 1.300%), 10/20/32 144A		455,000		456
Neuberger Berman CLO, Ltd., Series 2021- 40A, Class A 1.248%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A		270,000		271
Nissan Auto Lease Trust, Series 2020-A, Class A3 1.380%, 12/16/24		205,000		208
Nissan Master Owner Trust Receivables, Series 2019-A, Class A 0.633%, (ICE LIBOR USD 1 Month plus 0.560%), 2/15/24		650,000		652
Nissan Master Owner Trust Receivables, Series 2019-B, Class A 0.503%, (ICE LIBOR USD 1 Month plus 0.430%), 11/15/23		785,000		786
OZLM VIII, Ltd., Series 2014-8A, Class A1RR 1.360%, (ICE LIBOR USD 3 Month plus 1.170%), 10/17/29 144A		481,213		481
Palmer Square CLO, Ltd., Series 2020-2A, Class A1A 1.884%, (ICE LIBOR USD 3 Month plus 1.700%), 7/15/31 144A		390,000		390
Reese Park CLO, Ltd., Series 2020-1A, Class A1 1.504%, (ICE LIBOR USD 3 Month plus 1.320%), 10/15/32 144A		445,000		445
Santander Drive Auto Receivables Trust, Series 2019-1, Class C 3.420%, 4/15/25		245,674		248


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Santander Drive Auto Receivables Trust, Series 2019-2, Class B 2.790%, 1/16/24		71,278		71
Santander Drive Auto Receivables Trust, Series 2019-3, Class B 2.280%, 9/15/23		152,469		153
Santander Drive Auto Receivables Trust, Series 2019-C, Class A3 1.860%, 2/21/23 144A		295,000		298
Santander Drive Auto Receivables Trust, Series 2019-C, Class B 2.170%, 11/20/23 144A		215,000		219
Santander Drive Auto Receivables Trust, Series 2019-C, Class C 2.390%, 11/20/23 144A		360,000		367
Santander Drive Auto Receivables Trust, Series 2019-C, Class D 2.880%, 6/20/24 144A		425,000		437
Santander Drive Auto Receivables Trust, Series 2020-3, Class B 0.690%, 3/17/25		650,000		652
Santander Drive Auto Receivables Trust, Series 2020-4, Class C 1.010%, 1/15/26		400,000		402
Santander Drive Auto Receivables Trust, Series 2020-BA, Class C 1.290%, 4/15/26 144A		650,000		656
Santander Retail Auto Lease Trust, Series 2019-A, Class A3 2.770%, 6/20/22 144A		208,079		209
Santander Retail Auto Lease Trust, Series 2019-A, Class C 3.300%, 5/22/23 144A		330,000		335
Santander Retail Auto Lease Trust, Series 2019-B, Class C 2.770%, 8/21/23 144A		305,000		311
Santander Retail Auto Lease Trust, Series 2020-A, Class D 2.520%, 11/20/24 144A		320,000		329
Santander Retail Auto Lease Trust, Series 2021-A, Class C 1.140%, 3/20/26 144A		1,030,000		1,028
Santander Retail Auto Lease Trust, Series 2021-B, Class D 1.410%, 11/20/25 144A		440,000		438
Sierra Receivables Funding Co. LLC, Series 2016-3A, Class A 2.430%, 10/20/33 144A		73,761		74
3.510%, 7/20/37 144A		180,487		186
Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A 2.910%, 3/20/34 144A		143,728		145
Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		92,678		96
Sierra Receivables Funding Co. LLC, Series 2019-2, Class A 2.590%, 5/20/36 144A		308,415		316
Sierra Receivables Funding Co. LLC, Series 2019-3, Class A 2.340%, 7/15/38 144A		777,416		796

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
SLM Student Loan Trust, Series 2007-7, Class A4 0.506%, (ICE LIBOR USD 3 Month plus 0.330%), 1/25/22		166,608		163
SLM Student Loan Trust, Series 2008-1, Class A4 0.826%, (ICE LIBOR USD 3 Month plus 0.650%), 1/25/22		498,071		483
SMB Private Education Loan Trust, Series 2014-A, Class A3 1.573%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A		665,000		671
SMB Private Education Loan Trust, Series 2015-A, Class A2B 1.073%, (ICE LIBOR USD 1 Month plus 1.000%), 6/15/27 144A		37,293		37
SMB Private Education Loan Trust, Series 2016-C, Class A2B 1.201%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		348,343		351
SMB Private Education Loan Trust, Series 2018-B, Class A2A 3.600%, 1/15/37 144A		204,654		217
SMB Private Education Loan Trust, Series 2018-B, Class A2B 0.821%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A		489,708		491
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		207,722		208
SMB Private Education Loan Trust, Series 2021-BA, Class 144A 1.310%, 7/17/51 144A		1,010,000		1,006
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		1,460,000		1,471
Symphony CLO XXVI, Ltd., Series 2021- 26A, Class AR 1.189%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A		285,000		285
Towd Point Mortgage Trust, Series 2015-1, Class A1 3.000%, (AFC), 1/28/58 144A		117,932		121
Towd Point Mortgage Trust, Series 2015-5, Class A1B 2.750%, (AFC), 5/25/55 144A		5,944		6
Towd Point Mortgage Trust, Series 2016-1, Class A1B 2.750%, (AFC), 2/25/55 144A		10,121		10
Towd Point Mortgage Trust, Series 2016-1, Class A3B 3.000%, (AFC), 2/25/55 144A		37,891		38
Towd Point Mortgage Trust, Series 2016-2, Class A1A 2.750%, (AFC), 8/25/55 144A		24,890		25
Towd Point Mortgage Trust, Series 2016-3, Class A1 2.250%, (AFC), 4/25/56 144A		13,388		13
Towd Point Mortgage Trust, Series 2017-1, Class A1 2.750%, (AFC), 10/25/56 144A		141,535		144


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Towd Point Mortgage Trust, Series 2017-2, Class A1 2.750%, (AFC), 4/25/57 144A		91,713		93
Towd Point Mortgage Trust, Series 2017-3, Class A1 2.750%, (AFC), 7/25/57 144A		224,250		229
Towd Point Mortgage Trust, Series 2017-4, Class A1 2.750%, (AFC), 6/25/57 144A		137,013		141
Towd Point Mortgage Trust, Series 2017-6, Class A1 2.750%, (AFC), 10/25/57 144A		503,161		515
Towd Point Mortgage Trust, Series 2018-2, Class A1 3.250%, (AFC), 3/25/58 144A		672,557		697
Towd Point Mortgage Trust, Series 2018-5, Class A1A 3.250%, (AFC), 8/25/58 144A		455,094		464
Verizon Owner Trust, Series 2018-1A, Class C 3.200%, 9/20/22 144A		450,000		451
Volvo Financial Equipment LLC, Series 2018-1A, Class B 2.910%, 1/17/23 144A		210,000		212
World Omni Auto Receivables Trust, Series 2019-C, Class C 2.400%, 6/15/26		380,000		391
World Omni Auto Receivables Trust, Series 2020-A, Class C 1.640%, 8/17/26		225,000		229
World Omni Select Auto Trust, Series 2020- A, Class B 0.840%, 6/15/26		270,000		270
World Omni Select Auto Trust, Series 2020- A, Class C 1.250%, 10/15/26		310,000		312

Total				59,324


Mortgage Securities (18.2%)
Angel Oak Mortgage Trust LLC, Series 2019-4, Class A 3.301%, (AFC), 7/26/49 144A		223,057		225
Angel Oak Mortgage Trust LLC, Series 2019-2, Class A1 3.628%, (AFC), 3/25/49 144A		137,115		139
Angel Oak Mortgage Trust LLC, Series 2019-2, Class M1 4.065%, (AFC), 3/25/49 144A		270,000		273
Angel Oak Mortgage Trust LLC, Series 2020-3, Class A1 1.691%, (AFC), 4/25/65 144A		412,102		416
Angel Oak Mortgage Trust LLC, Series 2020-3, Class A3 2.872%, (AFC), 4/25/65 144A		153,769		156
Angel Oak Mortgage Trust LLC, Series 2020-5, Class A2 1.579%, (AFC), 5/25/65 144A		227,121		228
Angel Oak Mortgage Trust LLC, Series 2020-6, Class A1 1.261%, (AFC), 5/25/65 144A		292,533		293

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Angel Oak Mortgage Trust LLC, Series 2021-1, Class A1 0.909%, (AFC), 1/25/66 144A		805,848		804
Angel Oak Mortgage Trust LLC, Series 2021-1, Class A2 1.115%, (AFC), 1/25/66 144A		235,753		235
Angel Oak Mortgage Trust LLC, Series 2021-2, Class A1 0.985%, (AFC), 4/25/66 144A		600,127		600
Angel Oak Mortgage Trust LLC, Series 2021-2, Class A2 1.190%, (AFC), 4/25/66 144A		189,271		189
Atrium Hotel Portfolio Trust, Series 2017- ATRM, Class A 1.003%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A		520,000		520
Austin Fairmont Hotel Trust , Series 2019- FAIR, Class A 1.123%, (ICE LIBOR USD 1 Month plus 1.050%), 9/15/32 144A		545,000		545
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A 0.923%, (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 b		25,488		26
BANK, Series 2017-BNK4, Class A1 2.002%, 5/15/50 b		67,808		68
BANK, Series 2019-BNK24, Class A1 2.056%, 11/15/62 b		185,645		189
Beneria Cowen & Pritzer Collateral Funding Corp. 0.899%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A		290,000		289
BX Commercial Mortgage Trust, Series 2019-XL, Class A 0.993%, (ICE LIBOR USD 1 Month plus 0.920%), 10/15/36 144A		307,790		308
BX Commercial Mortgage Trust, Series 2020-BXLP, Class C 1.193%, (ICE LIBOR USD 1 Month plus 1.120%), 12/15/36 144A		349,376		349
BX Commercial Mortgage Trust, Series 2020-BXLP, Class D 1.323%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/36 144A		334,818		335
BX Trust, Series 2018-GW, Class A 0.873%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A		1,095,000		1,097
BX Trust, Series 2019-XL, Class B 1.153%, (ICE LIBOR USD 1 Month plus 1.080%), 10/15/36 144A		339,475		340
BX Trust, Series 2021-SOAR, Class D 1.500%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A		375,000		375
BX Trust, Series 2021-VIEW, Class A 1.430%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/23 144A		255,000		255


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
CD Commercial Mortgage Trust, Series 2017-CD3, Class A1 1.965%, 2/10/50 b		10,990		11
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D 1.723%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A		660,000		659
CIM Trust, Series 2020-INV1, Class A2 2.500%, (AFC), 4/25/50 144A		483,907		492
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B 3.635%, (CSTR), 5/10/35 144A		435,000		451
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C 3.635%, (CSTR), 5/10/35 144A		255,000		261
Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1 2.720%, (AFC), 7/25/49 144A		182,918		185
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A3 2.500%, 8/25/50 144A		533,685		540
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A4 2.500%, (AFC), 8/25/50 144A		741,230		752
Cold Storage Trust, Series 2020-ICE5, Class B 1.373%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A		953,501		956
COLT Funding LLC, Series 2020-3, Class A1 1.506%, (AFC), 4/27/65 144A		135,384		136
COLT Mortgage Loan Trust, Series 2019-3, Class A1 2.764%, (AFC), 8/25/49 144A		220,956		221
COLT Mortgage Loan Trust, Series 2021-1, Class A2 1.167%, (AFC), 6/25/66 144A		418,841		418
COMM Mortgage Trust, Series 2013-300P, Class A1 4.353%, 8/10/30 144A		275,000		291
COMM Mortgage Trust, Series 2020-CBM, Class D 3.754%, (CSTR), 11/13/39 144A		235,000		229
Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class B 4.815%, (CSTR), 2/10/47 b		435,000		472
Commercial Mortgage Pass Through Certificates, Series 2014-CR19, Class D 4.865%, (CSTR), 8/10/47 144A		185,000		183
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class B 4.701%, 3/10/47 b		480,000		517
Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class A4 3.838%, 9/10/47 b		630,000		683
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class C 4.244%, (CSTR), 3/10/48 b		440,000		469
Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class B 3.926%, (AFC), 3/10/48 b		235,000		253

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2 3.221%, 10/10/48 b		413,221		417
Commercial Mortgage Pass Through Certificates, Series 2017-COR2, Class A1 2.111%, 9/10/50 b		60,877		61
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class C 1.503%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A		515,000		517
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A		405,000		406
Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class A 2.256%, 8/15/37 144A		205,000		212
Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class D 3.828%, (CSTR), 8/15/37 144A		445,000		467
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4 3.718%, 8/15/48 b		305,000		333
CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A1 2.024%, 9/15/50 b		26,021		26
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A1 2.360%, 6/15/52 b		199,210		204
Deephaven Residential Mortgage Trust, Series 2019-3A, Class A1 2.964%, (AFC), 7/25/59 144A		243,371		244
Deephaven Residential Mortgage Trust, Series 2021-1A, Class A3 1.128%, (AFC), 5/25/65 144A		225,121		225
Deephaven Residential Mortgage Trust, Series 2021-2, Class A1 0.899%, (AFC), 4/25/66 144A		200,906		201
Deephaven Residential Mortgage Trust, Series 2021-2, Class A3 1.260%, (AFC), 4/25/66 144A		225,407		225
Ellington Financial Mortgage Trust, Series 2019-2, Class A3 3.046%, (AFC), 11/25/59 144A		141,732		144
Ellington Financial Mortgage Trust, Series 2020-1, Class A1 2.006%, (AFC), 6/25/65 144A		393,498		398
Ellington Financial Mortgage Trust, Series 2021-1, Class A1 0.797%, (AFC), 2/25/66 144A		176,142		176
Ellington Financial Mortgage Trust, Series 2021-1, Class A3 1.106%, (AFC), 2/25/66 144A		146,069		146
Ellington Financial Mortgage Trust, Series 2021-2, Class A1 0.931%, (AFC), 6/25/66 144A		265,551		265
Ellington Financial Mortgage Trust, Series 2021-2, Class A3 1.291%, (AFC), 6/25/66 144A		255,716		255


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Extended Stay America Trust, Series 2021- ESH, Class C 1.000%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A		480,000		482
FDIC Guaranteed Notes Trust, Series 2010- S2, Class 2A 2.570%, 7/29/47 144A		8,566		9
Federal Home Loan Bank 4.000%, 12/1/49 b		145,300		158
4.500%, 5/1/50 b		107,765		117
Federal Home Loan Mortgage Corp. 2.000%, 1/1/36 b		845,307		874
3.000%, 11/1/34 b		55,606		59
3.500%, 3/1/46 b		49,249		53
3.500%, 12/1/47 b		510,465		540
5.000%, 12/1/41 b		197,464		219
5.500%, 5/1/22 b		5,777		6
6.000%, 9/1/34 b		1,311		2
6.000%, 2/1/35 b		30,733		36
6.000%, 9/1/35 b		9,586		11
6.000%, 1/1/38 b		2,310		3
7.000%, 3/1/39 b		62,304		72
7.500%, 6/1/38 b		60,414		70
Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1 4.092%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24 b		115,736		118
Federal Home Loan Mortgage Corp., Series 2016-DNA2, Class M3 4.742%, (ICE LIBOR USD 1 Month plus 4.650%), 10/25/28 b		327,759		342
Federal Home Loan Mortgage Corp., Series 2016-DNA3, Class M3 4.792%, (ICE LIBOR USD 1 Month plus 4.700%), 4/25/28 b		430,274		445
Federal Home Loan Mortgage Corp., Series 2017-DNA2, Class M1 1.292%, (ICE LIBOR USD 1 Month plus 1.200%), 10/25/29 b		91,197		91
Federal Home Loan Mortgage Corp., Series 2017-DNA3, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 3/25/30 b		40,412		40
Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1 3.847%, (CSTR), 5/25/47 144A		32,487		33
Federal Home Loan Mortgage Corp., Series 2018-DNA2, Class M1 0.892%, (ICE LIBOR USD 1 Month plus 0.800%), 12/25/30 144A		108,869		109
Federal Home Loan Mortgage Corp., Series 2018-HQA2, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 10/25/48 144A		30,677		31
Federal Home Loan Mortgage Corp., Series 3713, Class PA 2.000%, 2/15/40 b		148,545		152
Federal Home Loan Mortgage Corp., Series 4092, Class CL 1.250%, 6/15/27 b		434,262		440

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

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association 2.500%, 10/1/22 b		65,409		68
2.500%, 12/1/22 b		18,255		19
2.500%, 11/1/50 b		169,239		175
3.000%, 6/1/22 b		12,146		13
3.000%, 4/1/24 b		83,146		87
3.000%, 9/1/28 b		288,720		305
3.000%, 12/1/34 b		130,753		139
3.000%, 3/1/35 b		52,958		56
3.500%, 5/1/27 b		308,926		333
3.500%, 4/1/46 b		325,250		347
3.500%, 2/1/48 b		610,879		646
4.000%, 1/1/47 b		99,924		107
4.000%, 2/1/49 b		25,908		28
4.000%, 11/1/49 b		73,949		79
4.000%, 12/1/49 b		29,867		32
4.500%, 5/1/40 b		67,622		75
4.500%, 9/1/40		62,019		68
4.500%, 5/1/41 b		115,067		128
4.500%, 8/1/48 b		46,056		50
4.500%, 9/1/48 b		46,896		51
4.500%, 10/1/48 b		274,428		299
4.500%, 11/1/48 b		69,783		75
4.500%, 12/1/48		352,587		380
4.500%, 5/1/49 b		174,435		190
4.500%, 1/1/50 b		32,095		35
5.000%, 10/1/33 b		99,248		113
5.000%, 6/1/40		59,428		67
5.000%, 7/1/45 b		96,916		110
5.000%, 9/1/48 b		102,513		112
5.000%, 2/1/49 b		59,497		65
5.000%, 8/1/49 b		42,457		46
5.500%, 8/1/37 b		57,817		67
5.500%, 2/1/38 b		219,359		254
6.000%, 8/1/22 b		4,284		4
6.000%, 3/1/34 b		49,879		59
6.000%, 8/1/34 b		139,501		161
6.000%, 11/1/34 b		5,106		6
6.000%, 12/1/34 b		1,811		2
6.000%, 4/1/35 b		3,217		4
6.000%, 5/1/38 b		2,210		3
6.000%, 10/1/40 b		108,509		128
6.000%, 2/1/49 b		467,013		560
6.500%, 7/1/32 b		16,362		19
6.500%, 12/1/32 b		16,235		19
Federal National Mortgage Association, Series 2011-113, Class AG 2.500%, 11/25/26		82,355		85
Federal National Mortgage Association, Series 2013-74, Class AD 2.000%, 7/25/23		44,855		45
Federal National Mortgage Association, Series 2017-90, Class KA 3.000%, 11/25/47		280,666		298
Federal National Mortgage Association, Series 2017-C02, Class 2ED3 1.442%, (ICE LIBOR USD 1 Month plus 1.350%), 9/25/29		183,044		184


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association, Series 2017-C04, Class 2ED2 1.192%, (ICE LIBOR USD 1 Month plus 1.100%), 11/25/29		591,082		578
Federal National Mortgage Association, Series 2017-C05, Class 1ED3 1.292%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30		249,507		246
Federal National Mortgage Association, Series 2018-44, Class PC 4.000%, 6/25/44		136,925		139
Federal National Mortgage Association, Series 2018-C01, Class 1ED2 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/30		399,168		399
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30		660,000		657
Flagstar Mortgage Trust, Series 2020-1INV, Class A11 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A		196,362		196
FWD Securitization Trust, Series 2020-INV1, Class A-1 2.240%, (AFC), 1/25/50 144A		499,584		506
Galton Funding Mortgage Trust, Series 2018-1, Class A33 3.500%, (AFC), 11/25/57 144A		100,414		102
Galton Funding Mortgage Trust, Series 2019-1, Class A21 4.500%, (AFC), 2/25/59 144A		160,627		164
Galton Funding Mortgage Trust, Series 2019-1, Class A32 4.000%, (AFC), 2/25/59 144A		69,883		71
Galton Funding Mortgage Trust, Series 2019-H1, Class M1 3.339%, (AFC), 10/25/59 144A		260,000		263
Galton Funding Mortgage Trust, Series 2020-H1, Class A1 2.310%, (AFC), 1/25/60 144A		116,084		118
Galton Funding Mortgage Trust, Series 2020-H1, Class M1 2.832%, (AFC), 1/25/60 144A		285,000		287
GCAT LLC, Series 2021-GCTA, Class A 0.873%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A		335,000		335
Government National Mortgage Association 3.500%, 12/20/42		4,790		5
3.500%, 9/20/43		66,027		71
3.500%, 8/20/44		136,737		147
3.500%, 10/20/46		990		1
3.500%, 11/20/46		60,068		64
3.500%, 1/20/47		64,818		69
3.500%, 7/1/47		1,390,000		1,459
4.000%, 3/20/48		117,082		126
4.000%, 4/20/50		360,897		392
4.000%, 10/20/50		330,001		349
5.000%, 3/20/34		286,609		320
5.000%, 1/20/48		57,608		63
5.000%, 2/20/48		290,094		316

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

100

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
5.500%, 6/20/37		60,328		71
5.500%, 9/15/45		192,182		227
5.500%, 3/20/48		41,514		46
5.500%, 12/20/48		30,515		34
5.500%, 2/20/49		353,580		390
Great Wolf Trust, Series 2019-WOLF, Class A 1.107%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A		255,000		255
Great Wolf Trust, Series 2019-WOLF, Class C 1.706%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A		270,000		270
GS Mortgage Securities Trust, Series 2019- SOHO, Class A 0.973%, (ICE LIBOR USD 1 Month plus 0.900%), 6/15/36 144A		345,000		345
GS Mortgage Backed Securities Trust, Series 2021-PJ5, Class A8 2.500%, 10/25/51 144A		874,562		895
GS Mortgage Backed Securities Trust, Series NQM1, Class A1 1.017%, (AFC), 7/25/61 144A		324,034		324
GS Mortgage Securities Trust, Series 2014- EB1A, Class 2A1 1.673%, (CSTR), 7/25/44 144A		6,995		7
GS Mortgage Securities Trust, Series 2021- ROSS, Class B 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A		390,000		390
Homeward Opportunities Fund I Trust, Series 2019-3, Class A1 2.675%, (AFC), 11/25/59 144A		129,850		131
Homeward Opportunities Fund I Trust, Series 2020-2, Class A1 1.657%, (AFC), 5/25/65 144A		218,857		220
Hundred Acre Wood Trust, Series 2021- INV1, Class A9 2.500%, 7/25/51 144A		586,022		602
InTown Hotel Portfolio Trust, Series 2018- STAY, Class A 1.023%, (ICE LIBOR USD 1 Month plus 0.700%), 1/15/33 144A		115,000		115
InTown Hotel Portfolio Trust, Series 2018- STAY, Class C 1.573%, (ICE LIBOR USD 1 Month plus 1.250%), 1/15/33 144A		100,000		100
JP Morgan Chase Commercial Mortgage Securities Corp, Series 2020-609M, Class C 2.243%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A		440,000		441
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B 1.843%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A		540,000		542
JP Morgan Mortgage Trust, Series 2020- INV1, Class A11 0.922%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A		100,699		101


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
JP Morgan Mortgage Trust, Series 2020- INV1, Class A15 3.500%, (AFC), 8/25/50 144A		163,929		167
JP Morgan Mortgage Trust, Series 2020- LTV1, Class A4 3.500%, (AFC), 6/25/50 144A		129,349		130
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5 3.934%, 9/15/47		540,000		588
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B 1.423%, (ICE LIBOR USD 1 Month plus 1.350%), 9/15/29 144A		790,000		790
JPMCC Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A		250,000		250
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class C 1.073%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A		210,000		210
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class D 1.323%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A		155,000		155
Merit, Series 2020-HILL, Class B 1.473%, (ICE LIBOR USD 1 Month plus 1.400%), 8/15/37 144A		425,000		427
Merit, Series 2020-HILL, Class C 1.773%, (ICE LIBOR USD 1 Month plus 1.700%), 8/15/37 144A		185,000		186
Merit, Series 2020-HILL, Class D 2.423%, (ICE LIBOR USD 1 Month plus 2.350%), 8/15/37 144A		250,000		251
MFRA Trust, Series 2021-INV1, Class A1 0.852%, (AFC), 1/25/56 144A		338,408		337
MHC Commercial Mortgage Trust, Series 2021-MHC2, Class B 1.173%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A		380,000		381
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS 4.110%, (AFC), 10/15/47		185,000		199
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A1 1.389%, 9/15/49		2,931		3
Morgan Stanley Capital I Trust, Series 2014- 150E, Class A 3.912%, 9/9/32 144A		610,000		655
Morgan Stanley Capital I Trust, Series 2019- MEAD, Class D 3.283%, (CSTR), 11/10/36 144A		480,000		478
Morgan Stanley Capital I Trust, Series 2019- NUGS, Class D 3.300%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A		315,000		316
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4 2.500%, (AFC), 5/25/51 144A		197,990		203

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

101

Short-Term Bond Portfolio


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
New Orleans Hotel Trust, Series 2019- HNLA, Class B 1.362%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A		790,000		786
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 1.650%, (AFC), 5/24/60 144A		297,850		301
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1 2.710%, (AFC), 11/25/59 144A		320,428		324
New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A1 2.464%, (AFC), 1/26/60 144A		287,013		290
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A1 0.943%, (AFC), 7/25/55 144A		582,916		583
OBX Trust, Series 2019-EXP2, Class 2A1A 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/59 144A		89,458		90
OBX Trust, Series 2019-EXP2, Class 2A2 1.292%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A		246,051		245
OBX Trust, Series 2019-EXP3, Class 2A1 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A		305,994		306
OBX Trust, Series 2020-INV1, Class A5 3.500%, (AFC), 12/25/49 144A		98,493		100
OBX Trust, Series 2021-NQM1, Class A1 1.072%, (AFC), 2/25/66 144A		712,392		711
ONE Park Mortgage Trust, Series 2021- PARK, Class B 1.023%, (ICE LIBOR USD 1 Month plus 0.950%), 3/15/36 144A		755,000		754
ONE Park Mortgage Trust, Series 2021- PARK, Class C 1.173%, (ICE LIBOR USD 1 Month plus 1.100%), 3/15/36 144A		405,000		405
Onslow Bay Financial LLC, Series 2020- EXP1, Class 1A8 3.500%, 2/25/60 144A		283,602		292
Onslow Bay Financial LLC, Series 2020- EXP1, Class 2A1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A		422,226		423
Onslow Bay Financial LLC, Series 2020- EXP1, Class 2A2 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A		251,263		250
Onslow Bay Financial LLC, Series 2020- EXP2, Class A8 3.000%, (AFC), 5/25/60 144A		423,625		432
Onslow Bay Financial LLC, Series 2020- EXP2, Class A9 3.000%, (AFC), 5/25/60 144A		105,906		108
Onslow Bay Financial LLC, Series 2020- EXP3, Class 1A8 3.000%, (AFC), 1/25/60 144A		355,133		360
Onslow Bay Financial LLC, Series 2021-J1, Class A4 2.500%, (AFC), 5/25/51 144A		653,895		670


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
PSMC Trust, Series 2021-1, Class A11 2.500%, (AFC), 3/25/51 144A		987,225		1,012
PSMC Trust, Series 2021-2, Class A3 2.500%, (AFC), 5/25/51 144A		755,000		775
Sequoia Mortgage Trust, Series 2018-CH2, Class A21 4.000%, (AFC), 6/25/48 144A		72,925		74
Sequoia Mortgage Trust, Series 2018-CH2, Class A3 4.000%, (AFC), 6/25/48 144A		168,213		171
Sequoia Mortgage Trust, Series 2018-CH3, Class A19 4.500%, (AFC), 8/25/48 144A		36,457		37
Sequoia Mortgage Trust, Series 2018-CH4, Class A2 4.000%, (AFC), 10/25/48 144A		53,561		54
SG Residential Mortgage Trust, Series 2019- 3, Class A2 2.877%, (AFC), 9/25/59 144A		353,225		355
SG Residential Mortgage Trust, Series 2020- 2, Class A1 1.381%, (AFC), 5/25/65 144A		274,188		275
Slide, Series 2018-FUN, Class D 2.173%, (ICE LIBOR USD 1 Month plus 1.850%), 6/15/31 144A		359,550		356
STACR Trust, Series 2018-DNA2, Class M2 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 12/25/30 144A		460,000		460
STACR Trust, Series 2018-DNA3, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 9/25/48 144A		874		1
STACR Trust, Series 2018-DNA3, Class M2 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 9/25/48 144A		340,000		340
STACR Trust, Series 2018-HRP2, Class M2 1.342%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A		226,411		226
STACR Trust, Series 2020-DNA2, Class M1 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/50 144A		39,464		39
STACR Trust, Series 2020-DNA5, Class M1 1.318%, (US 30 Day Average SOFR plus 1.300%), 10/25/50 144A		58,072		58
STACR Trust, Series 2020-DNA6, Class M1 0.918%, (US 30 Day Average SOFR plus 0.900%), 12/25/50 144A		129,439		129
STACR Trust, Series 2020-HQA2, Class M1 1.192%, (ICE LIBOR USD 1 Month plus 1.100%), 3/25/50 144A		61,927		62
STACR Trust, Series 2020-HQA5, Class M1 1.118%, (US 30 Day Average SOFR plus 1.100%), 11/25/50 144A		144,887		145
STACR Trust, Series 2021-DNA1, Class M1 0.668%, (US 30 Day Average SOFR plus 0.650%), 1/25/51 144A		205,683		206
STACR Trust, Series 2021-DNA2, Class M1 0.818%, (US 30 Day Average SOFR plus 0.800%), 8/25/33 144A		485,000		486
STACR Trust, Series 2021-DNA3, Class M2 2.118%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A		395,000		403

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

102

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Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
STACR Trust, Series 2021-HQA1, Class M1 0.718%, (US 30 Day Average SOFR plus 0.700%), 8/25/33 144A		760,000		760
Starvest Emerging Markets CBO I, Series 2021-2, Class A1 0.943%, (AFC), 5/25/65 144A		417,049		417
Starwood Mortgage Residential Trust, Series 2018-IMC2, Class A3 4.376%, (AFC), 10/25/48 144A		230,519		233
Starwood Mortgage Residential Trust, Series 2019-1, Class A1 2.941%, (AFC), 6/25/49 144A		169,167		170
Starwood Mortgage Residential Trust, Series 2019-1, Class A3 3.299%, (AFC), 6/25/49 144A		237,019		238
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1 2.610%, (AFC), 9/27/49 144A		39,303		40
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 2.916%, (AFC), 9/27/49 144A		181,793		184
Starwood Mortgage Residential Trust, Series 2020-1, Class A2 2.408%, (AFC), 2/25/50 144A		208,100		210
Uniform Mortgage Backed Security TBA 1.500%, 7/19/36		245,000		248
3.000%, 7/14/50		485,000		506
4.000%, 7/1/44		340,000		362
Verus Securitization Trust, Series 2019-4, Class A3 3.000%, (AFC), 11/25/59 144A S		501,656		510
Verus Securitization Trust, Series 2019- INV2, Class A1 2.913%, (AFC), 7/25/59 144A		352,703		359
Verus Securitization Trust, Series 2019- INV2, Class A2 3.117%, (AFC), 7/25/59 144A		370,190		377
Verus Securitization Trust, Series 2019- INV3, Class A3 1.977%, (AFC), 4/25/60 144A		71,818		73
3.100%, (AFC), 11/25/59 144A		303,378		309
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S		379,652		385
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A S		303,936		307
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		568,398		573
Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A S		178,990		179
Verus Securitization Trust, Series 2021-1, Class A1 0.815%, (AFC), 1/25/66 144A		210,908		211
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		172,170		172


Structured Products (32.5%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series 2021-2, Class A1 1.031%, (AFC), 2/25/66 144A		356,514		357
Verus Securitization Trust, Series 2021-2, Class A2 1.052%, (AFC), 1/25/66 144A		292,689		292
Verus Securitization Trust, Series 2021-R1, Class A2 1.057%, (AFC), 10/25/63 144A		184,400		184
Verus Securitization Trust, Series 2021-R2, Class A1 0.918%, (AFC), 2/25/64 144A		435,691		436
Vista Point Securitization Trust, Series 2020- 1, Class A1 1.763%, (AFC), 3/25/65 144A		161,951		163
Vista Point Securitization Trust, Series 2020- 2, Class A3 2.496%, (AFC), 4/25/65 144A		150,285		152
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 3.020%, 7/15/58		149,535		153
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A1 1.975%, 9/15/50		48,273		49
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 3.000%, (AFC), 5/25/50 144A		80,871		82
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 2.500%, (AFC), 12/25/50 144A		900,000		922
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class B 4.697%, 4/15/45		385,000		392
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5 3.917%, 10/15/57		575,000		627
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 4.045%, 3/15/47		325,000		350

Total				75,274

Total Structured Products
(Cost: $133,551)				134,598


Short-Term Investments (3.9%)

Commercial Paper (0.8%)
AT&T, Inc. 0.000%, 12/14/21b		1,300,000		1,299
Jabil, Inc. 0.000%, 7/19/21		1,125,000		1,125
0.000%, 8/9/21		764,000		763


Total				3,187


Consumer, Cyclical (0.0%)
Marriott International, Inc. 2.300%, 1/15/22		50,000		51

Total				51

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

103

Short-Term Bond Portfolio


Short-Term Investments (3.9%)	Shares/ Par ⁺		Value $ (000’s)

Financial (0.5%)
Deutsche Bank AG 4.250%, 10/14/21b		1,165,000		1,178
UniCredit SPA 3.750%, 4/12/22 144A		1,010,000		1,034


Total				2,212


Money Market Funds (1.8%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#		7,296,997		7,297

Total				7,297


Utilities (0.8%)
Pacific Gas & Electric Co. 1.531%, (ICE LIBOR USD 3 Month plus 1.375%), 11/15/21		1,225,000		1,227
1.750%, 6/16/22		2,200,000		2,199

Total				3,426


Total Short-Term Investments
(Cost: $16,169)				16,173


Total Investments (100.9%)
(Cost: $412,186)^@				417,234

Other Assets, Less
Liabilities (-0.9%)				(3,607	)


Net Assets (100.0%)				413,627

Exchange Traded or Centrally Cleared Derivatives

Futures


Issuer	Long/Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future		Short		USD		59,266		112		9/21	$	13,824	$	20		$	(9	)
Ten-Year US Treasury Note Future		Short		USD		11,395		86		9/21		11,395		(66	)		(18	)
Two-Year US Treasury Note Future		Long		USD		13,824		269		9/21		59,266		(79	)		6

													$	(125	)	$	(21	)


	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	$	-	$	6	$	6	$	-	$	(27	)	$	(27	)	$	-

+	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, 2021 the value of these securities (in thousands) was $159,331 representing 38.4% of the net assets.

b	Cash or securities with an aggregate value of $83,121 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

§	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, 2021, the aggregate value of these securities was $12,259 (in thousands), representing 3.0% of net assets.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

#	7-Day yield as of 6/30/2021.

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

104

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At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $412,186 and the net unrealized appreciation of investments based on that cost was $4,924 which is comprised of $5,418 aggregate gross unrealized appreciation and $494 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	-		$	3,232	$	-
Corporate Bonds		-			203,439		-
Governments		-			59,792		-
Structured Products		-			134,598		-
Short-Term Investments
Money Market Funds		7,297			-		-
All Others		-			8,876		-
Other Financial Instruments^
Futures		20			-		-
Total Assets:	$	7,317		$	409,937	$	-
Liabilities:
Other Financial Instruments^
Futures		(145	)		-		-
Total Liabilities:	$	(145	)	$	-	$	-

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

105

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Sector Allocation 6/30/21


Sector	% of Net Assets
Structured Products		40.0	%
Governments		37.3	%
Corporate Bonds		27.8	%
Municipal Bonds		0.3	%
Short-Term Investments & Other Net Assets		-5.4	%

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.

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 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.

106

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SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials (0.6%)
LYB International Finance III, LLC 3.375%, 10/1/40		3,212,000		3,325
3.625%, 4/1/51		2,598,000		2,743
3.800%, 10/1/60		531,000		561
NewMarket Corp. 2.700%, 3/18/31		2,708,000		2,708
Newmont Corp. 2.250%, 10/1/30		1,946,000		1,941
Teck Resources, Ltd. 3.900%, 7/15/30		965,000		1,040
6.125%, 10/1/35		1,088,000		1,401
6.250%, 7/15/41		1,233,000		1,611
Westlake Chemical Corp. 3.600%, 8/15/26		1,173,000		1,278
4.375%, 11/15/47		2,286,000		2,681
5.000%, 8/15/46		26,000		33

Total				19,322


Communications (3.3%)
Amazon.com, Inc. 1.000%, 5/12/26		7,263,000		7,264
1.650%, 5/12/28		3,300,000		3,328
2.100%, 5/12/31		8,326,000		8,466
2.700%, 6/3/60		498,000		477
3.100%, 5/12/51		1,113,000		1,169
3.250%, 5/12/61		1,113,000		1,173
AT&T, Inc. 2.250%, 2/1/32		2,488,000		2,442
3.100%, 2/1/43		543,000		532
3.500%, 6/1/41		1,146,000		1,190
3.500%, 9/15/53 144A		4,561,000		4,582
3.550%, 9/15/55 144A		1,124,000		1,128
3.800%, 12/1/57 144A		2,055,000		2,141
3.850%, 6/1/60		1,661,000		1,751
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 3.500%, 6/1/41		2,179,000		2,194
3.900%, 6/1/52		4,157,000		4,233
4.400%, 12/1/61		1,568,000		1,685
4.464%, 7/23/22		1,025,000		1,061
4.800%, 3/1/50		2,088,000		2,398
Comcast Corp. 1.500%, 2/15/31		2,762,000		2,617
3.750%, 4/1/40		2,165,000		2,441
Discovery Communications LLC 4.000%, 9/15/55		1,324,000		1,401
4.650%, 5/15/50		334,000		391
Netflix, Inc. 3.625%, 6/15/25 144A		1,913,000		2,054
5.875%, 11/15/28		2,055,000		2,522
NTT Finance Corp. 1.162%, 4/3/26 144A		5,229,000		5,217
Telefonica Emisiones SA 5.520%, 3/1/49		834,000		1,085


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Tencent Holdings, Ltd. 3.840%, 4/22/51 144A		2,197,000		2,365
T-Mobile USA, Inc. 2.250%, 2/15/26 144A		12,616,000		12,711
2.250%, 2/15/26		2,483,000		2,502
2.875%, 2/15/31		1,885,000		1,871
3.375%, 4/15/29 144A		7,158,000		7,387
3.500%, 4/15/31 144A		4,752,000		4,916
Verizon Communications, Inc. 2.550%, 3/21/31		1,018,000		1,041
2.650%, 11/20/40		4,505,000		4,335
2.875%, 11/20/50		861,000		818
3.400%, 3/22/41		2,165,000		2,290
3.550%, 3/22/51		2,493,000		2,664
3.700%, 3/22/61		1,573,000		1,685
4.329%, 9/21/28		744,000		866
ViacomCBS, Inc. 4.200%, 5/19/32		113,000		130
4.600%, 1/15/45		208,000		247
4.950%, 1/15/31		593,000		715
4.950%, 5/19/50		500,000		631
5.850%, 9/1/43		390,000		534

Total				112,650


Consumer, Cyclical (2.0%)
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.500%, 10/20/25 144A		4,357,000		4,682
4.750%, 10/20/28 144A		6,325,000		7,032
Ford Motor Co. 4.750%, 1/15/43		873,000		928
Ford Motor Credit Co. LLC 3.625%, 6/17/31		5,781,000		5,893
4.000%, 11/13/30		1,593,000		1,669
General Motors Co. 5.400%, 4/1/48		921,000		1,173
The Home Depot, Inc. 2.375%, 3/15/51		1,370,000		1,267
2.700%, 4/15/30		1,332,000		1,424
3.125%, 12/15/49		4,171,000		4,419
3.300%, 4/15/40		443,000		485
3.350%, 4/15/50		1,074,000		1,187
Hyundai Capital America 0.800%, 1/8/24 144A		3,398,000		3,383
1.250%, 9/18/23 144A		1,672,000		1,687
1.300%, 1/8/26 144A		3,338,000		3,299
1.800%, 10/15/25 144A		2,662,000		2,701
2.000%, 6/15/28 144A		2,656,000		2,634
Lowe’s Companies, Inc. 2.625%, 4/1/31		2,697,000		2,787
3.500%, 4/1/51		591,000		634
Marriott International, Inc. 2.850%, 4/15/31		4,823,000		4,898
4.625%, 6/15/30		421,000		485
5.750%, 5/1/25		1,984,000		2,290

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

107

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Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Nissan Motor Acceptance Corp. 2.750%, 3/9/28 144A		1,139,000		1,149
Southwest Airlines Co. 4.750%, 5/4/23		2,302,000		2,469
5.125%, 6/15/27		3,442,000		4,049
Starbucks Corp. 1.300%, 5/7/22		1,365,000		1,377
3.350%, 3/12/50		1,677,000		1,754
3.500%, 11/15/50		2,660,000		2,866
Walmart, Inc. 3.050%, 7/8/26		1,009,000		1,105

Total				69,726


Consumer, Non-cyclical (4.4%)
AbbVie, Inc. 2.300%, 11/21/22		3,349,000		3,437
3.750%, 11/14/23		295,000		316
4.050%, 11/21/39		1,244,000		1,445
4.250%, 11/21/49		3,261,000		3,908
4.300%, 5/14/36		778,000		923
4.450%, 5/14/46		789,000		953
Adani International Container Terminal Private, Ltd. 3.000%, 2/16/31 144A		922,000		889
Adani Ports & Special Economic Zone, Ltd. 4.200%, 8/4/27 144A		1,876,000		1,954
Aetna, Inc. 3.875%, 8/15/47		850,000		951
Altria Group, Inc. 2.350%, 5/6/25		466,000		487
2.450%, 2/4/32		1,266,000		1,224
3.400%, 2/4/41		3,469,000		3,307
3.700%, 2/4/51		1,135,000		1,077
3.875%, 9/16/46		2,225,000		2,210
4.000%, 2/4/61		289,000		277
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.700%, 2/1/36		3,036,000		3,726
4.900%, 2/1/46		2,724,000		3,448
Anheuser-Busch InBev Worldwide, Inc. 3.750%, 7/15/42		981,000		1,062
4.375%, 4/15/38		3,190,000		3,814
4.600%, 4/15/48		1,595,000		1,947
Astrazeneca Finance LLC 1.200%, 5/28/26		2,183,000		2,176
1.750%, 5/28/28		1,647,000		1,645
AstraZeneca PLC 1.375%, 8/6/30		671,000		635
3.000%, 5/28/51		1,098,000		1,132
BAT Capital Corp. 2.259%, 3/25/28		576,000		572
2.726%, 3/25/31		3,530,000		3,485
3.557%, 8/15/27		2,143,000		2,295
4.906%, 4/2/30		586,000		673
Bristol-Myers Squibb Co. 2.550%, 11/13/50		3,327,000		3,181
Bunge, Ltd. Finance Corp. 1.630%, 8/17/25		1,869,000		1,891
2.750%, 5/14/31		6,670,000		6,743
3.750%, 9/25/27		5,432,000		5,983


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
CVS Health Corp. 2.700%, 8/21/40		1,694,000		1,642
3.000%, 8/15/26		1,156,000		1,247
3.700%, 3/9/23		389,000		410
4.300%, 3/25/28		2,137,000		2,455
4.780%, 3/25/38		1,688,000		2,077
5.050%, 3/25/48		2,016,000		2,619
Danaher Corp. 2.600%, 10/1/50		1,573,000		1,504
DH Europe Finance II SARL 2.050%, 11/15/22		1,710,000		1,749
2.200%, 11/15/24		2,943,000		3,070
2.600%, 11/15/29		2,181,000		2,280
The Estee Lauder Co., Inc. 1.950%, 3/15/31		3,228,000		3,230
Genentech, Inc. 5.250%, 7/15/35		1,332,000		1,760
Gilead Sciences, Inc. 1.200%, 10/1/27		536,000		522
2.600%, 10/1/40		1,858,000		1,789
2.800%, 10/1/50		2,396,000		2,308
4.000%, 9/1/36		959,000		1,109
Molson Coors Beverage Co. 4.200%, 7/15/46		2,987,000		3,328
Pfizer, Inc. 2.550%, 5/28/40		3,733,000		3,754
2.700%, 5/28/50		762,000		758
2.800%, 3/11/22		1,030,000		1,049
Regeneron Pharmaceuticals, Inc. 1.750%, 9/15/30		3,540,000		3,354
2.800%, 9/15/50		1,326,000		1,207
Royalty Pharma PLC 3.550%, 9/2/50 144A		2,516,000		2,503
Shire Acquisitions Investments Ireland DAC 2.875%, 9/23/23		2,231,000		2,335
Sodexo, Inc. 1.634%, 4/16/26 144A		3,000,000		3,022
2.718%, 4/16/31 144A		2,758,000		2,814
STERIS Irish FinCo Unlimited Co. 3.750%, 3/15/51		2,987,000		3,171
Takeda Pharmaceutical Co., Ltd. 2.050%, 3/31/30		4,021,000		3,989
3.175%, 7/9/50		3,621,000		3,660
4.400%, 11/26/23		1,858,000		2,017
Thermo Fisher Scientific, Inc. 4.497%, 3/25/30		3,672,000		4,372
UnitedHealth Group, Inc. 2.300%, 5/15/31		3,360,000		3,441
2.750%, 5/15/40		822,000		832
2.900%, 5/15/50		811,000		819
3.050%, 5/15/41		559,000		585
3.250%, 5/15/51		1,912,000		2,040
Yale University 0.873%, 4/15/25		1,918,000		1,930
1.482%, 4/15/30		1,644,000		1,620

Total				150,137


Energy (2.1%)
Aker BP ASA 4.000%, 1/15/31 144A		1,473,000		1,618

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

108

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Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
BP Capital Markets America, Inc. 3.379%, 2/8/61		2,500,000		2,513
Devon Energy Corp. 4.750%, 5/15/42		1,146,000		1,293
5.000%, 6/15/45		1,967,000		2,311
5.250%, 9/15/24 144A		6,474,000		7,211
5.600%, 7/15/41		866,000		1,071
5.850%, 12/15/25		1,025,000		1,203
Enable Midstream Partners LP 3.900%, 5/15/24		295,000		313
4.150%, 9/15/29		1,261,000		1,381
4.400%, 3/15/27		2,127,000		2,345
4.950%, 5/15/28		3,607,000		4,130
Energy Transfer Operating LP 5.300%, 4/15/47		334,000		391
6.000%, 6/15/48		438,000		554
6.050%, 6/1/41		498,000		631
6.125%, 12/15/45		959,000		1,222
Equinor ASA 3.250%, 11/18/49		789,000		838
Galaxy Pipeline Assets Bidco, Ltd. 1.750%, 9/30/27 144A		3,335,000		3,368
2.160%, 3/31/34 144A		2,403,000		2,358
2.625%, 3/31/36 144A		1,480,000		1,452
2.940%, 9/30/40 144A		1,632,000		1,620
Lundin Energy Finance B.V. 2.000%, 7/15/26 144A		5,516,000		5,525
3.100%, 7/15/31 144A		4,151,000		4,193
Marathon Oil Corp. 5.200%, 6/1/45		2,494,000		2,991
Oleoducto Central SA 4.000%, 7/14/27 144A		1,181,000		1,218
ONEOK, Inc. 3.100%, 3/15/30		757,000		791
3.400%, 9/1/29		718,000		764
4.000%, 7/13/27		454,000		502
4.450%, 9/1/49		1,787,000		1,975
4.950%, 7/13/47		213,000		250
5.850%, 1/15/26		273,000		323
Petroleos del Peru SA 5.625%, 6/19/47 144A		1,545,000		1,647
Petroleos Mexicanos 2.460%, 12/15/25		2,888,550		3,017
Pioneer Natural Resources Co. 1.900%, 8/15/30		2,878,000		2,773
Plains All American Pipeline LP / PAA Finance Corp. 4.900%, 2/15/45		465,000		505
Qatar Petroleum 2.250%, 7/12/31 144A		2,676,000		2,648
3.125%, 7/12/41 144A		1,455,000		1,450
3.300%, 7/12/51 144A		1,970,000		1,970
Sunoco Logistics Partners Operations LP 5.350%, 5/15/45		822,000		951
6.100%, 2/15/42		559,000		695

Total				72,011


Financial (9.1%)
Agree LP 2.000%, 6/15/28		2,333,000		2,314


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
American International Group, Inc. 3.400%, 6/30/30		2,417,000		2,650
4.375%, 6/30/50		1,431,000		1,739
American Tower Corp. 1.600%, 4/15/26		2,165,000		2,188
2.700%, 4/15/31		1,622,000		1,673
The Andrew W. Mellon Foundation 0.947%, 8/1/27		1,310,000		1,274
Antares Holdings LP 3.950%, 7/15/26 144A		2,214,000		2,304
ANZ New Zealand International, Ltd. 1.250%, 6/22/26 144A		3,199,000		3,184
Assured Guaranty US Holdings, Inc. 3.150%, 6/15/31		1,661,000		1,723
Athene Global Funding 2.500%, 3/24/28 144A		4,325,000		4,433
Athene Holding, Ltd. 3.500%, 1/15/31		811,000		865
3.950%, 5/25/51		437,000		468
4.125%, 1/12/28		2,165,000		2,415
Banco Santander SA 0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24		5,200,000		5,210
Bank of America Corp. 0.976%, (US SOFR plus 0.690%), 4/22/25		5,826,000		5,845
1.197%, (US SOFR plus 1.010%), 10/24/26		8,194,000		8,115
1.319%, (US SOFR plus 1.150%), 6/19/26		4,845,000		4,856
1.658%, (US SOFR plus 0.910%), 3/11/27		10,831,000		10,917
1.734%, (US SOFR plus 0.960%), 7/22/27		5,843,000		5,888
1.898%, (US SOFR plus 1.530%), 7/23/31		2,119,000		2,060
1.922%, (US SOFR plus 1.370%), 10/24/31		1,798,000		1,752
2.015%, (ICE LIBOR USD 3 Month plus 0.640%), 2/13/26		547,000		564
2.456%, (ICE LIBOR USD 3 Month plus 0.870%), 10/22/25		2,976,000		3,113
2.496%, (ICE LIBOR USD 3 Month plus 0.990%), 2/13/31		3,020,000		3,083
2.592%, (US SOFR plus 2.150%), 4/29/31		3,469,000		3,576
2.687%, (US SOFR plus 1.320%), 4/22/32		10,595,000		10,900
3.004%, (ICE LIBOR USD 3 Month plus 0.790%), 12/20/23		4,248,000		4,402
3.500%, 4/19/26		547,000		603
3.559%, (ICE LIBOR USD 3 Month plus 1.060%), 4/23/27		2,653,000		2,906
Barclays PLC 1.007%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.800%), 12/10/24		4,199,000		4,214
3.564%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 2.900%), 9/23/35		5,829,000		6,073
BNP Paribas SA 1.323%, (US SOFR plus 1.004%), 1/13/27 144A		3,818,000		3,772
2.871%, (US SOFR plus 1.387%), 4/19/32 144A		3,294,000		3,383
Brighthouse Financial, Inc. 4.700%, 6/22/47		1,630,000		1,810
Brixmor Operating Partnership LP 2.250%, 4/1/28		751,000		750

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

109

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Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Credit Suisse Group AG 3.091%, (US SOFR plus 1.730%), 5/14/32 144A		2,829,000		2,915
Crown Castle International Corp. 1.050%, 7/15/26		3,217,000		3,142
2.100%, 4/1/31		5,947,000		5,795
2.500%, 7/15/31		2,340,000		2,357
2.900%, 4/1/41		1,502,000		1,461
4.000%, 3/1/27		536,000		600
Deutsche Bank AG 0.898%, 5/28/24		2,744,000		2,731
2.129%, (US SOFR plus 1.870%), 11/24/26		5,681,000		5,765
3.035%, (US SOFR plus 1.718%), 5/28/32		1,679,000		1,707
3.729%, (US SOFR plus 2.757%), 1/14/32		1,323,000		1,346
DNB Bank ASA 1.535%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.720%), 5/25/27 144A		2,812,000		2,817
Essex Portfolio LP 1.700%, 3/1/28		2,812,000		2,761
2.550%, 6/15/31		1,107,000		1,121
F&G Global Funding 1.750%, 6/30/26 144A		2,648,000		2,659
Federal Realty Investment Trust 3.950%, 1/15/24		1,485,000		1,592
FS KKR Capital Corp. 2.625%, 1/15/27		1,594,000		1,576
3.400%, 1/15/26		4,236,000		4,380
GE Capital Funding, LLC 3.450%, 5/15/25		1,232,000		1,341
4.400%, 5/15/30		1,880,000		2,191
GE Capital International Funding Co. Unlimited Co. 4.418%, 11/15/35		4,581,000		5,490
GLP Capital LP / GLP Financing II, Inc. 4.000%, 1/15/30		888,000		953
5.300%, 1/15/29		1,085,000		1,264
The Goldman Sachs Group, Inc. 0.657%, (US SOFR plus 0.505%), 9/10/24		7,969,000		7,956
1.542%, (US SOFR plus 0.818%), 9/10/27		5,313,000		5,298
Golub Capital BDC, Inc. 3.375%, 4/15/24		1,946,000		2,030
JPMorgan Chase & Co. 0.824%, (US SOFR plus 0.540%), 6/1/25		4,927,000		4,918
1.040%, (US SOFR plus 0.695%), 2/4/27		10,754,000		10,577
1.045%, (US SOFR plus 0.800%), 11/19/26		5,996,000		5,920
2.069%, (US SOFR plus 1.015%), 6/1/29		5,359,000		5,401
2.083%, (US SOFR plus 1.850%), 4/22/26		4,703,000		4,863
2.182%, (US SOFR plus 1.890%), 6/1/28		3,294,000		3,373
Macquarie Group, Ltd. 1.629%, (US SOFR plus 0.910%), 9/23/27 144A		4,786,000		4,750
Mid-America Apartments LP 3.950%, 3/15/29		1,080,000		1,224
4.000%, 11/15/25		1,315,000		1,460
4.300%, 10/15/23		1,102,000		1,183
Morgan Stanley 0.790%, (US SOFR plus 0.525%), 5/30/25		11,159,000		11,120
0.864%, (US SOFR plus 0.745%), 10/21/25		3,875,000		3,874
0.985%, (US SOFR plus 0.720%), 12/10/26		5,470,000		5,384


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Oaktree Specialty Lending Corp. 2.700%, 1/15/27		1,669,000		1,670
Owl Rock Capital Corp. 2.875%, 6/11/28		1,116,000		1,108
3.400%, 7/15/26		4,625,000		4,820
Regency Centers LP 2.950%, 9/15/29		2,335,000		2,459
SBL Holdings, LLC 5.000%, 2/18/31 144A		3,722,000		4,009
Scentre Group Trust 1/2 3.625%, 1/28/26 144A		1,694,000		1,852
Societe Generale SA 2.889%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.300%), 6/9/32 144A		2,494,000		2,524
3.653%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 3.000%), 7/8/35 144A		2,060,000		2,137
Spirit Realty LP 2.100%, 3/15/28		2,138,000		2,129
2.700%, 2/15/32		1,178,000		1,168
3.200%, 2/15/31		2,543,000		2,650
3.400%, 1/15/30		1,294,000		1,379
4.000%, 7/15/29		618,000		686
4.450%, 9/15/26		137,000		153
Store Capital Corp. 2.750%, 11/18/30		1,902,000		1,915
4.500%, 3/15/28		4,056,000		4,582
4.625%, 3/15/29		1,370,000		1,558
Svensk Exportkredit AB 0.750%, 4/6/23		4,511,000		4,545
Trust Fibra Uno 5.250%, 1/30/26 144A		1,646,000		1,852
TrustCo Bank Corp. 6.390%, 1/15/50 144A		1,811,000		2,119
UBS Group AG 2.095%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.000%), 2/11/32 144A		1,426,000		1,397
VEREIT Operating Partnership LP 2.200%, 6/15/28		1,151,000		1,168
2.850%, 12/15/32		1,557,000		1,626
3.400%, 1/15/28		1,140,000		1,240
Vornado Realty LP 2.150%, 6/1/26		1,326,000		1,344
3.400%, 6/1/31		662,000		684
Westpac Banking Corp. 2.668%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 1.750%), 11/15/35		3,809,000		3,747

Total				312,838


Industrial (1.6%)
The Boeing Co. 2.196%, 2/4/26		4,067,000		4,106
3.250%, 2/1/28		2,302,000		2,440
3.250%, 2/1/35		1,315,000		1,330
3.625%, 2/1/31		2,313,000		2,488
3.750%, 2/1/50		2,342,000		2,416
5.705%, 5/1/40		651,000		838

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

110

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Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
5.805%, 5/1/50		171,000		230
Burlington Northern Santa Fe LLC 3.050%, 2/15/51		1,074,000		1,118
3.300%, 9/15/51		2,050,000		2,239
3.550%, 2/15/50		543,000		614
Crowley Conro LLC 4.181%, 8/15/43		1,373,094		1,622
DAE Funding LLC 1.550%, 8/1/24 144A		5,257,000		5,246
2.625%, 3/20/25 144A		1,745,000		1,775
3.375%, 3/20/28 144A		557,000		569
Flex, Ltd. 4.875%, 5/12/30		1,310,000		1,520
General Electric Co. 3.450%, 5/1/27		2,127,000		2,338
GXO Logistics, Inc. 1.650%, 7/15/26 144A		2,780,000		2,766
2.650%, 7/15/31 144A		445,000		441
John Deere Capital Corp. 0.550%, 7/5/22		3,289,000		3,302
1.200%, 4/6/23		2,532,000		2,570
Northrop Grumman Corp. 2.930%, 1/15/25		153,000		163
3.250%, 8/1/23		3,135,000		3,315
3.250%, 1/15/28		1,935,000		2,114
5.150%, 5/1/40		1,135,000		1,489
Union Pacific Corp. 2.150%, 2/5/27		1,699,000		1,762
2.400%, 2/5/30		2,105,000		2,173
2.950%, 3/1/22		1,907,000		1,942
3.150%, 3/1/24		910,000		971
3.750%, 2/5/70		340,000		375

Total				54,272


Metals/Mining (0.0%)
Teck Resources, Ltd. 5.200%, 3/1/42		1,266,000		1,489

Total				1,489


Pharmaceuticals (0.0%)
AbbVie, Inc. 4.400%, 11/6/42		269,000		327

Total				327


Pipelines (0.0%)
Energy Transfer Partners LP 5.150%, 3/15/45		547,000		633

Total				633


Technology (2.0%)
Apple, Inc. 2.375%, 2/8/41		1,074,000		1,041
2.550%, 8/20/60		2,516,000		2,347
2.650%, 5/11/50		2,647,000		2,599
2.650%, 2/8/51		2,686,000		2,626
2.800%, 2/8/61		1,074,000		1,046
Broadcom Corp. / Broadcom Cayman Finance, Ltd. 3.875%, 1/15/27		811,000		896


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
Broadcom, Inc. 2.450%, 2/15/31 144A		1,875,000		1,843
3.150%, 11/15/25		1,403,000		1,504
3.419%, 4/15/33 144A		7,317,000		7,684
3.469%, 4/15/34 144A		2,768,000		2,928
4.150%, 11/15/30		1,907,000		2,138
Dell International LLC / EMC Corp. 4.900%, 10/1/26		547,000		631
6.100%, 7/15/27		1,088,000		1,333
8.350%, 7/15/46		1,151,000		1,883
HP, Inc. 2.200%, 6/17/25		3,453,000		3,584
Intel Corp. 3.100%, 2/15/60		466,000		476
KLA-Tencor Corp. 3.300%, 3/1/50		1,458,000		1,543
Microsoft Corp. 2.921%, 3/17/52		1,085,000		1,152
NVIDIA Corp. 0.584%, 6/14/24		1,583,000		1,583
NXP BV / NXP Funding LLC / NXP USA, Inc. 3.150%, 5/1/27 144A		1,069,000		1,143
3.250%, 5/11/41 144A		1,173,000		1,206
3.875%, 6/18/26 144A		2,231,000		2,471
Oracle Corp. 1.650%, 3/25/26		3,300,000		3,345
2.300%, 3/25/28		1,169,000		1,199
2.800%, 4/1/27		3,278,000		3,476
2.875%, 3/25/31		3,497,000		3,637
2.950%, 11/15/24		762,000		812
3.650%, 3/25/41		2,203,000		2,336
3.950%, 3/25/51		1,540,000		1,681
4.100%, 3/25/61		438,000		486
salesforce.com, Inc. 0.625%, 7/15/24		2,115,000		2,116
2.900%, 7/15/51		1,163,000		1,174
3.050%, 7/15/61		740,000		750
Salesforce.com, Inc. 2.700%, 7/15/41		952,000		956
VMware, Inc. 3.900%, 8/21/27		427,000		474
4.700%, 5/15/30		2,154,000		2,549

Total				68,648


Utilities (2.7%)
AES Corp. 1.375%, 1/15/26 144A		2,313,000		2,290
Baltimore Gas & Electric Co. 2.250%, 6/15/31		1,594,000		1,609
Black Hills Corp. 3.050%, 10/15/29		778,000		828
3.875%, 10/15/49		965,000		1,042
Consumers Energy Co. 2.500%, 5/1/60		910,000		820
Dominion Energy, Inc. 1.450%, 4/15/26		2,404,000		2,421
3.300%, 4/15/41		866,000		909
DTE Electric Co. 2.950%, 3/1/50		2,373,000		2,427

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

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Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
DTE Energy Co. 1.050%, 6/1/25		1,113,000		1,113
2.950%, 3/1/30		1,436,000		1,514
3.800%, 3/15/27		2,165,000		2,409
Duke Energy Carolinas LLC 2.550%, 4/15/31		1,085,000		1,126
Duke Energy Corp. 2.550%, 6/15/31		4,250,000		4,301
3.500%, 6/15/51		637,000		659
Duke Energy Progress LLC 2.500%, 8/15/50		1,611,000		1,485
Entergy Arkansas LLC 2.650%, 6/15/51		1,436,000		1,359
Entergy Corp. 1.900%, 6/15/28		2,149,000		2,146
Evergy, Inc. 2.450%, 9/15/24		2,006,000		2,101
2.900%, 9/15/29		1,425,000		1,510
3.450%, 4/15/50		1,798,000		1,970
Eversource Energy 2.550%, 3/15/31		1,611,000		1,653
Interstate Power & Light Co. 3.500%, 9/30/49		822,000		886
ITC Holdings Corp. 2.700%, 11/15/22		2,170,000		2,231
Jersey Central Power & Light Co. 2.750%, 3/1/32 144A		1,520,000		1,543
Metropolitan Edison Co. 4.300%, 1/15/29 144A		2,401,000		2,688
Mid-Atlantic Interstate Transmission LLC 4.100%, 5/15/28 144A		309,000		348
Mississippi Power Co. 3.100%, 7/30/51		1,903,000		1,913
3.950%, 3/30/28		2,647,000		2,978
4.250%, 3/15/42		730,000		860
NextEra Energy Capital Holdings, Inc. 1.900%, 6/15/28		2,124,000		2,147
Northern States Power Co. 2.250%, 4/1/31		1,069,000		1,100
3.200%, 4/1/52		1,080,000		1,151
NSTAR Electric Co. 3.100%, 6/1/51		984,000		1,018
Pacific Gas & Electric Co. 2.100%, 8/1/27		3,669,000		3,563
2.500%, 2/1/31		2,960,000		2,775
3.300%, 8/1/40		82,000		74
3.500%, 8/1/50		383,000		341
3.950%, 12/1/47		2,066,000		1,922
4.200%, 6/1/41		926,000		912
4.500%, 7/1/40		548,000		548
4.750%, 2/15/44		537,000		542
4.950%, 7/1/50		1,074,000		1,105
Pennsylvania Electric Co. 3.250%, 3/15/28 144A		910,000		956
Piedmont Natural Gas Company, Inc. 2.500%, 3/15/31		1,611,000		1,636
PPL Capital Funding, Inc. 3.100%, 5/15/26		1,416,000		1,522
Public Service Company of Colorado 1.875%, 6/15/31		2,461,000		2,447


Corporate Bonds (27.8%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Public Service Electric & Gas Co. 2.050%, 8/1/50		443,000		382
2.700%, 5/1/50		2,384,000		2,359
Southern California Edison Co. 4.125%, 3/1/48		1,200,000		1,279
The Southern Co. 1.750%, 3/15/28		1,606,000		1,585
Southern Co. Gas Capital Corp. 1.750%, 1/15/31		1,677,000		1,586
Tampa Electric Co. 2.400%, 3/15/31		1,617,000		1,652
3.450%, 3/15/51		1,294,000		1,418
Trans-Allegheny Interstate Line Co. 3.850%, 6/1/25 144A		756,000		817
Virginia Electric & Power Co. 2.450%, 12/15/50		1,568,000		1,445
WEC Energy Group, Inc. 0.800%, 3/15/24		2,713,000		2,719
1.375%, 10/15/27		1,557,000		1,521
Wisconsin Electric Power Co. 1.700%, 6/15/28		1,069,000		1,072

Total				90,733

Total Corporate Bonds
(Cost: $935,292)				952,786


Governments (37.3%)

Governments (37.3%)
Colombia Government International Bond 3.250%, 4/22/32		841,000		824
3.875%, 2/15/61		2,657,000		2,377
Japan Bank for International Cooperation 1.750%, 10/17/24		2,974,000		3,074
Republic of Chile 2.450%, 1/31/31		733,000		746
3.100%, 5/7/41		1,879,000		1,881
Republic of Italy Government International Bond 3.875%, 5/6/51		1,922,000		2,065
Republic of Paraguay 2.739%, 1/29/33 144A		1,412,000		1,373
5.400%, 3/30/50 144A		2,650,000		3,089
Republic of Peru 2.392%, 1/23/26		2,242,000		2,314
2.783%, 1/23/31		4,694,000		4,782
3.300%, 3/11/41		2,987,000		3,014
United Mexican States 3.750%, 4/19/71		3,792,000		3,467
3.771%, 5/24/61		601,000		559
4.280%, 8/14/41		4,223,000		4,433
4.350%, 1/15/47		771,000		804
4.500%, 4/22/29		5,086,000		5,747
4.750%, 3/8/44		1,096,000		1,210
US Treasury 0.125%, 5/31/22		10,084,000		10,087
0.125%, 9/30/22		16,289,000		16,286
0.125%, 10/31/22		36,571,000		36,555
0.125%, 12/31/22		42,449,000		42,413
0.125%, 1/31/23		42,606,000		42,564
0.125%, 3/31/23		47,589,000		47,517

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

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Governments (37.3%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
0.125%, 6/30/23		23,614,000		23,558
0.125%, 9/15/23		7,029,000		7,003
0.125%, 1/15/24		42,168,000		41,913
0.250%, 6/15/23		10,120,000		10,121
0.250%, 5/15/24 b		74,601,000		74,193
0.250%, 6/15/24		21,585,000		21,453
0.250%, 9/30/25		18,471,000		18,082
0.250%, 10/31/25		34,529,000		33,759
0.375%, 4/15/24		4,080,000		4,075
0.375%, 11/30/25		41,731,000		40,980
0.375%, 12/31/25		52,938,000		51,935
0.500%, 2/28/26		44,380,000		43,707
0.500%, 8/31/27		25,638,000		24,723
0.500%, 10/31/27		10,712,000		10,538
0.750%, 5/31/26		50,687,000		50,398
0.750%, 1/31/28		24,411,000		23,765
0.875%, 6/30/26 b		109,943,000		109,891
1.125%, 2/15/31		7,498,000		7,279
1.125%, 5/15/40		54,471,000		47,024
1.125%, 8/15/40		47,044,000		40,473
1.250%, 6/30/28		6,959,000		6,970
1.375%, 11/15/40 b		59,347,000		53,310
1.375%, 8/15/50		16,828,000		14,186
1.500%, 11/30/24		20,490,000		21,142
1.625%, 5/15/31		40,225,000		40,841
1.625%, 11/15/50		15,650,000		14,056
1.750%, 11/30/21		2,820,000		2,840
1.750%, 2/28/22		1,821,000		1,841
1.875%, 2/15/41		39,434,000		38,602
1.875%, 2/15/51		21,425,000		20,448
1.875%, 2/28/22		35,716,000		36,146
2.000%, 2/15/22		27,034,000		27,361
2.125%, 8/15/21		5,678,000		5,693
2.250%, 5/15/41		27,350,000		28,457
2.375%, 5/15/51		12,946,000		13,822
2.500%, 2/15/45		7,522,000		8,138
2.875%, 10/31/23		20,602,000		21,825

Total				1,277,729

Total Governments
(Cost: $1,288,404)				1,277,729


Municipal Bonds (0.3%)

Municipal Bonds (0.3%)
County of Clark Department of Aviation 6.820%, 7/1/45 RB		1,780,000		2,771
North Texas Tollway Authority, Series 2009-B 6.718%, 1/1/49 RB		1,950,000		3,220
The Ohio State University 4.800%, 6/1/11 RB		1,070,000		1,517
Port Authority of New York & New Jersey 4.458%, 10/1/62 RB		3,110,000		4,080
The University of Texas System 2.439%, 8/15/49 RB		925,000		889

Total Municipal Bonds
(Cost: $10,537)				12,477


Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities (8.0%)
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A2A 0.600%, 12/18/23		2,482,141		2,485
Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A 3.070%, 9/20/23 144A		1,041,000		1,069
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A 2.360%, 3/20/26 144A		2,229,000		2,332
BA Credit Card Trust, Series 2021-A1, Class A1 0.440%, 9/15/26		3,581,000		3,571
College Avenue Student Loans LLC, Series 2017-A, Class A1 1.742%, (ICE LIBOR USD 1 Month plus 1.650%), 11/26/46 144A		1,149,018		1,171
College Avenue Student Loans LLC, Series 2018-A, Class A2 4.130%, 12/26/47 144A		968,960		1,020
College Avenue Student Loans LLC, Series 2019-A, Class A2 3.280%, 12/28/48 144A		1,794,185		1,852
College Avenue Student Loans LLC, Series 2021-A, Class A2 1.600%, 7/25/51 144A		2,573,203		2,566
Ford Credit Auto Owner Trust, Series 2018-1, Class A 3.190%, 7/15/31 144A		1,949,000		2,103
Ford Credit Auto Owner Trust, Series 2019- REV1, Class A 3.520%, 7/15/30 144A		4,691,000		5,039
Ford Credit Auto Owner Trust, Series 2021-1, Class A 1.370%, 10/17/33 144A		5,502,000		5,540
Hertz Vehicle Financing II LP, Series 2021-1A, Class A 1.210%, 12/26/25 144A		1,797,000		1,796
Hertz Vehicle Financing II LP, Series 2021-2A, Class A 1.680%, 12/27/27 144A		5,286,000		5,279
Navient Private Education Loan Trust, Series 2014-AA, Class A3 1.673%, (ICE LIBOR USD 1 Month plus 1.600%), 10/15/31 144A		1,539,000		1,565
Navient Private Education Refi Loan Trust, Series 2018-C, Class A2 3.520%, 6/16/42 144A		407,886		415
Navient Private Education Refi Loan Trust, Series 2018-DA, Class A2A 4.000%, 12/15/59 144A		3,042,126		3,202
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A 3.420%, 1/15/43 144A		3,986,322		4,086
Navient Private Education Refi Loan Trust, Series 2019-C, Class A2 3.130%, 2/15/68 144A		2,943,212		3,008
Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A 3.010%, 12/15/59 144A		5,070,095		5,280

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

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Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A 2.460%, 11/15/68 144A		4,048,000		4,180
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2 2.120%, 1/15/69 144A		2,305,130		2,339
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A		1,563,568		1,579
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A 1.170%, 9/16/69 144A		5,617,775		5,641
Navient Private Education Refi Loan Trust, Series 2021-A, Class A 0.840%, 5/15/69 144A		1,151,774		1,150
Navient Student Loan Trust, Series 2016-AA, Class A2B 2.223%, (ICE LIBOR USD 1 Month plus 2.150%), 12/15/45 144A		922,553		949
Navient Student Loan Trust, Series 2019-BA, Class A2A 3.390%, 12/15/59 144A		4,046,857		4,228
Navient Student Loan Trust, Series 2019-FA, Class A2 2.600%, 8/15/68 144A		3,920,071		3,996
Navient Student Loan Trust, Series 2019-GA, Class A 2.400%, 10/15/68 144A		1,982,603		2,023
Navient Student Loan Trust, Series 2020-EA, Class A 1.690%, 5/15/69 144A		412,231		419
Navient Student Loan Trust, Series 2020-HA, Class A 1.310%, 1/15/69 144A		2,463,629		2,480
Navient Student Loan Trust, Series 2020-IA, Class A1A 1.330%, 4/15/69 144A		8,776,428		8,758
Navient Student Loan Trust, Series 2021-BA, Class A 0.940%, 7/15/69 144A		5,798,168		5,795
Navient Student Loan Trust, Series 2021-CA, Class A 1.060%, 10/15/69 144A		11,457,000		11,481
Nelnet Student Loan Trust, Series 2004-3, Class A5 0.356%, (ICE LIBOR USD 3 Month plus 0.180%), 10/27/36		597,788		589
Nelnet Student Loan Trust, Series 2004-4, Class A5 0.336%, (ICE LIBOR USD 3 Month plus 0.160%), 1/25/37		3,089,733		3,055
Nelnet Student Loan Trust, Series 2005-1, Class A5 0.286%, (ICE LIBOR USD 3 Month plus 0.110%), 10/25/33		9,078,186		8,942
Nelnet Student Loan Trust, Series 2005-2, Class A5 0.235%, (ICE LIBOR USD 3 Month plus 0.100%), 3/23/37		8,774,002		8,634


Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Nelnet Student Loan Trust, Series 2005-3, Class A5 0.255%, (ICE LIBOR USD 3 Month plus 0.120%), 12/24/35		6,776,553		6,672
Nelnet Student Loan Trust, Series 2005-4, Class A4 0.315%, (ICE LIBOR USD 3 Month plus 0.180%), 3/22/32		1,145,553		1,110
Nissan Auto Owner Trust Receivables, Series 2021-A, Class A3 0.330%, 10/15/25		2,882,000		2,879
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A 0.620%, 5/15/23		484,908		485
Santander Drive Auto Receivables Trust, Series 2020-3, Class A3 0.520%, 7/15/24		1,929,000		1,931
Santander Drive Auto Receivables Trust, Series 2020-4, Class A3 0.480%, 7/15/24		1,741,000		1,744
Santander Retail Auto Lease Trust, Series 2020-1, Class A3 2.030%, 2/15/24		1,209,259		1,215
Santander Retail Auto Lease Trust, Series 2021-B, Class A3 0.510%, 8/20/24 144A		1,646,000		1,642
Santander Revolving Auto Loan Trust, Series 2019-A, Class A 2.510%, 1/26/32 144A		1,838,000		1,937
SLM Student Loan Trust, Series 2003-1, Class A5C 0.869%, (ICE LIBOR USD 3 Month plus 0.750%), 12/15/32 144A		1,300,099		1,267
SLM Student Loan Trust, Series 2003-10A, Class A4 0.789%, (ICE LIBOR USD 3 Month plus 0.670%), 12/17/68 144A		5,473,000		5,485
SLM Student Loan Trust, Series 2007-2, Class A4 0.236%, (ICE LIBOR USD 3 Month plus 0.060%), 7/25/22		8,709,298		8,481
SLM Student Loan Trust, Series 2012-1, Class A3 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 9/25/28		5,530,389		5,468
SLM Student Loan Trust, Series 2012-2, Class A 0.792%, (ICE LIBOR USD 1 Month plus 0.700%), 1/25/29		4,796,298		4,713
SLM Student Loan Trust, Series 2012-6, Class A3 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 5/26/26		2,104,136		2,083
SMB Private Education Loan Trust, Series 2016-A, Class A2A 2.700%, 5/15/31 144A		2,628,820		2,695
SMB Private Education Loan Trust, Series 2016-B, Class A2A 2.430%, 2/17/32 144A		1,328,052		1,361

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

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Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
SMB Private Education Loan Trust, Series 2016-B, Class A2B 1.523%, (ICE LIBOR USD 1 Month plus 1.450%), 2/17/32 144A		1,246,854		1,264
SMB Private Education Loan Trust, Series 2016-C, Class A2B 1.201%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A		1,366,538		1,379
SMB Private Education Loan Trust, Series 2018-C, Class A2A 3.630%, 11/15/35 144A		1,642,806		1,730
SMB Private Education Loan Trust, Series 2019-A, Class A2A 3.440%, 7/15/36 144A		6,815,407		7,145
SMB Private Education Loan Trust, Series 2020-BA, Class A1A 1.290%, 7/15/53 144A		5,291,816		5,309
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A 1.600%, 9/15/54 144A		5,477,000		5,530
SMB Private Education Loan Trust, Series 2021-A, Class APT1 1.070%, 1/15/53 144A		13,284,570		13,085
SMB Private Education Loan Trust, Series 2021-BA, Class 144A 1.310%, 7/17/51 144A		5,645,000		5,623
SMB Private Education Loan Trust, Series 2021-C, Class A1 0.490%, (ICE LIBOR USD 1 Month plus 0.400%), 1/15/53 144A		2,755,000		2,755
SMB Private Education Loan Trust, Series 2021-C, Class A2 0.800%, (ICE LIBOR USD 1 Month plus 0.800%), 1/15/53 144A		4,242,000		4,242
SMB Private Education Loan Trust, Series 2020-PTB, Class A2A 1.600%, 9/15/54 144A		14,591,000		14,700
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 2.760%, 12/26/36 144A		557,695		564
SoFi Professional Loan Program LLC, Series 2016-D, Class A1 1.042%, (ICE LIBOR USD 1 Month plus 0.950%), 1/25/39 144A		109,256		110
SoFi Professional Loan Program LLC, Series 2016-E, Class A1 0.942%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/39 144A		147,842		148
SoFi Professional Loan Program LLC, Series 2017-A, Class A1 0.792%, (ICE LIBOR USD 1 Month plus 0.700%), 3/26/40 144A		187,357		188
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX 2.650%, 9/25/40 144A		144,747		148
SoFi Professional Loan Program LLC, Series 2017-E, Class A1 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 11/26/40 144A		87,170		87


Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
SoFi Professional Loan Program LLC, Series 2017-E, Class A2B 2.720%, 11/26/40 144A		2,506,415		2,550
SoFi Professional Loan Program LLC, Series 2018-A, Class A2B 2.950%, 2/25/42 144A		1,015,343		1,035
SoFi Professional Loan Program LLC, Series 2018-B, Class A2FX 3.340%, 8/26/47 144A		2,986,631		3,062
SoFi Professional Loan Program LLC, Series 2020-A, Class A2FX 2.540%, 5/15/46 144A		4,500,000		4,649
SoFi Professional Loan Program LLC, Series 2020-C, Class AFX 1.950%, 2/15/46 144A		3,320,423		3,369
SoFi Professional Loan Program LLC, Series 2021-A, Class AFX 1.030%, 8/17/43 144A		1,946,000		1,945
Tesla Auto Lease Trust, Series 2021-A, Class A3 0.560%, 3/20/25 144A		1,251,000		1,254
Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A 1.070%, 2/27/34 144A		6,001,000		6,004
Triton Container Finance VIII LLC, Series 2020-1A, Class A 2.110%, 9/20/45 144A		1,308,878		1,316
Verizon Owner Trust, Series 2021-1, Class A 0.500%, 5/20/27		5,328,000		5,316

Total				275,292


Mortgage Securities (32.0%)
Angel Oak Mortgage Trust I LLC, Series 2020-2, Class A1A 2.531%, (AFC), 1/26/65 144A		2,185,587		2,223
Angel Oak Mortgage Trust I LLC, Series 2020-5, Class A1 1.373%, (AFC), 5/25/65 144A		851,073		854
Angel Oak Mortgage Trust LLC, Series 2019- 2, Class A1 3.628%, (AFC), 3/25/49 144A		551,594		558
BBCMS Trust, Series 2021-C10, Class A5 2.492%, 7/15/54		2,617,000		2,716
Benchmark Mortgage Trust, Series 2021-B26, Class A5 2.613%, 6/15/54		1,561,000		1,638
Benchmark Mortgage Trust, Series 2021-B27, Class A5 2.390%, 7/15/54		953,000		981
Bunker Hill Loan Depositary Trust, Series 2019-2, Class A1 2.879%, (AFC), 7/25/49 144A ∑		1,756,985		1,783
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1 2.724%, (AFC), 11/25/59 144A ∑		1,884,330		1,919
CD Mortgage Trust, Series 2019-CD8, Class A4 2.912%, 8/15/57		1,349,000		1,439

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

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Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB 3.367%, 6/15/50		1,013,000		1,086
Citigroup Mortgage Loan Trust, Series 2005- 1, Class 3A1 6.500%, 4/25/35		116,455		123
COLT Funding LLC, Series 2019-4, Class A1 2.579%, (AFC), 11/25/49 144A		1,173,002		1,177
Commercial Mortgage Pass Through Certificates, Series 2013-CR10, Class A4 4.210%, (AFC), 8/10/46		52,000		56
Commercial Mortgage Pass Through Certificates, Series 2013-CR11, Class A4 4.258%, 8/10/50		6,049,000		6,489
Commercial Mortgage Pass Through Certificates, Series 2013-CR6, Class A4 3.101%, 3/10/46		4,482,000		4,599
Commercial Mortgage Pass Through Certificates, Series 2014-UBS4, Class A4 3.420%, 8/10/47		2,348,000		2,473
Commercial Mortgage Trust, Series 2015- LC21, Class A4 3.708%, 7/10/48		980,000		1,070
Commercial Mortgage Trust, Series 2015- LC23, Class A3 3.521%, 10/10/48		1,230,000		1,315
CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4 3.504%, 6/15/57		1,424,000		1,537
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A4 3.807%, 11/15/48		1,085,000		1,195
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4 2.763%, 9/15/52		1,424,000		1,495
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 2.805%, 3/17/54		3,146,000		3,327
CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A3 3.329%, 6/15/52		2,966,000		3,240
Federal Home Loan Mortgage Corp. 2.000%, 12/1/50		3,314,683		3,357
2.500%, 1/1/36		9,676,825		10,217
2.827%, (ICE LIBOR USD 12 Month plus 1.641%), 5/1/49		1,986,722		2,068
3.500%, 4/1/49		1,975,926		2,148
4.000%, 1/1/35		71,239		78
4.000%, 1/1/36		133,663		146
4.000%, 10/1/36		803,715		876
4.000%, 3/1/37		396,298		433
4.000%, 8/1/38		3,652,385		3,912
4.000%, 11/1/48		4,678,530		5,118
4.000%, 7/1/49		6,238,517		6,951
4.500%, 6/1/39		99,976		112
4.500%, 7/1/39		129,634		148
4.500%, 11/1/48		2,527,789		2,792
4.500%, 8/1/49		10,260,534		11,300
5.000%, 5/1/48		3,291,015		3,707
5.000%, 3/1/49		6,501,826		7,225


Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal Home Loan Mortgage Corp., Series 2012-264, Class 30 3.000%, 7/15/42		4,539,495		4,740
Federal Home Loan Mortgage Corp., Series 2017-4742, Class PA 3.000%, 10/15/47		4,016,574		4,162
Federal Home Loan Mortgage Corp., Series 2018-4767, Class KA 3.000%, 3/15/48		1,475,859		1,576
Federal Home Loan Mortgage Corp., Series 2439, Class LH 6.000%, 4/15/32		246,531		283
Federal Home Loan Mortgage Corp., Series 4205, Class PA 1.750%, 5/15/43		1,375,754		1,421
Federal Home Loan Mortgage Corp., Series 4426, Class QC 1.750%, 7/15/37		2,361,789		2,421
Federal Home Loan Mortgage Corp., Series 4705, Class A 4.500%, 9/15/42		486,392		498
Federal Home Loan Mortgage Corp., Series 4763, Class CA 3.000%, 9/15/38		637,116		680
Federal Home Loan Mortgage Corp., Series 4880, Class DA 3.000%, 5/15/50		3,063,536		3,273
Federal Home Loan Mortgage Corp., Series 4897, Class F 0.423%, (ICE LIBOR USD 1 Month plus 0.350%), 12/15/48		438,139		436
Federal National Mortgage Association 2.000%, 5/1/31		3,254,963		3,379
2.000%, 7/1/36		6,805,000		7,025
2.000%, 4/1/51		19,677,509		19,922
2.500%, 12/1/35		9,016,316		9,567
2.500%, 2/1/36		6,541,482		6,933
2.500%, 3/1/36		13,493,938		14,308
2.500%, 4/1/36		1,999,595		2,122
2.500%, 5/1/36		24,273,162		25,743
2.500%, 9/1/50		18,314,961		19,043
2.500%, 10/1/50		17,768,719		18,431
2.695%, (ICE LIBOR USD 12 Month plus 1.586%), 1/1/46		4,677,114		4,881
2.760%, (ICE LIBOR USD 12 Month plus 1.580%), 6/1/45		1,444,701		1,504
3.000%, 1/1/43		3,377,689		3,607
3.000%, 12/1/54		15,597,271		16,581
3.000%, 7/1/60		34,432,387		36,694
3.500%, 6/1/49		529,490		562
4.000%, 9/1/33		1,396,066		1,492
4.000%, 12/1/36		140,349		153
4.000%, 10/1/37		849,097		924
4.000%, 9/1/45		781,103		871
4.000%, 1/1/46		3,442,999		3,837
4.000%, 2/1/47		2,130,886		2,346
4.000%, 4/1/47		927,022		1,018
4.000%, 10/1/47		637,007		707
4.000%, 7/1/48		11,198,925		12,250
4.000%, 9/1/48		2,395,346		2,609
4.000%, 10/1/48		2,010,642		2,197

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

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Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
4.000%, 11/1/48		2,129,750		2,326
4.000%, 12/1/48		1,830,379		2,033
4.000%, 2/1/49		3,180,565		3,500
4.000%, 5/1/49		1,848,611		2,054
4.000%, 12/1/49		1,913,652		2,105
4.000%, 8/1/59		6,284,196		7,003
4.500%, 5/1/34		51,823		57
4.500%, 6/1/41		113,764		128
4.500%, 3/1/43		1,454,955		1,639
4.500%, 10/1/45		2,314,901		2,608
4.500%, 2/1/46		70,127		78
4.500%, 7/1/48		2,766,646		3,096
4.500%, 8/1/48		4,109,774		4,527
4.500%, 10/1/48		9,462,085		10,429
4.500%, 11/1/48		1,279,301		1,440
4.500%, 1/1/49		6,787,440		7,540
4.500%, 2/1/49		3,673,119		4,079
4.500%, 6/1/49		2,913,849		3,225
4.500%, 7/1/49		7,532,832		8,350
4.500%, 8/1/49		2,737,557		3,040
4.500%, 3/1/50		3,366,940		3,747
4.500%, 4/1/50		1,958,227		2,205
4.500%, 1/1/59		5,586,388		6,294
5.000%, 7/1/44		172,004		192
5.000%, 10/1/48		622,449		695
5.000%, 12/1/48		2,155,256		2,383
5.000%, 6/1/49		14,515,354		16,185
5.000%, 8/1/49		30,948,374		34,749
5.000%, 11/1/49		3,011,921		3,315
5.500%, 12/1/48		2,266,376		2,580
5.500%, 6/1/49		6,254,131		7,172
Federal National Mortgage Association Stripped, Series 414, Class A35 3.500%, 10/25/42 PO		3,844,940		4,167
Federal National Mortgage Association TBA 2.000%, 7/19/36 b		76,000,000		78,388
2.000%, 7/14/51		6,600,000		6,664
2.000%, 8/12/51		27,900,000		28,116
2.500%, 7/14/51 b		76,900,000		79,537
2.500%, 8/12/51		33,400,000		34,480
2.500%, 9/14/51		51,200,000		52,742
Federal National Mortgage Association, Series 2012-151, Class NX 1.500%, 1/25/43		1,615,516		1,631
Federal National Mortgage Association, Series 2013-11, Class AP 1.500%, 1/25/43		4,989,075		5,060
Federal National Mortgage Association, Series 2013-30, Class CA 1.500%, 4/25/43		518,318		524
Federal National Mortgage Association, Series 2013-43, Class BP 1.750%, 5/25/43		1,827,069		1,883
Federal National Mortgage Association, Series 2014-73, Class MA 2.500%, 11/25/44		1,124,789		1,192
Federal National Mortgage Association, Series 2015-84, Class PA 1.700%, 8/25/33		6,080,225		6,276


Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Federal National Mortgage Association, Series 2016-48, Class MA 2.000%, 6/25/38		6,159,855		6,409
Federal National Mortgage Association, Series 2016-57, Class PC 1.750%, 6/25/46		11,893,920		12,036
Federal National Mortgage Association, Series 2017-13, Class PA 3.000%, 8/25/46		1,919,292		2,015
Federal National Mortgage Association, Series 2017-42, Class H 3.000%, 11/25/43		1,272,488		1,313
Federal National Mortgage Association, Series 2017-M7, Class A2 2.961%, (AFC), 2/25/27		1,064,000		1,155
Federal National Mortgage Association, Series 2018-14, Class KC 3.000%, 3/25/48		3,612,455		3,854
Federal National Mortgage Association, Series 2018-15, Class AB 3.000%, 3/25/48		769,120		820
Federal National Mortgage Association, Series 2018-8, Class KL 2.500%, 3/25/47		2,072,033		2,163
Federal National Mortgage Association, Series 2019-25, Class PA 3.000%, 5/25/48		4,176,023		4,425
Federal National Mortgage Association, Series 2019-35, Class A 3.000%, 7/25/49		1,541,659		1,609
Federal National Mortgage Association, Series 2020-48, Class AB 2.000%, 7/25/50		2,623,958		2,678
Federal National Mortgage Association, Series 2020-48, Class DA 2.000%, 7/25/50		8,661,829		8,801
Federal National Mortgage Association, Series 2021-27, Class EC 1.500%, 5/25/51		9,741,879		9,808
Freddie Mac, Series 5091, Class AB 1.500%, 3/25/51		6,468,790		6,478
Freddie Mac, Series 5092, Class DT 1.500%, 11/25/49		6,934,444		6,978
Freddie Mac, Series 5119, Class AB 1.500%, 8/25/49		3,097,791		3,124
GCAT LLC, Series 2019-NQM1, Class A1 2.985%, (AFC), 2/25/59 144A S		603,085		605
Government National Mortgage Association 2.500%, 6/20/51 b		57,030,000		59,157
3.500%, 1/20/48		2,121,475		2,284
4.000%, 6/20/47		16,625,320		17,809
4.000%, 3/20/48		563,678		607
4.000%, 4/20/48		2,088,717		2,240
4.000%, 5/20/49		961,508		1,036
4.000%, 6/20/49		2,696,605		2,907
4.000%, 7/20/49		2,491,625		2,686
4.500%, 8/15/47		421,039		471
4.500%, 6/20/48		3,279,125		3,523
4.500%, 2/20/49		3,035,570		3,376
4.500%, 3/20/49		317,150		344
4.500%, 4/20/49		448,401		488

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

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Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
4.500%, 5/20/49		1,176,879		1,281
5.000%, 12/20/39		76,278		85
5.000%, 11/20/45		189,174		210
5.000%, 3/20/48		5,132,632		5,606
5.000%, 5/20/48		2,488,253		2,684
5.000%, 6/20/48		7,684,175		8,291
5.000%, 7/20/48		1,680,008		1,819
5.000%, 8/20/48		2,613,270		2,823
5.000%, 12/20/48		1,771,708		1,909
5.000%, 1/20/49		3,058,709		3,334
5.000%, 2/20/49		304,301		336
5.000%, 3/20/49		784,517		865
Government National Mortgage Association TBA 2.500%, 7/21/51		10,300,000		10,659
Government National Mortgage Association, Series 2012-141, Class WA 4.529%, 11/16/41		599,219		668
Government National Mortgage Association, Series 2017-167, Class BQ 2.500%, 8/20/44		2,181,222		2,260
Government National Mortgage Association, Series 2018-11, Class PC 2.750%, 12/20/47		3,043,798		3,131
Government National Mortgage Association, Series 2019-31, Class JC 3.500%, 3/20/49		1,568,908		1,682
Government National Mortgage Association, Series 2019-32, Class NA 3.500%, 9/20/49		2,624,310		2,788
Government National Mortgage Association, Series 2021-23, Class MG 1.500%, 2/20/51		6,483,826		6,567
GS Mortgage Securities Trust, Series 2014- GC18, Class A4 4.074%, 1/10/47		3,116,000		3,335
GS Mortgage Securities Trust, Series 2020- GSA2, Class A4 1.721%, 12/12/53		2,669,000		2,614
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010- 1, Class A1 5.314%, 1/25/51 144A		3,242,758		3,456
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A4 3.669%, 9/15/47		954,968		1,017
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A3 2.912%, 10/15/48		5,537,242		5,733
MASTR Asset Securitization Trust, Series 2003-12, Class 1A1 5.250%, 12/25/24		70,997		72
Mello Warehouse Securitization Trust, Series 2020-2, Class A 0.892%, (ICE LIBOR USD 1 Month plus 0.800%), 11/25/53 144A		3,220,000		3,224
Mello Warehouse Securitization Trust, Series 2021-1, Class A 0.806%, (ICE LIBOR USD 1 Month plus 0.700%), 2/25/55 144A		941,000		941


Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Mello Warehouse Securitization Trust, Series 2021-2, Class A 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 4/25/55 144A		2,577,000		2,578
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A4 3.176%, 8/15/45		692,000		704
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 3.249%, 2/15/48		434,000		464
Morgan Stanley Capital I Trust, Series 2020- HR8, Class A3 1.790%, 7/15/53		1,911,000		1,885
Morgan Stanley Capital I Trust, Series 2021- L6, Class A4 2.444%, 7/15/31		1,586,000		1,634
MSG III Securitization Trust, Series 2021-1, Class A 0.841%, (ICE LIBOR USD 1 Month plus 0.750%), 6/25/54 144A Æ		1,625,000		1,625
New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1 2.492%, (AFC), 9/25/59 144A		1,183,806		1,195
NewRez Warehouse Securitization Trust, Series 2021-1, Class A 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 5/25/55 144A		6,710,000		6,720
Residential Funding Mortgage Securities I, Series 2003-S18, Class A1 4.500%, 10/25/25		2,120		1
Starvest Emerging Markets CBO I, Series 2020-INV1, Class A1 1.027%, (AFC), 11/25/55 144A		1,801,706		1,801
Starwood Mortgage Residential Trust, Series 2020-1, Class A1 2.275%, (AFC), 2/25/50 144A		2,499,095		2,527
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 1.486%, (AFC), 4/25/65 144A		2,197,515		2,217
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		2,050,313		2,056
Verus Securitization Trust, Series 2019-3, Class A1 2.784%, (AFC), 7/25/59 144A S		2,446,518		2,477
Verus Securitization Trust, Series 2019-4, Class A1 2.642%, (AFC), 11/25/59 144A S		3,237,370		3,291
Verus Securitization Trust, Series 2019-INV2, Class A1 2.913%, (AFC), 7/25/59 144A		1,402,872		1,426
Verus Securitization Trust, Series 2019-INV3, Class A1 2.692%, (AFC), 11/25/59 144A		980,509		999
Verus Securitization Trust, Series 2020-1, Class A1 2.417%, (AFC), 1/25/60 144A S		776,231		786
Verus Securitization Trust, Series 2020-2, Class A1 2.226%, (AFC), 5/25/60 144A		2,935,277		2,960

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

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Structured Products (40.0%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Verus Securitization Trust, Series 2020-5, Class A1 1.218%, (AFC), 5/25/65 144A S		703,538		705
Verus Securitization Trust, Series 2021-2, Class A1
0.815%, (AFC), 1/25/66 144A		2,385,416		2,383
1.031%, (AFC), 2/25/66 144A		4,147,446		4,149
Verus Securitization Trust, Series 2021-3, Class A1 1.046%, (AFC), 6/25/66 144A		2,813,000		2,813
Verus Securitization Trust, Series 2021-R1, Class A1 0.820%, (AFC), 10/25/63 144A		2,878,197		2,876
Verus Securitization Trust, Series 2021-R3, Class A1 1.020%, (AFC), 5/25/64 144A		2,752,311		2,749
Visio Trust, Series 2020-1R, Class A1 1.312%, 11/25/55 144A		1,952,232		1,956

Total				1,095,077

Total Structured Products
(Cost: $1,358,755)				1,370,369


Short-Term Investments (3.3%)

Money Market Funds (3.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#		106,296,678		106,297

Total				106,297


Structured Products (0.1%)
SLM Student Loan Trust, Series 2007-3, Class A4 0.236%, (ICE LIBOR USD 3 Month plus 0.060%), 1/25/22		2,600,926		2,533

Total				2,533


Utilities (0.1%)
Dominion Resources, Inc. 2.000%, 8/15/21		1,513,000		1,514


Short-Term Investments (3.3%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Duke Energy Corp. 1.800%, 9/1/21		2,264,000		2,266

Total				3,780


Total Short-Term Investments
(Cost: $112,612)				112,610


Total Investments (108.7%)
(Cost: $3,705,600)^@				3,725,971

Other Assets, Less
Liabilities (-8.7%)				(298,286	)

Net Assets (100.0%)				3,427,685

+	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, 2021 the value of these securities (in thousands) was $476,759 representing 13.9% of the net assets.

b	Cash or securities with an aggregate value of $454,476 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

Æ	Security valued using significant unobservable inputs.

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $3,705,600 and the net unrealized appreciation of investments based on that cost was $20,371 which is comprised of $43,736 aggregate gross unrealized appreciation and $23,365 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.

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The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	-	$	12,477	$	-
Corporate Bonds		-		952,786		-
Governments		-		1,277,729		-
Structured Products
Mortgage Securities		-		1,093,452		1,625
All Others		-		275,292		-
Short-Term Investments
Money Market Funds		106,297		-		-
All Others		-		6,313		-
Total Assets:	$	106,297	$	3,618,049	$	1,625

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

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

Sector Allocation 6/30/21


Sector	% of Total Investments
Governments		88.5	%
Structured Products		9.8	%
Short-Term Investments		0.9	%
Corporate Bonds		0.8	%

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.

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

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

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SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Corporate Bonds (0.9%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical (0.2%)
United Airlines Pass Through Trust, Series 2016-2, Class A 3.100%, 4/7/30		162,997		165
United Airlines Pass Through Trust, Series 2016-2, Class AA 2.875%, 4/7/30		162,997		166

Total				331


Consumer, Non-cyclical (0.2%)
Automatic Data Processing, Inc. 1.700%, 5/15/28		300,000		302

Total				302


Industrial (0.3%)
Vessel Management Services, Inc. 3.432%, 8/15/36		431,000		475

Total				475


Utilities (0.2%)
Duke Energy Florida LLC 2.500%, 12/1/29		200,000		210

Total				210


Total Corporate Bonds
(Cost: $1,256)				1,318


Governments (107.0%)

Governments (107.0%)
Federal National Mortgage Association 5.625%, 4/17/28		100,000		129
Resolution Funding Corp. Stripped 0.000%, 4/15/30 PO		4,800,000		4,152
0.000%, 4/15/28 IO		400,000		365
Tennessee Valley Authority Stripped 0.000%, 5/1/30 PO		500,000		431
US Treasury 0.125%, 1/15/24		5,100,000		5,069
1.125%, 2/15/31		3,200,000		3,106
1.125%, 5/15/40		6,790,000		5,862
1.125%, 8/15/40 b		65,580,000		56,419
1.125%, 2/29/28		190,000		189
1.375%, 11/15/40		11,700,000		10,510
1.375%, 8/15/50		3,300,000		2,782
1.375%, 8/31/26		100,000		102
1.625%, 11/15/50		1,700,000		1,527
1.875%, 2/15/41		1,900,000		1,860
2.000%, 2/15/50		44,180,000		43,403
2.000%, 10/31/21 b		83,000		84
2.000%, 6/30/24 b		700,000		732
2.125%, 3/31/24 b		1,000,000		1,047
2.125%, 5/15/25		410,000		433
2.375%, 5/15/51		2,300,000		2,456
2.500%, 2/15/46		940,000		1,018
2.875%, 5/15/49		1,350,000		1,581
3.000%, 11/15/45		370,000		437


Governments (107.0%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
3.000%, 2/15/48		330,000		393
3.000%, 8/15/48		700,000		836
3.125%, 5/15/48		2,430,000		2,964
3.500%, 2/15/39		50,000		63
4.375%, 2/15/38		2,240,000		3,083
4.500%, 5/15/38		1,440,000		2,011
US Treasury Stripped 0.000%, 8/15/34 IO		850,000		667
0.000%, 11/15/43 PO		700,000		438

Total				154,149


Total Governments
(Cost: $164,886)				154,149


Structured Products (11.9%)

Asset Backed Securities (0.4%)
ECMC Group Student Loan Trust, Series 2018-1A, Class A 0.842%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A		63,342		64
Massachusetts Educational Financing Authority, Series 2008-1, Class A1 1.126%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38		32,352		32
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A 3.430%, 12/16/24 144A		163,545		164
SLM Student Loan Trust, Series 2003-7A, Class A5A 1.319%, (ICE LIBOR USD 3 Month plus 1.200%), 12/15/33 144A		92,771		93
Towd Point Mortgage Trust, Series 2019-4, Class A1 2.900%, (AFC), 10/25/59 144A		138,556		143
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 3.000%, (AFC), 11/25/59 144A		117,905		119

Total				615


Mortgage Securities (11.5%)
BWAY Mortgage Trust, Series 2013-1515, Class A2 3.454%, 3/10/33 144A		300,000		321
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A 2.871%, (CSTR), 11/10/31 144A		600,000		621
COMM Mortgage Trust, Series 2018-HOME, Class A 3.942%, (AFC), 4/10/33 144A		200,000		219
Commercial Mortgage Pass Through Certificates, Series 2016-667M, Class A 3.140%, 10/10/36 144A		700,000		742
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 2.148%, (CSTR), 7/25/33		380		–	p

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

122

Long-Term U.S. Government Bond Portfolio


Structured Products (11.9%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
DBWF Mortgage Trust, Series 2016-85T, Class A 3.791%, 12/10/36 144A		800,000		885
Extended Stay America Trust, Series 2021- ESH, Class A 1.155%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A		400,000		401
Federal Home Loan Mortgage Corp., Series 2752, Class EZ 5.500%, 2/15/34		168,449		192
Federal Home Loan Mortgage Corp., Series 3759, Class FB 0.573%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40		30,643		31
Federal Home Loan Mortgage Corp., Series 4092, Class AY 3.000%, 8/15/32		2,200,000		2,319
Federal Home Loan Mortgage Corp., Series 4387, Class AZ 4.000%, 9/15/44		2,618,753		2,866
Federal Home Loan Mortgage Corp., Series 4398, Class ZX 4.000%, 9/15/54		783,016		913
Federal Home Loan Mortgage Corp., Series 4830, Class ZG 3.000%, 4/15/53		736,327		753
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1 1.516%, (Federal Reserve US 12 Month Cumulative Avg 1 year Constant Maturity plus 1.400%), 7/25/44		6,283		6
Federal National Mortgage Association 3.600%, 2/1/40		591,913		684
5.000%, 6/1/35		32,773		37
5.000%, 2/1/36		50,974		58
5.500%, 5/1/49		41,505		46
Federal National Mortgage Association, Series 2007-39, Class NZ 4.250%, 5/25/37		125,759		135
Federal National Mortgage Association, Series 2012-101, Class FC 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42		42,284		42
Federal National Mortgage Association, Series 2016-61, Class ML 3.000%, 9/25/46		900,000		951
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 4.322%, (CSTR), 10/25/52 144A		571,412		657
Government National Mortgage Association, Series 2010-26, Class OW 0.010%, 2/20/40 PO		407,839		385
Government National Mortgage Association, Series 2010-75, Class OA 0.010%, 9/20/35 PO		280,930		258
GS Mortgage Securities Trust, Series 2015- 590M, Class B 3.932%, (CSTR), 10/10/35 144A		300,000		314
Hilton USA Trust, Series 2016-HHV, Class A 3.719%, 11/5/38 144A		300,000		328


Structured Products (11.9%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Hilton USA Trust, Series 2016-HHV, Class C 4.333%, (CSTR), 11/5/38 144A		400,000		435
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A 2.309%, (CSTR, AFC), 5/25/33		925		1
MSSG Trust, Series 2017-237P, Class A 3.397%, 9/13/39 144A		700,000		756
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 2.750%, (AFC), 11/25/59 144A		156,971		162
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 0.753%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34		2,918		3
VNDO Trust, Series 2016-350P, Class A 3.805%, 1/10/35 144A		800,000		882
Worldwide Plaza Trust, Series 2017-WWP, Class A 3.526%, 11/10/36 144A		100,000		109

Total				16,512


Total Structured Products
(Cost: $16,139)				17,127


Short-Term Investments (1.1%)

Governments (0.0%)
US Treasury 0.000%, 9/7/21		1,000		1

Total				1


Money Market Funds (1.1%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#		1,632,871		1,633

Total				1,633

Total Short-Term Investments
(Cost: $1,634)				1,634


Total Investments (120.9%)
(Cost: $183,915)^@				174,228

Other Assets, Less
Liabilities (-20.9%)				(30,106	)

Net Assets (100.0%)				144,122

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

123

Long-Term U.S. Government Bond Portfolio

Securities Sold Short


Description	Coupon			Maturity Date	Principal Amount (000’s)			Proceeds (000’s)			Value (000’s)
Uniform Mortgage Backed Security TBA		2.000	%	7/14/51	$	(5,300	)	$	(5,349	)	$	(5,351	)

					$	(5,300	)	$	(5,349	)	$	(5,351	)

Exchange Traded or Centrally Cleared Derivatives Futures


Issuer	Long/Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future		Short		USD		2,500		25		9/21	$	3,086	$	18		$	(2	)
Ten-Year US Treasury Note Future		Long		USD		800		8		9/21		1,060		6			2
Ultra Long Term US Treasury Bond Future		Long		USD		4,400		44		9/21		8,478		387			50
Ultra Ten-Year US Treasury Note Future		Short		USD		3,100		31		9/21		4,563		(80	)		(15	)
US Treasury Long Bond Future		Short		USD		8,300		83		9/21		13,342		(422	)		(54	)

													$	(91	)	$	(19	)

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		0.400%	3/26		6,300		USD	$	19	$	133	$	152	$	(2	)
3-Month USD-LIBOR		0.750%	3/31		1,100		USD		10		58		68		(2	)
3-Month USD-LIBOR		1.250%	6/41		6,010		USD		135		362		497		(24	)
3-Month USD-LIBOR		1.150%	3/51		5,100		USD		117		638		755		(25	)

								$	281	$	1,191	$	1,472	$	(53	)

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	1.000%	12/25		9,700	USD	$	199		$	(146	)	$	53		$	3
3-Month USD-LIBOR	1.000%	12/30		100	USD		(1	)		(3	)		(4	)		-	p
3-Month USD-LIBOR	1.250%	12/50		2,100	USD		(183	)		(90	)		(273	)		10
3-Month USD-LIBOR	1.000%	3/51		4,520	USD		(500	)		(333	)		(833	)		21

						$	(485	)	$	(572	)	$	(1,057	)	$	34


	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	$	34	$	52	$	86	$	(53	)	$	(71	)	$	(124	)	$	-

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

b	Cash or securities with an aggregate value of $58,282 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

p	Amount is less than one thousand.

#	7-Day yield as of 6/30/2021.

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

124

Long-Term U.S. Government Bond Portfolio

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $165,395 and the net unrealized appreciation of investments based on that cost was $3,805 which is comprised of $17,856 aggregate gross unrealized appreciation and $14,051 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	-		$	1,318		$	-
Governments		-			154,149			-
Structured Products		-			17,127			-
Short-Term Investments
Money Market Funds		1,633			-			-
All Others		-			1			-
Other Financial Instruments^
Futures		411			-			-
Interest Rate Swaps		-			1,525			-
Total Assets:	$	2,044		$	174,120		$	-
Liabilities:
Other Financial Instruments^
Futures		(502	)		-			-
Interest Rate Swaps		-			(1,110	)		-
Securities Sold Short		-			(5,351	)		-
Total Liabilities:	$	(502	)	$	(6,461	)	$	-

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

125

Inflation Protection Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Governments		62.5	%
Structured Products		19.7	%
Corporate Bonds		7.5	%
Short-Term Investments & Other Net Assets		6.5	%
Investment Companies		3.8	%
Municipal Bonds		0.0	%

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 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.

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.

126

Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Corporate Bonds (7.5%)	Shares/ Par⁺		Value $ (000’s)

Communications (1.4%)
Amazon.com, Inc. 2.100%, 5/12/31		600,000		610
2.875%, 5/12/41		515,000		531
AT&T, Inc. 2.550%, 12/1/33 144A		565,000		560
3.550%, 9/15/55 144A		1,064,000		1,067
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 3.500%, 6/1/41		585,000		589
6.484%, 10/23/45		530,000		730
Comcast Corp. 3.750%, 4/1/40		100,000		113
Cox Communications, Inc. 2.600%, 6/15/31 144A		307,000		312
Verizon Communications, Inc. 1.750%, 1/20/31		745,000		714
2.650%, 11/20/40		822,000		791
4.329%, 9/21/28		326,000		379
ViacomCBS, Inc. 4.375%, 3/15/43		350,000		405

Total				6,801


Consumer, Cyclical (0.2%)
Ford Motor Credit Co. LLC 4.389%, 1/8/26		300,000		324
General Motors Co. 5.150%, 4/1/38		650,000		793

Total				1,117


Consumer, Non-cyclical (0.7%)
AbbVie, Inc. 4.450%, 5/14/46		350,000		423
4.550%, 3/15/35		270,000		328
Block Financial LLC 2.500%, 7/15/28		387,000		389
Cigna Corp. 4.900%, 12/15/48		200,000		258
CVS Health Corp. 4.780%, 3/25/38		180,000		221
Duke University Health System, Inc. 3.920%, 6/1/47		268,000		322
Gilead Sciences, Inc. 3.650%, 3/1/26		200,000		220
The Kroger Co. 3.875%, 10/15/46		400,000		441
Mondelez International, Inc. 2.750%, 4/13/30		153,000		161
Viatris, Inc. 2.700%, 6/22/30 144A		130,000		131
4.000%, 6/22/50 144A		140,000		148

Total				3,042


Corporate Bonds (7.5%)	Shares/ Par⁺		Value $ (000’s)

Energy (0.4%)
Chevron Corp. 1.995%, 5/11/27		260,000		268
Enterprise Products Operating LLC 4.850%, 3/15/44		100,000		122
MPLX LP 4.500%, 4/15/38		107,000		123
Petroleos Mexicanos 3.500%, 1/30/23		130,000		133
4.875%, 1/18/24		400,000		420
Sabine Pass Liquefaction LLC 5.625%, 3/1/25		500,000		571
Transcontinental Gas Pipe Line Co. LLC 3.250%, 5/15/30		260,000		281

Total				1,918


Financial (3.7%)
American Homes 4 Rent, LP 2.375%, 7/15/31		120,000		118
Ares Capital Corp. 2.875%, 6/15/28		426,000		432
Banco Santander SA 2.958%, 3/25/31		800,000		824
Bank of America Corp. 2.087%, (US SOFR plus 1.060%), 6/14/29		715,000		721
2.676%, (US SOFR plus 1.930%), 6/19/41		980,000		951
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		485,000		528
4.183%, 11/25/27		585,000		655
Barclays PLC 5.200%, 5/12/26		750,000		857
Blue Owl Finance LLC 3.125%, 6/10/31 144A		400,000		397
BNP Paribas 4.375%, 9/28/25 144A		980,000		1,084
Brighthouse Financial Global Funding 2.000%, 6/28/28 144A		702,000		702
Citigroup, Inc. 1.462%, (US SOFR plus 0.770%), 6/9/27		700,000		697
3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28		664,000		727
Crown Castle International Corp. 3.800%, 2/15/28		737,000		819
Global Atlantic Finance Co. 3.125%, 6/15/31 144A		265,000		267
The Goldman Sachs Group, Inc. 3.210%, (US SOFR plus 1.513%), 4/22/42		320,000		335
HSBC Holdings PLC 1.589%, (US SOFR plus 1.290%), 5/24/27		540,000		541
2.804%, (US SOFR plus 1.187%), 5/24/32		280,000		287
Huntington Bancshares, Inc. 4.350%, 2/4/23		355,000		375
JPMorgan Chase & Co. 1.578%, (US SOFR plus 0.885%), 4/22/27		330,000		332
2.182%, (US SOFR plus 1.890%), 6/1/28		530,000		543
3.157%, (US SOFR plus 1.460%), 4/22/42		720,000		749

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

127

Inflation Protection Portfolio


Corporate Bonds (7.5%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Lexington Realty Trust 2.700%, 9/15/30		445,000		452
Macquarie Group, Ltd. 1.629%, (US SOFR plus 0.910%), 9/23/27 144A		192,000		191
Morgan Stanley 1.593%, (US SOFR plus 0.879%), 5/4/27		1,288,000		1,297
3.217%, (US SOFR plus 1.485%), 4/22/42		109,000		116
National Australia Bank, Ltd. 2.990%, 5/21/31 144A		590,000		599
Security Benefit Global Funding 1.250%, 5/17/24 144A		600,000		601
Societe Generale SA 2.889%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.300%), 6/9/32 144A		480,000		486
Sun Communities Operating LP 2.700%, 7/15/31		227,000		227
Truist Financial Corp. 1.887%, (US SOFR plus 0.862%), 6/7/29		220,000		221
Wells Fargo & Co. 2.188%, (US SOFR plus 2.000%), 4/30/26		14,000		15
2.393%, (US SOFR plus 2.100%), 6/2/28		455,000		472

Total				17,618


Industrial (0.2%)
DAE Funding LLC 1.550%, 8/1/24 144A		200,000		199
Lockheed Martin Corp. 3.800%, 3/1/45		200,000		233
United Technologies Corp. 4.125%, 11/16/28		530,000		610

Total				1,042


Technology (0.5%)
Apple, Inc. 2.650%, 2/8/51		250,000		244
HP, Inc. 2.650%, 6/17/31 144A		320,000		319
Oracle Corp. 3.600%, 4/1/40		705,000		744
Salesforce.com, Inc. 1.500%, 7/15/28		466,000		465
2.700%, 7/15/41		360,000		362

Total				2,134


Utilities (0.4%)
Dominion Resources, Inc. 4.900%, 8/1/41		320,000		404
Duke Energy Florida LLC 1.750%, 6/15/30		400,000		392
Essential Utilities, Inc. 2.704%, 4/15/30		370,000		384
NextEra Energy Capital Holdings, Inc. 3.550%, 5/1/27		200,000		221
Sempra Energy 3.250%, 6/15/27		250,000		271


Corporate Bonds (7.5%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
Southern Co. Gas Capital Corp. 3.950%, 10/1/46		200,000		222

Total				1,894


Total Corporate Bonds
(Cost: $34,319)				35,566


Investment Companies (3.8%)

Investment Companies (3.8%)
Vanguard Intermediate-Term Corporate Bond ETF		94,300		8,965
Vanguard Short-Term Corporate Bond ETF		106,100		8,775

Total				17,740


Total Investment Companies
(Cost: $17,521)				17,740


Governments (62.5%)

Governments (62.5%)
Canadian Government Real Return Bond 4.000%, 12/1/31 CAD ¥		11,666,380		13,806
4.250%, 12/1/26 CAD ¥		20,364,555		21,194
Tennessee Valley Authority 4.700%, 7/15/33		1,658,000		2,152
US Treasury 0.125%, 1/15/31 b		34,357,600		37,807
0.125%, 10/15/25		6,945,413		7,558
0.125%, 4/15/26		16,746,758		18,216
0.250%, 7/15/29		1,983,106		2,206
US Treasury Inflation Index Bond 0.125%, 1/15/30 b		23,399,910		25,685
0.125%, 7/15/30		14,578,200		16,081
0.125%, 2/15/51 b		1,025,470		1,126
0.125%, 7/15/26		5,067,836		5,549
0.250%, 2/15/50		6,563,004		7,423
0.250%, 1/15/25		4,553,888		4,929
0.375%, 7/15/25		4,390,698		4,821
0.375%, 1/15/27 b		11,494,496		12,722
0.375%, 7/15/27		4,092,825		4,564
0.500%, 1/15/28		8,117,700		9,100
0.625%, 2/15/43		7,722,246		9,219
0.625%, 1/15/26		17,584,497		19,527
0.750%, 2/15/42		7,591,395		9,242
0.750%, 2/15/45		11,167,635		13,766
0.750%, 7/15/28		1,595,400		1,830
0.875%, 2/15/47		2,820,326		3,626
1.000%, 2/15/46		1,295,786		1,693
1.000%, 2/15/48		1,245,071		1,660
1.000%, 2/15/49		2,757,487		3,711
1.375%, 2/15/44		6,506,724		8,974
1.750%, 1/15/28		3,307,068		3,996
2.000%, 1/15/26		3,295,618		3,877
2.125%, 2/15/40		2,593,983		3,865
2.125%, 2/15/41		4,614,445		6,951
2.375%, 1/15/25		1,487,189		1,728
2.375%, 1/15/27		761,237		932
2.500%, 1/15/29 b		889,110		1,145

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

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Governments (62.5%)	Shares/ Par⁺		Value $ (000’s)

Governments continued
3.625%, 4/15/28		2,476,020		3,338

Total				294,019


Total Governments
(Cost: $271,766)				294,019


Municipal Bonds (0.0%)

Municipal Bonds (0.0%)
Santa Clara Valley Transportation Authority 5.876%, 4/1/32 RB		50,000		63

Total Municipal Bonds
(Cost: $59)				63


Structured Products (19.7%)

Asset Backed Securities (10.5%)
Bean Creek CLO, Ltd., Series 2018-1A, Class AR 1.208%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A		1,250,000		1,247
Blackbird Capital Aircraft 2.443%, 7/15/46 144A Æ		1,000,000		1,000
BRE Grand Islander Timeshare Issuer, Series 2017-1A, Class A 2.940%, 5/25/29 144A		186,400		191
Drive Auto Receivables Trust, Series 2019-4, Class C 2.510%, 11/17/25		1,200,000		1,217
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2 3.093%, 4/20/34 144A		2,000,000		2,012
Dryden Senior Loan Fund, Series 2018-64A, Class A 1.160%, (ICE LIBOR USD 3 Month plus 0.970%), 4/18/31 144A		2,300,000		2,300
FirstKey Homes Trust, Series 2020-SFR2, Class D 1.968%, 10/19/37 144A		1,300,000		1,295
Goldentree Loan Opportunities X, Ltd., Series 2015-10A, Class AR 1.308%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A		1,125,000		1,125
Goodgreen Trust, Series 2020-1A, Class A 2.630%, 4/15/55 144A		910,448		938
Goodgreen Trust, Series 2021-1A, Class A 2.660%, 10/20/56 144A		586,111		590
Hilton Grand Vacations Trust, Series 2017- AA, Class A 2.660%, 12/26/28 144A		741,938		760
Hilton Grand Vacations Trust, Series 2019- AA, Class B 2.540%, 7/25/33 144A		1,162,727		1,190
Instar Leasing III, LLC, Series 21-1A, Class A 2.300%, 2/15/54 144A		1,669,884		1,676
KKR CLO, Ltd., Series 2018-22A, Class A 1.338%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A		1,500,000		1,500
KKR Financial CLO, Ltd., Series 2019-A2, Class A2 1.684%, (ICE LIBOR USD 3 Month plus 1.500%), 10/15/30 144A		2,200,000		2,200


Structured Products (19.7%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Magnetite CLO, Ltd., Series 2014-8A, Class AR2 1.164%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A		1,750,000		1,751
Magnetite CLO, Ltd., Series 2021-29A, Class B 1.504%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A		1,650,000		1,648
Mosaic Solar Loans LLC, Series 2021-1, Class A 1.510%, 12/20/46 144A		1,572,651		1,557
MVW Owner Trust, Series 2016-1A, Class A 2.250%, 12/20/33 144A		104,264		105
MVW Owner Trust, Series 2019-2A, Class A 2.220%, 10/20/38 144A		883,044		899
Progress Residential Trust, Series 2019- SFR1, Class A 3.422%, 8/17/35 144A		1,998,027		2,027
Progress Residential Trust, Series 2019- SFR4, Class B 2.937%, 11/17/36 144A		2,400,000		2,443
Progress Residential Trust, Series 2021- SFR1, Class D 1.805%, 4/17/38 144A		1,000,000		985
Progress Residential Trust, Series 2021- SFR2, Class C 1.997%, 4/19/38 144A		5,050,000		5,053
Rockford Tower CLO, Ltd., Series 2017-1A, Class BR2A 1.834%, (ICE LIBOR USD 3 Month plus 1.650%), 4/20/34 144A		2,000,000		1,997
Rockford Tower CLO, Ltd., Series 2020-1A, Class B 2.051%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A		1,350,000		1,351
Rockford Tower CLO, Ltd., Series 2021-2A, Class B 1.000%, (ICE LIBOR USD 3 Month plus 1.750%), 7/20/34 144A		1,325,000		1,325
Sierra Timeshare Receivables Funding Co. LLC, Series 2019-1A, Class A 3.200%, 1/20/36 144A		438,114		453
Sierra Timeshare Receivables Funding Co. LLC, Series 2019-3, Class B 2.750%, 7/15/38 144A		1,694,947		1,741
Sierra Timeshare Receivables Funding Co. LLC, Series 2021-A1, Class B 1.340%, 11/20/37 144A		3,270,958		3,274
Treman Park CLO, Ltd., Series 2015-1A, Class ARR 1.258%, (ICE LIBOR USD 3 Month plus 1.070%), 10/20/28 144A		1,121,733		1,122
Tricon American Homes, Series 2020-SFR2, Class B 1.832%, 11/17/39 144A		1,400,000		1,391
Wendys Funding LLC, Series 2021-1A, Class A2II 2.775%, 6/15/51 144A		1,200,000		1,211

Total				49,574

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

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Structured Products (19.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities (9.2%)
Agate Bay Mortgage Trust, Series 2014-3, Class A2 3.500%, (AFC), 11/25/44 144A		122,707		124
Agate Bay Mortgage Trust, Series 2015-7, Class A3 3.500%, (AFC), 10/25/45 144A		301,925		305
Agate Bay Mortgage Trust, Series 2016-1, Class A3 3.500%, (AFC), 12/25/45 144A		198,695		201
Agate Bay Mortgage Trust, Series 2016-3, Class A3 3.500%, (AFC), 8/25/46 144A		185,122		188
Angel Oak Mortgage Trust LLC, Series 2019- 4, Class A 3.301%, (AFC), 7/26/49 144A		330,805		334
Angel Oak Mortgage Trust LLC, Series 2019- 6, Class A3 2.927%, (AFC), 11/25/59 144A		906,705		912
Arroyo Mortgage Trust, Series 2019-2, Class A3 3.800%, (AFC), 4/25/49 144A		1,170,207		1,187
Arroyo Mortgage Trust, Series 2021-1R, Class A2 1.483%, (CSTR), 10/25/48 144A Æ		650,000		650
Arroyo Mortgage Trust, Series 2021-1R, Class A3 1.637%, (CSTR), 10/25/48 144A Æ		500,000		500
BXMT, Ltd., Series 2020-FL2, Class B 1.524%, (ICE LIBOR USD 1 Month plus 1.400%), 2/15/38 144A		1,600,000		1,598
Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1 2.720%, (AFC), 7/25/49 144A		537,187		543
COLT Funding LLC, Series 2020-1, Class A3 2.897%, (AFC), 2/25/50 144A		479,747		482
Connecticut Avenue Securities, Series 2014- C04, Class 2M2 5.092%, (ICE LIBOR USD 1 Month plus 5.000%), 11/25/24 ß		153,384		157
Credit Suisse Mortgage Capital Certificates, Series 2020-SPT1, Class A2 2.300%, (AFC), 4/25/65 144A ∑		1,400,000		1,420
Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10 3.500%, (AFC), 12/25/44 144A		125,342		127
Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3 1.538%, (AFC), 2/25/66 144A		575,822		576
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2 3.690%, 1/25/29		3,000,000		3,463
Federal Home Loan Mortgage Corp., Series K108, Class A2 1.517%, 3/25/30		4,000,000		4,010
Federal National Mortgage Association, Series 2018-C03, Class 1EB2 2.692%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24		535,916		541
GCAT LLC, Series 2019-NQM1, Class A3 3.395%, (AFC), 2/25/59 144A ∑		824,270		826


Structured Products (19.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Imperial Fund Mortgage Trust, Series 2021- NQM1, Class A3 1.617%, (AFC), 6/25/56 144A		611,589		611
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2 2.500%, (AFC), 3/25/43 144A		257,936		261
JP Morgan Mortgage Trust, Series 2014-5, Class A1 2.910%, (AFC), 10/25/29 144A		586,069		603
JP Morgan Mortgage Trust, Series 2016-1, Class A7 3.500%, 5/25/46 144A		1,165,420		1,191
JP Morgan Mortgage Trust, Series 2017-1, Class A2 3.498%, (AFC), 1/25/47 144A		532,390		540
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 2.891%, (AFC), 5/24/60 144A		1,383,000		1,429
Sequoia Mortgage Trust, Series 2017-7, Class A7 3.500%, (AFC), 10/25/47 144A		2,083,073		2,118
Sequoia Mortgage Trust, Series 2019-4, Class A7 3.500%, (AFC), 11/25/49 144A		3,750,000		3,856
Sequoia Mortgage Trust, Series 2021-5, Class A4 2.500%, (AFC), 7/25/51 144A		2,000,000		2,046
SG Residential Mortgage Trust, Series 2021- 1, Class A3 1.560%, (AFC), 7/25/61 144A Æ		1,215,000		1,214
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E 3.000%, (AFC), 4/25/60 144A		2,503,000		2,501
Starwood Mortgage Residential Trust, Series 2021-1, Class A1 1.219%, (AFC), 5/25/65 144A		2,071,645		2,077
Verus Securitization Trust, Series 2019-4, Class A3 3.000%, (AFC), 11/25/59 144A		1,232,136		1,252
Verus Securitization Trust, Series 2020-1, Class A2 2.642%, (AFC), 1/25/60 144A ∑		1,899,601		1,925
Verus Securitization Trust, Series 2020-1, Class A3 2.724%, (AFC), 1/25/60 144A		759,840		769
Verus Securitization Trust, Series 2021-1, Class A3 1.155%, (AFC), 1/25/66 144A		1,635,616		1,634
Vista Point Securitization Trust, Series 2020- 2, Class A3 2.496%, (AFC), 4/25/65 144A		976,850		986

Total				43,157


Total Structured Products
(Cost: $92,212)				92,731

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

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Short-Term Investments (5.9%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (5.9%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#		27,621,513		27,622

Total				27,622


Short-Term Investments (5.9%)	Shares/ Par⁺	Value $ (000’s)

Money Market Funds continued

Total Short-Term Investments
(Cost: $27,622)			27,622


Total Investments (99.4%)
(Cost: $443,499)^@			467,741

Other Assets, Less Liabilities (0.6%)			2,914

Net Assets (100.0%)			470,655

Exchange Traded or Centrally Cleared Derivatives

Futures


Issuer	Long/Short		Currency		Notional Par (000’s)		Number of Contracts		Expiration Date		Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Five-Year US Treasury Note Future		Long		USD		30,600		306		9/21	$	37,769	$	(144	)	$	19
Ten-Year US Treasury Note Future		Short		USD		10,900		109		9/21		14,443		(50	)		(26	)
US Treasury Long Bond Future		Short		USD		9,600		96		9/21		15,432		(339	)		(63	)
US Treasury Ultra Future		Short		USD		3,100		31		9/21		5,973		(200	)		(35	)

													$	(733	)	$	(105	)

Total Return Swaps—Receive Floating Rate


Floating Rate Index	Fixed Rate		Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)		Variation Margin (000’s)
CPURNSA		1.777%		6/24		11,000		USD	$	-		$	483	$	483	$	5
CPURNSA		1.715%		6/24		7,400		USD		-			343		343		4
CPURNSA		1.860%		7/24		7,500		USD		-			289		289		5
CPURNSA		1.858%		8/24		12,700		USD		-			491		491		9
CPURNSA		1.616%		10/24		7,500		USD		-			402		402		4
CPURNSA		2.073%		8/27		3,500		USD		-			161		161		3
CPURNSA		2.145%		11/27		5,000		USD		(1	)		178		177		5
CPURNSA		1.793%		10/29		3,700		USD		-			285		285		5
CPURNSA		1.800%		10/29		3,700		USD		-			284		284		5
CPURNSA		1.884%		11/29		2,000		USD		-			137		137		2
CPURNSA		2.333%		2/26		13,000		USD		1			361		362		10
CPURNSA		2.210%		1/24		8,000		USD		-			238		238		5
CPURNSA		2.273%		1/24		10,000		USD		-			278		278		6
CPURNSA		2.260%		2/25		8,000		USD		1			238		239		4
CPURNSA		2.243%		1/26		6,000		USD		-			197		197		6
CPURNSA		1.078%		6/25		3,000		USD		-			271		271		3
CPURNSA		1.291%		5/30		2,000		USD		-			267		267		3
CPURNSA		1.629%		6/30		2,000		USD		-			222		222		2

									$	1		$	5,125	$	5,126	$	86


	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	$	86	$	19	$	105	$	-	$	(124	)	$	(124	)	$	-

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

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Inflation Protection 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 Date		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	Morgan Stanley Capital Services, Inc.	CAD	42,893		34,601		9/15/21	$	818	$	-	$	818

								$	818	$	-	$	818

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	2.670%	4/22	3,000	$	(328	)	$	(328	)
CPURNSA	Bank of America NA	2.763%	3/23	700		(68	)		(68	)
CPURNSA	Bank of America NA	2.528%	8/24	2,750		(165	)		(165	)
CPURNSA	Bank of America NA	2.140%	7/25	2,900		55			55
CPURNSA	Bank of America NA	1.790%	8/25	1,500		83			83
CPURNSA	Bank of America NA	2.240%	4/27	3,500		65			65
CPURNSA	Bank of America NA	2.218%	4/27	2,000		42			42
CPURNSA	Bank of America NA	2.235%	4/27	2,000		39			39
CPURNSA	Bank of America NA	2.235%	5/27	5,000		99			99
CPURNSA	Barclays Bank PLC	2.526%	5/23	5,500		(393	)		(393	)
CPURNSA	Barclays Bank PLC	2.535%	5/23	1,000		(72	)		(72	)
CPURNSA	Barclays Bank PLC	2.589%	7/24	1,400		(95	)		(95	)
CPURNSA	Barclays Bank PLC	2.385%	9/24	4,000		(166	)		(166	)
CPURNSA	Barclays Bank PLC	2.363%	9/24	3,500		(133	)		(133	)
CPURNSA	Barclays Bank PLC	2.310%	9/24	1,400		(44	)		(44	)
CPURNSA	Barclays Bank PLC	2.895%	12/27	1,700		(423	)		(423	)
CPURNSA	Barclays Bank PLC	2.784%	7/44	1,400		(323	)		(323	)
CPURNSA	Goldman Sachs International	1.870%	5/26	8,500		565			565
CPURNSA	Goldman Sachs International	1.920%	5/26	7,000		426			426
CPURNSA	Goldman Sachs International	1.770%	6/26	6,000		463			463
CPURNSA	Goldman Sachs International	2.245%	11/26	3,000		66			66
CPURNSA	Goldman Sachs International	2.280%	11/26	3,000		54			54
CPURNSA	Goldman Sachs International	2.280%	11/26	4,000		71			71

					$	(182	)	$	(182	)


	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps			Total
Total Over the Counter Derivatives	$	818	$	2,028	$	2,846		-		-	$	(2,210	)	$	(2,210	)

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

¥	Foreign Bond — par value is foreign denominated

b	Cash or securities with an aggregate value of $78,642 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

Æ	Security valued using significant unobservable inputs.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $443,499 and the net unrealized appreciation of investments based on that cost was $29,271 which is comprised of $32,808 aggregate gross unrealized appreciation and $3,537 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.

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The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	-		$	63		$	-
Corporate Bonds		-			35,566			-
Governments		-			294,019			-
Structured Products
Asset Backed Securities		-			48,574			1,000
Mortgage Securities		-			40,793			2,364
Investment Companies		17,740			-			-
Short-Term Investments		27,622			-			-
Other Financial Instruments^
Forward Currency Contracts		-			818			-
Total Return Swaps		-			7,154			-
Total Assets:	$	45,362		$	426,987		$	3,364
Liabilities:
Other Financial Instruments^
Futures		(733	)		-			-
Total Return Swaps		-			(2,209	)		-
Total Liabilities:	$	(733	)	$	(2,209	)	$	-

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

133

High Yield Bond Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Consumer, Non-Cyclical		17.9	%
Communications		16.6	%
Energy		15.6	%
Consumer, Cyclical		15.5	%
Industrial		11.3	%
Financial		7.2	%
Technology		7.2	%
Basic Materials		4.2	%
Utilities		2.3	%
Short-Term Investments & Other Net Assets		1.6	%
Health Care		0.4	%
Diversified		0.2	%
Materials		0.0	%
Other Holdings		0.0	%

Sector Allocation is subject to change.

Return of principal is not guaranteed. When interest rates rise, bond prices fall. With a fixed income fund, when interest rates rise, the value of the fund’s existing bonds drops, which could negatively affect overall fund performance.

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

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High Yield Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (0.6%)	Shares/ Par⁺		Value $ (000’s)

Communications (0.1%)
iHeartMedia, Inc. *		22,266		599

Total				599


Energy (0.5%)
Oasis Petroleum, Inc.		16,044		1,613
Superior Energy Services, Inc. *,Æ		60,602		2,394

Total				4,007


Materials (0.0%)
Hexion Holdings Corp. *		27,876		502

Total				502

Total Common Stocks (Cost: $3,160)				5,108


Corporate Bonds (97.6%)

Basic Materials (4.2%)
Axalta Coating Systems LLC 3.375%, 2/15/29 144A		625,000		611
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding 4.750%, 6/15/27 144A		350,000		367
Clearwater Paper Corp. 4.750%, 8/15/28 144A		150,000		150
5.375%, 2/1/25 144A		2,775,000		2,955
Cleveland-Cliffs, Inc. 4.625%, 3/1/29 144A		1,900,000		1,999
4.875%, 3/1/31 144A		2,225,000		2,336
Coeur Mining, Inc. 5.125%, 2/15/29 144A		1,500,000		1,485
Compass Minerals International, Inc. 4.875%, 7/15/24 144A		2,225,000		2,297
6.750%, 12/1/27 144A		1,425,000		1,532
Element Solutions, Inc. 3.875%, 9/1/28 144A		1,650,000		1,684
Freeport-McMoRan, Inc. 4.125%, 3/1/28		350,000		365
4.375%, 8/1/28		1,950,000		2,060
4.625%, 8/1/30		1,475,000		1,615
5.000%, 9/1/27		625,000		660
5.250%, 9/1/29		725,000		800
5.400%, 11/14/34		925,000		1,117
H.B. Fuller Co. 4.250%, 10/15/28		525,000		543
Herens Holdco SARL 4.750%, 5/15/28 144A		1,550,000		1,542
Hexion, Inc. 7.875%, 7/15/27 144A		2,400,000		2,589
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. 9.000%, 7/1/28 144A		725,000		808
INEOS Quattro Finance 2 PLC 3.375%, 1/15/26 144A		225,000		228
Polar US Borrower LLC 6.750%, 5/15/26 144A		1,700,000		1,702


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Basic Materials continued
PQ Corp. 5.750%, 12/15/25 144A		1,000,000		1,026
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/1/26 144A		3,775,000		4,002
W.R. Grace & Co. 4.875%, 6/15/27 144A		875,000		928

Total				35,401


Communications (16.5%)
AMC Networks, Inc. 4.250%, 2/15/29		1,625,000		1,639
4.750%, 8/1/25		1,200,000		1,232
5.000%, 4/1/24		910,000		922
Cars.com, Inc. 6.375%, 11/1/28 144A		1,900,000		2,026
CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%, 2/1/31 144A		250,000		255
4.500%, 8/15/30 144A		2,175,000		2,265
4.500%, 5/1/32		1,050,000		1,088
4.500%, 6/1/33 144A		1,175,000		1,202
4.750%, 3/1/30 144A		3,600,000		3,807
5.000%, 2/1/28 144A		2,000,000		2,097
5.125%, 5/1/27 144A		2,975,000		3,120
5.375%, 6/1/29 144A		1,350,000		1,476
5.500%, 5/1/26 144A		550,000		569
5.750%, 2/15/26 144A		1,444,000		1,492
CSC Holdings LLC 3.375%, 2/15/31 144A		825,000		780
4.125%, 12/1/30 144A		950,000		944
4.500%, 11/15/31 144A		1,775,000		1,786
4.625%, 12/1/30 144A		1,650,000		1,619
5.250%, 6/1/24		1,650,000		1,788
5.500%, 4/15/27 144A		2,425,000		2,546
5.750%, 1/15/30 144A		2,975,000		3,090
6.500%, 2/1/29 144A		675,000		748
7.500%, 4/1/28 144A		1,925,000		2,113
Cumulus Media New Holdings, Inc. 6.750%, 7/1/26 144A		1,751,000		1,832
Diamond Sports Group LLC / Diamond Sports Finance Co. 5.375%, 8/15/26 144A		1,775,000		1,149
6.625%, 8/15/27 144A		2,150,000		1,056
DISH DBS Corp. 5.125%, 6/1/29 144A		2,700,000		2,666
5.875%, 11/15/24		1,250,000		1,342
7.375%, 7/1/28		750,000		807
7.750%, 7/1/26		1,350,000		1,529
Entercom Media Corp. 6.500%, 5/1/27 144A		2,250,000		2,340
6.750%, 3/31/29 144A		1,575,000		1,634
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 5.250%, 12/1/27 144A		1,625,000		1,706
Gray Escrow, Inc. 7.000%, 5/15/27 144A		750,000		811

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

135

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Gray Television, Inc. 4.750%, 10/15/30 144A		525,000		523
5.875%, 7/15/26 144A		2,575,000		2,659
iHeartCommunications, Inc. 4.750%, 1/15/28 144A		425,000		437
5.250%, 8/15/27 144A		1,075,000		1,124
6.375%, 5/1/26		375,901		400
8.375%, 5/1/27		4,928,194		5,279
Intelsat Jackson Holdings SA 5.500%, 8/1/23 j		1,525,000		873
8.500%, 10/15/24 144A j		800,000		472
9.750%, 7/15/25 144A j		475,000		277
Lamar Media Corp. 3.625%, 1/15/31 144A		425,000		415
4.000%, 2/15/30		100,000		101
4.875%, 1/15/29		675,000		712
Match Group, Inc. 4.125%, 8/1/30 144A		2,675,000		2,722
4.625%, 6/1/28 144A		1,450,000		1,508
5.000%, 12/15/27 144A		825,000		867
Nexstar Broadcasting, Inc. 4.750%, 11/1/28 144A		2,275,000		2,338
5.625%, 7/15/27 144A		3,225,000		3,418
Outfront Media Capital LLC / Outfront Media Capital Corp. 4.250%, 1/15/29 144A		1,150,000		1,157
4.625%, 3/15/30 144A		1,100,000		1,116
Scripps Escrow II, Inc. 3.875%, 1/15/29 144A		500,000		496
5.375%, 1/15/31 144A		1,175,000		1,171
Scripps Escrow, Inc. 5.875%, 7/15/27 144A		1,925,000		1,993
SFR Group SA 7.375%, 5/1/26 144A		2,122,000		2,207
Sinclair Television Group, Inc. 5.125%, 2/15/27 144A		3,800,000		3,814
5.500%, 3/1/30 144A		500,000		510
5.875%, 3/15/26 144A		825,000		852
Sirius XM Radio, Inc. 4.000%, 7/15/28 144A		725,000		747
4.125%, 7/1/30 144A		1,775,000		1,791
4.625%, 7/15/24 144A		1,825,000		1,873
5.375%, 7/15/26 144A		1,675,000		1,729
5.500%, 7/1/29 144A		925,000		1,008
Sprint Corp. 7.625%, 2/15/25		700,000		832
TEGNA, Inc. 4.625%, 3/15/28		600,000		622
5.000%, 9/15/29		3,800,000		3,977
5.500%, 9/15/24 144A		208,000		212
Telenet Finance Luxembourg Notes SARL 5.500%, 3/1/28 144A		4,400,000		4,629
Terrier Media Buyer, Inc. 8.875%, 12/15/27 144A		5,025,000		5,433
T-Mobile USA, Inc. 2.250%, 2/15/26		1,950,000		1,965
2.875%, 2/15/31		650,000		645
3.375%, 4/15/29 144A		1,025,000		1,058
4.500%, 2/1/26		675,000		688


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Townsquare Media, Inc. 6.875%, 2/1/26 144A		525,000		562
Univision Communications, Inc. 4.500%, 5/1/29 144A		1,175,000		1,184
UPC Broadband Finco BV 4.875%, 7/15/31 144A		3,450,000		3,458
Urban One, Inc. 7.375%, 2/1/28 144A		1,900,000		2,052
Virgin Media Finance PLC 5.000%, 7/15/30 144A		2,700,000		2,728
Virgin Media Secured Finance PLC 5.500%, 8/15/26 144A		425,000		438
5.500%, 5/15/29 144A		475,000		511
Virgin Media Vendor Financing Notes IV 5.000%, 7/15/28 144A		1,550,000		1,581
Vmed O2 UK Financing I PLC 4.250%, 1/31/31 144A		875,000		860
4.750%, 7/15/31 144A		925,000		939
Ziggo Bond Co. BV 5.125%, 2/28/30 144A		575,000		589
6.000%, 1/15/27 144A		2,200,000		2,299
Ziggo BV 4.875%, 1/15/30 144A		200,000		205
5.500%, 1/15/27 144A		1,936,000		2,011

Total				139,543


Consumer, Cyclical (15.5%)
1011778 BC ULC / New Red Finance, Inc. 3.500%, 2/15/29 144A		525,000		518
3.875%, 1/15/28 144A		1,125,000		1,139
4.000%, 10/15/30 144A		5,775,000		5,587
4.250%, 5/15/24 144A		723,000		731
4.375%, 1/15/28 144A		1,175,000		1,191
Academy, Ltd. 6.000%, 11/15/27 144A		850,000		908
Adient Global Holdings, Ltd. 4.875%, 8/15/26 144A		3,050,000		3,139
Affinity Gaming 6.875%, 12/15/27 144A		1,975,000		2,096
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. 5.500%, 4/20/26 144A		2,200,000		2,329
5.750%, 4/20/29 144A		1,700,000		1,838
American Axle & Manufacturing, Inc. 6.250%, 3/15/26		275,000		284
6.500%, 4/1/27		1,175,000		1,245
American Builders & Contractors Supply Co., Inc.
4.000%, 1/15/28 144A		725,000		743
Aramark Services, Inc. 5.000%, 4/1/25 144A		1,025,000		1,051
5.000%, 2/1/28 144A		225,000		236
6.375%, 5/1/25 144A		2,525,000		2,683
BCPE Empire Holdings, Inc. 7.625%, 5/1/27 144A		3,425,000		3,508
Boyd Gaming Corp. 4.750%, 12/1/27		1,400,000		1,449
4.750%, 6/15/31 144A		575,000		597
8.625%, 6/1/25 144A		200,000		220

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

136

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Caesars Entertainment, Inc. 5.750%, 7/1/25 144A		275,000		290
6.250%, 7/1/25 144A		1,600,000		1,696
8.125%, 7/1/27 144A		1,975,000		2,197
CCM Merger, Inc. 6.375%, 5/1/26 144A		275,000		289
CD&R Waterworks Merger Sub LLC 6.125%, 8/15/25 144A		3,875,000		3,952
Clarios Global LP 6.750%, 5/15/25 144A		135,000		144
CRC Escrow Issuer LLC / CRC Finco, Inc. 5.250%, 10/15/25 144A		2,100,000		2,126
Dana Financing Luxembourg SARL 5.750%, 4/15/25 144A		650,000		670
Dana, Inc. 5.625%, 6/15/28		175,000		189
Ford Motor Credit Co. LLC 3.375%, 11/13/25		3,250,000		3,370
3.813%, 10/12/21		1,900,000		1,914
4.000%, 11/13/30		2,225,000		2,331
4.063%, 11/1/24		1,700,000		1,808
4.125%, 8/17/27		1,350,000		1,432
4.140%, 2/15/23		800,000		829
4.271%, 1/9/27		1,675,000		1,795
4.389%, 1/8/26		1,975,000		2,133
5.113%, 5/3/29		2,950,000		3,302
5.125%, 6/16/25		1,600,000		1,762
Foundation Building Materials, Inc. 6.000%, 3/1/29 144A		2,025,000		2,005
GYP Holdings III Corp. 4.625%, 5/1/29 144A		200,000		201
H&E Equipment Services, Inc. 3.875%, 12/15/28 144A		2,775,000		2,731
Hawaiian Brand Intellectual Property, Ltd. / Hawaiian Miles Loyalty, Ltd. 5.750%, 1/20/26 144A		225,000		242
Hilton Domestic Operating Co., Inc. 3.625%, 2/15/32 144A		900,000		889
3.750%, 5/1/29 144A		1,150,000		1,162
4.875%, 1/15/30		500,000		534
5.750%, 5/1/28 144A		550,000		595
IHO Verwaltungs GmbH 4.750%, 9/15/26 144A		2,375,000		2,428
6.000%, 5/15/27 144A		800,000		838
6.375%, 5/15/29 144A		900,000		981
Interface, Inc. 5.500%, 12/1/28 144A		625,000		654
JB Poindexter & Co., Inc. 7.125%, 4/15/26 144A		2,600,000		2,746
KAR Auction Services, Inc. 5.125%, 6/1/25 144A		2,650,000		2,719
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.750%, 6/1/27 144A		550,000		575
Levi Strauss & Co. 3.500%, 3/1/31 144A		250,000		249
MGM Resorts International 4.625%, 9/1/26		115,000		121
4.750%, 10/15/28		825,000		877
5.500%, 4/15/27		262,000		288


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
6.000%, 3/15/23		1,725,000		1,845
6.750%, 5/1/25		675,000		723
Midwest Gaming Borrower LLC 4.875%, 5/1/29 144A		950,000		951
Mohegan Gaming & Entertainment 7.875%, 10/15/24 144A		550,000		576
8.000%, 2/1/26 144A		3,825,000		3,997
NMG Holding Co., Inc. / Neiman Marcus Group LLC 7.125%, 4/1/26 144A		1,200,000		1,281
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. 6.250%, 5/15/26 144A		270,000		288
8.500%, 5/15/27 144A		5,925,000		6,459
Party City Holdings, Inc. 5.750%, (ICE LIBOR USD 6 Month plus 5.000%), 7/15/25 144A		440,456		418
Penn National Gaming, Inc. 4.125%, 7/1/29 144A		575,000		574
5.625%, 1/15/27 144A		250,000		260
Raptor Acquisition Corp / Raptor Co-Issuer LLC 4.875%, 11/1/26 144A		200,000		203
Real Hero Merger Sub 2, Inc. 6.250%, 2/1/29 144A		3,650,000		3,786
Red Rock Resorts, Inc. 5.000%, 10/1/25 144A		1,374,000		1,395
Scientific Games International, Inc. 7.250%, 11/15/29 144A		1,250,000		1,410
8.250%, 3/15/26 144A		875,000		938
8.625%, 7/1/25 144A		375,000		411
Six Flags Entertainment Corp. 5.500%, 4/15/27 144A		2,400,000		2,475
7.000%, 7/1/25 144A		275,000		296
SRS Distribution, Inc. 6.125%, 7/1/29 144A		375,000		386
Stars Group Holdings BV 7.000%, 7/15/26 144A		3,950,000		4,088
Station Casinos LLC 4.500%, 2/15/28 144A		2,000,000		2,034
Suburban Propane Partners LP / Suburban Energy Finance Corp. 5.000%, 6/1/31 144A		1,500,000		1,536
5.875%, 3/1/27		900,000		945
Twin River Worldwide Holdings, Inc. 6.750%, 6/1/27 144A		825,000		879
White Cap Buyer LLC 6.875%, 10/15/28 144A		1,750,000		1,873
White Cap Parent, LLC 8.250%, 3/15/26 144A Þ		1,450,000		1,500
The William Carter Co. 5.500%, 5/15/25 144A		400,000		423
5.625%, 3/15/27 144A		225,000		237
WMG Acquisition Corp. 3.875%, 7/15/30 144A		325,000		328
Wyndham Hotels & Resorts, Inc. 4.375%, 8/15/28 144A		550,000		571
Yum! Brands, Inc. 4.625%, 1/31/32		1,625,000		1,706
4.750%, 1/15/30 144A		725,000		785
7.750%, 4/1/25 144A		350,000		381

Total				130,514

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

137

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical (17.7%)
Acadia Healthcare Co., Inc. 5.000%, 4/15/29 144A		225,000		235
5.500%, 7/1/28 144A		225,000		240
AdaptHealth LLC 4.625%, 8/1/29 144A		825,000		835
AHP Health Partners, Inc. 5.750%, 7/15/29 144A		475,000		482
Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC 3.250%, 3/15/26 144A		350,000		355
3.500%, 2/15/23 144A		325,000		334
3.500%, 3/15/29 144A		2,050,000		2,027
4.875%, 2/15/30 144A		450,000		480
5.750%, 3/15/25		732,000		748
5.875%, 2/15/28 144A		700,000		754
7.500%, 3/15/26 144A		625,000		686
Allied Universal Holdco LLC 6.000%, 6/1/29 144A		500,000		507
6.625%, 7/15/26 144A		1,275,000		1,352
9.750%, 7/15/27 144A		6,100,000		6,718
Avantor, Inc. 4.625%, 7/15/28 144A		2,675,000		2,824
Bausch Health Cos., Inc. 4.875%, 6/1/28 144A		350,000		358
5.000%, 1/30/28 144A		1,300,000		1,233
5.000%, 2/15/29 144A		625,000		583
5.250%, 1/30/30 144A		1,900,000		1,767
5.250%, 2/15/31 144A		625,000		583
5.750%, 8/15/27 144A		775,000		823
6.250%, 2/15/29 144A		1,775,000		1,756
7.250%, 5/30/29 144A		2,200,000		2,248
The Brink’s Co. 5.500%, 7/15/25 144A		400,000		425
Centene Corp. 3.000%, 10/15/30		375,000		385
3.375%, 2/15/30		900,000		941
4.250%, 12/15/27		2,775,000		2,924
4.625%, 12/15/29		2,425,000		2,667
5.375%, 6/1/26 144A		2,150,000		2,247
5.375%, 8/15/26 144A		800,000		836
Charles River Laboratories International, Inc. 3.750%, 3/15/29 144A		525,000		532
4.000%, 3/15/31 144A		550,000		572
CHS / Community Health Systems, Inc. 5.625%, 3/15/27 144A		750,000		801
6.000%, 1/15/29 144A		225,000		241
6.125%, 4/1/30 144A		750,000		761
6.625%, 2/15/25 144A		525,000		555
6.875%, 4/15/29 144A		2,700,000		2,825
8.000%, 3/15/26 144A		1,125,000		1,212
DaVita HealthCare Partners, Inc. 4.625%, 6/1/30 144A		1,250,000		1,285
Edgewell Personal Care Co. 4.125%, 4/1/29 144A		1,000,000		1,010
5.500%, 6/1/28 144A		875,000		927


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Endo Finance LLC / Endo Finco, Inc. 6.000%, 6/30/28 144A		2,253,000		1,519
9.500%, 7/31/27 144A		1,225,000		1,249
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc. 6.125%, 4/1/29 144A		650,000		637
Garda World Security Corp. 4.625%, 2/15/27 144A		875,000		879
6.000%, 6/1/29 144A		1,300,000		1,290
Gartner, Inc. 3.750%, 10/1/30 144A		550,000		563
4.500%, 7/1/28 144A		250,000		264
Global Medical Response, Inc. 6.500%, 10/1/25 144A		3,925,000		4,038
GW B-CR Security Corp. 9.500%, 11/1/27 144A		4,969,000		5,503
HCA, Inc. 3.500%, 9/1/30		2,300,000		2,450
5.375%, 2/1/25		2,150,000		2,425
5.375%, 9/1/26		1,325,000		1,525
5.875%, 5/1/23		1,120,000		1,217
5.875%, 2/15/26		2,225,000		2,571
5.875%, 2/1/29		550,000		664
Jaguar Holding Co. II / Pharmaceutical Product Development LLC 4.625%, 6/15/25 144A		1,250,000		1,312
5.000%, 6/15/28 144A		1,000,000		1,084
Jazz Securities DAC 4.375%, 1/15/29 144A		1,600,000		1,659
Kraft Heinz Foods Co. 4.250%, 3/1/31		250,000		284
4.375%, 6/1/46		3,150,000		3,570
5.200%, 7/15/45		2,175,000		2,700
Lamb Weston Holdings, Inc. 4.875%, 11/1/26 144A		700,000		724
LifePoint Health, Inc. 4.375%, 2/15/27 144A		625,000		632
5.375%, 1/15/29 144A		150,000		146
6.750%, 4/15/25 144A		825,000		879
Mallinckrodt International Finance SA / Mallinckrodt CB LLC 5.500%, 4/15/25 144A *,j		4,600,000		3,197
5.625%, 10/15/23 144A *,j		2,775,000		1,943
MEDNAX, Inc. 6.250%, 1/15/27 144A		1,700,000		1,800
Molina Healthcare, Inc. 3.875%, 11/15/30 144A		375,000		390
MPH Acquisition Holdings LLC 5.750%, 11/1/28 144A		4,500,000		4,522
The Nielsen Co. Luxembourg SARL 5.000%, 2/1/25 144A		1,275,000		1,312
Nielsen Finance LLC / Nielsen Finance Co. 4.500%, 7/15/29 144A		475,000		476
4.750%, 7/15/31 144A		475,000		476
5.625%, 10/1/28 144A		875,000		924
5.875%, 10/1/30 144A		975,000		1,061
Organon Finance 1 LLC 4.125%, 4/30/28 144A		425,000		433
5.125%, 4/30/31 144A		450,000		464

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

138

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Post Holdings, Inc. 4.500%, 9/15/31 144A		850,000		849
4.625%, 4/15/30 144A		1,550,000		1,576
5.500%, 12/15/29 144A		375,000		402
5.625%, 1/15/28 144A		975,000		1,034
5.750%, 3/1/27 144A		3,775,000		3,950
Prestige Brands, Inc. 3.750%, 4/1/31 144A		700,000		675
5.125%, 1/15/28 144A		425,000		447
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.750%, 12/1/26 144A		3,325,000		3,579
Signal Parent, Inc. 6.125%, 4/1/29 144A		1,950,000		1,872
Syneos Health, Inc. 3.625%, 1/15/29 144A		925,000		916
Team Health Holdings, Inc. 6.375%, 2/1/25 144A		2,350,000		2,235
Teleflex, Inc. 4.250%, 6/1/28 144A		250,000		261
4.625%, 11/15/27		450,000		479
Tenet Healthcare Corp. 4.250%, 6/1/29 144A		625,000		633
4.625%, 7/15/24		1,400,000		1,421
4.625%, 6/15/28 144A		125,000		129
4.875%, 1/1/26 144A		1,200,000		1,245
5.125%, 11/1/27 144A		1,450,000		1,521
6.125%, 10/1/28 144A		1,525,000		1,625
6.250%, 2/1/27 144A		450,000		470
6.750%, 6/15/23		2,100,000		2,292
United Rentals North America, Inc. 3.875%, 11/15/27		325,000		341
3.875%, 2/15/31		275,000		280
4.875%, 1/15/28		1,225,000		1,299
5.250%, 1/15/30		425,000		466
5.500%, 5/15/27		800,000		848
5.875%, 9/15/26		850,000		880
US Foods, Inc. 4.750%, 2/15/29 144A		1,200,000		1,224
Valeant Pharmaceuticals International, Inc. 5.500%, 11/1/25 144A		725,000		744
6.125%, 4/15/25 144A		5,137,000		5,265
8.500%, 1/31/27 144A		2,175,000		2,364
9.000%, 12/15/25 144A		850,000		911
9.250%, 4/1/26 144A		525,000		571
Vizient, Inc. 6.250%, 5/15/27 144A		675,000		714

Total				149,374


Diversified (0.2%)
Stena International SA 6.125%, 2/1/25 144A		1,375,000		1,430

Total				1,430


Energy (15.1%)
Antero Midstream Partners LP / Antero Midstream Finance Corp. 5.375%, 6/15/29 144A		2,200,000		2,293
5.750%, 3/1/27 144A		2,275,000		2,366
5.750%, 1/15/28 144A		2,600,000		2,736


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
7.875%, 5/15/26 144A		675,000		754
Antero Resources Corp. 5.375%, 3/1/30 144A		925,000		944
7.625%, 2/1/29 144A		300,000		333
8.375%, 7/15/26 144A		325,000		370
Apache Corp. 4.625%, 11/15/25		325,000		351
4.875%, 11/15/27		700,000		758
Archrock Partners LP 6.250%, 4/1/28 144A		1,900,000		1,983
6.875%, 4/1/27 144A		3,100,000		3,290
Ascent Resources Utica Holdings LLC / ARU Finance Corp. 5.875%, 6/30/29 144A		425,000		425
7.000%, 11/1/26 144A		1,650,000		1,726
8.250%, 12/31/28 144A		425,000		467
9.000%, 11/1/27 144A		414,000		572
Berry Petroleum Co. LLC 7.000%, 2/15/26 144A		1,200,000		1,218
Callon Petroleum Co. 6.375%, 7/1/26		1,050,000		1,005
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23 b		500,000		501
8.250%, 7/15/25		425,000		423
Centennial Resource Production LLC 6.875%, 4/1/27 144A		1,400,000		1,432
Cheniere Energy Partners LP 4.000%, 3/1/31 144A		1,500,000		1,567
4.500%, 10/1/29		1,150,000		1,236
5.625%, 10/1/26		1,200,000		1,245
Cheniere Energy, Inc. 4.625%, 10/15/28 144A		975,000		1,029
Chesapeake Energy Corp. 5.500%, 2/1/26 144A		200,000		211
5.875%, 2/1/29 144A		225,000		244
CNX Midstream Finance Corp. 6.500%, 3/15/26 144A		3,200,000		3,357
Comstock Resources, Inc. 5.875%, 1/15/30 144A		400,000		408
6.750%, 3/1/29 144A		2,400,000		2,557
Continental Resources, Inc. 4.375%, 1/15/28		1,050,000		1,162
5.750%, 1/15/31 144A		1,450,000		1,736
CrownRock LP / CrownRock Finance, Inc. 5.000%, 5/1/29 144A		325,000		341
5.625%, 10/15/25 144A		3,025,000		3,131
DT Midstream, Inc. 4.375%, 6/15/31 144A		950,000		971
Endeavor Energy Resources LP / EER Finance, Inc. 5.500%, 1/30/26 144A		200,000		208
5.750%, 1/30/28 144A		850,000		906
6.625%, 7/15/25 144A		775,000		829
Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/26 144A		4,150,000		4,337
EQM Midstream Partners, LP 4.500%, 1/15/29 144A		1,050,000		1,068
4.750%, 7/15/23		219,000		229
4.750%, 1/15/31 144A		1,325,000		1,365

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

139

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
5.500%, 7/15/28		1,925,000		2,080
6.000%, 7/1/25 144A		900,000		979
6.500%, 7/1/27 144A		1,825,000		2,035
6.500%, 7/15/48		1,025,000		1,097
EQT Corp. 3.125%, 5/15/26 144A		750,000		769
3.625%, 5/15/31 144A		500,000		521
3.900%, 10/1/27		425,000		455
5.000%, 1/15/29		350,000		390
7.625%, 2/1/25		350,000		408
8.500%, 2/1/30		250,000		326
Hess Midstream Partners LP 5.125%, 6/15/28 144A		1,300,000		1,363
Holly Energy Partners LP / Holly Energy Finance Corp. 5.000%, 2/1/28 144A		1,225,000		1,253
Nabors Industries, Ltd. 7.250%, 1/15/26 144A		1,300,000		1,274
7.500%, 1/15/28 144A		850,000		816
NuStar Logistics LP 5.625%, 4/28/27		2,700,000		2,891
6.000%, 6/1/26		600,000		651
Oasis Midstream Partners LP / OMP Finance Corp. 8.000%, 4/1/29 144A		1,200,000		1,276
Oasis Petroleum, Inc. 6.375%, 6/1/26 144A		300,000		313
Occidental Petroleum Corp. 2.900%, 8/15/24		1,475,000		1,508
3.200%, 8/15/26		425,000		428
3.400%, 4/15/26		300,000		307
3.500%, 6/15/25		1,600,000		1,636
4.100%, 2/15/47		675,000		629
4.300%, 8/15/39		1,525,000		1,456
4.400%, 8/15/49		975,000		936
5.875%, 9/1/25		1,225,000		1,363
6.450%, 9/15/36		1,500,000		1,793
6.625%, 9/1/30		1,400,000		1,680
8.000%, 7/15/25		625,000		748
8.875%, 7/15/30		1,825,000		2,441
PDC Energy, Inc. 5.750%, 5/15/26		1,525,000		1,593
6.125%, 9/15/24		425,000		435
Precision Drilling Corp. 6.875%, 1/15/29 144A		300,000		309
7.125%, 1/15/26 144A		1,025,000		1,056
Range Resources Corp. 4.875%, 5/15/25		350,000		362
5.000%, 3/15/23		113,000		117
8.250%, 1/15/29 144A		875,000		987
9.250%, 2/1/26		825,000		910
Rattler Midstream LP 5.625%, 7/15/25 144A		875,000		920
Shelf Drilling Holdings, Ltd. 8.250%, 2/15/25 144A		1,050,000		834
SM Energy Co. 5.625%, 6/1/25		1,000,000		990
6.500%, 7/15/28		200,000		205
6.625%, 1/15/27		250,000		257
6.750%, 9/15/26		1,100,000		1,119


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Southwestern Energy Co. 8.375%, 9/15/28		1,100,000		1,243
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 5.500%, 8/15/22		1,225,000		1,210
5.750%, 4/15/25		1,850,000		1,697
Sunoco LP / Sunoco Finance Corp. 5.500%, 2/15/26		550,000		567
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 4.000%, 1/15/32 144A		950,000		977
5.000%, 1/15/28		1,675,000		1,767
5.375%, 2/1/27		2,150,000		2,239
5.500%, 3/1/30		2,250,000		2,474
5.875%, 4/15/26		1,350,000		1,418
6.500%, 7/15/27		300,000		325
TerraForm Power Operating LLC 4.250%, 1/31/23 144A		175,000		180
4.750%, 1/15/30 144A		1,725,000		1,767
5.000%, 1/31/28 144A		1,775,000		1,879
TransMontaigne Partners LP / TLP Finance Corp. 6.125%, 2/15/26		1,175,000		1,201
Ultra Resources, Inc. Contingent Value Rights 0.000%, 4/15/25 *,Æ		1,325,000		–
USA Compression Finance Corp. 6.875%, 4/1/26		3,550,000		3,719
USA Compression Partners LP / USA Compression Finance Corp. 6.875%, 9/1/27		1,475,000		1,576
Western Gas Partners LP 4.500%, 3/1/28		1,100,000		1,174
5.300%, 3/1/48		3,675,000		3,914
5.450%, 4/1/44		650,000		700
5.500%, 8/15/48		400,000		435
Western Midstream Operating LP 4.000%, 7/1/22		850,000		864
4.650%, 7/1/26		175,000		187
5.300%, 2/1/30		325,000		364

Total				127,877


Financial (7.2%)
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.750%, 10/15/27 144A		3,900,000		4,099
AmWINS Group, Inc. 7.750%, 7/1/26 144A		4,375,000		4,640
Ardonagh Midco 2 PLC 11.500%, 1/15/27 144A Þ		1,930,771		2,114
AssuredPartners, Inc. 5.625%, 1/15/29 144A		125,000		125
7.000%, 8/15/25 144A		3,250,000		3,319
BroadStreet Partners, Inc. 5.875%, 4/15/29 144A		2,050,000		2,091
Cushman & Wakefield US Borrower LLC 6.750%, 5/15/28 144A		400,000		431
GTCR AP Finance, Inc. 8.000%, 5/15/27 144A		1,550,000		1,651

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

140

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
HUB International, Ltd. 7.000%, 5/1/26 144A		9,775,000		10,138
LD Holdings Group LLC 6.125%, 4/1/28 144A		1,575,000		1,573
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. 3.875%, 2/15/29 144A		200,000		203
4.500%, 9/1/26		450,000		480
4.625%, 6/15/25 144A		400,000		427
5.625%, 5/1/24		475,000		514
5.750%, 2/1/27		300,000		334
Navient Corp. 5.000%, 3/15/27		450,000		466
5.875%, 10/25/24		1,850,000		1,996
6.125%, 3/25/24		750,000		809
6.750%, 6/25/25		1,625,000		1,799
6.750%, 6/15/26		350,000		391
NFP Corp. 6.875%, 8/15/28 144A		5,850,000		6,158
Quicken Loans LLC 3.625%, 3/1/29 144A		875,000		864
3.875%, 3/1/31 144A		1,300,000		1,310
Quicken Loans, Inc. 5.250%, 1/15/28 144A		2,225,000		2,336
United Shore Financial Services LLC 5.500%, 11/15/25 144A		3,475,000		3,599
United Wholesale Mortgage LLC 5.500%, 4/15/29 144A		1,175,000		1,175
USIS Merger Sub, Inc. 6.875%, 5/1/25 144A		4,525,000		4,582
VICI Properties LP / VICI Note Co., Inc. 3.500%, 2/15/25 144A		125,000		128
4.125%, 8/15/30 144A		400,000		411
4.250%, 12/1/26 144A		1,125,000		1,170
4.625%, 12/1/29 144A		1,350,000		1,434

Total				60,767


Health Care (0.4%)
IQVIA, Inc. 5.000%, 10/15/26 144A		2,250,000		2,329
5.000%, 5/15/27 144A		750,000		785

Total				3,114


Industrial (11.3%)
ARD Finance SA 6.500%, 6/30/27 144A		3,750,000		3,938
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 4.000%, 9/1/29 144A		1,350,000		1,339
5.250%, 8/15/27 144A		3,200,000		3,264
6.000%, 2/15/25 144A		2,600,000		2,682
Ball Corp. 2.875%, 8/15/30		1,575,000		1,546
Berry Global Escrow Corp. 4.875%, 7/15/26 144A		1,125,000		1,190
5.625%, 7/15/27 144A		1,150,000		1,216
Berry Plastics Corp. 5.125%, 7/15/23		329,000		329


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
BWAY Holding Co. 5.500%, 4/15/24 144A		1,525,000		1,540
7.250%, 4/15/25 144A		3,250,000		3,185
CFX Escrow Corp. 6.375%, 2/15/26 144A		338,000		357
Cornerstone Building Brands, Inc. 6.125%, 1/15/29 144A		800,000		858
CP Atlas Buyer, Inc. 7.000%, 12/1/28 144A		2,900,000		3,005
Crown Americas LLC / Crown Americas Capital Corp. VI 4.750%, 2/1/26		1,175,000		1,219
Energizer Holdings, Inc. 4.375%, 3/31/29 144A		1,725,000		1,727
4.750%, 6/15/28 144A		900,000		922
Flex Acquisition Co., Inc. 6.875%, 1/15/25 144A		4,050,000		4,111
7.875%, 7/15/26 144A		4,175,000		4,342
Gates Global LLC / Gates Global Co. 6.250%, 1/15/26 144A		4,550,000		4,766
Graphic Packaging International LLC 3.500%, 3/15/28 144A		425,000		428
3.500%, 3/1/29 144A		450,000		446
4.750%, 7/15/27 144A		500,000		540
Koppers, Inc. 6.000%, 2/15/25 144A		4,075,000		4,205
Madison IAQ LLC 4.125%, 6/30/28 144A		250,000		253
5.875%, 6/30/29 144A		2,175,000		2,213
Owens-Brockway Glass Container, Inc. 5.375%, 1/15/25 144A		2,075,000		2,205
5.875%, 8/15/23 144A		900,000		971
6.375%, 8/15/25 144A		1,250,000		1,386
6.625%, 5/13/27 144A		500,000		544
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer LU 4.000%, 10/15/27 144A		2,175,000		2,160
Sealed Air Corp. 5.125%, 12/1/24 144A		1,950,000		2,123
Standard Industries, Inc. 3.375%, 1/15/31 144A		725,000		694
4.375%, 7/15/30 144A		550,000		567
4.750%, 1/15/28 144A		1,325,000		1,387
5.000%, 2/15/27 144A		3,375,000		3,495
Terex Corp. 5.000%, 5/15/29 144A		825,000		860
TransDigm UK Holdings PLC 6.875%, 5/15/26		1,775,000		1,873
TransDigm, Inc. 4.625%, 1/15/29 144A		2,275,000		2,276
4.875%, 5/1/29 144A		775,000		782
5.500%, 11/15/27		1,250,000		1,303
6.250%, 3/15/26 144A		3,000,000		3,165
6.375%, 6/15/26		1,850,000		1,917
7.500%, 3/15/27		675,000		718
Trident TPI Holdings, Inc. 6.625%, 11/1/25 144A		2,225,000		2,281
9.250%, 8/1/24 144A		1,450,000		1,515

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

141

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
Trivium Packaging Finance BV 5.500%, 8/15/26 144A		525,000		552
8.500%, 8/15/27 144A		2,825,000		3,071
TTM Technologies, Inc. 4.000%, 3/1/29 144A		700,000		704
Vertical Holdco GmbH 7.625%, 7/15/28 144A		1,250,000		1,356
Vertical U.S. Newco, Inc. 5.250%, 7/15/27 144A		1,750,000		1,844
Watco Cos. LLC / Watco Finance Corp. 6.500%, 6/15/27 144A		2,150,000		2,301
WESCO Distribution, Inc. 5.375%, 6/15/24		1,750,000		1,774
7.125%, 6/15/25 144A		525,000		567
7.250%, 6/15/28 144A		1,075,000		1,197

Total				95,209


Other Holdings (0.0%)
Chesapeake Energy Corp. Escrow 7.000%, 10/1/24 *		1,000,000		28

Total				28


Technology (7.2%)
AMG AG 7.000%, 7/31/25 144A		1,275,000		1,374
Banff Merger Sub, Inc. 9.750%, 9/1/26 144A		2,225,000		2,342
Black Knight InfoServ LLC 3.625%, 9/1/28 144A		1,075,000		1,070
Booz Allen Hamilton, Inc. 3.875%, 9/1/28 144A		400,000		408
4.000%, 7/1/29 144A		250,000		256
Boxer Parent Co., Inc. 9.125%, 3/1/26 144A		375,000		396
BY Crown Parent LLC / BY Bond Finance, Inc. 4.250%, 1/31/26 144A		575,000		602
CDW LLC / CDW Finance Corp. 3.250%, 2/15/29		650,000		659
4.250%, 4/1/28		300,000		315
5.500%, 12/1/24		275,000		307
Clarivate Science Holdings Corp. 3.875%, 6/30/28 144A		350,000		353
4.875%, 6/30/29 144A		700,000		718
Dell International LLC / EMC Corp. 7.125%, 6/15/24 144A		4,625,000		4,744
Diebold Nixdorf, Inc. 9.375%, 7/15/25 144A		325,000		360
Elastic NV 4.125%, 7/15/29 144A		550,000		550
Entegris, Inc. 3.625%, 5/1/29 144A		950,000		962
Helios Software Holdings, Inc. 4.625%, 5/1/28 144A		1,125,000		1,101
JDA Escrow LLC / JDA Bond Finance, Inc. 7.375%, 10/15/24 144A		3,300,000		3,359
Logan Merger Sub, Inc. 5.500%, 9/1/27 144A		1,900,000		1,967
NCR Corp. 5.000%, 10/1/28 144A		875,000		905


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Technology continued
5.125%, 4/15/29 144A		1,475,000		1,521
5.250%, 10/1/30 144A		1,425,000		1,478
5.750%, 9/1/27 144A		1,025,000		1,085
6.125%, 9/1/29 144A		650,000		708
8.125%, 4/15/25 144A		325,000		355
Nuance Communications, Inc. 5.625%, 12/15/26		1,050,000		1,094
ON Semiconductor Corp. 3.875%, 9/1/28 144A		675,000		695
Open Text Corp. 3.875%, 2/15/28 144A		800,000		811
4.125%, 2/15/30 144A		800,000		816
PTC, Inc. 3.625%, 2/15/25 144A		125,000		129
4.000%, 2/15/28 144A		500,000		516
Qorvo, Inc. 3.375%, 4/1/31 144A		700,000		730
4.375%, 10/15/29		1,350,000		1,471
Rackspace Technology Global, Inc. 3.500%, 2/15/28 144A		1,825,000		1,766
5.375%, 12/1/28 144A		1,475,000		1,512
Rocket Software, Inc. 6.500%, 2/15/29 144A		2,550,000		2,530
Science Applications International Corp. 4.875%, 4/1/28 144A		325,000		341
Seagate HDD Cayman 3.125%, 7/15/29 144A		1,475,000		1,429
3.375%, 7/15/31 144A		1,225,000		1,184
Sensata Technologies, Inc. 3.750%, 2/15/31 144A		225,000		222
4.375%, 2/15/30 144A		325,000		342
SS&C Technologies, Inc. 5.500%, 9/30/27 144A		3,600,000		3,815
Star Merger Sub, Inc. 6.875%, 8/15/26 144A		584,000		619
10.250%, 2/15/27 144A		2,655,000		2,932
Synaptics, Inc. 4.000%, 6/15/29 144A		575,000		578
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 6.750%, 6/1/25 144A		6,075,000		6,178
Veritas US, Inc. / Veritas Bermuda, Ltd. 7.500%, 9/1/25 144A		2,800,000		2,915

Total				60,520


Utilities (2.3%)
Allied Universal Holdco LLC 4.375%, 5/1/29 144A		725,000		729
AmeriGas Partners LP / AmeriGas Finance Corp. 5.625%, 5/20/24		425,000		464
5.750%, 5/20/27		550,000		613
5.875%, 8/20/26		2,350,000		2,631
Calpine Corp. 3.750%, 3/1/31 144A		1,250,000		1,190
4.500%, 2/15/28 144A		1,575,000		1,607
4.625%, 2/1/29 144A		200,000		197
5.000%, 2/1/31 144A		200,000		199
5.125%, 3/15/28 144A		1,075,000		1,094
5.250%, 6/1/26 144A		604,000		621

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

142

High Yield Bond Portfolio


Corporate Bonds (97.6%)	Shares/ Par⁺		Value $ (000’s)

Utilities continued
NRG Energy, Inc. 5.250%, 6/15/29 144A		775,000		824
5.750%, 1/15/28		225,000		240
6.625%, 1/15/27		2,050,000		2,122
7.250%, 5/15/26		1,525,000		1,581
Pattern Energy Operations LP / Pattern Energy Operations, Inc. 4.500%, 8/15/28 144A		600,000		621
Solaris Midstream Holdings, LLC 7.625%, 4/1/26 144A		425,000		451
Vistra Operations Co. LLC 5.000%, 7/31/27 144A		1,100,000		1,129
5.500%, 9/1/26 144A		900,000		928
5.625%, 2/15/27 144A		1,925,000		1,997

Total				19,238


Total Corporate Bonds
(Cost: $791,124)				823,015


Warrants (0.0%)

Energy (0.0%)
Chesapeake Energy Corp. *		10,342		278

Total				278


Total Warrants
(Cost: $258)				278


Bank Loan Obligations (0.2%)

Consumer, Non-cyclical (0.2%)
Envision Healthcare Corp., 5.500%, (ICE LIBOR USD 1 Month plus 4.500%), 10/10/25Þ		1,819,425		1,450


Total Bank Loan Obligations
(Cost: $2,796)				1,450


Short-Term Investments (1.2%)	Shares/ Par⁺		Value $ (000’s)

Money Market Funds (1.2%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#		9,843,609		9,844

Total				9,844


Total Short-Term Investments
(Cost: $9,844)				9,844


Total Investments (99.6%)
(Cost: $807,182)^@				839,695

Other Assets, Less Liabilities (0.4%)				3,556

Net Assets (100.0%)				843,251

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

144A

f	Defaulted Security

Þ	PIK - Payment In Kind. PIK rate of Ardonagh Midco 2 PLC 12.750%.

b	Cash or securities with an aggregate value of $501 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $807,182 and the net unrealized appreciation of investments based on that cost was $32,513 which is comprised of $40,893 aggregate gross unrealized appreciation and $8,380 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 Accompanying Notes are an Integral Part of the Financial Statements.

143

High Yield Bond Portfolio

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	-	$	1,450	$	-
Common Stocks
Energy		1,613		-		2,394
All Others		1,101		-		-
Corporate Bonds		-		823,015		-
Short-Term Investments		9,844		-		-
Warrants		278		-		-
Total Assets:	$	12,836	$	824,465	$	2,394

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

144

Multi-Sector Bond Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Corporate Bonds		55.0	%
Short-Term Investments & Other Net Assets		17.1	%
Governments		16.8	%
Structured Products		7.7	%
Bank Loan Obligations		2.2	%
Municipal Bonds		0.7	%
Convertible Corporate Bonds		0.4	%
Energy		0.1	%

Sector Allocation is subject to change.

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

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

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

145

Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Common Stocks (0.1%)	Shares/ Par⁺		Value $ (000’s)

Energy (0.1%)
Noble Corp. PLC *,Æ		2,440		61
Noble Finance Co. *,d		20,347		503
Valaris, Ltd. *		1,429		41

Total				605

Total Common Stocks (Cost: $258)				605


Corporate Bonds (55.0%)

Basic Materials (2.3%)
ALROSA Finance SA 3.100%, 6/25/27 144A		8,500,000		8,713
4.650%, 4/9/24 144A		500,000		540
Georgia-Pacific LLC 8.875%, 5/15/31		200,000		316
INEOS Finance PLC 2.875%, 5/1/26 144A EUR ¥		2,700,000		3,260
2.875%, 5/1/26 EUR §,¥		3,400,000		4,105
INEOS Styrolution Group GmbH 2.250%, 1/16/27 144A EUR ¥		200,000		234
MMK International Capital DAC 4.375%, 6/13/24 144A		1,400,000		1,500
Sappi Papier Holding GmbH 3.125%, 4/15/26 EUR §,¥		300,000		357
Sasol Financing USA LLC 5.875%, 3/27/24		500,000		534
Syngenta Finance NV 4.441%, 4/24/23 144A		200,000		211
4.892%, 4/24/25 144A		5,900,000		6,538
5.182%, 4/24/28 144A		2,800,000		3,200

Total				29,508


Communications (4.8%)
Altice Financing SA 3.000%, 1/15/28 EUR §,¥		200,000		225
7.500%, 5/15/26 144A		5,171,000		5,385
7.500%, 5/15/26 §		200,000		208
Altice France Holding SA 6.000%, 2/15/28 144A		1,700,000		1,693
8.000%, 5/15/27 EUR §,¥		1,000,000		1,279
Altice France SA 4.000%, 7/15/29 144A EUR ¥		1,850,000		2,179
8.125%, 2/1/27 144A		3,200,000		3,486
AT&T, Inc. 3.100%, 2/1/43		1,800,000		1,764
3.500%, 9/15/53 144A		237,000		238
3.650%, 9/15/59 144A		6,663,000		6,757
3.800%, 12/1/57 144A		115,000		120
Baidu, Inc. 3.875%, 9/29/23		200,000		213
CCO Holdings LLC / CCO Holdings Capital Corp. 4.500%, 6/1/33 144A		800,000		819


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Communications continued
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.200%, 3/15/28		1,700,000		1,924
4.800%, 3/1/50		200,000		230
5.125%, 7/1/49 b		3,300,000		3,930
5.375%, 4/1/38		100,000		123
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		1,800,000		1,903
Deutsche Telekom International Finance 8.750%, 6/15/30		475,000		712
Intelsat Jackson Holdings SA 5.500%, 8/1/23 j		700,000		401
8.500%, 10/15/24 144A j		200,000		118
9.750%, 7/15/25 144A j		100,000		58
Lumen Technologies, Inc. 4.000%, 2/15/27 144A		100,000		102
Qwest Corp. 7.250%, 9/15/25		500,000		592
SFR Group SA 7.375%, 5/1/26 144A		3,342,000		3,475
Sprint Communications, Inc. 11.500%, 11/15/21		400,000		415
Sprint Corp. 7.125%, 6/15/24		100,000		115
7.250%, 9/15/21		700,000		710
7.875%, 9/15/23		500,000		568
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,300,000		1,495
Summer (BC) Bidco B LLC 5.500%, 10/31/26 144A		400,000		407
Time Warner Cable LLC 5.875%, 11/15/40		300,000		388
6.750%, 6/15/39		200,000		278
UPC Broadband Finco BV 4.875%, 7/15/31 144A		4,800,000		4,811
Virgin Media Secured Finance PLC 4.125%, 8/15/30 GBP §,¥		1,200,000		1,644
4.250%, 1/15/30 144A GBP ¥		3,200,000		4,407
5.000%, 4/15/27 GBP §,¥		500,000		718
Vmed O2 UK Financing I PLC 4.750%, 7/15/31 144A		1,100,000		1,116
VMED O2 UK Financing I PLC 3.250%, 1/31/31 EUR §,¥		1,200,000		1,426
4.000%, 1/31/29 144A GBP ¥		2,600,000		3,554
4.500%, 7/15/31 144A GBP ¥		400,000		555
Vodafone Group PLC 7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79		1,700,000		2,060

Total				62,601


Consumer, Cyclical (7.8%)
Adient Global Holdings, Ltd. 3.500%, 8/15/24 EUR §,¥		400,000		488

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

146

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Air Canada Pass Through Trust, Series 2020-2, Class A 5.250%, 10/1/30 144A		937,148		1,016
Alaska Airlines Pass Through Trust, Series 2020-1, Class A 4.800%, 2/15/29 144A		192,161		213
American Airlines Pass Through Trust, Series 2014-1, Class A 3.700%, 4/1/28		195,286		198
American Airlines Pass Through Trust, Series 2015-1, Class A 3.375%, 11/1/28		350,821		348
American Airlines Pass Through Trust, Series 2016-1, Class AA 3.575%, 7/15/29		864,182		880
American Airlines Pass Through Trust, Series 2017-2, Class AA 3.350%, 4/15/31		167,527		170
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. 5.500%, 4/20/26 144A		300,000		318
BMW Finance NV 2.250%, 8/12/22 144A		400,000		408
British Airways Pass Through Trust, Series 2020-1, Class A 4.250%, 5/15/34 144A		118,536		128
Caesars Entertainment, Inc. 5.750%, 7/1/25 144A		400,000		421
Delta Air Lines, Inc. 7.000%, 5/1/25 144A		1,500,000		1,750
Delta Air Lines, Inc./SkyMiles IP, Ltd. 4.500%, 10/20/25 144A		300,000		322
FCE Bank PLC 0.869%, 9/13/21 EUR §,¥		400,000		475
Ford Motor Credit Co. LLC 0.068%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR ¥		400,000		471
0.157%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ¥		1,300,000		1,499
0.189%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ¥		100,000		117
1.068%, (ICE LIBOR USD 3 Month plus 0.880%), 10/12/21		200,000		200
1.391%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23		600,000		598
1.744%, 7/19/24 EUR ¥		200,000		240
2.330%, 11/25/25 EUR ¥		100,000		122
2.386%, 2/17/26 EUR ¥		100,000		123
2.748%, 6/14/24 GBP ¥		700,000		982
3.021%, 3/6/24 EUR ¥		900,000		1,118
3.096%, 5/4/23		500,000		510
3.250%, 9/15/25 EUR ¥		300,000		381
3.340%, (ICE LIBOR USD 3 Month plus 3.140%), 1/7/22		200,000		202
3.350%, 11/1/22		1,400,000		1,435
3.625%, 6/17/31		2,600,000		2,650
4.063%, 11/1/24 b		3,200,000		3,404
4.134%, 8/4/25		200,000		214
4.389%, 1/8/26		800,000		864
4.535%, 3/6/25 GBP ¥		100,000		148
5.584%, 3/18/24		600,000		657


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
5.596%, 1/7/22		1,500,000		1,531
Fortune Star BVI, Ltd. 5.050%, 1/27/27 §		2,000,000		2,021
General Motors Financial Co., Inc. 5.100%, 1/17/24		1,200,000		1,321
Hawaiian Airlines, Series 2020-1, Class A 7.375%, 9/15/27 144A		942,613		1,074
Hyatt Hotels Corp. 3.135%, (ICE LIBOR USD 3 Month plus 3.000%), 9/1/22		700,000		703
IHO Verwaltungs GmbH 3.625%, 5/15/25 EUR §,¥		800,000		963
3.750%, 9/15/26 EUR §,¥		4,600,000		5,563
Jaguar Land Rover Automotive PLC 3.875%, 3/1/23 GBP §,¥		100,000		141
5.875%, 11/15/24 144A EUR ¥		1,600,000		2,084
5.875%, 11/15/24 EUR §,¥		700,000		912
JetBlue Airways Corp. 4.000%, 5/15/34		870,553		960
John Lewis PLC 4.250%, 12/18/34 GBP §,¥		1,000,000		1,439
Las Vegas Sands Corp. 3.500%, 8/18/26		100,000		106
3.900%, 8/8/29		100,000		106
Marks & Spencer PLC 4.500%, 7/10/27 GBP §,¥		400,000		592
6.000%, 6/12/25 GBP §,¥		1,000,000		1,555
Marriott Ownership Resorts, Inc. 6.500%, 9/15/26		150,000		156
Mattel, Inc. 3.375%, 4/1/26 144A		100,000		104
Melco Resorts Finance, Ltd. 4.875%, 6/6/25 144A		400,000		409
5.375%, 12/4/29 144A		700,000		738
MGM Resorts International 7.750%, 3/15/22		300,000		314
Mileage Plus Holdings LLC 6.500%, 6/20/27 144A		700,000		771
Mitchells & Butlers Finance PLC 0.531%, (ICE LIBOR GBP 3 Month plus 0.450%), 12/15/30 GBP §,¥		1,119,602		1,452
0.569%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		203,564		191
6.469%, 9/15/32 GBP §,¥		200,000		315
Nissan Motor Acceptance Corp. 2.000%, 3/9/26 144A		400,000		403
Nissan Motor Co., Ltd. 2.652%, 3/17/26 EUR §,¥		100,000		129
3.201%, 9/17/28 144A EUR ¥		500,000		671
4.345%, 9/17/27 144A		6,400,000		7,035
4.810%, 9/17/30 144A		500,000		565
QVC, Inc. 4.375%, 3/15/23		1,075,000		1,134
Renault SA 1.250%, 6/24/25 EUR §,¥		900,000		1,051
2.375%, 5/25/26 EUR §,¥		4,800,000		5,768
Sands China, Ltd. 3.800%, 1/8/26		1,700,000		1,816
4.600%, 8/8/23		300,000		319
5.400%, 8/8/28 b		3,200,000		3,714

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

147

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Cyclical continued
Southwest Airlines Co. 5.125%, 6/15/27		1,000,000		1,176
5.250%, 5/4/25		1,000,000		1,141
Toll Brothers Finance Corp. 4.350%, 2/15/28		100,000		110
4.875%, 3/15/27		1,200,000		1,362
Travis Perkins PLC 4.500%, 9/7/23 GBP §,¥		1,900,000		2,802
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000%, 10/11/27		669,544		706
United Airlines Pass-Through Trust, Series 2019-2, Class A 2.900%, 11/1/29		95,568		95
United Airlines Pass-Through Trust, Series 2020-1, Class A 5.875%, 4/15/29		2,759,785		3,062
United Airlines, Inc. 4.375%, 4/15/26 144A		200,000		207
4.625%, 4/15/29 144A		500,000		517
US Airways Pass-Through Trust, Series 2012- 1, Class A 5.900%, 4/1/26		729,827		763
Volkswagen Bank GmbH 1.250%, 6/10/24 EUR §,¥		3,000,000		3,687
Volkswagen Financial Services Aktiengesellschaft 0.875%, 4/12/23 EUR §,¥		200,000		241
Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR §,¥		1,800,000		2,279
Wynn Macau, Ltd. 4.875%, 10/1/24 144A		200,000		202
5.125%, 12/15/29 144A		1,100,000		1,133
5.500%, 1/15/26 144A		200,000		210
5.500%, 1/15/26 §		500,000		524
5.500%, 10/1/27 144A		200,000		208
5.500%, 10/1/27 §		200,000		208
5.625%, 8/26/28 144A		300,000		313
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A		800,000		845
ZF Europe Finance BV 2.000%, 2/23/26 EUR §,¥		2,000,000		2,396
ZF Finance GmbH 2.750%, 5/25/27 EUR §,¥		4,300,000		5,296

Total				100,679


Consumer, Non-cyclical (3.9%)
AA Bond Co., Ltd. 2.750%, 7/31/43 GBP §,¥		100,000		140
2.875%, 7/31/43 GBP §,¥		2,900,000		4,029
4.875%, 7/31/43 GBP §,¥		1,200,000		1,765
AbbVie, Inc. 1.500%, 11/15/23 EUR ¥		400,000		492
Abertis Infraestructuras SA 1.625%, 7/15/29 EUR §,¥		500,000		623
1.875%, 3/26/32 EUR §,¥		600,000		757
3.000%, 3/27/31 EUR §,¥		600,000		831
3.375%, 11/27/26 GBP §,¥		2,100,000		3,146


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Consumer, Non-cyclical continued
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL 3.625%, 6/1/28 144A EUR ¥		1,400,000		1,645
Atlantia SpA 1.625%, 2/3/25 EUR §,¥		1,200,000		1,459
1.875%, 7/13/27 EUR §,¥		400,000		491
1.875%, 2/12/28 EUR §,¥		4,400,000		5,358
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		3,374
BAT Capital Corp. 3.222%, 8/15/24		100,000		106
3.557%, 8/15/27		500,000		535
Bausch Health Cos., Inc. 4.875%, 6/1/28 144A		300,000		307
Bellis Acquisition Co. PLC 3.250%, 2/16/26 144A GBP ¥		4,000,000		5,540
Centene Corp. 4.250%, 12/15/27		200,000		211
4.625%, 12/15/29		500,000		550
Constellation Brands, Inc. 3.700%, 12/6/26		200,000		222
CVS Pass-Through Trust 5.926%, 1/10/34 144A		648,814		784
7.507%, 1/10/32 144A		66,147		84
DaVita HealthCare Partners, Inc. 4.625%, 6/1/30 144A		1,900,000		1,954
Gruenenthal GmbH 3.625%, 11/15/26 144A EUR ¥		400,000		488
HCA, Inc. 4.750%, 5/1/23		2,655,000		2,845
Imperial Brands Finance PLC 3.500%, 7/26/26 144A		200,000		214
Loxam SAS 2.875%, 4/15/26 EUR §,¥		100,000		119
3.250%, 1/14/25 EUR §,¥		900,000		1,074
Nielsen Finance LLC / Nielsen Finance Co. 4.500%, 7/15/29 144A		600,000		602
4.750%, 7/15/31 144A		900,000		902
Organon Finance 1 LLC 2.875%, 4/30/28 144A EUR ¥		400,000		481
4.125%, 4/30/28 144A		1,100,000		1,122
Perrigo Finance Unlimited Co. 3.150%, 6/15/30		200,000		204
Q-Park Holding I BV 2.000%, 3/1/27 EUR §,¥		800,000		902
Sysco Corp. 5.650%, 4/1/25		1,100,000		1,274
Teva Pharmaceutical Finance Co. BV 3.650%, 11/10/21		2,800,000		2,807
Teva Pharmaceutical Finance IV BV 3.650%, 11/10/21		700,000		705
Teva Pharmaceutical Finance Netherlands II BV 1.125%, 10/15/24 EUR §,¥		600,000		667
1.250%, 3/31/23 EUR §,¥		720,000		835
4.500%, 3/1/25 EUR ¥		800,000		979
6.000%, 1/31/25 EUR ¥		200,000		255

Total				50,878

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

148

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Diversified (0.1%)
CVS Pass-Through Trust 4.704%, 1/10/36 144A		384,883		436
Stena International SA 6.125%, 2/1/25 144A		400,000		416

Total				852


Energy (9.1%)
Aker BP ASA 3.750%, 1/15/30 144A		400,000		432
Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625%, 7/15/26 144A		100,000		105
Boardwalk Pipelines LP 3.400%, 2/15/31		200,000		212
Cheniere Corpus Christi Holdings LLC 5.125%, 6/30/27		100,000		116
Cheniere Energy Partners LP 4.000%, 3/1/31 144A		1,400,000		1,463
Constellation Oil Services Holding SA 10.000%, 11/9/24 144A Þ		253,248		63
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,549
Dolphin Energy, Ltd. 5.500%, 12/15/21 144A		1,000,000		1,021
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		294
Enable Midstream Partners LP 4.950%, 5/15/28		1,200,000		1,374
Energy Transfer Operating LP 2.900%, 5/15/25		100,000		105
3.600%, 2/1/23		100,000		104
3.750%, 5/15/30		200,000		217
5.000%, 5/15/50		200,000		231
5.250%, 4/15/29		100,000		118
6.625%, 10/15/36		500,000		664
7.500%, 7/1/38		1,700,000		2,394
EQT Corp. 7.375%, 2/1/25 b		5,500,000		6,416
Gazprom Neft OAO Via GPN Capital SA 6.000%, 11/27/23 §		3,000,000		3,303
Gray Oak Pipeline LLC 3.450%, 10/15/27 144A		500,000		526
Greenko Solar Mauritius, Ltd. 5.550%, 1/29/25 144A		1,000,000		1,028
Indigo Natural Resources LLC 5.375%, 2/1/29 144A		100,000		105
Kinder Morgan Energy Partners LP 6.550%, 9/15/40 b		2,382,000		3,348
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,744
Midwest Connector Capital Company LLC 3.625%, 4/1/22 144A		300,000		305
3.900%, 4/1/24 144A		200,000		209
MPLX LP 4.250%, 12/1/27		100,000		113
Newfield Exploration Co. 5.625%, 7/1/24		2,100,000		2,338
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		5,579


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Noble Corp. PLC 11.000%, 2/15/28 144A		32,532		36
11.000%, 2/15/28		45,537		50
NuStar Logistics LP 5.625%, 4/28/27		1,400,000		1,499
6.000%, 6/1/26		200,000		217
Occidental Petroleum Corp. 3.200%, 8/15/26		400,000		403
3.400%, 4/15/26		500,000		511
3.500%, 8/15/29		2,140,000		2,148
5.500%, 12/1/25 b		4,300,000		4,752
5.875%, 9/1/25		700,000		779
Odebrecht Drilling Norbe VIII/IX, Ltd. 6.350%, 12/1/21 §		34,023		34
7.350%, 12/1/26 §,Þ		1,655,121		844
Odebrecht Oil & Gas Finance, Ltd. 0.000%, 8/5/21 §,µ		782,000		8
Patterson-UTI Energy, Inc. 5.150%, 11/15/29		600,000		627
Pertamina Persero PT 6.500%, 11/7/48 144A		3,800,000		5,039
Petrobras Global Finance BV 5.375%, 10/1/29 GBP ¥		1,800,000		2,731
5.500%, 6/10/51		100,000		100
6.250%, 12/14/26 GBP ¥		200,000		316
6.625%, 1/16/34 GBP ¥		300,000		477
6.900%, 3/19/49		300,000		358
Petroleos de Venezuela SA 5.375%, 4/12/27 §,j		6,500,000		276
5.500%, 4/12/37 §,j		4,300,000		183
Petroleos Mexicanos 2.750%, 4/21/27 EUR §,¥		1,100,000		1,216
3.750%, 2/21/24 EUR §,¥		400,000		489
4.750%, 2/26/29 EUR §,¥		3,500,000		4,114
4.875%, 2/21/28 EUR §,¥		600,000		721
5.625%, 1/23/46		378,000		308
5.950%, 1/28/31 b		4,300,000		4,177
6.490%, 1/23/27		700,000		739
6.500%, 3/13/27 b		3,200,000		3,378
6.625%, 6/15/35 b		4,200,000		4,056
6.625%, 6/15/38		2,000,000		1,850
6.750%, 9/21/47		2,900,000		2,567
6.840%, 1/23/30		1,600,000		1,649
7.690%, 1/23/50		1,880,000		1,810
Petrorio Luxembourg SARL 6.125%, 6/9/26 144A		200,000		205
Plains All American Pipeline LP / PAA Finance Corp. 6.650%, 1/15/37		277,000		363
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		2,210,530		2,531
Regency Energy Partners LP / Regency Energy Finance Corp. 4.500%, 11/1/23		300,000		322
5.000%, 10/1/22		1,100,000		1,147
5.875%, 3/1/22		800,000		817
Rio Oil Finance Trust, Series 2014-1 9.250%, 7/6/24 144A		1,049,843		1,160
9.250%, 7/6/24 §		918,612		1,015

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

149

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Energy continued
Rio Oil Finance Trust, Series 2014-3 9.750%, 1/6/27 §		380,776		449
SA Global Sukuk, Ltd. 2.694%, 6/17/31 144A		500,000		506
Sabine Pass Liquefaction LLC 4.500%, 5/15/30		700,000		808
5.625%, 3/1/25 b		4,900,000		5,600
5.750%, 5/15/24		800,000		898
5.875%, 6/30/26		400,000		474
Santos Finance, Ltd. 3.649%, 4/29/31 144A		700,000		716
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A		8,400,000		8,547
Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.500%, 3/1/30		1,200,000		1,320
Transocean Guardian, Ltd. 5.875%, 1/15/24 144A		1,486,250		1,445
Transocean Poseidon, Ltd. 6.875%, 2/1/27 144A		200,000		201
Valaris, Ltd. 8.250%, 4/30/28		10,000		10
Western Midstream Operating, LP 4.350%, 2/1/25		1,200,000		1,268
6.500%, 2/1/50 b		1,900,000		2,200
Williams Partners LP 3.600%, 3/15/22		2,500,000		2,542

Total				118,482


Financial (22.8%)
ADLER Group SA 2.750%, 11/13/26 EUR §,¥		1,400,000		1,679
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.150%, 2/15/24 b		3,600,000		3,779
3.650%, 7/21/27		500,000		534
4.450%, 4/3/26		900,000		988
4.625%, 10/15/27		500,000		560
4.875%, 1/16/24		1,200,000		1,306
Aircastle, Ltd. 2.850%, 1/26/28 144A		600,000		603
4.250%, 6/15/26		300,000		326
5.250%, 8/11/25 144A		2,400,000		2,696
Ally Financial, Inc. 3.050%, 6/5/23		400,000		417
8.000%, 11/1/31		1,371,000		1,970
Athora Netherlands NV 2.375%, 5/17/24 EUR §,¥		700,000		866
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,¥		200,000		272
Aviation Capital Group LLC 5.500%, 12/15/24 144A		1,000,000		1,130
Avolon Holdings Funding, Ltd. 5.125%, 10/1/23 144A		500,000		541
5.500%, 1/15/23 144A		800,000		850
Banca Monte dei Paschi di Siena SpA 1.875%, 1/9/26 EUR §,¥		300,000		353
2.625%, 4/28/25 EUR §,¥		3,300,000		3,967
3.625%, 9/24/24 EUR §,¥		3,800,000		4,691


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,¥		5,700,000		5,542
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,¥		500,000		544
Banco Bilbao Vizcaya Argentaria SA 6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,¥		1,600,000		2,075
Banco Bradesco SA 2.850%, 1/27/23 144A		600,000		612
Banco BTG Pactual SA 4.500%, 1/10/25 144A		500,000		524
Banco de Sabadell SA 1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,¥		200,000		244
1.750%, 5/10/24 EUR §,¥		900,000		1,107
Banco do Brasil SA 4.625%, 1/15/25 144A		1,100,000		1,174
Banco Votorantim SA 4.500%, 9/24/24 §		200,000		211
Bank of America Corp. 3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		1,060
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ,b		4,500,000		5,150
Barclays Bank PLC 7.625%, 11/21/22		488,000		532
Barclays PLC 2.375%, (GBP Swap Semi-Annual 1 Year plus 1.320%), 10/6/23 GBP §,¥		200,000		283
3.250%, 2/12/27 GBP §,¥		1,500,000		2,257
3.375%, (1 Year EUR Annual Swap Rate plus 3.700%), 4/2/25 EUR §,¥		1,200,000		1,550
3.650%, 3/16/25 b		3,100,000		3,357
6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.867%), 12/15/25 µ		500,000		554
7.875%, (5 Year GBP Swap Rate plus 6.099%), 9/15/22 GBP §,µ,¥		400,000		594
7.875%, (5 Year GBP Swap Rate plus 6.772%), 3/15/22 GBP §,µ		900,000		938
BNP Paribas SA 1.904%, (US SOFR plus 1.609%), 9/30/28 144A		1,100,000		1,092
2.219%, (US SOFR plus 2.074%), 6/9/26 144A		200,000		206
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		6,400,000		6,982
BPCE SA 2.375%, 1/14/25 144A		200,000		208
Cantor Fitzgerald LP 4.875%, 5/1/24 144A		100,000		110
6.500%, 6/17/22 144A		200,000		211
Chubb INA Holdings, Inc. 0.875%, 6/15/27 EUR ¥		200,000		246
CIT Group, Inc. 5.000%, 8/15/22		272,000		284
5.000%, 8/1/23		100,000		108
Citigroup, Inc. 1.250%, (Euribor 3 Month ACT/360 plus 1.660%), 7/6/26 EUR §,¥		200,000		247
3.400%, 5/1/26		400,000		437

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

150

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Corestate Capital Holding SA 3.500%, 4/15/23 EUR §,¥		700,000		717
Country Garden Holdings Co., Ltd. 3.125%, 10/22/25 §		4,600,000		4,615
4.750%, 1/17/23 §		200,000		205
6.500%, 4/8/24 §		600,000		636
CPI Property Group SA 1.625%, 4/23/27 EUR §,¥		700,000		853
2.125%, 10/4/24 EUR §,¥		400,000		498
4.750%, 3/8/23 §		1,300,000		1,386
Credit Agricole SA 1.907%, (SOFR Index plus 1.676%), 6/16/26 144A		500,000		510
Credit Suisse AG 6.500%, 8/8/23 144A		7,400,000		8,174
6.500%, 8/8/23 §		1,700,000		1,878
DAE Sukuk (DIFC), Ltd. 3.750%, 2/15/26 144A		1,000,000		1,057
Deutsche Annington Finance BV 5.000%, 10/2/23 144A		300,000		325
Deutsche Bank AG 1.369%, (ICE LIBOR USD 3 Month plus 1.230%), 2/27/23		2,900,000		2,930
1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,¥		2,500,000		3,006
1.625%, 1/20/27 EUR §,¥		100,000		125
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,¥		6,700,000		8,390
2.625%, 12/16/24 GBP §,¥		500,000		722
3.035%, (US SOFR plus 1.718%), 5/28/32		200,000		203
3.547%, (US SOFR plus 3.043%), 9/18/31		1,300,000		1,384
3.729%, (US SOFR plus 2.757%), 1/14/32		1,500,000		1,526
3.961%, (US SOFR plus 2.581%), 11/26/25		1,000,000		1,081
5.625%, (5 Year EUR Annual Swap Rate plus 6.000%), 5/19/31 EUR §,¥		4,500,000		6,312
5.882%, (US SOFR plus 5.438%), 7/8/31		400,000		468
The Doctors Co. 6.500%, 10/15/23 144A		300,000		322
EPR Properties 3.750%, 8/15/29		100,000		100
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 144A EUR ¥		500,000		650
2.750%, 3/29/28 EUR §,¥		1,200,000		1,561
Fairstone Financial, Inc. 7.875%, 7/15/24 144A		100,000		104
Fidelity National Financial, Inc. 3.400%, 6/15/30		200,000		215
Freedom Mortgage Corp. 6.625%, 1/15/27 144A		500,000		503
7.625%, 5/1/26 144A		2,100,000		2,186
8.125%, 11/15/24 144A		3,690,000		3,815
8.250%, 4/15/25 144A		1,000,000		1,044
GE Capital International Funding Co. Unlimited Co. 4.418%, 11/15/35		200,000		240
GE Capital UK Funding Unlimited Co. 5.875%, 1/18/33 GBP ¥		800,000		1,513
Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR §,¥		3,900,000		4,960


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
GLP Capital LP / GLP Financing II, Inc. 3.350%, 9/1/24		100,000		106
5.750%, 6/1/28		400,000		476
The Goldman Sachs Group, Inc. 0.013%, (Euribor 3 Month ACT/360 plus 0.550%), 4/21/23 EUR §,¥		900,000		1,069
0.082%, (Euribor 3 Month ACT/360 plus 0.620%), 9/26/23 EUR §,¥		300,000		357
2.125%, 9/30/24 EUR §,¥		1,200,000		1,518
3.375%, 3/27/25 EUR §,¥		200,000		266
Growthpoint Properties International Pty, Ltd. 5.872%, 5/2/23 144A		300,000		321
5.872%, 5/2/23 §		1,600,000		1,713
Hospitality Properties Trust 4.350%, 10/1/24		200,000		201
4.750%, 10/1/26 b		4,900,000		4,839
HSBC Holdings PLC 1.645%, (US SOFR plus 1.538%), 4/18/26		200,000		203
2.099%, (US SOFR plus 1.929%), 6/4/26		200,000		205
2.804%, (US SOFR plus 1.187%), 5/24/32 b		3,300,000		3,387
3.900%, 5/25/26		2,600,000		2,891
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30 b		4,900,000		5,484
4.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 3.222%), 3/9/26 µ		200,000		203
4.300%, 3/8/26 b		3,000,000		3,384
Huarong Finance 2019 Co., Ltd. 1.275%, (ICE LIBOR USD 3 Month plus 1.125%), 2/24/23 §		3,800,000		2,831
2.125%, 9/30/23 §		600,000		456
2.500%, 2/24/23 §		800,000		616
ING Groep NV 5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 4.342%), 11/16/26 µ		1,800,000		1,994
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ		900,000		992
6.875%, (5 Year ICE Swap Rate plus 5.124%), 4/16/22 §,µ		200,000		208
International Lease Finance Corp. 5.875%, 8/15/22		400,000		423
8.625%, 1/15/22		400,000		417
Intesa Sanpaolo SpA 3.250%, 9/23/24 144A		300,000		319
4.000%, 9/23/29 144A		200,000		219
5.017%, 6/26/24 144A		2,700,000		2,938
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,¥		4,050,000		5,282
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,¥		300,000		404
Itau Unibanco Holding SA 2.900%, 1/24/23 144A		200,000		204
Jefferies Finance LLC / JFIN Co-Issuer Corp. 6.250%, 6/3/26 144A		1,400,000		1,463
Kaisa Group Holdings, Ltd. 9.375%, 6/30/24 §		400,000		378
9.750%, 9/28/23 §		600,000		592
10.875%, 7/23/23 §		400,000		400
11.250%, 4/16/25 §		3,500,000		3,309

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

151

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
Kennedy Wilson Europe Real Estate PLC 3.950%, 6/30/22 GBP §,¥		1,604,843		2,265
LeasePlan Corp. NV 2.875%, 10/24/24 144A		300,000		315
Liberty Mutual Finance Europe DAC 1.750%, 3/27/24 EUR §,¥		100,000		124
Lincoln Financing SARL 3.625%, 4/1/24 EUR §,¥		4,800,000		5,750
Lloyds Banking Group PLC 1.875%, (1 Year UK Gilts plus 1.300%), 1/15/26 GBP §,¥		500,000		708
2.250%, 10/16/24 GBP §,¥		2,000,000		2,880
3.500%, (1 Year EUR Annual Swap Rate plus 3.750%), 4/1/26 EUR §,¥		200,000		267
4.450%, 5/8/25		2,800,000		3,142
Logicor Financing SARL 3.250%, 11/13/28 EUR §,¥		600,000		827
Marsh & McLennan Cos., Inc. 1.349%, 9/21/26 EUR ¥		100,000		125
Morgan Stanley 4.000%, 7/23/25 b		3,600,000		4,004
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,827
NatWest Group PLC 2.000%, (Euribor 3 Month ACT/360 plus 2.039%), 3/8/23 EUR §,¥		1,600,000		1,925
2.500%, 3/22/23 EUR §,¥		100,000		124
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		215
4.800%, 4/5/26 b		2,800,000		3,206
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 b		3,700,000		4,333
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.625%), 12/29/25 µ		500,000		557
8.625%, (USD 5 Year Swap Rate plus 7.598%), 8/15/21 µ		2,100,000		2,115
Navient Corp. 7.250%, 1/25/22		400,000		415
New Metro Global, Ltd. 4.500%, 5/2/26 §		1,700,000		1,667
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 1/15/26 EUR §,µ,¥		2,600,000		3,524
OMEGA Healthcare Investors, Inc. 4.500%, 1/15/25		100,000		109
4.950%, 4/1/24		100,000		109
OneMain Finance Corp. 3.500%, 1/15/27		1,100,000		1,108
4.000%, 9/15/30		700,000		694
Oxford Finance LLC / Oxford Finance Co- Issuer II, Inc. 6.375%, 12/15/22 144A		200,000		201
Pacific Life Global Funding II 1.200%, 6/24/25 144A		200,000		200
Park Aerospace Holdings, Ltd. 4.500%, 3/15/23 144A		3,900,000		4,100
5.250%, 8/15/22 144A		650,000		680
5.500%, 2/15/24 144A		400,000		440


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
RLJ Lodging Trust LP 3.750%, 7/1/26 144A		200,000		202
Santander UK Group Holdings PLC 0.312%, (Euribor 3 Month ACT/360 plus 0.850%), 3/27/24 EUR §,¥		400,000		479
2.896%, (US SOFR plus 1.475%), 3/15/32		800,000		824
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 b		4,000,000		4,399
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,¥		1,390,000		2,144
Sberbank of Russia Via SB Capital SA 6.125%, 2/7/22 §		1,700,000		1,754
Seazen Group, Ltd. 6.000%, 8/12/24 §		200,000		208
Sitka Holdings LLC 1.000%, (ICE LIBOR USD 3 Month plus 4.500%), 7/6/26 144A		600,000		599
Societe Generale SA 7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ		300,000		328
Springleaf Finance Corp. 6.125%, 3/15/24		500,000		538
6.875%, 3/15/25		1,900,000		2,144
7.125%, 3/15/26		1,700,000		1,980
Standard Chartered PLC 7.500%, (USD 5 Year Swap Rate plus 6.301%), 4/2/22 144A µ		200,000		208
Sunac China Holdings, Ltd. 5.950%, 4/26/24 §		2,000,000		1,965
6.650%, 8/3/24 §		600,000		602
7.250%, 6/14/22 §		2,800,000		2,859
7.350%, 7/19/21 §		200,000		200
8.350%, 4/19/23 §		1,600,000		1,657
Synovus Bank 2.289%, (US SOFR plus 0.945%), 2/10/23		250,000		252
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,¥		94,921		176
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,¥		2,618,614		4,728
TP ICAP PLC 5.250%, 1/26/24 GBP §,¥		3,700,000		5,599
TrustCo Bank Corp. 6.390%, 1/15/50 144A		200,000		234
UBS AG 7.625%, 8/17/22		2,400,000		2,582
UBS Group Funding AG 4.125%, 9/24/25 144A		700,000		781
UniCredit SpA 2.200%, (Euribor 3 Month ACT/360 plus 2.550%), 7/22/27 EUR §,¥		300,000		378
2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 9/22/26 144A		2,900,000		2,940
4.086%, (ICE LIBOR USD 3 Month plus 3.900%), 1/14/22 144A		1,550,000		1,578
6.572%, 1/14/22 144A		700,000		722
7.830%, 12/4/23 144A		5,650,000		6,516
Unipol Gruppo SpA 3.250%, 9/23/30 EUR §,¥		3,900,000		5,199
The Unique Pub Finance Co. PLC 5.659%, 6/30/27 GBP §,¥		382,342		588

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

152

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Financial continued
7.395%, 3/28/24 GBP §,¥		369,920		540
Virgin Money UK PLC 3.125%, (6 Month GBP-LIBOR plus 2.292%), 6/22/25 GBP §,¥		100,000		145
3.375%, (1 Year GBP Swap Rate plus 1.868%), 4/24/26 GBP §,¥		100,000		147
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,¥		500,000		757
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,¥		200,000		306
Wells Fargo & Co. 1.338%, (Euribor 3 Month ACT/360 plus 1.670%), 5/4/25 EUR §,¥		1,500,000		1,844
Weyerhaeuser Co. 7.375%, 3/15/32 b		1,500,000		2,165
Yango Justice International, Ltd. 7.500%, 4/15/24 §		4,200,000		4,045

Total				296,517


Industrial (1.7%)
Aeropuerto Internacional de Tocumen SA 6.000%, 11/18/48 144A		295,873		321
Berry Global, Inc. 1.570%, 1/15/26 144A		100,000		100
Bombardier, Inc. 6.000%, 10/15/22 144A		200,000		200
6.125%, 1/15/23 144A		161,000		170
7.500%, 12/1/24 144A		200,000		209
DAE Funding LLC 1.550%, 8/1/24 144A		1,700,000		1,697
1.625%, 2/15/24 144A		1,000,000		1,014
2.625%, 3/20/25 144A		500,000		509
3.375%, 3/20/28 144A		700,000		715
5.000%, 8/1/24 144A		400,000		411
Empresa de Transporte de Pasajeros Metro SA 4.700%, 5/7/50 §		1,400,000		1,582
Flex, Ltd. 3.750%, 2/1/26		700,000		765
Fortress Transportation & Infrastructure 5.500%, 5/1/28 144A		400,000		416
6.500%, 10/1/25 144A		1,500,000		1,558
General Electric Co. 0.875%, 5/17/25 EUR ¥		100,000		122
4.125%, 9/19/35 EUR §,¥		500,000		800
5.250%, 12/7/28 GBP ¥		300,000		517
5.550%, 1/5/26		200,000		237
5.625%, 9/16/31 GBP ¥		200,000		360
6.875%, 1/10/39		14,000		21
Greif, Inc. 6.500%, 3/1/27 144A		300,000		316
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		308,019		359
Rolls-Royce PLC 0.875%, 5/9/24 EUR §,¥		5,300,000		6,186
4.625%, 2/16/26 144A EUR ¥		200,000		259
4.625%, 2/16/26 EUR §,¥		200,000		259
5.750%, 10/15/27 144A		300,000		372
SIG Combibloc PurchaseCo SARL 2.125%, 6/18/25 144A EUR ¥		300,000		376


Corporate Bonds (55.0%)	Shares/ Par⁺		Value $ (000’s)

Industrial continued
SMBC Aviation Capital Finance DAC 2.300%, 6/15/28 144A		200,000		202
Standard Industries, Inc. 2.250%, 11/21/26 144A EUR ¥		1,300,000		1,533
4.750%, 1/15/28 144A		950,000		994

Total				22,580


Technology (1.1%)
Broadcom, Inc. 2.450%, 2/15/31 144A		700,000		688
Dell International LLC / EMC Corp. 5.300%, 10/1/29 b		4,300,000		5,189
5.450%, 6/15/23		1,100,000		1,193
6.020%, 6/15/26		400,000		480
8.100%, 7/15/36		300,000		457
Lenovo Group, Ltd. 3.421%, 11/3/30 144A		400,000		418
NXP BV / NXP Funding LLC 4.875%, 3/1/24 144A		1,700,000		1,872
5.350%, 3/1/26 144A		1,600,000		1,867
VMware, Inc. 4.500%, 5/15/25		300,000		335
4.650%, 5/15/27		1,400,000		1,607
4.700%, 5/15/30		100,000		118

Total				14,224


Utilities (1.4%)
Adani Electricity Mumbai, Ltd. 3.949%, 2/12/30 144A		300,000		299
Centrais Eletricas Brasileiras SA 4.625%, 2/4/30 144A		300,000		310
Edison International 5.750%, 6/15/27		100,000		114
Electricite de France SA 4.500%, 9/21/28 144A		900,000		1,048
FEL Energy VI SARL 5.750%, 12/1/40 §		3,282,236		3,479
FirstEnergy Corp. 7.375%, 11/15/31		400,000		548
Nakilat, Inc. 6.067%, 12/31/33 §		974,151		1,192
6.267%, 12/31/33 144A		491,348		604
National Fuel Gas Co. 5.200%, 7/15/25		300,000		338
Pacific Gas & Electric Co. 1.367%, 3/10/23		1,600,000		1,600
1.750%, 6/16/22		800,000		800
2.100%, 8/1/27		100,000		97
2.500%, 2/1/31		100,000		94
2.950%, 3/1/26		100,000		102
3.150%, 1/1/26		1,600,000		1,650
3.250%, 6/15/23		100,000		103
3.300%, 3/15/27		200,000		207
3.300%, 12/1/27		500,000		514
3.300%, 8/1/40		200,000		181
3.450%, 7/1/25		300,000		314
3.500%, 6/15/25		1,500,000		1,573
3.750%, 7/1/28		100,000		105
4.200%, 6/1/41		100,000		98
4.250%, 8/1/23		200,000		212

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

153

Multi-Sector Bond Portfolio


Corporate Bonds (55.0%)	Shares/ Par ⁺		Value $ (000’s)

Utilities continued
4.250%, 3/15/46		100,000		95
4.450%, 4/15/42		300,000		297
4.550%, 7/1/30		500,000		535
Perusahaan Listrik Negara PT 3.000%, 6/30/30 144A		1,500,000		1,502
Puget Energy, Inc. 5.625%, 7/15/22		200,000		208

Total				18,219

Total Corporate Bonds (Cost: $677,792)				714,540


Convertible Corporate Bonds (0.4%)

Financial (0.4%)
Corestate Capital Holding SA 1.375%, 11/28/22 EUR §,¥		5,700,000		5,677

Total				5,677

Total Convertible Corporate Bonds (Cost: $5,857)				5,677


Governments (16.8%)

Governments (16.8%)
Abu Dhabi Government International Bond 2.700%, 9/2/70 144A		3,700,000		3,351
3.875%, 4/16/50 144A		1,500,000		1,727
Albania Government International Bond 3.500%, 6/16/27 144A EUR ¥		1,400,000		1,782
Arab Republic of Egypt 5.625%, 4/16/30 144A EUR ¥		1,550,000		1,845
7.500%, 2/16/61 144A		1,900,000		1,778
Argentine Republic Government International Bond 0.125%, 7/9/35 ∑		5,922,164		1,874
0.125%, 7/9/41 ∑,b		13,420,196		4,771
1.000%, 7/9/29		405,455		153
1.750%, 7/9/30 ∑		866,857		311
Australian Government 4.250%, 4/21/26 AUD §,¥		2,400,000		2,099
Autonomous Community of Catalonia 4.900%, 9/15/21 EUR ¥		800,000		958
Banque Centrale de Tunisie International Bond 5.625%, 2/17/24 EUR §,¥		300,000		332
Banque Ouest Africaine de Developpement 2.750%, 1/22/33 144A EUR ¥		500,000		621
Colombia Government International Bond 5.000%, 6/15/45 b		6,000,000		6,373
Dominican Republic International Bond 4.875%, 9/23/32 144A		550,000		566
4.875%, 9/23/32 §		1,700,000		1,751
6.500%, 2/15/48 144A		2,800,000		3,055
6.500%, 2/15/48 §		900,000		982
6.875%, 1/29/26 §		500,000		579
Ecuador Government International Bond 0.010%, 7/31/30 144A		323,958		179
0.500%, 7/31/35 144A		2,674,620		1,832
0.500%, 7/31/40 144A		1,225,800		758
Egypt Government International Bond 4.750%, 4/11/25 144A EUR ¥		600,000		742
6.375%, 4/11/31 144A EUR ¥		400,000		494


Governments (16.8%)	Shares/ Par ⁺		Value $ (000’s)

Governments continued
6.375%, 4/11/31 EUR §,¥		2,100,000		2,593
Export-Import Bank of India 3.375%, 8/5/26 §		600,000		639
Federal Republic of Nigeria 7.625%, 11/28/47 §		700,000		700
7.875%, 2/16/32 §		2,800,000		3,014
Ghana Government International Bond 7.875%, 3/26/27 144A		600,000		634
8.125%, 3/26/32 144A		400,000		405
8.950%, 3/26/51 144A		600,000		593
8.950%, 3/26/51 §		200,000		198
Ivory Coast Government International Bond 5.250%, 3/22/30 EUR §,¥		500,000		619
5.875%, 10/17/31 144A EUR ¥		300,000		382
6.625%, 3/22/48 144A EUR ¥		900,000		1,118
6.625%, 3/22/48 EUR §,¥		800,000		994
6.875%, 10/17/40 144A EUR ¥		400,000		517
Japan Government Thirty Year Bond 0.400%, 3/20/50 JPY ¥		40,000,000		335
Kingdom of Jordan 4.950%, 7/7/25 144A		300,000		311
5.850%, 7/7/30 144A		400,000		416
Morocco Government International Bond 4.000%, 12/15/50 144A		500,000		463
North Macedonia 3.675%, 6/3/26 144A EUR ¥		500,000		653
Oman Government International Bond 6.250%, 1/25/31 144A		3,200,000		3,435
6.500%, 3/8/47 §		500,000		489
6.750%, 1/17/48 §		4,100,000		4,074
Panama Government International Bond 6.700%, 1/26/36		1,900,000		2,577
8.125%, 4/28/34		100,000		144
Perusahaan Penerbit SBSN Indonesia III 3.400%, 3/29/22 144A		600,000		612
Provincia de Buenos Aires 37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,¥		740,000		4
Republic of Belarus Ministry of Finance 5.875%, 2/24/26 144A		600,000		554
Republic of Indonesia 0.900%, 2/14/27 EUR ¥		1,700,000		2,036
1.400%, 10/30/31 EUR ¥		200,000		241
1.450%, 9/18/26 EUR ¥		700,000		863
3.375%, 7/30/25 144A EUR ¥		800,000		1,060
3.750%, 6/14/28 144A EUR ¥		1,900,000		2,672
3.750%, 6/14/28 EUR §,¥		2,200,000		3,094
4.625%, 4/15/43 §		2,700,000		3,122
5.125%, 1/15/45 §		1,800,000		2,226
Republic of Paraguay 5.600%, 3/13/48 §		600,000		705
6.100%, 8/11/44 §		300,000		373
Republic of Peru 3.300%, 3/11/41		2,700,000		2,724
Republic of Serbia 1.650%, 3/3/33 144A EUR ¥		700,000		812
Republic of South Africa Government International Bond 4.850%, 9/30/29		1,200,000		1,272

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

154

Multi-Sector Bond Portfolio


Governments (16.8%)	Shares/ Par ⁺		Value $ (000’s)

Governments continued
4.875%, 4/14/26		600,000		651
5.000%, 10/12/46		500,000		474
5.750%, 9/30/49 b		4,500,000		4,599
Romanian Government International Bond 2.000%, 4/14/33 144A EUR ¥		1,400,000		1,646
4.125%, 3/11/39 EUR §,¥		1,500,000		2,104
Russian Federation 5.625%, 4/4/42 §		2,000,000		2,568
Saudi International Bond 2.900%, 10/22/25 §		300,000		321
4.000%, 4/17/25 §		3,900,000		4,305
4.500%, 10/26/46 §		9,300,000		10,893
Sri Lanka Government International Bond 7.550%, 3/28/30 §		1,600,000		997
7.850%, 3/14/29 §		500,000		315
State of Qatar 4.400%, 4/16/50 144A		1,200,000		1,461
4.400%, 4/16/50 §		2,400,000		2,921
4.500%, 4/23/28 §		1,100,000		1,298
4.817%, 3/14/49 §		800,000		1,029
5.103%, 4/23/48 §		1,200,000		1,593
Turkey Government International Bond 4.250%, 3/13/25		1,200,000		1,176
4.750%, 1/26/26		2,200,000		2,163
4.875%, 4/16/43		1,900,000		1,511
4.875%, 10/9/26 b		4,000,000		3,912
5.125%, 2/17/28 b		4,300,000		4,174
5.600%, 11/14/24		400,000		411
5.750%, 5/11/47		2,300,000		1,964
6.125%, 10/24/28		400,000		406
Ukraine Government International Bond 4.375%, 1/27/30 144A EUR ¥		1,600,000		1,770
4.375%, 1/27/30 EUR §,¥		1,700,000		1,880
6.750%, 6/20/26 144A EUR ¥		600,000		776
6.876%, 5/21/29 144A		900,000		934
7.375%, 9/25/32 §		300,000		315
7.750%, 9/1/21 §		4,600,000		4,637
8.994%, 2/1/24 144A		1,000,000		1,108
United Mexican States 2.125%, 10/25/51 EUR ¥		1,000,000		999
3.771%, 5/24/61 b		5,400,000		5,019
US Treasury 1.875%, 8/31/24 b		7,310,000		7,626
2.125%, 3/31/24 b		3,970,000		4,156
2.125%, 11/30/24 b		3,400,000		3,581
2.250%, 11/15/24 b		15,910,000		16,819
2.250%, 2/15/27		150,000		160
2.375%, 8/15/24 b		3,700,000		3,917
2.500%, 1/31/24 b		10,590,000		11,173
2.750%, 2/15/24 b		8,700,000		9,239
2.875%, 11/30/23 b		4,230,000		4,489
Venezuela Government International Bond 6.000%, 12/9/20 §,j		32,000		3
7.000%, 3/31/38 §,j		204,000		21
7.650%, 4/21/25 §,j		1,955,000		196
8.250%, 10/13/24 §,j		356,000		37
9.000%, 5/7/23 §,j		32,000		3
9.250%, 5/7/28 §,j		1,241,000		127


Governments (16.8%)	Shares/ Par ⁺		Value $ (000’s)

Governments continued
9.375%, 1/13/34 j		1,400,000		140

Total				218,603

Total Governments (Cost: $216,423)				218,603


Municipal Bonds (0.7%)

Municipal Bonds (0.7%)
American Municipal Power, Inc., Series 2010-B 7.834%, 2/15/41 RB		100,000		166
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		301
City of Riverside CA Electric Revenue 7.605%, 10/1/40 RB		200,000		318
Irvine Ranch California Water District 6.622%, 5/1/40 RB		100,000		151
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB		200,000		325
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		150
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		97,000		149
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		401
New York State Urban Development Corp. 5.770%, 3/15/39 RB		100,000		125
Port Authority of New York & New Jersey, Series 165 5.647%, 11/1/40 RB		1,100,000		1,550
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB		200,000		277
State of Illinois 6.630%, 2/1/35 GO		245,000		306
6.725%, 4/1/35 GO		95,000		120
7.350%, 7/1/35 GO		200,000		258
Texas Public Finance Authority 8.250%, 7/1/24 RB		125,000		126
Tobacco Settlement Financing Corp. of Virginia, Series 2007-A 6.706%, 6/1/46 RB b		3,125,000		3,283
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		1,096

Total Municipal Bonds (Cost: $6,452)				9,102


Structured Products (7.7%)

Asset Backed Securities (6.7%)
Accredited Mortgage Loan Trust, Series 2005- 3, Class M3 0.572%, (ICE LIBOR USD 1 Month plus 0.480%), 9/25/35		250,000		249
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		63,407		62

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

155

Multi-Sector Bond Portfolio


Structured Products (7.7%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2 0.887%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		41,244		41
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4 1.067%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		58,213		58
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		7,491,273		2,794
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 1.092%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		108,831		107
AlbaCore EURO CLO I DAC, Series 1A, Class A 1.530%, (Euribor 3 Month ACT/360 plus 1.530%), 7/18/31 144A EUR ¥		250,000		297
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 0.962%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		19,365		19
Ares European CLO, Series 10A, Class AR 0.780%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ¥		1,100,000		1,304
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1 1.318%, (ICE LIBOR USD 1 Month plus 1.245%), 8/15/33		24,301		25
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		170,662		172
Bain Capital Euro CLO, Series 2018-2A, Class AR 1.000%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ¥		300,000		355
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2 0.292%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36		16,319		16
Bear Stearns Asset Backed Securities I Trust, Series 2007-AQ1, Class A1 0.202%, (ICE LIBOR USD 1 Month plus 0.110%), 4/25/31		813		4
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 1.342%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		110,914		111
Cairn CLO BV, Series 2014-A4, Class ARRR 0.600%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ¥		300,000		355
Cairn CLO X BV, Series 2018-10A, Class AR 0.907%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ¥		700,000		830
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R 0.700%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ¥		900,000		1,067


Structured Products (7.7%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Citigroup Mortgage Loan Trust, Series 2007- AHL1, Class A2C 0.302%, (ICE LIBOR USD 1 Month plus 0.210%), 12/25/36		100,000		96
Countrywide Alternative Loan Trust, Series 2006-5, Class M1 0.617%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36		1,500,000		1,459
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 1.667%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		100,000		99
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 4.740%, (AFC), 10/25/35		456		–	p
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 0.792%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36		82,716		78
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.558%, (AFC), 7/25/36 ∑		100,000		100
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		471,167		444
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3 0.672%, (ICE LIBOR USD 1 Month plus 0.580%), 7/25/36		12,981		13
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3 0.672%, (ICE LIBOR USD 1 Month plus 0.580%), 8/25/36		38,356		38
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 0.572%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37		900,000		818
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		22,039		22
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A 0.932%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47		1,643,801		1,627
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A 0.292%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		889,849		829
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 0.642%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A		1,370,755		1,201
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 0.712%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		3,732		4

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

156

Multi-Sector Bond Portfolio


Structured Products (7.7%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR 0.650%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ¥		800,000		947
Ellington Loan Acquisition Trust, Series 2007-2, Class A1 1.142%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		266,057		267
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR 0.620%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ¥		300,000		355
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 9/25/36		12,040		12
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5 04/25/36		149,577		148
Fremont Home Loan Trust, Series 2005-2, Class M4 1.022%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		294
GSAA Home Equity Trust, Series 2006-17, Class A1 0.212%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36		52,277		19
GSAMP Trust, Series 2004-WF, Class M2 1.742%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		14,664		15
GSAMP Trust, Series 2007-FM2, Class A2B 0.182%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		177,827		128
GSAMP Trust, Series 2007-NC1, Class A2A 0.142%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		14,302		9
Harvest CLO XX DAC, Series 2020-A, Class AR 0.960%, (Euribor 3 Month ACT/360 plus 0.960%), 10/20/31 144A EUR ¥		600,000		710
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 0.432%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		420
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 0.872%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35		201,936		201
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		358,220		242
KKR Financial CLO, Ltd., Series 9, Class AR2 1.140%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A		2,200,000		2,197
Laurelin 2016-1 DAC, Series 2016-1A, Class ARR 0.720%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ¥		400,000		474


Structured Products (7.7%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
LCM XV LP, Series 2015-A, Class AR2 1.188%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A		1,800,000		1,800
Lehman XS Trust, Series 2005-4, Class 1A3 0.892%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35		4,855		5
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 0.692%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36		60,325		55
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 0.632%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46		296,939		135
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A 0.392%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36		1,198,870		812
Man GLG EURO CLO III DAC, Series 3A, Class AR 0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ¥		400,000		475
Marathon CLO, Ltd., Series 2017-9A, Class A1AR 1.334%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A		2,200,000		2,200
Marble Point CLO X, Ltd., Series 2017-1A, Class AR 1.224%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A		5,200,000		5,200
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 0.992%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		108,606		108
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 0.392%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36 b		11,075,607		10,307
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 0.292%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36		2,132,745		853
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		916,815		400
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 0.542%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		853,583		606
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ 0.672%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		778
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 0.797%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		157

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

157

Multi-Sector Bond Portfolio


Structured Products (7.7%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 1.082%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		216,738		218
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36		66,875		38
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		61,955		37
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C 0.342%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		63,079		34
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 1.667%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		40,310		40
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 1.442%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		22,192		22
Mountain View CLO, Ltd., Series 2019-1A, Class A1 1.298%, (ICE LIBOR USD 3 Month plus 1.120%), 4/15/29 144A		1,500,000		1,500
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		361,659		357
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR 0.740%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ¥		1,200,000		1,420
OZLM Funding, Ltd., Series 2021-1A, Class A1R3 1.154%, (ICE LIBOR USD 3 Month plus 0.970%), 7/22/29 144A		1,600,000		1,599
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2 0.887%, (ICE LIBOR USD 1 Month plus 0.795%), (AFC), 8/25/35		8,457		8
Popular Mortgage Pass Through Trust, Series 2006-A, Class M1 0.482%, (ICE LIBOR USD 1 Month plus 0.390%), (AFC), 2/25/36		101,505		101
RAAC Series, Series 2007-RP4, Class A 0.442%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		222,435		215
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3 0.812%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 9/25/35		56,054		56
Residential Asset Securities Corp., Series 2006-EMX1, Class M1 0.707%, (ICE LIBOR USD 1 Month plus 0.410%), (AFC), 1/25/36		15,961		16


Structured Products (7.7%)	Shares/ Par ⁺		Value $ (000’s)

Asset Backed Securities continued
Residential Asset Securities Corp., Series 2007-KS1, Class A3 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37		56,823		56
Residential Asset Securities Corp., Series 2007-KS3, Class AI4 0.432%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,600,000		1,542
Saxon Asset Securities Trust, Series 2006-1, Class M1 0.557%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		284,257		283
Sculptor CLO XXV, Ltd., Series 25A, Class A1 1.410%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A		2,100,000		2,098
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 1.052%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		53,903		48
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2 1.163%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A		689,202		689
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR 1.156%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A		5,200,000		5,196
Soundview Home Loan Trust, Series 2005-3, Class M3 0.917%, (ICE LIBOR USD 1 Month plus 0.825%), 6/25/35		24,302		25
Soundview Home Loan Trust, Series 2006-2, Class M2 0.617%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36		336,731		336
Soundview Home Loan Trust, Series 2006-3, Class A3 0.412%, (ICE LIBOR USD 1 Month plus 0.320%), 11/25/36		41,449		41
Soundview Home Loan Trust, Series 2006- OPT2, Class A4 0.652%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36		175,191		174
Soundview Home Loan Trust, Series 2006- OPT3, Class M1 0.402%, (ICE LIBOR USD 1 Month plus 0.310%), 6/25/36 b		6,629,500		6,351
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 1.067%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		178,281		178
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 1.067%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		76,933		77
Structured Asset Investment Loan Trust, Series 2005-7, Class M2 0.857%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		428,616		424

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

158

Multi-Sector Bond Portfolio


Structured Products (7.7%)	Shares/ Par⁺		Value $ (000’s)

Asset Backed Securities continued
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		13,055		13
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 0.432%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36		237,966		234
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 0.302%, (ICE LIBOR USD 1 Month plus 0.210%), 2/25/37		80,196		77
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A 0.352%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		838,271		832
Vendome Funding DAC, Series 2020-1A, Class A 1.860%, (Euribor 3 Month ACT/360 plus 1.860%), 7/20/31 144A EUR ¥		500,000		593
Venture CDO, Ltd., Series 2018-33A, Class A1LR 1.244%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A		1,000,000		999
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR 1.165%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A		5,500,000		5,499
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR 1.208%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A		4,857,579		4,853
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R 1.228%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A		300,000		300
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A 0.242%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		137,200		127
Wellfleet CLO, Ltd., Series 2017-1, Class 1A 1.078%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A		5,700,000		5,689

Total				87,418


Mortgage Securities (1.0%)
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 1.671%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45		544		1
Banc of America Funding Trust, Series 2005-H, Class 5A1 2.529%, (CSTR), 11/20/35		122,194		113
Banc of America Funding Trust, Series 2006-J, Class 4A1 3.348%, (CSTR), 1/20/47		43,060		41
Banc of America Funding Trust, Series 2007-6, Class A1 0.382%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37		56,137		54


Structured Products (7.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Barclays Capital LLC, Series 2009-RR14, Class 2A2 3.293%, (CSTR), 7/26/36 144A		19,806		19
Barclays Capital LLC, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A		2,237,324		1,276
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 2.849%, (CSTR), 7/25/34		2,018		2
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 3.344%, (CSTR), 11/25/36		144,282		100
Bear Stearns ARM Trust, Series 2007-4, Class 22A1 3.341%, (CSTR), 6/25/47		81,334		81
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		2,439		2
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 3.234%, (CSTR), 9/25/37		9,283		9
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 4.212%, (CSTR), 9/25/37		35,090		36
Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A 3.252%, (CSTR), 3/25/37		368,251		348
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35		13,625		14
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 6.000%, 3/25/35		296,181		204
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 0.751%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35		5,304		5
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 1.596%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		14,490		15
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		144,038		118
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 5.500%, 2/25/35		133,849		136
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32		2,707		3
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 5.500%, 11/25/35		180,831		142
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		118,538		67
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		397,739		134

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

159

Multi-Sector Bond Portfolio


Structured Products (7.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 2.748%, (CSTR), 5/25/36		9,947		9
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B 0.283%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		12,393		11
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A 0.288%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		28,537		25
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 0.513%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46		359,952		310
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A 0.513%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		8,783		7
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37		230,228		146
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 4/25/47		34,163		31
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1 2.350%, (CSTR), 10/25/35		10,260		9
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1 2.647%, (CSTR), 12/20/35		4,054		4
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36		18,114		11
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36		114,034		82
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1 1.076%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		37,081		15
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A2 0.632%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46		982,651		362
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1 2.949%, (CSTR), 3/25/37		8,494		8
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33		803		1
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35		389,261		384
EMF-NL BV, Series 2008-APRX, Class A2 0.263%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,¥		123,704		141


Structured Products (7.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
Eurosail-NL BV, Series 2007-NL2X, Class A 0.963%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,¥		62,806		75
Federal National Mortgage Association, Series 2003-W6, Class F 0.442%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		18,699		19
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37		194,837		129
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 2.793%, (CSTR), 9/25/35		2,025		2
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36		88,197		62
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 2.927%, (CSTR), 1/25/36		1,407		1
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 2.863%, (CSTR), 3/25/47		8,295		7
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A 0.713%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35		9,312		8
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A 0.573%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		15,213		15
HomeBanc Mortgage Trust, Series 2005-1, Class A1 0.592%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35		4,824		4
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A 0.532%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35		982,908		925
Impac Secured Assets Trust, Series 2007-1, Class A2 0.252%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 3/25/37		35,089		35
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 3.009%, (CSTR), 10/25/34		18,463		19
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A 0.572%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		1,599		2
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A 0.692%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35		10,286		10
JP Morgan Mortgage Trust, Series 2005- ALT1, Class 2A1 2.588%, (CSTR), 10/25/35		8,574		8
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 2.761%, (CSTR), 7/25/35		6,244		6

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

160

Multi-Sector Bond Portfolio


Structured Products (7.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 2.633%, (CSTR), 6/25/37		44,826		37
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3 0.852%, (ICE LIBOR USD 1 Month plus 0.760%), 8/25/35		120		–p
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1 2.945%, (CSTR), 12/25/35		87,682		75
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 2.123%, (CSTR), 2/25/36		2,181		2
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 2.842%, (CSTR), 5/25/36		9,568		9
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A 2.296%, (CSTR), 7/25/35		13,995		13
New Residential Mortgage Loan Trust , Series 2021-NQM1R, Class A3 1.198%, (AFC), 7/25/55 144A		1,814,926		1,816
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 3.134%, (CSTR), 8/25/35		2,590		3
Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1 0.472%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36		6,794		7
Residential Accredit Loans, Inc., Series 2006- QA8, Class A1 0.472%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36		18,009		17
Residential Accredit Loans, Inc., Series 2007- QA1, Class A1 0.232%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37		12,625		12
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37		3,300,638		1,392
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 0.412%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		47,398		47
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 1.979%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		439,755		435
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 0.452%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46		206,103		183
Suntrust Alternative Loan Trust, Series 2005- 1F, Class 1A1 0.742%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		12,112		10
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 1.111%, (ICE LIBOR GBP 3 Month plus 1.025%), 10/20/51 144A GBP ¥		1,938,810		2,694


Structured Products (7.7%)	Shares/ Par⁺		Value $ (000’s)

Mortgage Securities continued
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 2.572%, (CSTR, AFC), 2/25/33		805		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.250%, (CSTR), 10/25/36		19,855		19
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 2.931%, (CSTR), 3/25/36		157,038		157
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 3.181%, (CSTR), 8/25/36		9,260		9
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.115%, (CSTR), 2/25/37		3,224		3
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 0.816%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		300,485		264
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 2.705%, (CSTR), 7/25/37		43,298		40
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 2.633%, (CSTR), 4/25/36		41,107		41
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 2.844%, (CSTR), 11/25/37		32,367		32

Total				13,121


Total Structured Products
(Cost: $96,956)				100,539


Bank Loan Obligations (2.2%)

Bank Loan Obligations (2.2%)
Adient U.S. LLC, 3.650%, (ICE LIBOR USD 1 Month plus 3.500%), 4/8/28		300,000		300
Altice Financing SA, 2.900%, 1/31/26		1,178,626		1,157
Altice France SA, 2.900%, (US LIBOR plus 2.750%), 7/31/25		195,420		192
Avolon TLB Borrower 1 LLC, 2.650%, (ICE LIBOR USD 1 Month plus 2.500%), 12/31/27		1,194,000		1,193
Casino Guichard Perrachon SA, 3.960%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR ¥		1,300,000		1,545
CenturyLink, Inc., 2.400%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27 b		5,312,325		5,239
Charter Communications Operating LLC, 1.900%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27 b		3,398,467		3,371
CommScope, Inc., 3.400%, (US LIBOR plus 3.250%), 4/6/26		491,250		488
Connect Finco SARL, 3.650%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26		1,185,000		1,186
Coty, Inc., 1.710%, (Euribor 3 Month ACT/360 plus 1.750%), 4/5/23 EUR ¥		86,448		102
Dell International LLC, 1.900%, (ICE LIBOR USD 1 Month plus 1.750%), 9/19/25		974,876		975

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

161

Multi-Sector Bond Portfolio


Bank Loan Obligations (2.2%)	Shares/ Par⁺		Value $ (000’s)

Bank Loan Obligations continued
Enterprise Merger Sub, Inc., 3.900%, (US LIBOR plus 3.750%), 10/10/25		487,500		416
Grifols SA, 2.210%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR ¥		1,970,000		2,320
Hilton Worldwide Finance LLC, 1.900%, (US LIBOR plus 1.750%), 6/22/26		1,120,295		1,111
INEOS Quattro Finance 2 PLC, 2.900%, (ICE LIBOR USD 1 Month plus 2.750%), 1/29/26 b		3,400,000		3,389
Jefferies Finance LLC, 3.150%, (ICE LIBOR USD 3 Month plus 3.000%), 6/3/26		98,001		97
MPH Acquisition Holdings LLC, 2.900%, (ICE LIBOR USD 3 Month plus 2.750%), 6/7/23		863,838		861
Sigma Bidco BV, 3.460%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR ¥		1,600,000		1,846
Summer BC Holdco B SARL, 4.650%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26		1,000,000		1,000
Valeant Pharmaceuticals International, Inc., 3.150%, (US LIBOR plus 3.000%), 6/2/25		293,043		292
Ziggo Finance Partnership BV, 2.650%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28		1,555,228		1,539


Total Bank Loan Obligations
(Cost: $28,684)				28,619


Short-Term Investments (15.3%)

Consumer, Non-cyclical (0.1%)
Teva Pharmaceutical Finance Netherlands III BV 2.200%, 7/21/21		400,000		400

Total				400


Short-Term Investments (15.3%)	Shares/ Par⁺		Value $ (000’s)

Governments (14.9%)
Federal Home Loan Bank 0.034%, 10/8/21 b		4,600,000		4,599
Republic of Argentina 0.000%, 9/13/21 ARS ¥		7,778,000		60
US Treasury 0.000%, 7/6/21 b		5,400,000		5,400
0.000%, 7/13/21 b		37,300,000		37,300
0.000%, 8/24/21 b		9,700,000		9,699
0.000%, 8/31/21 b		33,900,000		33,897
0.000%, 9/9/21 b		35,300,000		35,297
0.000%, 9/21/21 b		5,100,000		5,100
0.000%, 9/23/21 b		13,800,000		13,798
0.000%, 9/30/21 b		13,900,000		13,898
0.000%, 10/19/21 b		11,700,000		11,698
0.000%, 11/12/21 b		5,100,000		5,099
0.000%, 11/26/21 b		9,400,000		9,398
0.000%, 12/2/21 b		2,300,000		2,300
1.125%, 8/31/21 b		6,300,000		6,311

Total				193,854


Money Market Funds (0.3%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#,b		4,331,296		4,331

Total				4,331


Total Short-Term Investments
(Cost: $198,585)				198,585


Total Investments (98.2%)
(Cost: $1,231,007)^@				1,276,270

Other Assets, Less Liabilities (1.8%)				23,652

Net Assets (100.0%)				1,299,922

Reverse Repurchase Agreements

Reference Entity

Counterparty

Interest
Rate

Borrowing
Date

Maturity
Date

Currency

Amount
Borrowed
(000’s)

Payable for
Reverse
Repurchase
Agreements
(000s)

Huarong Finance 2019 Co., Ltd.

Barclays Bank PLC

(0.750)%

6/14/2021

6/14/2023

USD

(2,194)

(2,194

)

(2,194

)

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		Short		EUR		300		3		9/21	$	477	$	–	p	$	(1	)
Euro-Bund Future		Long		EUR		15,500		155		9/21		31,724		293			99
Five-Year US Treasury Note Future		Long		USD		10,500		105		9/21		12,960		(48	)		7
Ten-Year US Treasury Note Future		Long		USD		122,600		1,226		9/21		162,445		506			287
Two-Year US Treasury Note Future		Long		USD		88,800		444		9/21		97,822		(23	)		3
Ultra Long Term US Treasury Bond Future		Long		USD		27,600		276		9/21		53,182		2,302			311
Ultra Ten-Year US Treasury Note Future		Long		USD		25,900		259		9/21		38,126		421			125

													$	3,451		$	831

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

162

Multi-Sector Bond Portfolio

Centrally Cleared Interest Rate Swaps - Receive Floating Rate


Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
1-Day GBP-SONIO Compounded-OIS		0.500	%		9/26		6,300		GBP	$	(13	)	$	13		$	–	p	$	(5	)
1-Day GBP-SONIO Compounded-OIS		0.750	%		9/31		2,400		GBP		(2	)		(4	)		(6	)		(5	)
3-Month USD-LIBOR		2.500	%		12/24		7,000		USD		(230	)		(211	)		(441	)		(1	)
3-Month USD-LIBOR		1.250	%		6/25		1,400		USD		(49	)		23			(26	)		–	p
3-Month USD-LIBOR		1.000	%		12/25		48,330		USD		(1,125	)		838			(287	)		(16	)
6-Month EUR-EURIBOR		0.500	%		9/51		5,900		EUR		(65	)		33			(32	)		(56	)

										$	(1,484	)	$	692		$	(792	)	$	(83	)

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		0.880%		3/24		12,600		CAD	$	1	$	(38	)	$	(37	)	$	(1	)
3-Month Canada Bankers Acceptances		2.500%		6/29		8,000		CAD		142		245			387			9
3-Month USD-LIBOR		1.365%		3/31		6,200		USD		-		(40	)		(40	)		12
3-Month USD-LIBOR		1.663%		3/51		300		USD		-		(7	)		(7	)		2
3-Month USD-LIBOR		1.817%		3/51		2,500		USD		-		34			34			13
6-Month EUR-EURIBOR		(0.250)%		9/26		5,600		EUR		3		(10	)		(7	)		8

									$	146	$	184		$	330		$	43

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection


Reference Entity	Receive Fixed Rate		Expiration Date		Implied Credit Spread		Notional Amount (000’s)		Currency		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin (000’s)
Markit CDX Emerging Markets Index, Series 34		1.000%		12/25		1.819%		41,400		USD	$	(1,289	)	$	(154	)	$	(1,443	)	$	(40	)
Markit CDX Emerging Markets Index, Series 35		1.000%		6/26		1.555%		34,500		USD		(1,182	)		278			(904	)		(28	)
Markit CDX North America Investment Grade Index, Series 35		1.000%		12/25		0.430%		2,500		USD		53			10			63			–	p
Markit CDX North America Investment Grade Index, Series 36		1.000%		6/26		0.480%		13,000		USD		289			42			331			–	p
Markit iTraxx Europe Crossover Index, Series 35		1.000%		6/26		0.468%		53,000		EUR		1,600			75			1,675			(19	)
Markit iTraxx Europe Crossover Index, Series 35		5.000%		6/26		2.319%		64,500		EUR		8,344			1,168			9,512			(139	)

											$	7,815		$	1,419		$	9,234		$	(226	)

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

163

Multi-Sector Bond Portfolio

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		0.396	%		300	USD	$	(1	)	$	6		$	5		$	-	p
AT&T, Inc.	1.000%		6/25		0.478	%		100	USD		(3	)		5			2			-	p
Atlantia SpA	1.000%		12/25		1.063	%		1,400	EUR		(61	)		56			(5	)		-	p
Auchan Holding SA	1.000%		12/27		1.001	%		100	EUR		(2	)		2			-	p		-	p
Casino Guichard Perrachon SA	5.000%		6/23		3.236	%		600	EUR		23			1			24			-	p
Casino Guichard Perrachon SA	1.000%		12/21		1.182	%		1,000	EUR		(11	)		9			(2	)		-	p
Casino Guichard Perrachon SA	5.000%		6/22		1.889	%		1,500	EUR		(75	)		129			54			-	p
Casino Guichard Perrachon SA	5.000%		12/22		2.797	%		1,700	EUR		(53	)		118			65			-	p
Ford Motor Co.	5.000%		12/23		1.393	%		200	USD		18			–			18			-	p
Ford Motor Co.	5.000%		12/23		1.393	%		700	USD		51			11			62			-	p
General Electric Co.	1.000%		12/23		0.385	%		2,000	USD		(57	)		88			31			-	p
General Electric Co.	1.000%		6/24		0.420	%		900	USD		(5	)		21			16			-	p
General Electric Co.	1.000%		12/24		0.501	%		400	USD		(4	)		11			7			-	p
General Electric Co.	1.000%		6/26		0.718	%		2,300	USD		26			6			32			-	p
Glencore Finance Europe, Ltd.	5.000%		12/25		1.074	%		2,700	EUR		561			(1	)		560			(3	)
Glencore Finance Europe, Ltd.	5.000%		12/27		1.546	%		1,600	EUR		429			(17	)		412			(2	)
Marks & Spencer PLC	1.000%		12/25		1.726	%		500	EUR		(34	)		15			(19	)		-	p
Marks & Spencer PLC	1.000%		6/27		2.157	%		100	EUR		(8	)		–			(8	)		-	p
Marks & Spencer PLC	1.000%		12/24		1.445	%		2,900	EUR		(97	)		44			(53	)		(2	)
Telefonica Emisiones SAU	1.000%		6/26		0.603	%		3,200	EUR		54			21			75			(1	)

										$	751		$	525		$	1,276		$	(8	)


	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	$	44	$	832	$	876	$	(318	)	$	(1	)	$	(319	)	$	-

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 Date	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Bank of America NA	AUD	4,487	3,365	7/2/21	$	–		$	(105	)	$	(105	)
Sell	Barclays Bank PLC	CAD	542	437	7/2/21		13			–			13
Sell	BNP Paribas SA	CAD	542	437	8/3/21		–	p		–			–	p
Buy	HSBC Bank USA NA	CNH	78,400	12,061	9/15/21		–			(138	)		(138	)
Buy	HSBC Bank USA NA	EUR	674	799	7/2/21		–			(18	)		(18	)
Sell	BNP Paribas SA	EUR	193,972	230,003	7/2/21		7,294			–			7,294
Sell	Goldman Sachs Bank USA	EUR	6,757	8,012	7/2/21		208			–			208
Sell	Royal Bank of Canada	EUR	200,055	237,372	8/3/21		29			–			29
Buy	HSBC Bank USA NA	GBP	50,181	69,415	7/2/21		–			(39	)		(39	)
Sell	Goldman Sachs Bank USA	GBP	48,598	67,226	7/2/21		1,479			–			1,479
Sell	HSBC Bank USA NA	GBP	1,220	1,688	7/2/21		37			–			37
Sell	UBS AG	GBP	363	502	7/2/21		10			–			10
Sell	HSBC Bank USA NA	GBP	50,181	69,422	8/3/21		38			–			38
Buy	JP Morgan Chase Bank NA	IDR	634,365	44	9/15/21		–			(1	)		(1	)
Sell	Barclays Bank PLC	JPY	35,600	320	7/2/21		5			–			5

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

164

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 Date	Unrealized Appreciation (000’s)			Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	BNP Paribas SA	JPY	35,600	321	8/3/21	$	–	p	$	–		$	–	p
Buy	HSBC Bank USA NA	MXN	9,380	467	9/3/21		21			–			21
Sell	BNP Paribas SA	MXN	8,276	408	11/8/21		2			–			2
Buy	Goldman Sachs Bank USA	NOK	47,760	5,547	7/2/21		–			(153	)		(153	)
Buy	Bank of America NA	NOK	47,760	5,548	8/3/21		–			(24	)		(24	)
Sell	Bank of America NA	NOK	47,760	5,547	7/2/21		24			–			24
Buy	Goldman Sachs Bank USA	RUB	1,897	26	7/22/21		1			–			1
Buy	Goldman Sachs Bank USA	RUB	1,897	26	8/20/21		–			–	p		–	p
Buy	Bank of America NA	RUB	826	12	9/20/21		–			–	p		–	p
Buy	Goldman Sachs Bank USA	RUB	636	9	9/20/21		–			–	p		–	p
Buy	HSBC Bank USA NA	RUB	435	6	9/20/21		–			–	p		–	p
Buy	Barclays Bank PLC	SEK	45,925	5,366	7/2/21		–			(174	)		(174	)
Buy	Barclays Bank PLC	SEK	45,925	5,368	8/3/21		–			(4	)		(4	)
Buy	Goldman Sachs Bank USA	ZAR	927	64	9/15/21		–			(3	)		(3	)

						$	9,161		$	(659	)	$	8,502

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)
Atlantia SpA	JP Morgan Chase Bank NA	1.000%	6/26	1.130%	EUR		200	$	(8	)	$	6		$	(2	)
Casino Guichard Perrachon SA	JP Morgan Chase Bank NA	5.000%	12/22	2.797%	EUR		100		4			–			4
Hochtief AG	Barclays Bank PLC	5.000%	12/25	0.944%	EUR		300		65			–			65
Hochtief AG	Barclays Bank PLC	5.000%	12/25	0.944%	EUR		400		87			(1	)		86
Hochtief AG	BNP Paribas SA	5.000%	12/25	0.944%	EUR		300		65			–			65
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/25	0.944%	EUR		100		22			(1	)		21
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/25	0.944%	EUR		600		130			(1	)		129
Hochtief AG	JP Morgan Chase Bank NA	5.000%	12/25	0.944%	EUR		1,100		234			3			237
Intrum AB	Barclays Bank PLC	5.000%	12/24	2.293%	EUR		100		6			5			11
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		200		14			8			22
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		200		12			10			22
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		200		13			9			22
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		300		22			10			32
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		300		23			9			32
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		400		31			12			43
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		400		31			12			43
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		500		29			25			54
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		600		47			18			65
Intrum AB	Goldman Sachs International	5.000%	12/24	2.293%	EUR		600		40			25			65

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

165

Multi-Sector Bond Portfolio

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


Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Currency	Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
Intrum AB	JP Morgan Chase Bank NA	5.000%	12/24	2.293%	EUR		800	$	47		$	40	$	87
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	2.293%	EUR		100		6			5		11
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	2.293%	EUR		100		6			5		11
Intrum AB	Morgan Stanley Capital Services	5.000%	12/24	2.293%	EUR		200		15			7		22
Republic of Indonesia	Barclays Bank PLC	1.000%	6/31	1.364%	USD		5,700		(240	)		57		(183	)
United Mexican States	Goldman Sachs International	1.000%	12/24	0.608%	USD		200		(1	)		4		3
United Mexican States	JP Morgan Chase Bank NA	1.000%	6/26	0.938%	USD		100		(1	)		1		–	p
United Mexican States	Morgan Stanley Capital Services	1.000%	12/24	0.608%	USD		100		(1	)		2		1
United Mexican States	Morgan Stanley Capital Services	1.000%	12/25	0.833%	USD		300		(3	)		5		2
United Mexican States	Morgan Stanley Capital Services	1.000%	6/26	0.938%	USD		500		(3	)		4		1

								$	692		$	279	$	971


	Financial Derivative Assets (000’s)			Financial Derivative Liabilities (000’s)
	Forward Contracts	Swaps	Total	Forward Contracts			Options		Swaps			Total
Total Over the Counter Derivatives	$9,161 $	1,156	$10,317	$	(659	)		–	$	(185	)	$	(844)

Restricted Securities


Description	Acquisition Date		Cost (000’s)		Value (000’s)		Value as a Percentage of Net Assets
Noble Finance Co.		2/5/21	$	237	$	503		0.04	%

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

*	Non income producing

Æ	Security valued using significant unobservable inputs.

d	Restricted security – see accompanying table for additional details.

144A

¥	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, 2021, the aggregate value of these securities was $308,895 (in thousands), representing 23.7% of net assets.

b	Cash or securities with an aggregate value of $417,564 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 6/30/2021.

f	Defaulted Security

Þ	PIK—Payment In Kind. PIK rate of Constellation Oil Services Holding SA 10.000%. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.

µ	Perpetual maturity, date shown, if applicable, represents next contractual call date.

S	Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

p	Amount is less than one thousand.

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

166

Multi-Sector Bond Portfolio

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,236,733 and the net unrealized appreciation of investments based on that cost was $60,315 which is comprised of $81,828 aggregate gross unrealized appreciation and $21,513 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	-		$	28,619		$	-
Common Stocks
Energy		544			-			61
Convertible Corporate Bonds		-			5,677			-
Municipal Bonds		-			9,102			-
Corporate Bonds		-			714,540			-
Governments		-			218,603			-
Structured Products
Asset Backed Securities		-			87,418			-
Mortgage Backed		-			13,121			-
Short-Term Investments
Money Market Funds		4,331			-			-
All Others		-			194,254			-
Other Financial Instruments^
Futures		3,522			-			-
Forward Currency Contracts		-			9,161			-
Interest Rate Swaps		-			421			-
Credit Default Swaps		-			14,100			-
Total Assets:	$	8,397		$	1,295,016		$	61
Liabilities:
Other Financial Instruments^
Futures		(71	)		-			-
Forward Currency Contracts		-			(659	)		-
Interest Rate Swaps		-			(883	)		-
Credit Default Swaps		-			(2,619	)		-
Reverse Repurchase
Agreements		-			(2,194	)		-
Total Liabilities:	$	(71	)	$	(6,355	)	$	-

For the period ended June 30, 2021, there was a transfer from Level 3 to Level 2 in the amount of $60 (in thousands). This transfer was the result of an increase in the quantity of observable inputs for the security that was previously not priced by a third party vendor.

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

167

Balanced Portfolio (unaudited)

Sector Allocation 6/30/21


Sector	% of Net Assets
Fixed Income		47.2	%
Domestic Equity		36.5	%
Foreign Equity		11.8	%
Short-Term Investments & Other Net Assets		4.5	%

Sector Allocation is subject to change.

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.

168

Balanced Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Investment Companies (95.5%)	Shares/ Par⁺		Value $ (000’s)

Domestic Equity (36.5%)
iShares Core S&P 500 ETF		2,400		1,032
iShares Core S&P Mid-Cap ETF		20,450		5,496
iShares Russell 2000 ETF		76,900		17,639
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		41,404,605		76,516
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		41,344,315		80,084
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		20,099,489		91,935
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		20,987,787		85,126
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		63,566,979		87,913
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		40,063,245		87,578
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		67,780,039		77,202
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		23,093,986		102,607
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		56,721,280		108,394
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		7,377,912		26,516
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		11,215,378		28,711

Total				876,749


Fixed Income (47.2%)
iShares Core U.S. Aggregate Bond ETF		106,000		12,225
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		117,256,466		91,460
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		103,464,013		120,432
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		658,304,862		885,420
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		22,237,841		24,017

Total				1,133,554


Foreign Equity (11.8%)
iShares Core MSCI Emerging Markets ETF		160,200		10,732
iShares MSCI EAFE ETF		82,000		6,468
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		17,947,303		26,454
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		38,867,353		65,764


Investment Companies (95.5%)	Shares/ Par⁺		Value $ (000’s)

Foreign Equity continued
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		25,596,662		59,973
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		90,656,379		115,496

Total				284,887


Total Investment Companies
(Cost: $1,959,962)				2,295,190


Short-Term Investments (4.2%)

Commercial Paper (1.8%)
Apple, Inc. 0.000%, 8/12/21 144A		5,000,000		5,000
Exxon Mobil Corp. 0.000%, 7/26/21		5,000,000		5,000
0.000%, 7/27/21		6,000,000		5,999
Nestle Capital Corp. 0.000%, 7/22/21 144A		4,350,000		4,350
Societe Generale SA 0.000%, 7/2/21 144A		2,000,000		2,000
0.000%, 8/2/21 144A		2,000,000		2,000
0.000%, 8/9/21 144A		4,500,000		4,500
0.000%, 8/26/21 144A		3,000,000		2,999
Unilever Capital Corp. 0.000%, 7/1/21 144A		10,000,000		10,000
0.000%, 8/25/21 144A		500,000		500

Total				42,348


Investment Companies (1.9%)
JPMorgan Ultra-Short Income ETF		452,950		22,983
PIMCO Enhanced Short Maturity Active ETF		225,400		22,984

Total				45,967


Money Market Funds (0.5%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 0.030%^#		12,657,025		12,657

Total				12,657


Total Short-Term Investments
(Cost: $101,005)				100,972


Total Investments (99.7%)
(Cost: $2,060,967)^@				2,396,162


Other Assets, Less Liabilities (0.3%)				7,692

Net Assets (100.0%)				2,403,854

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

£	Affiliated Company

144A

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

169

Balanced Portfolio

#	7-Day yield as of 6/30/2021.

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $2,060,967 and the net unrealized appreciation of investments based on that cost was $335,195 which is comprised of $335,228 aggregate gross unrealized appreciation and $33 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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	$	2,295,190	$	-	$	-
Short-Term Investments
Commercial Paper		-		42,348		-
All Others		58,624		-		-
Total Assets:	$	2,353,814	$	42,348	$	-

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

170

Asset Allocation Portfolio (unaudited)

Sector Allocation 6/30/21


Sector		% of Net Assets
Domestic Equity		47.5%
Fixed Income		32.1%
Foreign Equity		16.8%
Short-Term Investments & Other Net Assets		3.6%

Sector Allocation is subject to change.

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.

171

Asset Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2021 (unaudited)


Investment Companies (96.4%)	Shares/ Par⁺		Value $ (000’s)

Domestic Equity (47.5%)
iShares Core S&P 500 ETF		1,400		602
iShares Core S&P Mid-Cap ETF		7,350		1,975
iShares Russell 2000 ETF		2,000		459
Northwestern Mutual Series Fund, Inc., Domestic Equity Portfolio £		7,053,405		13,035
Northwestern Mutual Series Fund, Inc., Equity Income Portfolio £		7,057,538		13,670
Northwestern Mutual Series Fund, Inc., Focused Appreciation Portfolio £		3,368,706		15,408
Northwestern Mutual Series Fund, Inc., Growth Stock Portfolio £		3,774,165		15,308
Northwestern Mutual Series Fund, Inc., Large Cap Blend Portfolio £		10,640,826		14,716
Northwestern Mutual Series Fund, Inc., Large Cap Core Stock Portfolio £		6,895,539		15,074
Northwestern Mutual Series Fund, Inc., Large Company Value Portfolio £		11,860,489		13,509
Northwestern Mutual Series Fund, Inc., Mid Cap Growth Stock Portfolio £		3,665,535		16,286
Northwestern Mutual Series Fund, Inc., Mid Cap Value Portfolio £		8,990,910		17,182
Northwestern Mutual Series Fund, Inc., Small Cap Growth Stock Portfolio £		2,085,885		7,497
Northwestern Mutual Series Fund, Inc., Small Cap Value Portfolio £		3,205,664		8,206

Total				152,927


Fixed Income (32.1%)
iShares Core U.S. Aggregate Bond ETF		14,100		1,626
Northwestern Mutual Series Fund, Inc., High Yield Bond Portfolio £		24,036,438		18,748
Northwestern Mutual Series Fund, Inc., Multi- Sector Bond Portfolio £		13,837,706		16,107
Northwestern Mutual Series Fund, Inc., Select Bond Portfolio £		47,420,053		63,780
Northwestern Mutual Series Fund, Inc., Short- Term Bond Portfolio £		3,039,305		3,283

Total				103,544


Foreign Equity (16.8%)
iShares Core MSCI Emerging Markets ETF		27,200		1,822
iShares MSCI EAFE ETF		13,200		1,041
Northwestern Mutual Series Fund, Inc., Emerging Markets Equity Portfolio £		3,238,291		4,773


Investment Companies (96.4%)	Shares/ Par⁺		Value $ (000’s)

Foreign Equity continued
Northwestern Mutual Series Fund, Inc., International Equity Portfolio £		7,249,947		12,267
Northwestern Mutual Series Fund, Inc., International Growth Portfolio £		5,025,478		11,775
Northwestern Mutual Series Fund, Inc., Research International Core Portfolio £		17,710,154		22,563

Total				54,241


Total Investment Companies
(Cost: $255,596)				310,712


Short-Term Investments (3.5%)

Commercial Paper (1.8%)
Caterpillar Financial Services Corp. 0.000%, 7/6/21		1,500,000		1,500
Exxon Mobil Corp. 0.000%, 7/16/21		500,000		500
0.000%, 8/4/21		1,000,000		1,000
Societe Generale SA 0.000%, 8/9/21 144A		800,000		800
0.000%, 8/24/21 144A		700,000		700
Unilever Capital Corp. 0.000%, 7/1/21 144A		1,000,000		1,000
0.000%, 8/3/21 144A		500,000		500

Total				6,000


Investment Companies (1.3%)
JPMorgan Ultra-Short Income ETF		40,300		2,045
PIMCO Enhanced Short Maturity Active ETF		20,100		2,049

Total				4,094


Money Market Funds (0.4%)
State Street Institutional U.S. Government
Money Market Fund - Premier Class 0.030%^#		1,147,070		1,147

Total				1,147

Total Short-Term Investments
(Cost: $11,244)				11,241

Total Investments (99.9%)
(Cost: $266,840)^@				321,953

Other Assets, Less Liabilities (0.1%)				387

Net Assets (100.0%)				322,340

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

£	Affiliated Company

144A

#	7-Day yield as of 6/30/2021.

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

172

Asset Allocation Portfolio

At June 30, 2021, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $266,840 and the net unrealized appreciation of investments based on that cost was $55,113 which is comprised of $55,143 aggregate gross unrealized appreciation and $30 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at June 30, 2021. 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

310,712

–

Short-Term Investments

Commercial Paper

–

6,000

–

All Others

5,241

–

Total Assets:

315,953

6,000

–

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

173

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2021 (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)	$	1,360,401	$	1,295,702	$	800,699	$	194,191	$	5,004,157
Cash		–		–		–		–		5
Cash Collateral for Derivative Positions		–		–		–		–		2,958
Receivable for Portfolio Shares Sold		150		101		5		2		913
Receivable for Investment Securities Sold		1,503		7,622		6,335		–		–
Variation Margin Receivable		–		–		–		–		86
Prepaid Expenses and Other Assets		18		18		15		12		40
Dividends and Interest Receivable		93		1,275		361		165		2,877

Total Assets		1,362,165		1,304,718		807,415		194,370		5,011,036

Liabilities
Payable for Portfolio Shares Redeemed		605		522		266		13		1,773
Payable for Investment Securities Purchased		4,437		3,532		9,548		–		–
Investment Advisory Fees		483		696		290		128		840
Compliance Fees Payable		2		2		2		1		4
Accrued Expenses		43		42		37		23		70

Total Liabilities		5,570		4,794		10,143		165		2,687

Net Assets	$	1,356,595	$	1,299,924	$	797,272	$	194,205	$	5,008,349

Represented By:
Aggregate Paid in Capital (10) (11)	$	661,274	$	444,827	$	445,473	$	114,908	$	1,439,189
Total Distributable Earnings (Loss)		695,321		855,097		351,799		79,297		3,569,160

Net Assets for Shares Outstanding (10) (11)	$	1,356,595	$	1,299,924	$	797,272	$	194,205	$	5,008,349

Net Asset Value, Offering and Redemption Price per Share	$	4.06	$	4.57	$	2.19	$	1.38	$	7.60

(1) Unaffiliated Investments, at Cost	$	800,981	$	607,044	$	566,498	$	141,571	$	1,719,467
(10) Shares Outstanding		334,440		284,221		364,659		140,456		659,013
(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.

174

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2021 (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)	$	230,259	$	1,031,331	$	861,583	$	1,394,130	$	1,275,518
Cash		–		–		–		–		7
Cash Collateral for Derivative Positions		–		–		–		–		3
Receivable for Portfolio Shares Sold		5		130		65		86		193
Receivable for Investment Securities Sold		843		–		2,166		–		–
Variation Margin Receivable		–		–		–		–		10
Receivable for Foreign Currency		75		–		–		–		–
Prepaid Expenses and Other Assets		12		16		16		18		27
Dividends and Interest Receivable		389		1,131		1,284		917		1,003

Total Assets		231,583		1,032,608		865,114		1,395,151		1,276,761

Liabilities
Payable for Portfolio Shares Redeemed		15		315		241		652		444
Payable for Investment Securities Purchased		590		–		1,570		–		–
Payable for Foreign Currency		3		–		–		–		–
Investment Advisory Fees		141		458		433		643		254
Compliance Fees Payable		2		2		2		2		2
Accrued Expenses		40		46		43		48		74

Total Liabilities		791		821		2,289		1,345		774

Net Assets	$	230,792	$	1,031,787	$	862,825	$	1,393,806	$	1,275,987

Represented By:
Aggregate Paid in Capital (10) (11)	$	173,646	$	643,274	$	567,376	$	826,087	$	708,507
Total Distributable Earnings (Loss)		57,146		388,513		295,449		567,719		567,480

Net Assets for Shares Outstanding (10) (11)	$	230,792	$	1,031,787	$	862,825	$	1,393,806	$	1,275,987

Net Asset Value, Offering and Redemption Price per Share	$	1.14	$	1.85	$	1.94	$	4.44	$	2.53

(1) Unaffiliated Investments, at Cost	$	193,095	$	754,987	$	632,381	$	1,044,491	$	828,696
(10) Shares Outstanding		202,577		558,383		445,458		313,722		505,248
(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.

175

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2021 (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)	$	672,977	$	854,342	$	420,964	$	672,451	$	1,021,084
Foreign Currency, at Value (4)		–		–		–		–		386
Receivable for Portfolio Shares Sold		70		55		107		66		254
Receivable for Investment Securities Sold		879		2,993		–		2,885		719
Variation Margin Receivable		–		–		7		–		–
Receivable for Foreign Currency		173		–		–		–		2
Prepaid Expenses and Other Assets		14		16		25		14		16
Dividends and Interest Receivable		1,204		153		366		287		2,002

Total Assets		675,317		857,559		421,469		675,703		1,024,463

Liabilities
Payable for Portfolio Shares Redeemed		228		278		301		292		335
Payable for Investment Securities Purchased		608		4,551		–		3,439		4,585
Accrued Foreign Capital Gains Tax		–		–		–		–		53
Payable for Foreign Currency		4		–		–		–		7
Collateral from Counterparty		223		–		–		–		–
Investment Advisory Fees		424		400		85		516		539
Compliance Fees Payable		2		2		2		2		2
Accrued Expenses		72		50		49		51		110

Total Liabilities		1,561		5,281		437		4,300		5,631

Net Assets	$	673,756	$	852,278	$	421,032	$	671,403	$	1,018,832

Represented By:
Aggregate Paid in Capital (10) (11)	$	496,145	$	451,436	$	262,070	$	361,735	$	562,882
Total Distributable Earnings (Loss)		177,611		400,842		158,962		309,668		455,950

Net Assets for Shares Outstanding (10) (11)	$	673,756	$	852,278	$	421,032	$	671,403	$	1,018,832

Net Asset Value, Offering and Redemption Price per Share	$	1.91	$	3.60	$	1.85	$	2.56	$	2.34

(1) Unaffiliated Investments, at Cost	$	563,956	$	606,969	$	289,899	$	443,687	$	644,276
(4) Foreign Currency, at Cost		–		–		–		–		386
(10) Shares Outstanding		352,523		236,997		228,113		262,150		434,858
(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.

176

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2021 (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)	$	930,020	$	1,907,481	$	1,067,369	$	384,099	$	417,234
Investments in Repurchase Agreements, at Value (3)		–		–		–		169,000		–
Foreign Currency, at Value (4)		387		1,970		30		–		–
Receivable for Portfolio Shares Sold		167		215		149		765		2,817
Receivable for Investment Securities Sold		1,163		–		616		–		577
Variation Margin Receivable		–		–		–		–		6
Receivable for Foreign Currency		4		5		–		–		–
Prepaid Expenses and Other Assets		16		21		17		15		13
Dividends and Interest Receivable		3,270		5,901		2,405		36		1,656

Total Assets		935,027		1,915,593		1,070,586		553,915		422,303

Liabilities
Payable for Portfolio Shares Redeemed		260		534		461		751		66
Payable for Investment Securities Purchased		35		–		1,050		16,196		8,387
Accrued Foreign Capital Gains Tax		344		–		3,117		–		–
Variation Margin Payable		–		–		–		–		27
Collateral from Counterparty		–		–		–		–		60
Investment Advisory Fees		597		861		833		17		119
Compliance Fees Payable		2		2		2		2		2
Accrued Expenses		100		556		122		39		69

Total Liabilities		1,338		1,953		5,585		17,005		8,676

Net Assets	$	933,689	$	1,913,640	$	1,065,001	$	536,910	$	413,627

Represented By:
Aggregate Paid in Capital (10) (11)	$	633,863	$	1,749,817	$	671,267	$	536,909	$	397,165
Total Distributable Earnings (Loss)		299,826		163,823		393,734		1		16,462

Net Assets for Shares Outstanding (10) (11)	$	933,689	$	1,913,640	$	1,065,001	$	536,910	$	413,627

Net Asset Value, Offering and Redemption Price per Share	$	1.27	$	1.69	$	1.47	$	1.00	$	1.08

(1) Unaffiliated Investments, at Cost	$	682,424	$	1,584,446	$	729,318	$	384,099	$	412,186
(3) Investments in Repurchase Agreements, at Cost		–		–		–		169,000		–
(4) Foreign Currency, at Cost		389		1,970		30		–		–
(10) Shares Outstanding		732,782		1,131,023		722,556		536,907		383,113
(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.

177

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2021 (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)	$	3,725,971	$	174,228	$	467,741	$	839,695	$	1,276,270
Cash		1,787		–		–		–		22
Foreign Currency, at Value (4)		–		–		–		–		4,956
Cash Collateral for Derivative Positions		–		408		–		–		7,702
Receivable for Portfolio Shares Sold		506		39		171		101		6,433
Receivable for Investment Securities Sold		334,816		5,306		8,231		–		50
Receivable for Financing Transactions		–		118,547		–		–		–
Variation Margin Receivable		–		86		105		–		876
Outstanding Swap Contracts, at Value (8)		–		–		2,028		–		1,156
Receivable for Foreign Currency		–		–		818		–		9,164
Prepaid Expenses and Other Assets		30		12		13		24		18
Dividends and Interest Receivable		11,416		893		1,041		13,154		11,598

Total Assets		4,074,526		299,519		480,148		852,974		1,318,245

Liabilities
Payable for Portfolio Shares Redeemed		5,854		102		235		4,138		377
Payable for Investment Securities Purchased		639,645		400		4,456		5,188		4,941
Payable for Financing Transactions		–		149,285		–		–		–
Accrued Foreign Capital Gains Tax		–		–		–		–		1
Variation Margin Payable		–		124		124		–		319
Payable to Custodian		–		6		–		–		–
Securities Sold Short, at Value (7)		–		5,351		–		–		–
Payable for Reverse Repurchase Agreements		–		–		–		–		2,194
Outstanding Swap Contracts, at Value (9)		–		–		2,210		–		185
Payable for Foreign Currency		–		–		–		–		689
Collateral from Counterparty		320		–		2,441		–		8,700
Investment Advisory Fees		904		70		208		319		781
Compliance Fees Payable		3		2		2		2		2
Deferred Income for Financing Transactions		–		16		–		–		–
Accrued Expenses		115		41		65		76		134

Total Liabilities		646,841		155,397		9,493		9,723		18,323

Net Assets	$	3,427,685	$	144,122	$	470,655	$	843,251	$	1,299,922

Represented By:
Aggregate Paid in Capital (10) (11)	$	3,164,652	$	142,272	$	425,908	$	755,517	$	1,207,435
Total Distributable Earnings (Loss)		263,033		1,850		44,747		87,734		92,487

Net Assets for Shares Outstanding (10) (11)	$	3,427,685	$	144,122	$	470,655	$	843,251	$	1,299,922

Net Asset Value, Offering and Redemption Price per Share	$	1.35	$	1.12	$	1.24	$	0.78	$	1.16

(1) Unaffiliated Investments, at Cost	$	3,705,600	$	183,915	$	443,499	$	807,182	$	1,231,007
(4) Foreign Currency, at Cost		–		–		–		–		4,980
(7) Proceeds Received from Short Sales		–		5,349		–		–		–
(8) Premiums Paid on Swap Contracts		–		480		2		–		12,543
(9) Premiums Received from Swap Contracts		–		684		1		–		4,623
(10) Shares Outstanding		2,548,177		128,646		379,985		1,081,691		1,116,837
(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.

178

Statements of Assets and Liabilities

NORTHWESTERN MUTUAL SERIES FUND, INC.

June 30, 2021 (unaudited) (in thousands)


	Balanced Portfolio		Asset Allocation Portfolio
Assets
Unaffiliated Investments, at Value (1)	$	154,564	$	18,766
Affiliated Investments, at Value (2)		2,241,598		303,187
Receivable for Portfolio Shares Sold		322		364
Receivable for Investment Securities Sold		16,559		2,092
Prepaid Expenses and Other Assets		24		13

Total Assets		2,413,067		324,422

Liabilities
Payable for Portfolio Shares Redeemed		349		134
Payable for Investment Securities Purchased		8,711		1,904
Investment Advisory Fees		109		15
Compliance Fees Payable		3		2
Accrued Expenses		41		27

Total Liabilities		9,213		2,082

Net Assets	$	2,403,854	$	322,340

Represented By:
Aggregate Paid in Capital (10) (11)	$	1,856,191	$	238,866
Total Distributable Earnings (Loss)		547,663		83,474

Net Assets for Shares Outstanding (10) (11)	$	2,403,854	$	322,340

Net Asset Value, Offering and Redemption Price per Share	$	1.66	$	1.39

(1) Unaffiliated Investments, at Cost	$	145,301	$	18,118
(2) Affiliated Investments, at Cost		1,915,666		248,722
(10) Shares Outstanding		1,451,481		232,113
(11) Shares Authorized, $.01 Par Value		4,000,000		2,000,000

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

179

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (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)	$	1		$	1		$	–		$	1		$	6
Unaffiliated Dividends (1)		2,285			4,927			4,625			1,558			34,063

Total Income		2,286			4,928			4,625			1,559			34,069

Expenses
Investment Advisory Fees		2,644			4,404			1,575			709			4,670
Custodian Fees		20			35			13			9			19
Shareholder Reporting Fees		9			12			8			4			26
Audit Fees		14			13			14			11			20
Valuation Services		1			–			1			–			3
Compliance Fees		4			4			4			3			7
Directors Fees		23			23			20			17			40
Professional Fees		4			4			4			4			8
Trade Name Fees		–			–			–			–			12
Other Expenses		7			7			4			1			24

Total Expenses		2,726			4,502			1,643			758			4,829

Less Waived Fees:
Paid by Affiliate		(29	)		(741	)		(38	)		(28	)		(268	)

Net Expenses		2,697			3,761			1,605			730			4,561

Net Investment Income (Loss)		(411	)		1,167			3,020			829			29,508
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		81,689			38,522			54,450			12,797			61,958
Futures Contracts		–			–			–			–			7,291

Net Realized Gain (Loss) on Investments		81,689			38,522			54,450			12,797			69,249

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		72,718			121,092			44,152			4,701			565,202
Futures Contracts		–			–			–			–			51

Net Change in Unrealized Appreciation (Depreciation) of Investments		72,718			121,092			44,152			4,701			565,253

Net Gain (Loss) on Investments		154,407			159,614			98,602			17,498			634,502

Net Increase (Decrease) in Net Assets Resulting from Operations	$	153,996		$	160,781		$	101,622		$	18,327		$	664,010

(1) Net of Foreign Tax	$	4		$	483		$	43		$	53		$	3

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

180

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (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)	$	–		$	1		$	51		$	–		$	2
Unaffiliated Dividends (1)		2,817			11,758			9,890			4,614			8,264

Total Income		2,817			11,759			9,941			4,614			8,266

Expenses
Investment Advisory Fees		780			2,617			2,650			3,565			1,531
Custodian Fees		24			11			13			18			14
Shareholder Reporting Fees		4			15			11			11			19
Audit Fees		13			12			13			14			14
Valuation Services		7			–			1			1			3
Compliance Fees		3			4			4			4			4
Directors Fees		18			22			21			24			22
Professional Fees		4			4			4			4			6
Trade Name Fees		–			–			–			–			46
Other Expenses		1			5			3			7			6

Total Expenses		854			2,690			2,720			3,648			1,665

Less Waived Fees:
Paid by Affiliate		(22	)		(148	)		(311	)		(19	)		(182	)

Net Expenses		832			2,542			2,409			3,629			1,483

Net Investment Income (Loss)		1,985			9,217			7,532			985			6,783
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		15,188			61,739			43,159			45,043			61,617
Futures Contracts		–			–			–			–			3,463
Foreign Currency Transactions		193			–			3			–			–

Net Realized Gain (Loss) on Investments		15,381			61,739			43,162			45,043			65,080

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		11,600			46,553			90,801			67,473			121,066
Futures Contracts		–			–			–			–			(628	)
Foreign Currency Transactions		182			–			(3	)		–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		11,782			46,553			90,798			67,473			120,438

Net Gain (Loss) on Investments		27,163			108,292			133,960			112,516			185,518

Net Increase (Decrease) in Net Assets Resulting from Operations	$	29,148		$	117,509		$	141,492		$	113,501		$	192,301

(1) Net of Foreign Tax	$	68		$	–		$	203		$	2		$	–

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

181

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (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)	$	2		$	1		$	1		$	1		$	11
Unaffiliated Dividends (1)		7,410			1,741			2,425			3,675			8,348

Total Income		7,412			1,742			2,426			3,676			8,359

Expenses
Investment Advisory Fees		2,771			2,237			444			2,809			2,802
Custodian Fees		28			15			19			16			75
Shareholder Reporting Fees		18			15			10			16			20
Audit Fees		14			13			13			12			15
Valuation Services		8			1			4			1			8
Compliance Fees		4			4			3			4			4
Directors Fees		20			21			18			20			21
Professional Fees		4			4			6			4			17
Trade Name Fees		–			–			13			–			–
Other Expenses		3			4			3			4			5

Total Expenses		2,870			2,314			533			2,886			2,967

Less Waived Fees:
Paid by Affiliate		(521	)		–			–			(41	)		–

Net Expenses		2,349			2,314			533			2,845			2,967

Net Investment Income (Loss)		5,063			(572	)		1,893			831			5,392
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		58,867			71,646			16,274			50,296			40,632
Futures Contracts		–			–			(376	)		–			–
Swap Contracts		–			–			1,688			–			–
Foreign Currency Transactions		99			–			–			–			15

Net Realized Gain (Loss) on Investments		58,966			71,646			17,586			50,296			40,647

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		29,615			(28,449	)		59,981			47,418			43,133
Futures Contracts		–			–			575			–			–
Swap Contracts		–			–			(894	)		–			–
Foreign Currency Transactions		504			–			–			–			(91	)

Net Change in Unrealized Appreciation (Depreciation) of Investments		30,119			(28,449	)		59,662			47,418			43,042

Net Gain (Loss) on Investments		89,085			43,197			77,248			97,714			83,689

Net Increase (Decrease) in Net Assets Resulting from Operations	$	94,148		$	42,625		$	79,141		$	98,545		$	89,081

(1) Net of Foreign Tax	$	109		$	–		$	2		$	6		$	224

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

182

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (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)	$	(1	)	$	4		$	2		$	230		$	3,512
Unaffiliated Dividends (1)		12,876			34,239			11,602			–			–

Total Income		12,875			34,243			11,604			230			3,512

Expenses
Investment Advisory Fees		3,409			6,129			5,314			822			639
Custodian Fees		71			102			97			19			26
Shareholder Reporting Fees		17			33			21			5			11
Audit Fees		14			16			15			13			15
Valuation Services		8			7			7			5			27
Compliance Fees		4			5			4			4			4
Directors Fees		21			26			22			20			19
Professional Fees		31			21			19			3			4
Other Expenses		5			9			5			3			2

Total Expenses		3,580			6,348			5,504			894			747

Less Waived Fees:
Paid by Affiliate		(227	)		(1,558	)		(793	)		(666	)		–

Net Expenses		3,353			4,790			4,711			228			747

Net Investment Income (Loss)		9,522			29,453			6,893			2			2,765
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		22,411			62,787			71,338			1			1,015
Futures Contracts		–			–			–			–			486
Foreign Currency Transactions		41			(50	)		(339	)		–			–

Net Realized Gain (Loss) on Investments		22,452			62,737			70,999			1			1,501

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		36,278			71,637			(16,351	)		–			(2,954	)
Futures Contracts		–			–			–			–			(151	)
Foreign Currency Transactions		(153	)		(192	)		(9	)		–			–

Net Change in Unrealized Appreciation (Depreciation) of Investments		36,125			71,445			(16,360	)		–			(3,105	)

Net Gain (Loss) on Investments		58,577			134,182			54,639			1			(1,604	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	68,099		$	163,635		$	61,532		$	3		$	1,161

(1) Net of Foreign Tax	$	(39	)	$	1,301		$	445		$	–		$	–

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

183

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (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)	$	24,194		$	1,715		$	7,538		$	22,335		$	21,240
Unaffiliated Dividends (1)		–			–			84			23			–

Total Income		24,194			1,715			7,622			22,358			21,240

Expenses
Investment Advisory Fees		5,052			383			1,170			1,736			4,610
Custodian Fees		41			19			19			12			84
Shareholder Reporting Fees		24			5			16			21			18
Audit Fees		22			17			17			18			23
Valuation Services		30			5			10			18			29
Compliance Fees		6			3			4			4			4
Directors Fees		34			17			19			21			23
Professional Fees		6			4			4			4			5
Interest Expense		–			20			–			–			26
Other Expenses		20			1			2			5			6

Total Expenses		5,235			474			1,261			1,839			4,828

Less Waived Fees:
Paid by Affiliate		(138	)		–			(81	)		–			(567	)

Net Expenses		5,097			474			1,180			1,839			4,261

Net Investment Income (Loss)		19,097			1,241			6,442			20,519			16,979
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		982			(1,859	)		6,127			(145	)		6,199
Futures Contracts		–			2,349			1,060			–			(15,499	)
Options Written		–			–			–			–			71
Short Sales		–			91			–			–			–
Swap Contracts		–			19			(4	)		–			10,904
Foreign Currency Transactions		–			–			(1,898	)		–			(6,847	)

Net Realized Gain (Loss) on Investments		982			600			5,285			(145	)		(5,172	)

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(72,570	)		(13,630	)		(10,001	)		11,156			(16,956	)
Futures Contracts		–			(425	)		(685	)		–			3,808
Short Sales		–			102			–			–			–
Swap Contracts		–			381			7,583			–			(5,068	)
Foreign Currency Transactions		–			–			1,123			–			12,068

Net Change in Unrealized Appreciation (Depreciation) of Investments		(72,570	)		(13,572	)		(1,980	)		11,156			(6,148	)

Net Gain (Loss) on Investments		(71,588	)		(12,972	)		3,305			11,011			(11,320	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(52,491	)	$	(11,731	)	$	9,747		$	31,530		$	5,659

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

184

Statements of Operations

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (unaudited) (in thousands)


	Balanced Portfolio			Asset Allocation Portfolio
Investment Income
Income
Interest (1)	$	17		$	2
Unaffiliated Dividends (1)		587			80

Total Income		604			82

Expenses
Investment Advisory Fees		3,548			798
Custodian Fees		9			9
Shareholder Reporting Fees		9			4
Audit Fees		18			14
Valuation Services		1			—
Compliance Fees		5			3
Directors Fees		29			18
Professional Fees		5			4
Other Expenses		13			1

Total Expenses		3,637			851

Less Waived Fees:
Paid by Affiliate		(2,956	)		(720	)
Net Expenses		681			131

Net Investment Income (Loss)		(77	)		(49	)

Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) on:
Unaffiliated Investment Securities		8,476			1,710
Affiliated Investment Securities		38,033			4,043

Net Realized Gain (Loss) on Investments		46,509			5,753

Net Unrealized Appreciation (Depreciation) of:
Unaffiliated Investment Securities		(2,597	)		(978	)
Affiliated Investment Securities		78,136			17,749

Net Change in Unrealized Appreciation (Depreciation) of Investments		75,539			16,771

Net Gain (Loss) on Investments		122,048			22,524

Net Increase (Decrease) in Net Assets Resulting from Operations	$	121,971		$	22,475

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

185

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	(411	)	$	49		$	1,167		$	1,975		$	3,020		$	6,178
Net Realized Gain (Loss) on Investments		81,689			54,774			38,522			125,701			54,450			54,967
Net Change in Unrealized Appreciation (Depreciation) of Investments		72,718			301,919			121,092			175,696			44,152			74,476

Net Increase (Decrease) in Net Assets Resulting from Operations		153,996			356,742			160,781			303,372			101,622			135,621

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(195,980	)		–			(50,373	)		–			(24,636	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(195,980	)		–			(50,373	)		–			(24,636	)

Capital Transactions:
Shares Sold		26,361			45,556			24,869			59,733			9,828			22,905
Reinvestment of Distributions Paid		–			195,980			–			50,373			–			24,636
Shares Redeemed		(110,165	)		(199,219	)		(72,422	)		(189,033	)		(34,155	)		(71,757	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(83,804	)		42,317			(47,553	)		(78,927	)		(24,327	)		(24,216	)

Total Increase (Decrease) in Net Assets		70,192			203,079			113,228			174,072			77,295			86,769
Net Assets Beginning of Period		1,286,403			1,083,324			1,186,696			1,012,624			719,977			633,208

End of Period	$	1,356,595		$	1,286,403		$	1,299,924		$	1,186,696		$	797,272		$	719,977

Portfolio Share Transactions:
Shares Sold		7,105			13,216			5,938			16,862			4,832			14,085
Reinvestment of Distributions Paid		–			59,841			–			13,644			–			14,440
Shares Redeemed		(29,637	)		(57,015	)		(17,139	)		(54,134	)		(16,656	)		(43,249	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(22,532	)		16,042			(11,201	)		(23,628	)		(11,824	)		(14,724	)

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

186

Statements of Changes in Net Assets

NORTHWESTERN MUTUAL SERIES FUND, INC.

(in thousands)


	Large Cap Blend Portfolio						Index 500 Stock Portfolio						Large Company Value Portfolio
	For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	829		$	1,226		$	29,508		$	62,303		$	1,985		$	3,767
Net Realized Gain (Loss) on Investments		12,797			12,450			69,249			124,699			15,381			1,679
Net Change in Unrealized Appreciation (Depreciation) of Investments		4,701			2,686			565,253			495,371			11,782			607

Net Increase (Decrease) in Net Assets Resulting from Operations		18,327			16,362			664,010			682,373			29,148			6,053

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(10,592	)		–			(139,079	)		–			(10,823	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(10,592	)		–			(139,079	)		–			(10,823	)

Capital Transactions:
Shares Sold		1,928			7,220			145,224			239,426			11,470			20,650
Reinvestment of Distributions Paid		–			10,592			–			139,079			–			10,823
Shares Redeemed		(6,614	)		(17,971	)		(220,614	)		(369,350	)		(21,824	)		(20,255	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(4,686	)		(159	)		(75,390	)		9,155			(10,354	)		11,218

Total Increase (Decrease) in Net Assets		13,641			5,611			588,620			552,449			18,794			6,448
Net Assets Beginning of Period		180,564			174,953			4,419,729			3,867,280			211,998			205,550

End of Period	$	194,205		$	180,564		$	5,008,349		$	4,419,729		$	230,792		$	211,998

Portfolio Share Transactions:
Shares Sold		1,456			6,546			20,513			42,394			10,532			22,777
Reinvestment of Distributions Paid		–			9,577			–			23,469			–			12,065
Shares Redeemed		(4,994	)		(15,787	)		(31,082	)		(64,668	)		(19,667	)		(22,038	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(3,538	)		336			(10,569	)		1,195			(9,135	)		12,804

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

187

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	9,217		$	18,599		$	7,532		$	17,281		$	985		$	2,019
Net Realized Gain (Loss) on Investments		61,739			22,615			43,162			(705	)		45,043			171,779
Net Change in Unrealized Appreciation (Depreciation) of Investments		46,553			(27,842	)		90,798			(7,003	)		67,473			99,912

Net Increase (Decrease) in Net Assets Resulting from Operations		117,509			13,372			141,492			9,573			113,501			273,710

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(57,933	)		–			(63,828	)		–			(52,240	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(57,933	)		–			(63,828	)		–			(52,240	)

Capital Transactions:
Shares Sold		32,323			86,700			12,276			49,586			14,974			29,297
Reinvestment of Distributions Paid		–			57,933			–			63,828			–			52,240
Shares Redeemed		(64,117	)		(74,776	)		(78,464	)		(85,890	)		(79,233	)		(112,200	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(31,794	)		69,857			(66,188	)		27,524			(64,259	)		(30,663	)

Total Increase (Decrease) in Net Assets		85,715			25,296			75,304			(26,731	)		49,242			190,807
Net Assets Beginning of Period		946,072			920,776			787,521			814,252			1,344,564			1,153,757

End of Period	$	1,031,787		$	946,072		$	862,825		$	787,521		$	1,393,806		$	1,344,564

Portfolio Share Transactions:
Shares Sold		18,163			58,482			6,673			34,469			3,441			8,941
Reinvestment of Distributions Paid		–			39,707			–			45,690			–			15,850
Shares Redeemed		(35,826	)		(48,392	)		(42,971	)		(56,283	)		(18,202	)		(33,225	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(17,663	)		49,797			(36,298	)		23,876			(14,761	)		(8,434	)

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

188

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	6,783		$	12,047		$	5,063		$	9,497		$	(572	)	$	660
Net Realized Gain (Loss) on Investments		65,080			37,405			58,966			2,441			71,646			82,005
Net Change in Unrealized Appreciation (Depreciation) of Investments		120,438			88,149			30,119			2,425			(28,449	)		130,687

Net Increase (Decrease) in Net Assets Resulting from Operations		192,301			137,601			94,148			14,363			42,625			213,352

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(56,269	)		–			(9,956	)		–			(39,514	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(56,269	)		–			(9,956	)		–			(39,514	)

Capital Transactions:
Shares Sold		41,542			77,991			25,167			51,959			22,323			30,495
Reinvestment of Distributions Paid		–			56,269			–			9,956			–			39,514
Shares Redeemed		(73,325	)		(93,413	)		(45,962	)		(57,433	)		(53,116	)		(75,271	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(31,783	)		40,847			(20,795	)		4,482			(30,793	)		(5,262	)

Total Increase (Decrease) in Net Assets		160,518			122,179			73,353			8,889			11,832			168,576
Net Assets
Beginning of Period		1,115,469			993,290			600,403			591,514			840,446			671,870

End of Period	$	1,275,987		$	1,115,469		$	673,756		$	600,403		$	852,278		$	840,446

Portfolio Share Transactions:
Shares Sold		16,996			45,756			13,884			37,414			6,258			11,794
Reinvestment of Distributions Paid		–			31,899			–			6,838			–			14,996
Shares Redeemed		(30,542	)		(50,960	)		(24,984	)		(38,243	)		(14,903	)		(27,751	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(13,546	)		26,695			(11,100	)		6,009			(8,645	)		(961	)

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

189

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,893		$	2,939		$	831		$	2,586		$	5,392		$	5,151
Net Realized Gain (Loss) on Investments		17,586			6,020			50,296			29,017			40,647			29,704
Net Change in Unrealized Appreciation (Depreciation) of Investments		59,662			31,689			47,418			20,993			43,042			106,591

Net Increase (Decrease) in Net Assets Resulting from Operations		79,141			40,648			98,545			52,596			89,081			141,446

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(15,825	)		–			(35,987	)		–			(16,639	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(15,825	)		–			(35,987	)		–			(16,639	)

Capital Transactions:
Shares Sold		29,022			47,484			9,947			27,670			46,100			60,618
Reinvestment of Distributions Paid		–			15,825			–			35,987			–			16,639
Shares Redeemed		(31,233	)		(34,141	)		(52,168	)		(70,721	)		(40,591	)		(93,935	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(2,211	)		29,168			(42,221	)		(7,064	)		5,509			(16,678	)

Total Increase (Decrease) in Net Assets		76,930			53,991			56,324			9,545			94,590			108,129
Net Assets
Beginning of Period		344,102			290,111			615,079			605,534			924,242			816,113

End of Period	$	421,032		$	344,102		$	671,403		$	615,079		$	1,018,832		$	924,242

Portfolio Share Transactions:
Shares Sold		16,409			41,370			4,022			16,477			20,942			33,344
Reinvestment of Distributions Paid		–			13,446			–			20,635			–			8,446
Shares Redeemed		(18,079	)		(27,540	)		(21,244	)		(36,952	)		(18,263	)		(50,648	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(1,670	)		27,276			(17,222	)		160			2,679			(8,858	)

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

190

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	9,522		$	10,392		$	29,453		$	41,111		$	6,893		$	5,407
Net Realized Gain (Loss) on Investments		22,452			14,833			62,737			(250,648	)		70,999			1,940
Net Change in Unrealized Appreciation (Depreciation) of Investments		36,125			82,425			71,445			170,374			(16,360	)		220,945

Net Increase (Decrease) in Net Assets Resulting from Operations		68,099			107,650			163,635			(39,163	)		61,532			228,292

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(30,940	)		–			(56,976	)		–			(18,235	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(30,940	)		–			(56,976	)		–			(18,235	)

Capital Transactions:
Shares Sold		47,835			68,253			54,085			149,908			60,058			89,800
Reinvestment of Distributions Paid		–			30,940			–			56,976			–			18,235
Shares Redeemed		(73,246	)		(69,787	)		(83,899	)		(123,960	)		(80,687	)		(128,004	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(25,411	)		29,406			(29,814	)		82,924			(20,629	)		(19,969	)

Total Increase (Decrease) in Net Assets		42,688			106,116			133,821			(13,215	)		40,903			190,088
Net Assets
Beginning of Period		891,001			784,885			1,779,819			1,793,034			1,024,098			834,010

End of Period	$	933,689		$	891,001		$	1,913,640		$	1,779,819		$	1,065,001		$	1,024,098

Portfolio Share Transactions:
Shares Sold		38,952			67,304			32,780			107,989			41,764			90,152
Reinvestment of Distributions Paid		–			28,782			–			40,209			–			16,137
Shares Redeemed		(60,351	)		(67,172	)		(50,801	)		(85,956	)		(54,738	)		(114,781	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(21,399	)		28,914			(18,021	)		62,242			(12,974	)		(8,492	)

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

191

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2		$	1,420		$	2,765		$	6,974		$	19,097		$	56,772
Net Realized Gain (Loss) on Investments		1			3			1,501			2,746			982			169,614
Net Change in Unrealized Appreciation (Depreciation) of Investments		–			–			(3,105	)		5,520			(72,570	)		49,086

Net Increase (Decrease) in Net Assets Resulting from Operations		3			1,423			1,161			15,240			(52,491	)		275,472

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		(2	)		(1,423	)		–			(8,186	)		–			(108,721	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		(2	)		(1,423	)		–			(8,186	)		–			(108,721	)

Capital Transactions:
Shares Sold		167,593			443,083			52,325			85,625			225,254			422,239
Reinvestment of Distributions Paid		2			1,423			–			8,186			–			108,721
Shares Redeemed		(212,998	)		(308,711	)		(23,467	)		(51,831	)		(149,346	)		(485,493	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		(45,403	)		135,795			28,858			41,980			75,908			45,467

Total Increase (Decrease) in Net Assets		(45,402	)		135,795			30,019			49,034			23,417			212,218
Net Assets
Beginning of Period		582,312			446,517			383,608			334,574			3,404,268			3,192,050

End of Period	$	536,910		$	582,312		$	413,627		$	383,608		$	3,427,685		$	3,404,268

Portfolio Share Transactions:
Shares Sold		167,593			443,083			48,504			80,297			168,239			310,277
Reinvestment of Distributions Paid		2			1,423			–			7,664			–			80,237
Shares Redeemed		(212,998	)		(308,711	)		(21,753	)		(48,697	)		(111,578	)		(362,003	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		(45,403	)		135,795			26,751			39,264			56,661			28,511

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

192

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	1,241		$	2,384		$	6,442		$	5,263		$	20,519		$	43,223
Net Realized Gain (Loss) on Investments		600			21,534			5,285			3,962			(145	)		(5,892	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		(13,572	)		(2,718	)		(1,980	)		26,273			11,156			12,622

Net Increase (Decrease) in Net Assets Resulting from Operations		(11,731	)		21,200			9,747			35,498			31,530			49,953

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(11,663	)		–			(7,844	)		–			(47,246	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(11,663	)		–			(7,844	)		–			(47,246	)

Capital Transactions:
Shares Sold		16,529			42,306			56,880			55,618			38,642			54,306
Reinvestment of Distributions Paid		–			11,663			–			7,844			–			47,246
Shares Redeemed		(14,609	)		(32,427	)		(19,361	)		(48,859	)		(52,124	)		(125,183	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		1,920			21,542			37,519			14,603			(13,482	)		(23,631	)

Total Increase (Decrease) in Net Assets		(9,811	)		31,079			47,266			42,257			18,048			(20,924	)
Net Assets
Beginning of Period		153,933			122,854			423,389			381,132			825,203			846,127

End of Period	$	144,122		$	153,933		$	470,655		$	423,389		$	843,251		$	825,203

Portfolio Share Transactions:
Shares Sold		14,950			32,760			46,907			47,335			50,663			75,206
Reinvestment of Distributions Paid		–			9,285			–			6,597			–			66,079
Shares Redeemed		(13,167	)		(25,020	)		(15,940	)		(42,550	)		(68,106	)		(174,093	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		1,783			17,025			30,967			11,382			(17,443	)		(32,808	)

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

193

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, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020			For the Six Months Ended June 30, 2021 (unaudited)			For the Year Ended December 31, 2020
Change in Net Assets
Operations
Net Investment Income (Loss)	$	16,979		$	32,774		$	(77	)	$	52,676		$	(49	)	$	6,436
Net Realized Gain (Loss) on Investments		(5,172	)		(8,245	)		46,509			113,863			5,753			16,277
Net Change in Unrealized Appreciation (Depreciation) of Investments		(6,148	)		36,162			75,539			96,326			16,771			13,395

Net Increase (Decrease) in Net Assets Resulting from Operations		5,659			60,691			121,971			262,865			22,475			36,108

Distributions to Shareholders from:
Net Investment Income & Net Realized Gain on Investments		–			(42,858	)		–			(132,286	)		–			(18,159	)

Net Decrease in Net Assets Resulting from Distributions to Shareholders		–			(42,858	)		–			(132,286	)		–			(18,159	)

Capital Transactions:
Shares Sold		193,961			178,458			56,487			87,127			13,116			19,009
Reinvestment of Distributions Paid		–			42,858			–			132,286			–			18,159
Shares Redeemed		(48,209	)		(112,462	)		(141,991	)		(236,840	)		(19,943	)		(36,163	)

Net Increase (Decrease) in Net Assets Resulting from Capital Transactions		145,752			108,854			(85,504	)		(17,427	)		(6,827	)		1,005

Total Increase (Decrease) in Net Assets		151,411			126,687			36,467			113,152			15,648			18,954
Net Assets
Beginning of Period		1,148,511			1,021,824			2,367,387			2,254,235			306,692			287,738

End of Period	$	1,299,922		$	1,148,511		$	2,403,854		$	2,367,387		$	322,340		$	306,692

Portfolio Share Transactions:
Shares Sold		169,091			157,167			35,056			58,859			9,723			15,965
Reinvestment of Distributions Paid		–			38,233			–			90,236			–			15,402
Shares Redeemed		(41,969	)		(102,415	)		(88,204	)		(161,177	)		(14,857	)		(30,510	)

Net Increase (Decrease) in Shares Resulting from Portfolio Share Transactions		127,122			92,985			(53,148	)		(12,082	)		(5,134	)		857

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

194

Statement of Cash Flows

NORTHWESTERN MUTUAL SERIES FUND, INC.

For the Six Months Ended June 30, 2021 (unaudited) (in thousands)


	Long-Term U.S. Government Bond Portfolio
Cash Flows from Operating Activities
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(11,731	)
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash from Operating Activities
Purchase of Investment Securities		(132,946	)
Proceeds from Disposition of Investment Securities		93,116
Proceeds from Disposition (Purchase) of Short-Term Investments, net		6,412
Proceeds from (Payments for) Closed Futures Contracts and Cleared Swaps		2,294
Proceeds from Securities Sold Short		19,987
Amortization (Accretion) of Premium/Discount, net		(107	)
(Increase) Decrease in:
Receivable for Investment Securities Sold		75,094
Prepaid Expenses and Other Assets		(11	)
Dividends and Interest Receivable		180
Increase (Decrease) in:
Accrued Expenses		24
Change in Net Unrealized (Appreciation) Depreciation of:
Investment Securities		13,630
Futures Contracts		425
Short Sales		(102	)
Swap Contracts		(381	)
Net Realized (Gain) Loss from:
Investment Securities		1,859
Futures Contracts		(2,349	)
Paydowns		(10	)
Short Sales		(91	)
Swap Contracts		(19	)

Total Adjustments		77,005

Net Cash (Used in) Provided by Operating Activities		65,274

Cash Flows from Financing Activities
Cash Received from Financing Transactions		1,532,540
Cash (Used for) Financing Transactions		(1,599,672	)
Proceeds from Reverse Repurchase Agreements		2,398
Payments from Reverse Repurchase Agreements		(2,398	)
Proceeds from Portfolio Shares Sold		16,603
Payment on Portfolio Shares Redeemed		(14,520	)

Net Cash (Used in) Provided by Financing Activities		(65,049	)

Net Increase (Decrease) in Cash and Cash Equivalents		225
Cash and Restricted Cash, Beginning of Period		183

Cash and Restricted Cash, End of Period	$	408

Cash and Restricted Cash is the sum of Cash and Cash Collateral for Derivative Positions from the Statement of Assets and Liabilities. Supplemental disclosure of cash flow information:

Interest paid was $131 for the period ended June 30, 2021.

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

195

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
2021^(j)	$	3.60	$	0.00	^(e)	$	0.46		$	0.46		$	–		$	–
2020		3.18		0.00	^(e)		1.04			1.04			(0.02	)		(0.60	)
2019		2.75		0.02			0.77			0.79			(0.02	)		(0.34	)
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	)
Focused Appreciation Portfolio
2021^(j)	$	4.02	$	0.00	^(e)	$	0.55		$	0.55		$	–		$	–
2020		3.17		0.01			1.02			1.03			(0.02	)		(0.16	)
2019		2.57		0.02			0.78			0.80			(0.02	)		(0.18	)
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	)
Large Cap Core Stock Portfolio
2021^(j)	$	1.91	$	0.01		$	0.27		$	0.28		$	–		$	–
2020		1.62		0.02			0.34			0.36			(0.02	)		(0.05	)
2019		1.31		0.02			0.39			0.41			(0.02	)		(0.08	)
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	)
Large Cap Blend Portfolio
2021^(j)	$	1.25	$	0.01		$	0.12		$	0.13		$	–		$	–
2020		1.22		0.01			0.10			0.11			(0.06	)		(0.02	)
2019		1.09		0.06			0.20			0.26			(0.01	)		(0.12	)
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	)
Index 500 Stock Portfolio
2021^(j)	$	6.60	$	0.04		$	0.96		$	1.00		$	–		$	–
2020		5.79		0.09			0.94			1.03			(0.10	)		(0.12	)
2019		4.59		0.10			1.32			1.42			(0.09	)		(0.13	)
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	)
Large Company Value Portfolio
2021^(j)	$	1.00	$	0.01		$	0.13		$	0.14		$	–		$	–
2020		1.03		0.02			0.00	^(e)		0.02			(0.02	)		(0.03	)
2019		0.89		0.02			0.21			0.23			(0.02	)		(0.07	)
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	)
Domestic Equity Portfolio
2021^(j)	$	1.64	$	0.02		$	0.19		$	0.21		$	–		$	–
2020		1.75		0.03			(0.04	)		(0.01	)		(0.03	)		(0.07	)
2019		1.55		0.03			0.28			0.31			(0.03	)		(0.08	)
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	)

(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, 2021. (Unaudited)

(e)	Amount is less than $0.005.

(c)	Computed on an annualized basis.

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

196


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

$	–		$	4.06		12.54	%	$	1,356,595		0.42	%^(c)		0.42	%^(c)		(0.06	)%^(c)		17	%
	(0.62	)		3.60		34.97			1,286,403		0.43			0.42			0.00			24
	(0.36	)		3.18		29.68			1,083,324		0.43			0.42			0.71			116
	(0.38	)		2.75		1.26			898,626		0.43			0.42			0.68			48
	(0.16	)		3.03		24.27			959,854		0.43			0.42			0.78			58
	(0.30	)		2.58		2.47			837,980		0.43			0.43			0.97			66

$	–		$	4.57		13.87	%	$	1,299,924		0.74	%^(c)		0.62	%^(c)		0.19	%^(c)		1	%
	(0.18	)		4.02		32.55			1,186,696		0.75			0.62			0.19			21
	(0.20	)		3.17		31.97			1,012,624		0.75			0.63			0.58			7
	(0.09	)		2.57		(2.34	)		849,169		0.75			0.63			0.65			7
	(0.07	)		2.71		33.62			945,385		0.75			0.63			0.66			4
	(0.79	)		2.08		5.87			771,800		0.76			0.63			0.83			9

$	–		$	2.19		14.33	%	$	797,272		0.44	%^(c)		0.43	%^(c)		0.81	%^(c)		29	%
	(0.07	)		1.91		22.74			719,977		0.45			0.44			0.98			72
	(0.10	)		1.62		31.19			633,208		0.45			0.44			1.19			54
	(0.62	)		1.31		(6.04	)		518,971		0.45			0.44			1.23			65
	(0.03	)		1.96		24.87			592,577		0.45			0.44			1.56			101
	(0.06	)		1.60		7.57			514,495		0.45			0.45			1.96			7

$	–		$	1.38		10.29	%	$	194,205		0.81	%^(c)		0.78	%^(c)		0.88	%^(c⁾		14	%
	(0.08	)		1.25		10.05			180,564		0.83			0.80			0.77			28
	(0.13	)		1.22		23.97			174,953		0.82			0.82			4.92			24
	(0.07	)		1.09		(4.00	)		154,435		0.82			0.82			1.20			25
	(0.07	)		1.21		19.02			176,221		0.81			0.81			0.75			16
	(0.09	)		1.07		13.99			164,752		0.82			0.81			0.97			21

$	–		$	7.60		15.13	%	$	5,008,349		0.21	%^(c)		0.20	%^(c)		1.26	%^(c)		2	%
	(0.22	)		6.60		18.18			4,419,729		0.21			0.20			1.63			5
	(0.22	)		5.79		31.18			3,867,280		0.21			0.20			1.81			4
	(0.13	)		4.59		(4.58	)		3,009,141		0.21			0.20			1.74			4
	(0.13	)		4.93		21.52			3,222,137		0.21			0.21			1.82			3
	(0.16	)		4.17		11.73			2,678,914		0.21			0.21			1.97			3

$	–		$	1.14		13.79	%	$	230,792		0.76	%^(c)		0.74	%^(c)		1.76	%^(c)		24	%
	(0.05	)		1.00		2.64			211,998		0.78			0.76			2.02			84
	(0.09	)		1.03		27.66			205,550		0.77			0.75			1.86			62
	(0.10	)		0.89		(7.92	)		173,350		0.76			0.74			1.89			61
	(0.06	)		1.06		11.10			199,836		0.75			0.73			2.15			53
	(0.11	)		1.02		15.36			195,773		0.75			0.72			2.07			80

$	–		$	1.85		12.55	%	$	1,031,787		0.54	%^(c)		0.51	%^(c)		1.84	%^(c)		17	%
	(0.10	)		1.64		0.73			946,072		0.55			0.53			2.25			33
	(0.11	)		1.75		20.77			920,776		0.54			0.53			2.08			12
	(0.09	)		1.55		(2.81	)		772,465		0.54			0.53			1.92			14
	(0.07	)		1.68		13.78			819,213		0.55			0.54			1.91			12
	(0.09	)		1.54		14.98			720,940		0.55			0.55			2.00			12

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

197

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
2021^(j)	$	1.63	$	0.02		$	0.29		$	0.31		$	–		$	–
2020		1.78		0.04			(0.05	)		(0.01	)		(0.07	)		(0.07	)
2019		1.53		0.07			0.33			0.40			(0.04	)		(0.11	)
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	)
Mid Cap Growth Stock Portfolio
2021^(j)	$	4.09	$	0.00	^(e)	$	0.35		$	0.35		$	–		$	–
2020		3.42		0.01			0.82			0.83			(0.01	)		(0.15	)
2019		2.69		0.01			0.87			0.88			(0.01	)		(0.14	)
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	)
Index 400 Stock Portfolio
2021^(j)	$	2.15	$	0.01		$	0.37		$	0.38		$	–		$	–
2020		2.02		0.02			0.23			0.25			(0.03	)		(0.09	)
2019		1.74		0.03			0.40			0.43			(0.02	)		(0.13	)
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	)
Mid Cap Value Portfolio
2021^(j)	$	1.65	$	0.01		$	0.25		$	0.26		$	–		$	–
2020		1.65		0.03			–			0.03			(0.03	)		–
2019		1.43		0.03			0.37			0.40			(0.03	)		(0.15	)
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	)
Small Cap Growth Stock Portfolio
2021^(j)	$	3.42	$	0.00	^(e)	$	0.18		$	0.18		$	–		$	–
2020		2.72		0.00	^(e)		0.86			0.86			(0.00	)^(e)		(0.16	)
2019		2.35		0.00	^(e)		0.79			0.79			(0.00	)^(e)		(0.42	)
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	)
Index 600 Stock Portfolio
2021^(j)	$	1.50	$	0.01		$	0.34		$	0.35		$	–		$	–
2020		1.43		0.01			0.13			0.14			(0.02	)		(0.05	)
2019		1.26		0.02			0.25			0.27			(0.00	)^(e)		(0.10	)
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	)
Small Cap Value Portfolio
2021^(j)	$	2.20	$	0.00	^(e)	$	0.36		$	0.36		$	–		$	–
2020		2.17		0.01			0.15			0.16			(0.01	)		(0.12	)
2019		2.04		0.01			0.50			0.51			(0.01	)		(0.37	)
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	)

(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, 2021. (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.

198


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

$	–		$	1.94		18.47	%	$	862,825		0.65	%^(c)		0.57	%^(c)		1.79	%^(c)		10	%
	(0.14	)		1.63		1.20			787,521		0.66			0.59			2.48			30
	(0.15	)		1.78		26.61			814,252		0.65			0.61			4.21			18
	(0.18	)		1.53		(9.35	)		704,674		0.65			0.61			2.25			17
	(0.13	)		1.86		16.24			844,398		0.65			0.62			2.04			21
	(0.12	)		1.72		19.17			798,167		0.66			0.64			2.42			23

$	–		$	4.44		8.55	%	$	1,393,806		0.53	%^(c)		0.53	%^(c)		0.14	%^(c)		12	%
	(0.16	)		4.09		25.41			1,344,564		0.54			0.54			0.18			47
	(0.15	)		3.42		33.01			1,153,757		0.54			0.54			0.28			30
	(0.61	)		2.69		(7.38	)		943,370		0.54			0.54			0.19			33
	(0.01	)		3.46		20.29			1,097,433		0.54			0.54			0.14			148
	(0.26	)		2.88		0.83			983,395		0.54			0.54			0.29			57

$	–		$	2.53		17.44	%	$	1,275,987		0.27	%^(c)		0.24	%^(c⁾		1.11	%^(c)		10	%
	(0.12	)		2.15		13.37			1,115,469		0.28			0.26			1.31			18
	(0.15	)		2.02		25.88			993,290		0.28			0.26			1.38			16
	(0.16	)		1.74		(11.33	)		792,780		0.28			0.26			1.29			18
	(0.14	)		2.11		15.96			896,559		0.28			0.26			1.22			18
	(0.16	)		1.96		20.38			773,157		0.28			0.27			1.31			19

$	–		$	1.91		15.75	%	$	673,756		0.88	%^(c)		0.72	%^(c)		1.55	%^(c)		34	%
	(0.03	)		1.65		1.67			600,403		0.89			0.75			1.79			76
	(0.18	)		1.65		29.21			591,514		0.89			0.75			1.74			44
	(0.20	)		1.43		(12.85	)		471,943		0.89			0.76			1.50			62
	(0.09	)		1.83		11.81			564,624		0.88			0.76			1.79			46
	(0.16	)		1.73		23.23			518,217		0.89			0.77			1.71			54

$	–		$	3.60		5.06	%	$	852,278		0.55	%^(c)		0.55	%^(c)		(0.13	)%^(c)		26	%
	(0.16	)		3.42		33.47			840,446		0.56			0.56			0.10			60
	(0.42	)		2.72		35.69			671,870		0.56			0.56			0.13			42
	(0.25	)		2.35		(11.71	)		520,622		0.56			0.56			0.10			52
	(0.03	)		2.88		21.61			627,901		0.56			0.56			(0.01	)		43
	(0.26	)		2.39		12.25			545,052		0.58			0.58			0.19			44

$	–		$	1.85		23.23	%	$	421,032		0.27	%^(c)		0.27	%^(c)		0.96	%^(c)		13	%
	(0.07	)		1.50		10.93			344,102		0.31			0.31			1.10			28
	(0.10	)		1.43		22.44			290,111		0.31			0.31			1.25			33
	(0.08	)		1.26		(8.78	)		221,803		0.31			0.31			1.06			38
	(0.08	)		1.45		12.93			222,348		0.33			0.33			1.04			36
	(0.07	)		1.36		26.12			173,883		0.36			0.35			1.00			52

$	–		$	2.56		16.26	%	$	671,403		0.87	%^(c)		0.86	%^(c)		0.25	%^(c)		13	%
	(0.13	)		2.20		9.29			615,079		0.88			0.88			0.50			28
	(0.38	)		2.17		25.89			605,534		0.88			0.87			0.48			25
	(0.20	)		2.04		(12.73	)		530,072		0.88			0.87			0.43			22
	(0.15	)		2.54		11.65			673,234		0.88			0.86			0.56			15
	(0.31	)		2.42		32.39			647,830		0.89			0.88			0.93			24

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

199

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
2021^(j)	$	2.14	$	0.01		$	0.19		$	0.20		$	–		$	–
2020		1.85		0.01			0.32			0.33			(0.03	)		(0.01	)
2019		1.39		0.03			0.46			0.49			(0.02	)		(0.01	)
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	)		–
Research International Core Portfolio
2021^(j)	$	1.18	$	0.01		$	0.08		$	0.09		$	–		$	–
2020		1.08		0.01			0.13			0.14			(0.02	)		(0.02	)
2019		0.88		0.02			0.23			0.25			(0.02	)		(0.03	)
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	)
International Equity Portfolio
2021^(j)	$	1.55	$	0.03		$	0.11		$	0.14		$	–		$	–
2020		1.65		0.04			(0.09	)		(0.05	)		(0.05	)		–
2019		1.58		0.05			0.14			0.19			(0.04	)		(0.08	)
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	)
Emerging Markets Equity Portfolio
2021^(j)	$	1.39	$	0.01		$	0.07		$	0.08		$	–		$	–
2020		1.12		0.01			0.28			0.29			(0.02	)		–
2019		0.94		0.02			0.17			0.19			(0.01	)		–
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	)		–
Government Money Market Portfolio
2021^(j)	$	1.00	$	0.00	^(e)	$	–		$	0.00	^(e)	$	(0.00	)^(e)	$	–
2020		1.00		0.00	^(e)		–			0.00	^(e)		(0.00	)^(e)		(0.00	)^(e)
2019		1.00		0.02			–			0.02			(0.02	)		(0.00	)^(e)
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)
Short-Term Bond Portfolio
2021^(j)	$	1.08	$	0.01		$	(0.01	)	$	0.00	^(e)	$	–		$	–
2020		1.06		0.02			0.02			0.04			(0.02	)		–
2019		1.03		0.03			0.02			0.05			(0.02	)		–
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	)		–
Select Bond Portfolio
2021^(j)	$	1.37	$	0.01		$	(0.03	)	$	(0.02	)	$	–		$	–
2020		1.30		0.02			0.10			0.12			(0.04	)		(0.01	)
2019		1.23		0.04			0.07			0.11			(0.04	)		–
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	)

(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, 2021. (Unaudited)

(c)	Computed on an annualized basis.

(e)	Amount is less than $0.005.

(g)	Portfolio Turnover Rate excludes the impact of TBA transactions.

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

200


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

$	–		$	2.34		9.54	%	$	1,018,832		0.62	%^(c)		0.62	%^(c)		1.13	%^(c)		11	%
	(0.04	)		2.14		17.91			924,242		0.63			0.63			0.64			21
	(0.03	)		1.85		34.80			816,113		0.64			0.64			1.79			21
	(0.02	)		1.39		(11.28	)		626,082		0.65			0.65			1.28			33
	(0.02	)		1.59		30.03			697,581		0.67			0.67			1.32			20
	(0.01	)		1.24		(3.41	)		523,122		0.71			0.71			1.67			26

$	–		$	1.27		7.87	%	$	933,689		0.79	%^(c)		0.74	%^(c)		2.10	%^(c)		10	%
	(0.04	)		1.18		13.46			891,001		0.81			0.76			1.36			25
	(0.05	)		1.08		28.25			784,885		0.82			0.77			2.32			18
	(0.02	)		0.88		(13.66	)		595,585		0.82			0.77			1.88			24
	(0.02	)		1.04		28.21			658,005		0.86			0.81			1.74			28
	(0.02	)		0.82		(1.12	)		499,649		0.92			0.88			1.99			41

$	–		$	1.69		9.23	%	$	1,913,640		0.68	%^(c)		0.51	%^(c)		3.15	%^(c)		21	%
	(0.05	)		1.55		(2.71	)		1,779,819		0.68			0.54			2.59			65
	(0.12	)		1.65		12.60			1,793,034		0.68			0.54			3.33			43
	(0.05	)		1.58		(15.41	)		1,604,068		0.68			0.54			2.36			31
	(0.04	)		1.91		22.30			1,927,673		0.70			0.57			2.40			21
	(0.05	)		1.60		2.89			1,628,267		0.71			0.62			2.65			16

$	–		$	1.47		5.89	%	$	1,065,001		1.06	%^(c)		0.91	%^(c)		1.33	%^(c)		17	%
	(0.02	)		1.39		26.86			1,024,098		1.10			0.95			0.67			31
	(0.01	)		1.12		20.60			834,010		1.11			0.99			2.40			22
	(0.01	)		0.94		(13.75	)		675,350		1.11			1.00			1.27			17
	(0.01	)		1.10		27.84			718,281		1.18			1.06			1.61			98
	(0.01	)		0.87		9.06			521,800		1.25			1.16			1.24			47

$	(0.00	)^(e)	$	1.00		–	%	$	536,910		0.33	%^(c)		0.08	%^(c)		0.00	%^(c)		–	%
	(0.00	)^(e)		1.00		0.31			582,312		0.33			0.25			0.26			–
	(0.02	)		1.00		1.94			446,517		0.33			0.33			1.91			–
	(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			–

$	–		$	1.08		0.37	%	$	413,627		0.38	%^(c)		0.38	%^(c)		1.40	%^(c)		26	%^(g)
	(0.02	)		1.08		4.29			383,608		0.39			0.39			1.96			49	^(g)
	(0.02	)		1.06		4.38			334,574		0.39			0.39			2.47			56	^(g)
	(0.02	)		1.03		1.36			306,541		0.39			0.39			2.14			41	^(g)
	(0.01	)		1.03		1.33			293,514		0.42			0.41			1.60			46
	(0.01	)		1.03		1.67			269,833		0.43			0.43			1.33			37

$	–		$	1.35		(1.54	)%	$	3,427,685		0.31	%^(c)		0.30	%^(c)		1.13	%^(c)		164	%^(g)
	(0.05	)		1.37		8.98			3,404,268		0.31			0.30			1.75			340	^(g)
	(0.04	)		1.30		8.65			3,192,050		0.31			0.30			2.76			403	^(g)
	(0.03	)		1.23		(0.21	)		2,967,993		0.31			0.31			2.74			294	^(g)
	(0.05	)		1.26		3.58			2,943,934		0.32			0.31			2.15			390	^(g)
	(0.04	)		1.26		3.06			2,839,045		0.32			0.31			1.91			525	^(g)

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

201

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)
2021^(j)	$	1.21	$	0.01		$	(0.10	)	$	(0.09	)	$	–		$	–
2020		1.12		0.02			0.17			0.19			(0.02	)		(0.08	)
2019		1.01		0.02			0.11			0.13			(0.02	)		–
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	)
Inflation Protection Portfolio^(s)
2021^(j)	$	1.21	$	0.02		$	0.01		$	0.03		$	–		$	–
2020		1.13		0.02			0.08			0.10			(0.02	)		–
2019		1.06		0.02			0.08			0.10			(0.03	)		–
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	)		–
High Yield Bond Portfolio
2021^(j)	$	0.75	$	0.02		$	0.01		$	0.03		$	–		$	–
2020		0.75		0.04			–			0.04			(0.04	)		–
2019		0.69		0.04			0.06			0.10			(0.04	)		–
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	)		–
Multi-Sector Bond Portfolio^(s)
2021^(j)	$	1.16	$	0.02		$	(0.02	)	$	0.00	^(e)	$	–		$	–
2020		1.14		0.04			0.03			0.07			(0.05	)		(0.00	)^(e)
2019		1.05		0.04			0.10			0.14			(0.05	)		–
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	)		–
Balanced Portfolio
2021^(j)	$	1.57	$	0.00	^(e)	$	0.09		$	0.09		$	–		$	–
2020		1.49		0.04			0.13			0.17			(0.04	)		(0.05	)
2019		1.36		0.03			0.21			0.24			(0.04	)		(0.08	)
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	)
Asset Allocation Portfolio
2021^(j)	$	1.29	$	0.00	^(e)	$	0.10		$	0.10		$	–		$	–
2020		1.22		0.03			0.12			0.15			(0.03	)		(0.05	)
2019		1.10		0.02			0.20			0.22			(0.03	)		(0.08	)
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	)

(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 0.64% and 0.64% respectively for the period ended June 30, 2021, 0.64% and 0.64% respectively in 2020, 0.67% and 0.65% respectively in 2019, 0.67% and 0.65% respectively in 2018, 0.67% and 0.65% respectively in 2017, 0.64% and 0.64% respectively in 2016. The ratios for the Multi-Sector Bond Portfolio would be 0.81% and 0.71% respectively for the period ended June 30, 2021, 0.81% and 0.72% respectively in 2020, 0.82% and 0.73% respectively in 2019, 0.81% and 0.74% respectively in 2018.

(j)	For the six months ended June 30, 2021. (Unaudited)

(c)	Computed on an annualized basis.

(g)	Portfolio Turnover Rate excludes the impact of TBA transactions.

(e)	Amount is less than $0.005.

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

202


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

$	–		$	1.12		(7.74	)%	$	144,122		0.67	%^(c)		0.67	%^(c)		1.76	%^(c)		2	%^(g)
	(0.10	)		1.21		17.37			153,933		0.94			0.94			1.61			157	^(g)
	(0.02	)		1.12		13.17			122,854		1.25			1.23			2.06			5	^(g)
	(0.04	)		1.01		(2.04	)		111,468		0.90			0.89			2.48			43	^(g)
	(0.06	)		1.08		8.28			115,713		0.94			0.92			2.64			51	^(g)
	(0.04	)		1.06		1.09			110,391		0.77			0.77			2.19			126	^(g)

$	–		$	1.24		2.14	%	$	470,655		0.57	%^(c)		0.54	%^(c)		2.92	%^(c)		41	%
	(0.02	)		1.21		9.57			423,389		0.58			0.55			1.34			56
	(0.03	)		1.13		9.02			381,132		0.59			0.55			2.13			40
	(0.02	)		1.06		(2.61	)		349,571		0.59			0.55			2.55			23
	(0.01	)		1.11		3.58			401,711		0.61			0.57			2.05			21
	(0.01	)		1.09		4.68			326,927		0.64			0.59			1.55			34

$	–		$	0.78		3.86	%	$	843,251		0.44	%^(c)		0.44	%^(c)		4.94	%^(c)		19	%
	(0.04	)		0.75		6.64			825,203		0.45			0.45			5.36			42
	(0.04	)		0.75		14.97			846,127		0.45			0.45			5.73			33
	(0.04	)		0.69		(2.71	)		763,366		0.45			0.45			5.65			23
	(0.04	)		0.75		6.88			811,878		0.45			0.45			5.48			32
	(0.04	)		0.74		14.59			756,947		0.47			0.46			5.83			36

$	–		$	1.16		0.34	%	$	1,299,922		0.81	%^(c)		0.71	%^(c)		2.85	%^(c)		12	%
	(0.05	)		1.16		6.13			1,148,511		0.82			0.73			3.23			30	^(g)
	(0.05	)		1.14		14.04			1,021,824		0.83			0.74			3.53			30	^(g)
	(0.03	)		1.05		(1.30	)		874,943		0.82			0.75			3.67			37	^(g⁾
	(0.04	)		1.09		8.38			840,981		0.82			0.75			4.06			49
	(0.05	)		1.05		11.09			689,849		0.84			0.78			3.86			43

$	–		$	1.66		5.28	%	$	2,403,854		0.31	%^(c)		0.06	%^(c)		(0.01	)%^(c)		8	%
	(0.09	)		1.57		12.49			2,367,387		0.31			0.06			2.40			28
	(0.11	)		1.49		17.92			2,254,235		0.31			0.06			2.14			17
	(0.07	)		1.36		(3.45	)		2,065,353		0.31			0.06			2.25			27
	(0.08	)		1.47		11.98			2,307,470		0.31			0.06			1.75			17
	(0.07	)		1.40		6.58			2,202,834		0.31			0.07			1.73			24

$	–		$	1.39		7.42	%	$	322,340		0.55	%^(c)		0.08	%^(c)		(0.03	)%^(c)		6	%
	(0.08	)		1.29		13.43			306,692		0.57			0.09			2.32			29
	(0.10	)		1.22		21.08			287,738		0.57			0.09			1.96			15
	(0.05	)		1.10		(4.88	)		249,511		0.57			0.09			2.24			32
	(0.08	)		1.21		14.87			277,213		0.57			0.09			1.68			22
	(0.07	)		1.12		7.79			250,399		0.58			0.09			1.69			26

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

203

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 (2017 to 2020) for major jurisdictions and concluded there was no material impact to the Portfolios’ net assets or results of operations. There is no material tax liability relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

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

E. Other — The Portfolios record security transactions on trade date. The basis for determining cost on sale of securities is identified cost. Interest income is recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from issuers is available. Where applicable, dividends are recorded net of foreign withholding tax. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Expenses directly attributable to a Portfolio are incurred by the respective Portfolio. Expenses that are not directly attributable to one

204

Notes to Financial Statements (unaudited)

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

F. New Accounting Pronouncements — In March 2020, the FASB issued Accounting Standards Update 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting” (“ASU 2020-04”) which provides optional guidance to ease the potential accounting burden associated with transitioning away from the London Interbank Offered Rate and other reference rates that are expected to be discontinued. ASU 2020-04 is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. Management is evaluating implications of this guidance on the financial statements in light of the status of the reference rate transitioning described therein.

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, when available, official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are generally valued at the last quoted bid price. Equity securities traded only in the over-the-counter market and not on a securities exchange are valued at the last sale price or closing bid price, if no sales have occurred. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Additionally, for foreign securities, fair value procedures are used if a significant event occurs between the close of the foreign market and the U.S. market close. The fair value price is reflected as Level 2 in the fair value hierarchy 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.

205

Notes to Financial Statements (unaudited)

•

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

•

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

•

Investments in open-end mutual funds (including other Portfolios) are valued at the mutual fund’s closing net asset value per share and are categorized as Level 1 in the fair value hierarchy. Investments in privately held mutual funds are valued at the mutual fund’s closing net asset value per share and are categorized as Level 2 in the fair value hierarchy.

•

Money market investments, other than in the Government Money Market Portfolio, are generally valued by a pricing service. All securities in the Government Money Market Portfolio are valued using amortized cost, unless the current market value differs substantially from the amortized cost, at which time the securities are marked to market. Because the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy.

•

Listed derivatives, such as futures or option contracts, which are actively traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation and are categorized as Level 1 in the fair value hierarchy.

•

Centrally-cleared swaps 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, 2021 included, but were not limited to, broker quotes, analysis of the likely outcome of pending litigation, liquidity, prepayment speed, duration and recoverability.

A table summarizing each Portfolio’s investments under this hierarchy is included following each Portfolio’s Schedule of Investments. Transfers between investment levels may occur as markets fluctuate and/or the availability of data used in investments’ valuation changes. 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

206

Notes to Financial Statements (unaudited)

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, 2021, 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 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.

207

Notes to Financial Statements (unaudited)

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

F. Inflation-Indexed Bonds — Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income in the applicable Portfolio’s Statements of Operations even though investors do not receive their principal until maturity.

G. Short Sales — Certain Portfolios may enter into short sale transactions. A short sale is a transaction in which a Portfolio sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested.

H. Financing Transactions — Certain Portfolios may enter into financing transactions. In a financing transaction, the Portfolio transfers a security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. For U.S. GAAP purposes, a financing transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, the Portfolio is entitled to the interest on the security. The difference between the sale price and repurchase price is included in net investment income with the cost of the secured borrowing transaction being recorded in interest expense over the term of the borrowing. The Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the financing transaction exceeds the interest expense incurred by the Portfolio. If the interest expense exceeds the income earned, the Portfolio’s net investment income and dividends to shareholders may be adversely impacted. Financing transactions involve the risk that the market value of the securities that the Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities. For the period ended June 30, 2021, the Long-Term U.S. Government Bond Portfolio entered into financing transactions utilizing various U.S. Treasury bonds.

I. Loan Participation and Assignments — Certain Portfolios may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Portfolios’ investments in a loan may be in the form of either actual participation in loans or assignments of all or part of the loans from third parties. A loan is often administered by a bank or other financial institution that acts as an agent for all holders. The agent administers the terms of the loan which are specified in the loan agreement. The Portfolios may invest in multiple series or tranches of a loan, each of which can have different terms and associated risks. The Portfolios generally do not have a right to enforce compliance with the terms of the loan agreement and as a result, the Portfolios may be subject to the credit risk of the borrower and lender that is selling the loan agreement. When the Portfolios purchase assignments from lenders they acquire direct rights against the borrower of the loan. The Portfolios may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments can include lines of credit, which may require the Portfolios to grant additional cash to the borrower upon demand from the borrower. These unfunded loan commitments are in fact a future obligation in full, although a percentage of the loan amount may not be utilized by the borrower. When investing in a loan, the Portfolios have the right to receive principal, interest and any fees from the lender selling the loan

208

Notes to Financial Statements (unaudited)

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, 2021, 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, 2021, there were reverse repurchase agreements held in the Multi-Sector Bond Portfolio.

NOTE 5. DERIVATIVE INSTRUMENTS

The Portfolios may use derivative instruments for various purposes, including as a cash management strategy, to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the Portfolio, to hedge exposure to a foreign currency, or as an alternative to direct investments. Because the Portfolios are required to account for derivative instruments at fair value and recognize changes in fair value through the Statements of Operations, the Portfolios’ derivatives do not qualify for hedge accounting treatment.

Certain Portfolios segregate cash to cover margin requirements for derivative positions. These amounts are denoted as “Cash Collateral for Derivative Positions” on the Statements of Assets and Liabilities.

A. Futures Contracts — Certain Portfolios invest in futures contracts as an alternative to investing in individual securities and could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the “variation margin,” are recorded by the Portfolios as unrealized gains or losses. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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

C. Options — Certain Portfolios may write call and put options on futures, swaps, securities or currencies they own or in which they may invest. Writing put options tends to increase a Portfolio’s exposure to the underlying instrument. Writing call options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio writes a put option, it is exposed to a decline in the price of the underlying security. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums

209

Notes to Financial Statements (unaudited)

received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying future, swap, security or currency may be sold (called) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. There is a risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market.

Certain Portfolios may also purchase call and put options on futures, swaps, securities or currencies they own or in which they may invest. Purchasing call options tends to increase a Portfolio’s exposure to the underlying instrument. Purchasing put options tends to decrease a Portfolio’s exposure to the underlying instrument. The Portfolio pays a premium on the purchase of a put option but receives the opportunity to profit from any increase in the value of the security above the exercise price of the option. When a Portfolio purchases a call option, it is exposed to a decline in the price of the underlying security. Premiums paid are reflected in the Statements of Assets and Liabilities as an investment and are subsequently marked to market to reflect the current value of the option. Premiums paid from purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine realized gain or loss. The risk associated with a Portfolio purchasing call or put options is limited to the premium paid.

D. Swap Agreements — The Portfolios may enter into swap agreements on interest rate, total return and credit default to manage their exposure to interest rates, foreign currencies, investment style risk and credit risk or as an alternative to direct investing. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).

Swaps are marked to market daily based upon quotations from market makers or values from third party vendors, which may include a registered commodities exchange, and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Daily changes in the valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. OTC swap payments received or made at the beginning of the measurement period of the swap are reflected on the Statements of Assets and Liabilities. Upfront payments are amortized to realized gain or loss. Upon termination of the swap, unamortized upfront payments are recorded as realized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments received by the Portfolios are included as part of realized gain (loss) on the Statements of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in interest rates.

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

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

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

210

Notes to Financial Statements (unaudited)

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

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

If the Portfolio is a seller of protection and a credit event occurs, the Portfolio will either pay to the buyer of the protection an amount equal to the notional value of the swap and may take delivery of the obligation or pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the agreement. Notional amounts and fair market value of all credit default swap agreements outstanding for each Portfolio are disclosed in the 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, 2021, are (amounts in thousands):

Asset Derivatives

Liability Derivatives

Portfolio

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

Index 500 Stock Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Large Company Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Index 400 Stock Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Mid Cap Value Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

173

Payables – Foreign Currency

Index 600 Portfolio

Equity contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

International Growth Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

211

Notes to Financial Statements (unaudited)

Asset Derivatives

Liability Derivatives

Portfolio

Statement of Assets and

Liabilities Location

Value

Statement of Assets and

Liabilities Location

Value

Research International Core Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

International Equity Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

Payables – Foreign Currency

Short-Term Bond Portfolio

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Long-Term U.S. Government Bond Portfolio

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

Interest rate contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Inflation Protection Portfolio

Foreign exchange contracts

Receivables – Foreign Currency

818

Payables – Foreign Currency

Interest rate contracts

Receivables – Variation Margin (Futures)

Payables – Variation Margin (Futures)

124

Inflation contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Inflation contracts

Receivables – Outstanding Swaps Contracts, at Value

2,028

Payables – Outstanding Swaps Contracts, at Value

2,210

Multi-Sector Bond Portfolio

Credit contracts

Receivables – Outstanding Swaps Contracts, at Value

1,156

Payables – Outstanding Swaps Contracts, at Value

185

Credit contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

234

Foreign exchange contracts

Receivables – Foreign Currency

9,164

Payables – Foreign Currency

689

Interest rate contracts

Receivables – Variation Margin (Futures)

832

Payables – Variation Margin (Futures)

Interest rate contracts

Receivables – Variation Margin (Cleared Swap)

Payables – Variation Margin (Cleared Swap)

Realized gains and losses on derivative instruments, by contract type and primary risk exposure, for the period ended June 30, 2021 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	$	-	$	7,291		$	-	$	-	$	7,291
Large Company Value Portfolio
Foreign currency exchange contracts		-		-			193		-		193
Equity Income Portfolio
Foreign currency exchange contracts		-		-			3		-		3
Index 400 Stock Portfolio
Equity contracts		-		3,463			-		-		3,63
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-			99		-		99
Index 600 Stock Portfolio
Equity contracts		-		(376	)		-		1,688		1,312
International Growth Portfolio
Foreign currency exchange contracts		-		-			15		-		15
Research International Core Portfolio
Foreign currency exchange contracts		-		-			41		-		41

212

Notes to Financial Statements (unaudited)


	Realized Gain (Loss) on Derivatives Instruments
Portfolio	Options Written		Futures			Forward Currency Contracts			Swaps			Total
International Equity Portfolio
Foreign currency exchange contracts	$	-	$	-		$	(50	)	$	-		$	(50	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-			(339	)		-			(339	)
Short-Term Bond Portfolio
Interest rate contracts		-		486			-			-			486
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		2,349			-			19			2,368
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-			(1,898	)		-			(1,898	)
Inflation contracts		-		-			-			(4	)		(4	)
Interest rate contracts		-		1,060			-			-			1,060
Multi-Sector Bond Portfolio
Credit contracts		-		-			-			9,192			9,192
Foreign currency exchange contracts		-		-			(6,847	)		-			(6,847	)
Interest rate contracts		71		(15,499	)		-			1,712			(13,716	)

Change in unrealized appreciation and depreciation on derivative instruments, by contract type and primary risk exposure for the period ended June 30, 2021 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	$	-	$	51		$	-		$	-		$	51
Large Company Value Portfolio
Foreign currency exchange contracts		-		-			182			-			182
Equity Income Portfolio
Foreign currency exchange contracts		-		-			(3	)		-			(3	)
Index 400 Stock Portfolio
Equity contracts		-		(628	)		-			-			(628	)
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-			504			-			504
Index 600 Stock Portfolio
Equity Contracts		-		575			-			(894	)		(319	)
International Growth Portfolio
Foreign currency exchange contracts		-		-			(91	)		-			(91	)
Research International Core Portfolio
Foreign currency exchange contracts		-		-			(153	)		-			(153	)
International Equity Portfolio
Foreign currency exchange contracts		-		-			(192	)		-			(192	)
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-			(9	)		-			(9	)
Short-Term Bond Portfolio
Interest rate contracts		-		(151	)		-			-			(151	)
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		(425	)		-			381			(44	)
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-			1,123			-			1,123
Interest rate contracts		-		(685	)		-			-			(685	)
Inflation contracts		-		-			-			7,583			7,583

213

Notes to Financial Statements (unaudited)


	Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
Portfolio	Options Written		Futures		Forward Currency Contracts		Swaps			Total
Multi-Sector Bond Portfolio
Credit contracts	$	-	$	-	$	-	$	(5,748	)	$	(5,748	)
Foreign currency exchange contracts		-		-		12,068		-			12,068
Interest rate contracts		-		3,808		-		680			4,488

Volumes on derivative instruments by contract type and primary risk exposure, for the period ended June 30, 2021 are:


Portfolio	Volume of Derivative Instruments Held
	Average Number of Contracts				Average Notional (Amounts in Thousands)
	Exchange Traded Options		Futures		Forward Currency Contracts		Swaps		Over the Counter Options
Index 500 Stock Portfolio
Equity contracts		-		183		-		-		-
Large Company Value Portfolio
Foreign currency exchange contracts		-		-		20,081		-		-
Equity Income Portfolio
Foreign currency exchange contracts		-		-		-		-		-
Index 400 Stock Portfolio
Equity contracts		-		44		-		-		-
Mid Cap Value Portfolio
Foreign currency exchange contracts		-		-		51,368		-		-
Index 600 Stock Portfolio
Equity contracts		-		42		-		4,229		-
International Growth Portfolio
Foreign currency exchange contracts		-		-		665		-		-
Research International Core Portfolio
Foreign currency exchange contracts		-		-		137		-		-
International Equity Portfolio
Foreign currency exchange contracts		-		-		8		-		-
Emerging Markets Equity Portfolio
Foreign currency exchange contracts		-		-		105		-		-
Short-Term Bond Portfolio
Interest rate contracts		-		482		-		-		-
Long-Term U.S. Government Bond Portfolio
Interest rate contracts		-		229		-		34,930		-
Inflation Protection Portfolio
Foreign currency exchange contracts		-		-		31,734		-		-
Interest rate contracts		-		332		-		-		-
Inflation contracts		-		-		-		175,750		-
Multi-Sector Bond Portfolio
Credit contracts		-		-		-		257,568		-
Foreign currency exchange contracts		-		-		754,718		-		-
Interest rate contracts		38		2,440		-		118,220		7,257

214

Notes to Financial Statements (unaudited)

NOTE 6. PORTFOLIO RISK

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Portfolios’ income. Similar to credit risk, the Portfolios may be exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Portfolios’ investments may be illiquid and the Portfolios may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Portfolio is required to liquidate all or a portion of its investments quickly, the Portfolio may realize significantly less than the value at which it previously recorded those investments.

LIBOR

Instruments in which the Fund invests may pay interest at floating rates based on the London Interbank Offered Rate (“LIBOR”) or may be subject to interest caps or floors based on LIBOR. In 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021, and it is expected that LIBOR will cease to be published after that time. Various financial industry groups are planning for the transition away from LIBOR to a new reference rate such as the Secured Overnight Financing Rate (“SOFR”), which is intended to replace the U.S. dollar LIBOR but there are various challenges to converting certain securities and transactions to a new reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments which reference LIBOR and could lead to significant short-term and long-term uncertainty and market instability. Uncertainty remains regarding the effects of implementing replacement reference rates for LIBOR on the Fund, issuers of instruments in which the Fund invests and financial markets generally. Changes accompanying the transition to a new reference rate may have an adverse impact on a Fund’s investments, performance or financial condition.

COVID-19

During the first quarter of 2020, the World Health Organization declared COVID-19 to be a public health emergency. COVID-19 led to increased short-term market volatility during 2020 and may result in additional adverse effects on the U.S. and world economies and markets in general. COVID-19 adversely affected the value of the Portfolios’ investments during 2020 and may have future adverse impact on Portfolio investments in the future. Because of the uncertainties regarding the ongoing impact of COVID-19 on the global economy, and business operations, and securities markets, values reflected in these financial statements may materially differ from the value received upon actual sales of those investments.

The extent of the impact on the performance of the Portfolios and their investments will depend on future developments, including the duration and spread of the COVID-19 pandemic, related restrictions and advisories, the effectiveness of responsive measures by individual countries (such as vaccine distribution), and the effects of the pandemic on the financial markets and economy overall, all of which are highly uncertain and cannot be predicted.

Master Netting Arrangements

The Portfolios are subject to various Master Agreements that govern the terms of certain transactions. Master Repurchase Agreements and Global Master Repurchase Agreements are in place that governs repurchase, reverse repurchase, and sale-buyback financing transactions. Master Securities Forward Transaction Agreements are in place that govern the settlement of certain forward settling transactions including to-be-announced securities, delayed-delivery or sale-buyback financing transactions. Customer Account Agreements and related addenda are in place that govern certain cleared derivative transactions including futures and cleared OTC derivatives. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA agreements”) are in place that governs certain OTC financial derivative transactions. ISDA agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA agreement. The terms of Master Agreements

215

Notes to Financial Statements (unaudited)

may reduce counterparty risk with respect to transactions governed by the Master Agreement under certain circumstances. Certain Portfolios have agreements with counterparties that contain provisions, or contingency features, that allow net settlement in the event of contract termination and permit termination by either party prior to maturity upon the occurrence of certain stated events, such as failure to pay or bankruptcy. In addition, certain agreements specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty would allow the Portfolio to terminate while a decline in the Portfolio’s net assets of more than a certain percentage would allow the counterparty to terminate. In such a situation, the counterparty involved would have the option to waive the triggering event or liquidate the affected positions pursuant to the terms of the related agreement. The aggregate amount of derivatives in a liability position is disclosed in Note 5.

Offsetting Assets and Liabilities

Certain Portfolios are parties to enforceable master netting or similar agreements which provide for the right of offset under certain circumstances. The Portfolios have made an accounting policy election not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities. As such, all financial and derivative instruments are presented on a gross basis on the Statements of Assets and Liabilities. The impacts of netting arrangements that provide the right to offset are detailed below (amounts in thousands). The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing transactions such as repurchase agreements and certain forward settling transactions can only be netted across transactions governed under the same Master Agreement with the same legal entity. For certain Portfolios, derivative amounts do not reconcile to the Statements of Assets and Liabilities due to the Statements of Assets and Liabilities including derivatives that are not covered under master netting or similar agreements. The amount of collateral, for the period ended June 30, 2021, 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
Morgan Stanley Capital Services, Inc.	$	75	$	-	$	75	$	(3	)	$	-		$	(3	)	$	72		$	-		$	72

Total	$	75	$	-	$	75	$	(3	)	$	-		$	(3	)	$	72		$	-		$	72

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
Morgan Stanley Capital Services, Inc.	$	173	$	-	$	173	$	(4	)	$	-		$	(4	)	$	169		$	(169	)	$	-

Total	$	173	$	-	$	173	$	(4	)	$	-		$	(4	)	$	169		$	(169	)	$	-

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	$	-	$	383	$	383	$	-		$	(561	)	$	(561	)	$	(178	)	$	140		$	(38	)
Barclays Bank PLC		-		-		-		-			(1,649	)		(1,649	)		(1,649	)		-			(1,649	)
Goldman Sachs International		-		1,645		1,645		-			-			-			1,645			(1,590	)		55
Morgan Stanley Capital Services, Inc.		818		-		818		-			-			-			818			(604	)		214

Total	$	818	$	2,028	$	2,846	$	-		$	(2,210	)	$	(2,210	)	$	636		$	(2,054	)	$	(1,418	)

216

Notes to Financial Statements (unaudited)

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	$	24	$	-	$	24	$	(129	)	$	-	$	-		$	(129	)	$	(105	)	$	-		$	(105	)
Barclays Bank PLC		21		162		183		(178	)		-		(183	)		(361	)		(178	)		-			(178	)
BNP Paribas SA		7,296		65		7,361		-			-		-			-			7,361			(6,440	)		921
Goldman Sachs International		-		403		403		-			-		-			-			403			(280	)		123
Goldman Sachs Bank USA		1,688		-		1,688		(156	)		-		-			(156	)		1,532			(1,350	)		182
HSBC Bank USA NA		96		-		96		(195	)		-		-			(195	)		(99	)		99			-
JP Morgan Chase Bank NA		-		478		478		(1	)		-		(2	)		(3	)		475			(475	)		-
Morgan Stanley Capital Services, Inc.		-		48		48		-			-		-			-			48			-			48
Royal Bank of Scotland PLC		29		-		29		(30	)		-		-			(30	)		(1	)		-			(1	)
UBS AG		10		-		10		-			-		-			-			10			-			10

Total	$	9,164	$	1,156	$	10,320	$	(689	)	$	-	$	(185	)	$	(874	)	$	9,446		$	(8,446	)	$	1,000

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	$	20,000	$	-	$	-	$	20,000	$	(20,000	)	$	-
Bank of Nova Scotia		12,000		-		-		12,000		(12,000	)		-
BNP Paribas SA		40,000		-		-		40,000		(40,000	)		-
Citigroup Global Markets		21,000		-		-		21,000		(21,000	)		-
Goldman Sachs International		15,000		-		-		15,000		(15,000	)		-
Mitsubishi UFJ Securities USA		10,000		-		-		10,000		(10,000	)		-
Mizuho Bank		22,000		-		-		22,000		(22,000	)		-
Natixis SA		10,000		-		-		10,000		(10,000	)		-
TD Securities USA		19,000		-		-		19,000		(19,000	)		-

Total	$	169,000	$	-	$	-	$	169,000	$	(169,000	)	$	-

Long-Term US Government Bond Portfolio


Counterparty	Payable for Short Sales			Payable for Reverse Repurchase Agreements		Payable for Financing Transactions			Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Credit Suisse AG	$	(5,351	)	$	-	$	-		$	(5,351	)	$	-	$	(5,351	)
Goldman Sachs International		-			-		(143,706	)		(143,706	)		143,704		(2	)
Morgan Stanley Capital
Services, Inc.		-			-		(5,579	)		(5,579	)		5,579		-

Total	$	(5,351	)	$	-	$	(149,285	)	$	(154,636	)	$	149,283	$	(5,353	)

The Long-Term US Government Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2021 was $60,737 (amount in thousands) at a weighted average interest rate of 0.021%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.

Multi-Sector Bond Portfolio


Counterparty	Investment in Repurchase Agreements		Payable for Reverse Repurchase Agreements			Payable for Financing Transactions		Net Market Value			Collateral Pledged/ (Received)		Net Exposure
Barclays Bank PLC	$	-	$	(2,194	)	$	-	$	(2,194	)	$	2,194	$	-

Total	$	-	$	(2,194	)	$	-	$	(2,194	)	$	2,194	$	-

217

Notes to Financial Statements (unaudited)

The Multi-Sector Bond Portfolio average amount of borrowings outstanding during the period ended June 30, 2021 was $194 (amount in thousands) at a weighted average interest rate of (0.750)%. Average borrowings include reverse repurchase agreements and sale-buyback transactions, if held during the period.

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

The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services to MSA, an affiliate and wholly-owned subsidiary of Northwestern Mutual. Certain Portfolios, listed below, pay at a fixed annual rate based on the average daily net asset values of the Portfolio.


Portfolio	Fee
Index 500 Stock Portfolio		0.20%
Index 400 Stock Portfolio		0.25%
Mid Cap Value Portfolio		0.85%
Small Cap Value Portfolio		0.85%
Government Money Market Portfolio		0.30%
Select Bond Portfolio		0.30%
Balanced Portfolio		0.30%

For the other Portfolios, the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:


Portfolio	First $50 Million			Next $50 Million			Excess Over $100 Million
Growth Stock Portfolio		0.60	%		0.50	%		0.40	%
Large Cap Core Stock Portfolio		0.60	%		0.50	%		0.40	%
Mid Cap Growth Stock Portfolio		0.80	%		0.65	%		0.50	%
Small Cap Growth Stock Portfolio		0.80	%		0.65	%		0.50	%
High Yield Bond Portfolio		0.60	%		0.50	%		0.40	%

Portfolio	First $100 Million			Next $400 Million			Excess Over $500 Million
Focused Appreciation Portfolio		0.80	%		0.75	%		0.70	%

Portfolio	First $100 Million			Next $150 Million			Excess Over $250 Million
Large Company Value Portfolio		0.72	%		0.67	%		0.62	%
Domestic Equity Portfolio		0.65	%		0.55	%		0.50	%
International Growth Portfolio		0.75	%		0.65	%		0.55	%
Short-Term Bond Portfolio		0.35	%		0.33	%		0.30	%
Long-Term U.S. Government Bond Portfolio		0.555	%		0.515	%		0.495	%
Inflation Protection Portfolio		0.58	%		0.55	%		0.49	%
Multi-Sector Bond Portfolio		0.79	%		0.78	%		0.77	%
Asset Allocation Portfolio		0.60	%		0.50	%		0.40	%

Portfolio	First $150 Million			Next $150 Million			Next $200 Million			Excess Over $500 Million
Large Cap Blend Portfolio		0.77	%		0.70	%		0.62	%	0.56%
Research International Core Portfolio		0.88	%		0.82	%		0.75	%	0.68%

Portfolio	First $500 Million			Excess Over $500 Million
Equity Income Portfolio		0.65	%		0.60	%

218

Notes to Financial Statements (unaudited)


Portfolio	First $200 Million			Excess Over $200 Million
Index 600 Stock Portfolio		0.25	%		0.20	%

Portfolio	First $50 Million			Excess Over $50 Million
International Equity Portfolio		0.85	%		0.65	%

Portfolio	First $250 Million			Next $250 Million			Next $500 Million			Excess Over $1.0 Billion
Emerging Markets Equity Portfolio		1.14	%		1.08	%		0.96	%		0.78	%

For certain Portfolios, MSA contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses (excluding taxes, brokerage, other investment-related costs, interest and dividend expenses and charges, acquired fund fees, fees for class actions, other passive securities litigation and antitrust 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, 2022
Large Cap Blend Portfolio	0.85	%		April 30, 2022
Large Company Value Portfolio	0.80	%		April 30, 2022
Domestic Equity Portfolio	0.75	%		April 30, 2022
Equity Income Portfolio	0.75	%		April 30, 2022
Mid Cap Value Portfolio	1.00	%		April 30, 2022
Index 600 Stock Portfolio	0.35	%		April 30, 2022
Small Cap Value Portfolio	1.00	%		April 30, 2022
International Growth Portfolio	1.10	%		April 30, 2022
Research International Core Portfolio	1.15	%		April 30, 2022
Emerging Markets Equity Portfolio	1.50	%		April 30, 2022
Short-Term Bond Portfolio	0.45	%		April 30, 2022
Long-Term U.S. Government Bond Portfolio	0.65	%		April 30, 2022
Inflation Protection Portfolio	0.65	%		April 30, 2022
Multi-Sector Bond Portfolio	0.90	%		April 30, 2022
Asset Allocation Portfolio	0.75	%		April 30, 2022

Growth Stock Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.38% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

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, 2022.

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, 2022.

Large Cap Blend Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $150 million of average net assets, 0.67% on the next $150 million, 0.62% on the next $200 million, and 0.56% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

219

Notes to Financial Statements (unaudited)

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, 2022.

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, 2022.

Domestic Equity Portfolio — For the period from January 1, 2021 through April 30, 2021, 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, 0.45% on the next $500 million, and 0.43% on the average net assets in excess of $1 billion. Effective May 1, 2021, MSA has agreed to waive a portion of its management fee such that the management fee is 0.65% on the Portfolio’s first $100 million of average net assets, 0.55% on the next $150 million, 0.50% on the next $250 million, 0.43% on the next $500 million, and 0.41% on the average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

Equity Income Portfolio — For the period from January 1, 2021 through April 30, 2021, MSA agreed to waive a portion of its management fee such that the management fee was 0.58% on the Portfolio’s first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. Effective May 1, 2021, MSA has agreed to waive a portion of its management fee such that the management fee is 0.56% on the Portfolio’s first $500 million of average net assets, 0.53% on the next $1 billion, and 0.52% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

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, 2022.

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, 2022.

Mid Cap Value Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.79% on the Portfolio’s first $150 million of average net assets, 0.67% on the next $350 million, and 0.64% on the average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

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, 2022.

International Growth Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.75% on the Portfolio’s first $100 million of average net assets, 0.65% on the next $150 million, 0.55% on the next $750 million, and 0.54% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

Research International Core Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.83% on the Portfolio’s first $150 million of average net assets, 0.77% on the next $150 million, 0.70% on the next $200 million, and 0.63% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

International Equity Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.69% on the Portfolio’s first $50 million of average net assets, 0.54% on the next $450 million, 0.52% on the next $500 million, 0.46% on the next $500 million, and 0.40% on the average net assets in excess of $1.5 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

220

Notes to Financial Statements (unaudited)

Emerging Markets Equity Portfolio — MSA agreed to waive a portion of its management fee such that its management fee was 0.95% on the Portfolio’s first $250 million of average net assets, 0.87% on the next $250 million, 0.84% on the next $500 million, and 0.78% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

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, 2022. In addition, MSA has voluntarily agreed to waive its advisory fee and/or reimburse expenses in excess of the Government Money Market Portfolio’s daily yield so as to maintain a zero or positive yield for the Portfolio. This voluntary waiver is reviewed periodically by MSA in light of market and economic developments and may be revised or discontinued at any time without advance notice.

Short-Term Bond Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.35% on the Portfolio’s first $100 million of average net assets, 0.33% on the next $150 million, 0.30% on the next $250 million, and 0.28% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

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, 2022.

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, 2022.

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, 2022.

High Yield Bond Portfolio — MSA agreed to waive a portion of its management fee such that the management fee is 0.60% on the Portfolio’s first $50 million of average net assets, 0.50% on the next $50 million, 0.40% on the next $900 million, and 0.30% on average net assets in excess of $1 billion. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

Multi-Sector Bond Portfolio — MSA has agreed to waive a portion of its management fee such that the management fee is 0.74% on the Portfolio’s first $100 million of average net assets, 0.73% on the next $150 million, 0.70% on the next $250 million, and 0.65% on average net assets in excess of $500 million. MSA may terminate this fee waiver agreement at any time after April 30, 2022.

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, 2022.

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, 2022.

Waivers are not recoupable in future periods.

With respect to certain Portfolios, MSA has engaged and oversees unaffiliated sub-advisers who manage the day-to-day investment operations of such Portfolios. MSA pays each sub-adviser a fee based on the average daily net assets of each such Portfolio out of its investment management fee.

Compliance fees are paid to Northwestern Mutual, an affiliate of the Series Fund. The compliance fees paid are for the compensation, benefits and expenses of the Chief Compliance Officer and compliance staff. The amounts paid relate only to the Chief Compliance Officer and compliance staffs’ duties and functions performed for the Series Fund.

221

Notes to Financial Statements (unaudited)

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, 2020 is provided below:


	Short-Term Loss Carryover		Long-Term Loss Carryover		Losses Utilized
	(Amounts in thousands)
Equity Income Portfolio	$	52	$	74	$	-
Mid Cap Value Portfolio		-		-		972
International Equity Portfolio		57,003		225,051		-
Emerging Markets Equity Portfolio		-		22,115		3,539
Short-Term Bond Portfolio		-		-		2,171
Inflation Protection Portfolio		-		-		3,162
High Yield Bond Portfolio		-		8,872		-
Multi-Sector Bond Portfolio		-		-		6

Capital losses are carried forward indefinitely and retain the character of the original loss. These losses are deferred to the first day of the next fiscal year.

When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the period ended December 31, 2020 was as follows:


	2020 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain
	(Amounts in thousands)
Growth Stock Portfolio	$	7,243	$	188,737
Focused Appreciation Portfolio		5,853		44,520
Large Cap Core Stock Portfolio		8,189		16,446
Large Cap Blend Portfolio		8,282		2,310
Index 500 Stock Portfolio		66,724		72,356
Large Company Value Portfolio		4,036		6,787
Domestic Equity Portfolio		17,733		40,200
Equity Income Portfolio		33,847		29,982
Mid Cap Growth Stock Portfolio		3,099		49,141
Index 400 Stock Portfolio		12,712		43,558
Mid Cap Value Portfolio		9,956		-
Small Cap Growth Stock Portfolio		8,721		30,794
Index 600 Stock Portfolio		5,826		9,999
Small Cap Value Portfolio		4,704		31,283
International Growth Portfolio		13,439		3,199
Research International Core Portfolio		17,093		13,848
International Equity Portfolio		56,976		-
Emerging Markets Equity Portfolio		18,235		-
Government Money Market Portfolio		1,423		-
Short-Term Bond Portfolio		8,186		-
Select Bond Portfolio		108,721		-
Long-Term U.S. Government Bond Portfolio		9,500		2,162

222

Notes to Financial Statements (unaudited)


	2020 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain
Inflation Protection Portfolio	$	7,844	$	-
High Yield Bond Portfolio		47,246		-
Multi-Sector Bond Portfolio		42,792		66
Balanced Portfolio		58,432		73,855
Asset Allocation Portfolio		7,007		11,152

As of December 31, 2020, 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	$	50 $		55,949	$	-		$	485,326
Focused Appreciation Portfolio		8,040		120,591		-			565,856
Large Cap Core Stock Portfolio		10,190		53,295		-			186,708
Large Cap Blend Portfolio		1,241		11,839		-			47,913
Index 500 Stock Portfolio		66,593		120,518		-			2,718,039
Large Company Value Portfolio		5,187		-		-			22,824
Domestic Equity Portfolio		18,599		23,353		-			229,051
Equity Income Portfolio		17,192		-		(126	)		136,930
Mid Cap Growth Stock Portfolio		37,141		139,880		-			277,197
Index 400 Stock Portfolio		21,306		28,452		-			325,548
Mid Cap Value Portfolio		7,676		5,108		-			70,678
Small Cap Growth Stock Portfolio		25,119		57,862		-			275,234
Index 600 Stock Portfolio		5,493		4,200		-			71,047
Small Cap Value Portfolio		2,911		29,247		-			178,966
International Growth Portfolio		5,610		29,044		-			333,069
Research International Core Portfolio		10,349		14,426		-			208,301
International Equity Portfolio		43,243		-		(282,055	)		240,804
Emerging Markets Equity Portfolio		5,200		-		(22,115	)		351,939
Government Money Market Portfolio		-		-		-			-
Short-Term Bond Portfolio		8,138		-		-			7,970
Select Bond Portfolio		202,685		25,233		-			87,626
Long-Term U.S. Government Bond Portfolio		26,311		-		-			(11,067	)
Inflation Protection Portfolio		5,663		62		-			30,997
High Yield Bond Portfolio		43,872		-		(8,872	)		21,205
Multi-Sector Bond Portfolio		27,784		6,708		-			56,418
Balanced Portfolio		64,726		103,835		-			257,130
Asset Allocation Portfolio		7,196		15,602		-			38,202

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, 2021 are summarized below (amounts in thousands):


Portfolio	2021 Reimbursements
International Growth Portfolio	$	823
International Equity Portfolio		3,341
Research International Core Portfolio		1,090
Emerging Markets Equity Portfolio		1,059

223

Notes to Financial Statements (unaudited)

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, 2021, transactions in securities other than short term investments were:


Portfolios	Non-U.S. Govt. Security Purchases		U.S. Govt. Security Purchases		Non-U.S. Govt. Security Sales/ Maturities		U.S. Govt. Security Sales/ Maturities
			(Amounts in thousands)
Growth Stock Portfolio	$	218,835	$	-	$	302,770	$	-
Focused Appreciation Portfolio		8,630		-		68,844		-
Large Cap Core Stock Portfolio		218,410		-		240,608		-
Large Cap Blend Portfolio		26,171		-		28,701		-
Index 500 Stock Portfolio		75,581		-		118,684		-
Large Company Value Portfolio		53,098		-		61,875		-
Domestic Equity Portfolio		168,131		-		191,462		-
Equity Income Portfolio		85,611		-		146,008		-
Mid Cap Growth Stock Portfolio		160,774		-		216,003		-
Index 400 Stock Portfolio		125,223		-		143,864		-
Mid Cap Value Portfolio		215,192		-		228,400		-
Small Cap Growth Stock Portfolio		216,495		-		254,412		-
Index 600 Stock Portfolio		58,218		-		49,079		-
Small Cap Value Portfolio		80,736		-		128,841		-
International Growth Portfolio		136,321		-		99,997		-
Research International Core Portfolio		91,548		-		111,059		-
International Equity Portfolio		370,641		-		373,068		-
Emerging Markets Equity Portfolio		169,890		-		198,268		-
Short-Term Bond Portfolio		104,473		44,173		58,146		42,221
Select Bond Portfolio		1,613,627		3,966,294		1,622,036		3,690,169
Long-Term U.S. Government Bond Portfolio		699		3,322		887		32,632
Inflation Protection Portfolio		92,317		105,029		96,078		79,088
High Yield Bond Portfolio		169,310		-		154,057		-
Multi-Sector Bond Portfolio		260,064		23,132		139,011		-
Balanced Portfolio		173,805		-		248,195		-
Asset Allocation Portfolio		19,463		-		26,756		-

224

Notes to Financial Statements (unaudited)

Transactions with Affiliated Companies

An affiliated company is a company in which a Portfolio has ownership of at least 5% of the voting securities or which the Portfolio controls, is controlled by or with which the Portfolio is under common control. Transactions with affiliated companies during the period ended June 30, 2021 are as follows:


Portfolio	Value at 12/31/2020		Purchases		Sales		Value at 6/30/2021		Change in Unrealized Appreciation /Depreciation			Realized Gain (Loss)		Income Dividends		Capital Gain Distributions		% Ownership, 6/30/2021
Balanced:								(Amounts in thousands)
Growth Stock	$	103,721	$	-	$	29,200	$	85,126	$	1,818		$	8,787	$	-	$	-		6.3	%
Focused Appreciation		80,740		-		-		91,935		11,195			-		-		-		7.1	%
Large Cap Core Stock		80,193		-		4,000		87,578		10,254			1,131		-		-		11.0	%
Large Cap Blend		79,713		-		-		87,913		8,200			-		-		-		45.3	%
Large Company Value		76,500		-		9,700		77,202		9,146			1,256		-		-		33.5	%
Domestic Equity		77,327		-		10,200		76,516		5,713			3,676		-		-		7.4	%
Equity Income		77,083		-		10,500		80,084		11,952			1,549		-		-		9.3	%
Mid Cap Growth Stock		104,743		-		11,000		102,607		5,771			3,093		-		-		7.4	%
Mid Cap Value		98,371		2,800		8,300		108,394		14,125			1,398		-		-		16.1	%
Small Cap Growth Stock		25,240		-		-		26,516		1,276			-		-		-		3.1	%
Small Cap Value		24,696		-		-		28,711		4,015			-		-		-		4.3	%
International Growth		54,751		-		-		59,973		5,222			-		-		-		5.9	%
Research International Core		142,307		-		35,700		115,496		(5,415	)		14,304		-		-		12.4	%
International Equity		60,205		-		-		65,764		5,559			-		-		-		3.4	%
Emerging Markets Equity		17,445		7,500		-		26,454		1,509			-		-		-		2.5	%
Short-Term Bond		13,162		10,800		-		24,017		55			-		-		-		5.8	%
Select Bond		936,914		-		36,900		885,420		(16,858	)		2,264		-		-		25.8	%
High Yield Bond		107,889		-		20,300		91,460		3,296			575		-		-		10.8	%
Multi-Sector Bond		44,229		74,900		-		120,432		1,303			-		-		-		9.3	%

	$	2,205,229	$	96,000	$	175,800	$	2,241,598	$	78,136		$	38,033	$	-	$	-

Asset Allocation:
Growth Stock	$	17,329	$	-	$	3,900	$	15,308	$	779		$	1,100	$	-	$	-		1.1	%
Focused Appreciation		13,532		-		-		15,408		1,876			-		-		-		1.2	%
Large Cap Core Stock		13,454		-		300		15,074		1,835			85		-		-		1.9	%
Large Cap Blend		13,344		-		-		14,716		1,372			-		-		-		7.6	%
Large Company Value		12,759		-		1,000		13,509		1,615			135		-		-		5.9	%
Domestic Equity		12,772		-		1,300		13,035		1,095			468		-		-		1.3	%
Equity Income		12,894		-		1,500		13,670		2,055			221		-		-		1.6	%
Mid Cap Growth Stock		15,785		-		850		16,286		1,232			119		-		-		1.2	%
Mid Cap Value		14,743		850		800		17,182		2,243			146		-		-		2.6	%
Small Cap Growth Stock		7,136		-		-		7,497		361			-		-		-		0.9	%
Small Cap Value		7,059		-		-		8,206		1,147			-		-		-		1.2	%
International Growth		10,750		-		-		11,775		1,025			-		-		-		1.2	%
Research International Core		24,430		-		3,600		22,563		267			1,466		-		-		2.4	%
International Equity		11,230		-		-		12,267		1,037			-		-		-		0.6	%
Emerging Markets Equity		3,704		800		-		4,773		269			-		-		-		0.4	%
Short-Term Bond		1,376		1,900		-		3,283		7			-		-		-		0.8	%
Select Bond		68,858		-		4,000		63,780		(1,332	)		254		-		-		1.9	%
High Yield Bond		19,409		-		1,400		18,748		690			49		-		-		2.2	%
Multi-Sector Bond		6,031		9,900		-		16,107		176			-		-		-		1.2	%

	$	286,595	$	13,450	$	18,650	$	303,187	$	17,749		$	4,043	$	-	$	-

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

225

Notes to Financial Statements (unaudited)

effected at the current market price as defined under the Procedures. Pursuant to the Procedures, for the period ended June 30, 2021, the Series Fund Portfolios engaged in the following cross-trades (amounts in thousands):



Portfolio	Cross Trade Purchases
Large Cap Core Portfolio	$	546
Large Company Value Portfolio		218
International Growth Portfolio		4,596
Research International Core Portfolio		1,074
High Yield Bond Portfolio		28


	Cross Trade Sales
Portfolio	Proceeds		Net Realized Gain (Loss) on Sales
Mid Cap Value Portfolio	$	1,042		184
Small Cap Growth Stock Portfolio		979		154
Small Cap Value Portfolio		951		(115	)
International Growth Portfolio		1,565		96
Research International Core Portfolio		57		-

NOTE 12. LITIGATION

The Index 500 Stock, Small Cap Value and Equity Income Portfolios are among the defendants in a lawsuit relating to their receipt of proceeds from the 2007 Tribune Co. leveraged buy-out (“Tribune LBO”) transaction. The lawsuit 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 lawsuit alleges no misconduct by the Portfolios or management, and management intends to vigorously defend all claims and allegations. The plaintiffs 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, 2021, were: Index 500 Stock Portfolio $977,000 (0.02%) of net assets; Small Cap Value Portfolio $618,000 (0.09% of net assets); and Equity Income Portfolio $2,873,000 (0.33% of net assets). Management has not concluded that a loss is reasonably likely to occur, and therefore no loss accrual has been recorded.

226

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements


ADR		American Depositary Receipt
AFC		Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR		Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE		Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
IO		Interest Only Security
PO		Principal Only Security
GDR		Global Depositary Receipt
GO		General Obligation
RB		Revenue Bond
CPURNSA		U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
LIBOR		London Interbank Offered Rate
SOFR		Secured Overnight Financing Rate
ICE		Intercontinental Exchange
SONIO		Sterling Overnight Interbank Average Rate
DAC		Designated Activity Company
TBA		To Be Announced
OIS		Overnight Index Swaps
DIFC		Dubai International Financial Centre
EURIBOR		Euro Interbank Offered Rate
Currency Abbreviations
ARS		Argentine Peso
AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
CHF		Swiss Franc
CNH		Chinese Yuan Renminbi - Offshore
CNY		Chinese Yuan Renminbi
DKK		Danish Krone
EUR		Euro
GBP		British Pound
HKD		Hong Kong Dollar
HUF		Hungarian Forint
IDR		Indonesian Rupiah
INR		Indian Rupee
JPY		Japanese Yen
KES		Kenyan Shilling
KRW		South Korean Won
MXN		Mexican New Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippines Peso
PLN		Polish Zloty
RUB		Russian Ruble
SEK		Swedish Krona
THB		Thai Baht
TWD		Taiwan Dollar
USD		United States Dollar
ZAR		South African Rand

227

Proxy Voting and Portfolio Holdings (unaudited)

Proxy Voting Guidelines

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.

Quarterly Filing of Portfolio Holdings

Each Portfolio, other than the Government Money Market Portfolio, files its complete schedule of portfolio holdings on a monthly basis with the Securities and Exchange Commission (SEC) as an exhibit to its reports on Form N-PORT. Each Portfolio’s holdings reported on Form N-PORT for the first and third quarters of the fiscal year are available on the SEC’s website at http://www.sec.gov. Portfolios that file their holdings on Form N-PORT also make their complete schedule of portfolio holdings for the most recent quarter of their fiscal year available on the Internet at www.northwesternmutual.com.

The Government Money Market Portfolio files its complete schedule of portfolio holdings on a monthly basis with the SEC on Form N-MFP. Form N-MFP is available on the SEC’s website at http://www.sec.gov. The Government Money Market Portfolio also makes its complete schedule of portfolio holdings for the most recent month available on the Internet at www. northwesternmutual.com.

228

Statement Regarding Liquidity Risk Management Program (unaudited)

Each series/portfolio of Northwestern Mutual Series Fund, Inc. (“Series Fund”) other than the Government Money Market Portfolio (each, a “Portfolio”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Portfolio’s liquidity risk (which is defined as the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) the assessment, management and periodic review of liquidity risk; (ii) the classification of portfolio holdings; (iii) the establishment of a highly liquid investment minimum, as applicable; (iv) limitations on illiquid investments; and (v) related reporting, disclosure and recordkeeping.

The Board of Directors of the Series Fund (“Board”) has designated a multi-disciplinary committee to act as administrator of the Program (“Program Administrator” or “Committee”). The Committee’s membership includes representatives of the Series Fund’s investment adviser, Mason Street Advisors, LLC (“MSA”) as well as the Mutual Fund Administration and Managed Investments Compliance divisions of The Northwestern Mutual Life Insurance Company. Under the Program, the Program Administrator assesses, manages and periodically reviews each Portfolio’s liquidity risk and classifies each investment held by each Portfolio as a “highly liquid investment,” “moderately liquid investment,” “less liquid investment” or “illiquid investment.” The classification is based on a determination of the number of days it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. The liquidity of a Portfolio’s portfolio investments is determined based on the varying levels at which the Portfolio expects to trade in a particular investment or asset class (the reasonably anticipated trading size) and other relevant market, trading and investment-specific considerations under the Program. In addition to the foregoing, the Program Administrator determines the need for, and if applicable, establishes highly liquid investment minimums (“HLIM”) (a minimum percentage of net assets that must be invested in highly liquid investments that are assets), oversees the preparation of reports to the Board and the Securities and Exchange Commission required by the Liquidity Rule, and prepares required written annual reports on the operation and adequacy of the Program.

Pursuant to the Liquidity Rule, no Portfolio may acquire any illiquid investment if, after the acquisition, the Portfolio would have invested more than 15% of its assets in illiquid investments that are assets. In addition, the Liquidity Rule requires funds that do not primarily hold assets that are highly liquid investments to adopt an HLIM. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirements, as applicable. The Program contemplates the use of a third-party liquidity classification tool to aid the Program Administrator in assigning liquidity classifications and monitoring the Portfolios’ level of investments in each liquidity category.

During the six months ended June 30, 2021, the Board received and reviewed the annual written report of the Program Administrator (the “Report”), concerning the operation of the Program for the period from January 1, 2020 to March 31, 2021 (the “Reporting Period”). The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in reviewing the adequacy and effectiveness of the Program’s implementation with respect to each Portfolio during the Reporting Period. Such information and factors included, among other things:

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Each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Portfolio’s investment strategy was appropriate for an open-end fund; (ii) the extent to which the Portfolio’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) whether the Portfolio’s strategy involves holdings that are particularly sensitive to stressed market conditions; and (iv) the Portfolio’s use of derivatives;

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Statement Regarding Liquidity Risk Management Program (unaudited)

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The liquidity experience of each Portfolio during the Period;

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Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and

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Holdings of cash and cash equivalents, as well as other sources of liquidity.

In addition, the Program Administrator sought and considered the input of MSA and the sub-advisers as to whether any Portfolio had been impacted by market or sector-wide developments, changes in operations or other Portfolio specific circumstances that did, or could, materially impact the Portfolio’s liquidity risk profile. The Report also discussed notable events affecting liquidity over the Reporting Period, including the impact of the COVID 19 outbreak on the Portfolios and the overall market. No significant liquidity events impacting the Portfolios were noted in the Report. During the Reporting Period, each of the Portfolios continued to qualify as a fund that primarily holds assets that are highly liquid investments, and, therefore, no Portfolio was required to establish or comply with an HLIM as set forth in the Program.

Based on the information considered, the Report concluded that (i) the Program was reasonably designed to assess and manage liquidity risk; (ii) the Program was adequately and effectively implemented during the Reporting Period; (iii) each Portfolio’s investment strategy continues to be appropriate for an open-end fund; (iv) an HLIM continued to not be required or warranted for any of the Portfolios, and (v) each Portfolio was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Portfolio during the Reporting Period. There were no material changes to the Program during the Reporting Period.

There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to the Series Fund’s prospectus for more information regarding each Portfolio’s exposure to illiquidity risk and other risks to which it may be subject.

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Northwestern Mutual Series Fund, Inc.

Annual Contract Review Process

Under Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), contracts for investment advisory services are required to be reviewed, evaluated and approved by a majority of an investment company’s independent directors each year. In addition, each investment company is required to disclose in its annual or semi-annual report, as applicable, the material factors and conclusions that formed the basis for the board’s approval or renewal of any investment advisory agreements within the investment company’s most recently completed fiscal half-year period.

At least annually, the Board of Directors (the “Board”) of Northwestern Mutual Series Fund, Inc. (the “Series Fund”) considers and votes upon the renewal of the investment advisory agreement between Mason Street Advisors, LLC (“Mason Street Advisors”) and the Series Fund with respect to the portfolios of the Series Fund (each, a “Portfolio” and collectively, the “Portfolios”), as well as the investment sub-advisory agreements between Mason Street Advisors and each of the sub-advisers of those Portfolios for which Mason Street Advisors and the Board have appointed a sub-adviser. In order to afford the 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, 2021

At its February 24, 2021 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 24, 2021 meeting, the Board, including the Independent Directors, unanimously approved the continuance of a Second 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 3, 2021 meeting, the Board, including the Independent Directors, unanimously approved the continuance of (1) a Third Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Massachusetts Financial Services Company (“MFS”) relating to the Series Fund’s Research International Core Portfolio, (2) a 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) a 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) a Second Amended and Restated Investment Sub-Advisory Agreement between Mason Street Advisors and Fiduciary Management, Inc. (“Fiduciary”) 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.

Also at its June 3, 2021 meeting, the Board, including the Independent Directors, unanimously and conditionally approved an Investment Sub-Advisory Agreement between Mason Street Advisors and Wells Capital Management, Incorporated (“Wells Capital”), or its to-be-named successor under the terms of a planned change-in-control transaction, with respect to the Select Bond Portfolio. The foregoing Investment Sub-Advisory Agreement will sometimes be referred to herein as the “New Sub-Advisory Agreement.”

Wellington, MFS, FIAM, Templeton, Fiduciary, Aberdeen and Wells Capital are sometimes collectively referred to herein as the “Sub-Advisers,” and their respective sub-advised Portfolios are collectively referred to herein as the “Sub-Advised Portfolios.” The Investment Sub-Advisory Agreements with the Wellington, MFS, FIAM, Templeton, FMI and Aberdeen are collectively referred to herein as the “Existing Sub-Advisory Agreements.”

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

In determining whether to approve the New Sub-Advisory Agreement and the continuance of the Existing 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. With respect to the continuation of the Existing Sub-Advisory Agreements, while particular focus was given to an evaluation of the services, performance, fees, costs, and certain other relevant information under such Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to Mason Street Advisors and the Sub-Advisers and the nature, extent and quality of the services they provide to the Portfolios pursuant to the terms of the Existing Sub-Advisory Agreements is an ongoing one. As a result, the Board’s consideration of such services, and the performance, fees, costs and other relevant factors was also based upon information provided and deliberations that occurred at other meetings throughout the year.

The Independent Directors received a memorandum from their counsel advising them of their responsibilities in connection with the review and approval of the New Sub-Advisory Advisory Agreements and the review and approval of the continuance of the Existing 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 24, 2021 meeting, the Board, including the Independent Directors, unanimously approved the continuance of the Advisory Agreement with respect to each Series Fund Portfolio. In addition to the information presented by and about Mason Street Advisors during the course of that meeting, the materials provided to the directors in advance of the meeting included Mason Street Advisor’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from Mason Street Advisors designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Advisory Agreement. Those materials also included an independent report prepared by Broadridge (“Broadridge Report”) for each of the Portfolios. The Broadridge Report provided details regarding the fees, expenses, and performance returns captured over a variety of measurement periods, as well as comparative information associated with a 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 a summary from the Mason Street Advisors’ Chief Compliance Officer (“CCO”) of Mason Street Advisors’ compliance program, as well as the CCO’s Annual Compliance Report summarizing the results of his review and assessment of the adequacy of Mason Street Advisors’ compliance program. In addition to the information presented at the February 24, 2021 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 24, 2021 meeting and at each of the quarterly meetings prior thereto.

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Included as part of their review were the presentations and information provided by Mason Street Advisors regarding the services provided by Mason Street Advisors to the Portfolios. These services include the investment management services rendered by Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the Asset Allocation Portfolio and Balanced Portfolio. The directors considered the effectiveness of Mason Street Advisors’ portfolio managers in providing day-to-day portfolio management services for the foregoing Portfolios. The directors also considered the investment management, administrative and supervisory services related to Mason Street Advisors’ oversight, evaluation and ongoing monitoring of the various sub-advisers appointed to manage the majority of the Series Fund’s Portfolios. The directors considered the effectiveness and coverage of Mason Street Advisors supervisory oversight of the appointed sub-advisors, including its monitoring and assessment of sub-advisory investment performance, sub-advisory organizational and personnel developments, sub-advisory investment strategies and execution as well as Mason Street Advisors’ overall level of engagement with the sub-advisory investment teams. The directors considered recent changes to Mason Street Advisors’ staff, including changes to the portfolio management team for the Asset Allocation and Balanced Portfolios, and concluded that they were satisfied with the services that continued to be provided to such 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 directors considered the investment performance of each of the Portfolios over a variety of periods. The Broadridge Report assisted the Board in its evaluation of the performance of the Portfolios. In addition to considering performance for each Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Portfolio’s one-, three-, and five-year performance to the returns of appropriate index benchmarks, and to the performance averages of each Portfolio’s respective Broadridge and Lipper fund group categories 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. The directors evaluated each Portfolio’s performance against these peer groups, industry benchmarks and indices. They viewed this information as providing an objective comparative measure against which they could assess the performance of the Portfolios. The directors were also presented with information from Mason Street Advisors regarding the relevant market conditions and other factors affecting the performance of each Portfolio. The directors evaluated a chart provided by Broadridge regarding each Portfolio’s net returns relative to net expenses for the five-year period ended December 31, 2020, and considered those Portfolios placing in the bottom half for performance returns on a comparative basis. The directors considered the Mason Street Advisor’s oversight efforts and steps that had been taken to improve the performance of those Portfolios.

In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary, portfolio analysis and portfolio manager presentations they received periodically throughout the year. The directors gave weight to their ongoing discussions with senior management at Mason Street Advisors concerning Portfolio performance, as well as discussions among the Board, the Sub-Advisers and the portfolio managers of the Portfolios regarding investment strategies and Portfolio performance that occurred at meetings from time to time. While attentive to short-term performance and what it might indicate, the directors generally placed greater emphasis on longer-term performance.

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

The directors considered the performance returns of the Portfolios as reported by Broadridge, which indicated that 7 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, 2020, that 12 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, 2020, and that 19 of the 27 Portfolios were ranked in the first or second quartile for the five-year period ended December 31, 2020. The directors also considered the performance returns of the Portfolios as reported on a peer group basis by Lipper, which indicated that 9 of the 27 Portfolios were ranked in either the first or second quartile for their respective Lipper peer groups for the one-year period ended December 31, 2020, and that 11 of the 27 Portfolios were ranked in the first or second quartile for the three-year period ended December 31, 2020. The directors commented favorably on the strong, long-term performance records of the Asset Allocation and Balanced Portfolios.

Based on the Board’s review of investment performance over various periods and focused consideration regarding factors resulting in the performance of certain of the Portfolios, the Board concluded that, considering investment performance within the context of its overall determinations regarding the Advisory Agreement, it was satisfied with the relative investment performance of each Portfolio over time.

Management Fees and Other Expenses. The Broadridge Report assisted the Board in the evaluation of the relative expenses of the Portfolios. The directors reviewed a comparison of the management fees of the Portfolios and those of an independently selected peer group of mutual funds for each of the Portfolios. The directors further considered the expenses of each Portfolio and a comparison of those expenses with each Portfolio’s respective peer group and fund category group as a guide to help assess the reasonableness of each Portfolio’s advisory fees and net and total expense ratios. The Broadridge Report also included additional comparative information relating to other fee components, including costs relating to custodial services, shareholder reporting, audit expenses and advisory fees. The directors used the comparative data to help assess the reasonableness of each Portfolio’s advisory fee, although they acknowledged that it was difficult to make precise comparisons with other funds because of the differing manner in which service providers bundle the services they provide and the fees they charge.

In evaluating the level of management fees paid by each Portfolio, the directors considered the structure and size of the Portfolios, the fees paid by each Portfolio under the Advisory Agreement, the expense cap and fee waiver agreements in place for certain Portfolios, and the amounts waived or reimbursed by Mason Street Advisors under such agreements. In considering Mason Street Advisors’ management fees on a stand-alone basis, the directors took into consideration that the management fees compensated Mason Street Advisors for a broader range of services (both investment management and administrative services) than may be included under a typical investment management contract, and concluded that as a result of these additional services, viewing Mason Street Advisors’ management fees in light of Broadridge-reported averages might not provide the most accurate frame of reference for comparative purposes.

The directors also evaluated each Portfolio’s total operating expenses over various periods. The directors observed favorably that all 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, 2020, with 24 of the Portfolios ranking in the first quartile. With respect to the Large Cap Blend Portfolio, which had ranked in the 54th percentile in expenses for the year ended December 31, 2020, the directors considered that an advisory fee waiver was in place for the Portfolio to help improve the Portfolio’s expense ranking.

Based on their review of the management fees and other expenses, the comparative data, the performance of each Portfolio, and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Portfolios (as modified by the applicable expense waivers and fee caps) were reasonable in relation to the nature, scope and quality of advisory services provided by Mason Street Advisors and the performance of the Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors based upon its relationship with the Portfolios. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser. The directors considered Mason Street Advisors’ presentation to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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 to increase advisory fee waivers with respect to six of the Portfolios during 2020, to decrease the advisory fee waiver with respect to the Growth Stock Portfolio, and to increase existing advisory fee waivers with respect to the Domestic Equity and Equity Income Portfolios for the upcoming year.

The directors also received information on soft dollar arrangements and any other benefits to Mason Street Advisors or its affiliates arising from its relationship with the Portfolios, including (as applicable) the participation of fund families advised by certain sub-advisers to the Portfolios on the retail brokerage platform maintained by a brokerage affiliate of Mason Street Advisors, the participation of such fund families in a mutual fund partner program offered by such brokerage affiliate of Mason Street Advisors, and the payment of fees by the fund families based upon participation on the brokerage platform and the mutual fund partner program maintained by the brokerage affiliate of Mason Street Advisors.

The directors also considered that the assets of some of the Portfolios are invested in certain exchange traded funds (“ETFs”) beyond the limitations of the 1940 Act, in reliance on the relief granted in exemptive orders issued by the Securities and Exchange Commission to such ETFs. The Board concluded that the advisory fees payable to Mason Street Advisors by such Portfolios were based on services that were in addition to, and not duplicative of, services provided by the ETFs. The Board also considered the fund of funds model employed by the Asset Allocation and Balanced Portfolios in connection with their operation as funds of funds in consideration for these reduced advisory fees.

The directors recognized the difficulty in obtaining reliable comparative data about mutual fund managers’ profitability, since such information generally is not publicly available and may be impacted by numerous factors specific to the investment adviser and its method of allocating revenues and expenses. Based on their review of the profitability provided for each Portfolio, the Board concluded that they were satisfied that Mason Street Advisors’ level of profitability arising from each Portfolio was not excessive.

Economies of Scale. The directors also considered whether each Portfolio’s expense structure permitted economies of scale to be shared with Portfolio investors. The directors considered that breakpoints are contained in the advisory fee schedules for 20 of the 27 Portfolios and further considered the extent to which the Portfolios may benefit from economies of scale through those breakpoints. The directors also considered Mason Street Advisors’ explanation of why breakpoints for the remaining Portfolios had not been established, including that those Portfolios were ranked the lowest or close to the lowest in terms of total expenses of each Portfolio’s respective peer group as determined by Broadridge or benefited from advisory fee waivers and/or expense limitation agreements put in place by Mason Street Advisors. Also considered was Mason Street Advisors’ commitment to continue to regularly work with the Board to evaluate the need for additional breakpoints or fee waivers as each Portfolio’s assets grow over time. In particular, the directors considered that Mason Street Advisors had agreed to increase fee waivers with respect to six of the Portfolios for 2020 and increase the fee waivers for two additional Portfolios for 2021. Based on this information, the Board concluded that, within the context of its overall determinations regarding the Advisory Agreement, each Portfolio’s fee structure reflected appropriate economies of scale for the benefit of Portfolio investors.

Continuation of the Sub-Advisory Agreements between Mason Street Advisors and Certain Sub-Advisers

At its February 24, 2021 and June 3, 2021 meetings, the Board, including the Independent Directors, unanimously approved the continuance of the Existing Sub-Advisory Agreements with respect to the related Sub-Advised Portfolios. At those

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

meetings, the directors received a presentation from representatives of each Sub-Adviser involved in the management of the respective Sub-Advised Portfolios. In addition to the information presented by and about such Sub-Advisers during the course of those meetings, the directors also had each Sub-Adviser’s Section 15(c) Report, which contained responses to the information request letter prepared by counsel to the Independent Directors requesting certain information from the Sub-Advisers designed to assist the directors in fulfilling their responsibilities when considering the continuation of the Existing Sub-Advisory Agreements. The directors also had Mason Street Advisors’ Executive Summary and Overview of each Sub-Adviser and other materials prepared by Mason Street Advisors. The materials contained detailed information on organizational and management structures, client base, performance over multiple time periods, expenses, brokerage commissions, portfolio turnover, style consistency, key portfolio statistics and metrics, and other factors with respect to each of the Sub-Advised Portfolios. The materials also contained an analysis of the Sub-Advisers’ responses to the compliance questions contained in the Section 15(c) Report and the observations of the Series Fund’s Chief Compliance Officer regarding the compliance structure and practices of each Sub-Adviser. The directors also considered their experience with and knowledge of the nature and quality of the services provided by the Sub-Advisers and their ongoing discussions with representatives of Mason Street Advisors, its affiliates and each Sub-Adviser.

The material factors and conclusions that formed the basis for the Board’s approval of the continuance of each of the Existing Sub-Advisory Agreements include those discussed below. The directors evaluated a variety of information they deemed relevant on a Portfolio-by-Portfolio basis. No one particular factor was identified as determinative, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the Board. Further, different directors may have placed greater weight on certain factors than did other directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of each Sub-Adviser’s services, the directors reviewed each Sub-Adviser’s financial strength and stability, assets under management and overall reputation. The directors evaluated the investment strategies employed by each Sub-Adviser, as well as the personnel providing such services with respect to the Sub-Advised Portfolio. In particular, the directors considered presentations given by the portfolio managers and how the Sub-Advised Portfolios were being positioned in the current market environment. The directors also considered Mason Street Advisors’ reports on due diligence visits and conference calls that had been conducted with the Sub-Advisers.

With respect to the Existing Sub-Advisory Agreements reviewed in February, the directors expressed no concerns with Wellington’s financial stability, financial strength or other firm level matters. The directors considered the expanded role and responsibilities of the portfolio manager for the Large Cap Core Stock Portfolio and concluded that the services to the Portfolio were unlikely to be negatively impacted as a result of this development.

With respect to the Existing Sub-Advisory Agreements considered for continuance in June, although the directors noted declines in assets under management experienced by Aberdeen and Templeton, they noted no concerns with overall financial strength or stability of any of the Sub-Advisers. The directors considered Aberdeen’s comments with respect to resource reallocation initiatives being undertaken by its parent company. The directors expressed concern over more recent decreases in assets under management at Templeton.

The directors considered information about the succession planning in place for the Global Head of Equities at Aberdeen. The directors expressed favorable views about the presentation provided by Aberdeen and the explication of the underlying rationale for the portfolio manager’s investment decisions related to Portfolio positioning. The directors considered information provided by MFS about the role of sector leads in the investment process as well as succession planning related to the sector lead positions at the firm. The directors considered the reliance on and utilization of the research analyst team by the portfolio manager at FIAM. The directors considered updated information about succession planning for mangagement at Fiduciary.

The directors also considered each Sub-Adviser’s investment philosophy and process and the scope of services provided by the Sub-Advisers. The directors discussed Fiduciary’s investment philosophy and strategy and the current composition of the Large Cap Blend Portfolio. The directors considered that the Portfolio’s investment strategy and performance profile

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Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

differentiated it from other investment funds options available within Northwestern Mutual’s variable products. The directors considered changes that had been made to Templeton’s investment process and the impact of such changes on the composition of the International Equity Portfolio.

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 Existing Sub-Advisory Agreements, that they were satisfied with the nature, extent and quality of services, and the resources committed by each Sub-Adviser in providing those services, and were satisfied with the experience and capabilities of the Sub-Advisers and the personnel associated with the Sub-Advised Portfolios.

Investment Performance. The directors reviewed the investment performance of each of the Sub-Advised Portfolios over multiple time periods. In addition to considering performance for each Sub-Advised Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of each Sub-Advised Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate industry benchmarks and indices, and to the performance averages of each Sub-Advised Portfolio’s respective Broadridge and Lipper fund group categories 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 measure against which they could assess the performance of the Sub-Advised Portfolios. The directors also considered the performance of accounts managed in a similar manner by each of the Sub-Advisers and information from the Sub-Advisers regarding any significant differences in the performance of those accounts from that of the Sub-Advised Portfolios.

With respect to the Portfolios managed by Wellington, the directors considered position adjustments made to the sleeve allocations for the Large Cap Core Stock Portfolio. The directors also considered Wellington’s high level of conviction in its investment process. The directors viewed favorably certain enhancements made to the buy/sell discipline utilized for the Mid Cap Growth Stock Portfolio. With respect to the Small Cap Growth and Mid Cap Growth Stock Portfolios, the directors considered information relating to capacity restraints, noting that capacity reservations remained in place for the Series Fund’s mandates managed by Wellington. The directors noted the favorable long-term performance record of the Large Cap Core Stock Portfolio. With respect to the Mid Cap Growth Stock Portfolio, the directors considered the portfolio manager’s explanation of the Portfolio’s underperformance, including the unique market challenges arising during 2020. The directors also noted that the Portfolio’s near-term performance had rebounded and expressed confidence in the current composition of the Portfolio.

The directors identified no performance concerns with respect to the Portfolios sub-advised by Aberdeen, MFS or FIAM, and commented favorably about the strong performance achieved by the Emerging Markets Equity Portfolio in 2020. With respect to the International Growth Portfolio, the directors took into consideration the firm’s explanation for the Portfolio’s underperformance during the one-year period ended March 31, 2021, and noted the very strong performance achieved by the Portfolio for the three- and five-year periods ended March 31, 2021 as well as the Portfolio’s since-inception performance through such date. While acknowledging that the performance of the Large Cap Blend Portfolio was still challenged, the directors considered the impact of the firm’s value-driven investment philosophy on the Portfolio’s performance, as well as the Portfolio’s ability to provide downside protection. The directors also considered the current composition of the Portfolio and the firm’s assessment that the Portfolio was well-positioned to outperform and the Portfolio’s strong performance for the fourth quarter of 2020. The directors noted ongoing concerns with the performance record of the International Equity Portfolio and considered Templeton’s explanation for its performance record as well as efforts undertaken by the firm to modify its investment process and the resulting changes to the Portfolio.

237

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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 Existing Sub-Advisory Agreements, and in light of the current measures being taken to address the performance of the International Equity Portfolio, 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 Existing Sub-Advisory Agreements. The directors considered the fees paid by each Sub-Advised Portfolio. The directors also considered the sub-advisory fees paid by Mason Street Advisors out of its management fee, including a comparison of those fees with fees charged by the respective Sub-Advisers for similarly-managed accounts. In considering the level of management fees, the directors evaluated the size of the Sub-Advised Portfolios, expenses assumed by Mason Street Advisors, and the existing expense limitation and/or fee waiver arrangements agreed to by Mason Street Advisors with respect to each Sub-Advised Portfolio (as applicable).

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, 2020 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 seven of the eight Sub-Advised Portfolios whose sub-advisory agreements were approved for renewal were ranked in Broadridge’s first quartile for total expenses for the period ended December 31, 2020. The directors considered that the remaining Sub-Advised Portfolio (the Large Cap Blend Portfolio) was ranked in the 54th percentile for net total expenses. With respect to the Large Cap Blend Portfolio, the directors considered that Mason Street Advisors had an advisory fee waiver in place for the Portfolio. The directors noted that, in connection with the renewal of the Sub-Advisory Agreement with Aberdeen, the Agreement was amended to reduce the fees payable under the fee schedule applicable to the Emerging Markets Equity Portfolio effective July 1, 2021, and in connection with the renewal of the Sub-Advisory Agreement with Wellington, the Agreement was amended to reduce the fees payable under the fee schedule applicable to the Mid Cap Growth Stock Portfolio, effective March 1, 2021.

The directors also reviewed the breakpoints contained in the advisory fee schedules for the Sub-Advised Portfolios. The directors took into consideration the advisory fee waiver and/or expense limitation agreements that were in place with respect to each of the Sub-Advised Portfolios whose sub-advisory agreement was approved for renewal, except for the Small Cap Growth Stock Portfolio, which ranked in the first quartile of its peer group for both net and total expenses (meaning lowest expenses).

Based on their review of the above information and other factors deemed relevant by the directors, the Board concluded that the management fees and total operating expenses of each of the Sub-Advised Portfolios were reasonable in relation to the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios.

Costs and Profitability. The directors reviewed information provided by Mason Street Advisors regarding the profitability realized by Mason Street Advisors from the Sub-Advised Portfolios. The directors considered Mason Street Advisors’ presentations to the directors regarding Mason Street Advisors’ revenues, expenses, income and profit margins allocable to its services to the Sub-Advised Portfolios on an aggregate and a per Portfolio basis, and Mason Street Advisors’ allocation methodology with respect to revenues and expenses. The profitability information presented for the directors’ consideration was supplemented by the aforementioned information regarding the expense-based rankings of each Sub-Advised Portfolio within the Portfolio’s respective Broadridge peer group category. The directors also considered the profitability information related to certain of the Sub-Advised Portfolios where such information had been provided. The directors recognized that sub-advisory fees were the result of arm’s-length negotiations between Mason Street Advisors and each Sub-Adviser. The directors also recognized that there are limitations inherent in allocating costs and calculating profitability for organizations such as the Sub-Advisers, and that it is difficult to make comparisons of profitability among investment advisers because comparative information is not generally publicly available and, when available, such information is developed using a variety of assumptions and factors. The directors concluded that they had received sufficient information to evaluate the Sub-Advisers’ costs and profitability.

238

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

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 Existing 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, 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 Existing Sub-Advisory Agreements, that each Sub-Advised Portfolio’s fee structure reflected appropriate economies of scale for the benefit of such Portfolio’s investors.

Other Information

The directors were presented with other information to assist them in their consideration of the continuation of the Advisory Agreement and the Existing Sub-Advisory Agreements, including information about the services provided by affiliates of Mason Street Advisors to the Portfolios and information regarding Mason Street Advisors’ and the Sub-Advisers’ brokerage practices and commissions. The directors took into consideration reports from Mason Street Advisors on its review of the respective compliance programs of the Sub-Advisers, including any recent compliance exceptions noted and the applicable Sub-Adviser’s response. Also considered were key affiliations and business relationships between the Sub-Advisers and their affiliates and Mason Street Advisors’ parent company and affiliates. Their review further included information relating to each Sub-Adviser’s risk management infrastructure, pending or recent litigation or regulatory actions to which a Sub-Adviser or its affiliates may have been a party, and the applicable Sub-Adviser’s responses to those actions. The directors also considered information regarding each Sub-Adviser’s code of ethics, approach to portfolio manager compensation, and succession planning, as well as information supplied by the Sub-Advisers related to their cybersecurity programs and business continuity plans, and other matters they deemed relevant.

Conclusions of the Directors

Based on a consideration of the foregoing, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of their reasonable business judgment, concluded that the terms of the Advisory Agreement and the Existing 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.

239

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

Approval of New Investment Sub-Advisory Agreement

At the June 3, 2021 meeting, the Board, including the Independent Directors, unanimously and conditionally approved the New Sub-Advisory Agreement between Mason Street Advisors and Wells Capital, or its to-be-named successor under the terms of a planned change-in-control transaction, with respect to the Select Bond Portfolio. (The Select Bond Portfolio is hereinafter referred to as the “Portfolio.”)

Wells Capital currently serves as the sub-adviser to the Portfolio pursuant to the terms of a Second Amended and Restated Investment Sub-Advisory Agreement by and between Mason Street Advisors and Wells dated November 28, 2018 (the “Agreement”). Mason Street Advisors has been advised that a change in control will occur with respect to Wells Capital pursuant to an agreement whereby 100% of the equity interests in Wells Fargo Asset Management Holdings, LLC, the direct parent of Wells Capital, will be acquired by a holding company that is an affiliate of private funds managed by GTCR LLC (“GTCR”) and Reverence Capital Partners, L.P., (“RCP”) resulting in the indirect transfer of the ownership of Wells Capital to an ownership group including, principally, GTCR and RCP (the “Transaction”). In connection with the Transaction, Wells Capital is expected to convert from a California corporation to a Delaware limited liability corporation.

Section 15(a) of the Investment Company Act of 1940, as amended (“1940 Act”) requires that each investment advisory contract provide for its automatic termination in the event of its assignment and the Agreement so provides. An assignment, as defined in Section 2(a)(4) of the 1940 Act, generally includes any direct or indirect transfer or hypothecation of a contract, or of a controlling block of the assignor’s outstanding voting securities by a security holder of the assignor. Under Section 2(a)(9) of the 1940 Act a transfer of a “controlling block” is presumed to occur if a person who owns more than 25% of the voting securities of the adviser ceases to do so and the transfer results in another person owning more than 25% of the voting securities of the adviser.

Based upon the foregoing, the consummation of the Transaction, which is anticipated to be closed in the second half of 2021 (subject to customary closing conditions), will constitute a “change of control” under the 1940 Act and result in an assignment of the Agreement, thereby causing the termination of the Agreement. In order to avoid the consequences of an Agreement termination and to preserve the continuity of sub-advisory services to the Portfolio provided by Wells Capital and to be provided by its successor from and after the consummation of the Transaction, the Board approved the terms of the New Sub-Advisory Agreement, which will become effective upon the closing of the Transaction.

To facilitate the Board’s review of the Transaction and its consideration of the New Sub-Advisory Agreement, Mason Street Advisors solicited comprehensive information regarding the Transaction from Wells Capital and the aquiring firms. The Board was provided with written responses to a Sub-Adviser Change in Control Informational Questionnaire prepared by Wells Capital and the acquiring firms outlining the details regarding the structure of the Transaction and its material terms and conditions, including information on financing. The Board was advised that, pursuant to the terms of the Transaction, the Wells Capital portfolio managers and investment team servicing the Portfolio will remain intact with no contemplated structural change occurring to the investment team. The Board considered representations that Wells Capital management and the principal acquiring entities (GTCR and RCP) desire to maintain the relationship with the Series Fund and anticipate that all services currently delivered to the Portfolio would continue to be delivered without interruption and without any material changes in resources, staff or service components.

The Board considered information provided by Wells Capital, GTCR and RCP regarding compliance and risk management functions at the new acquiring holding company and the resources to be dedicated to such functions. The Board also reviewed and considered information regarding key affiliations and business relationships between the Mason Street Advisors and its affiliates and GTCR and RCP.

In determining whether to approve the New Sub-Advisory Agreement with Wells Capital, the directors received, in addition to the information described above related to the change-in-control Transaction, detailed information from Mason Street Advisors and Wells Capital to assist them in their evaluation, including reports based upon information compiled by certain independent providers of evaluative data.

240

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

The material factors and conclusions that formed the basis for the Board’s determination to approve the New Sub-Advisory Agreement include those referenced above related to the Transaction, as well as those discussed below. In addition to the information provided to them in anticipation of and at the June 3, 2021 Board meeting, the directors considered the in-person presentation of Wells Capital provided at the Board meeting and the responses of Wells Capital to the directors’ questions during their presentation session.

Nature, Extent and Quality of Services. The directors evaluated the nature, scope, extent and quality of services that have been and would continue to be provided to the Portfolio by Wells Capital. The directors considered the information submitted in response to the Sub-Adviser Change In Control Informational Questionnaire, including information regarding the background, history and experience of GTCR and RCP in connection with their acquisitions and investments in portfolio companies.

The directors considered the investment approach utilized by Wells Capital for the Portfolio and representations from Well Capital that, following the consummation of the Transaction, the Portfolio would continue to be managed with the same investment objective, investment strategies and policies that currently apply to the Portfolio. The directors considered the tenure, experience and performance of the investment management team at Wells Capital, including particularly the qualifications and experience of the investment personnel who would continue to provide services to the Portfolio following the closing of the Transaction. The directors took into consideration the general reputation of Wells Capital and the strength of the investment-related resources that would remain available to Wells Capital post-closing. Based on their review of these factors and other factors deemed relevant, the Board concluded that they were satisfied with the nature, extent and quality of the services to be provided by Wells Capital to the Portfolio, and the resources to be committed by the firm in providing such services.

Investment Performance. The directors reviewed the investment performance of the Portfolio over multiple time periods. In addition to considering performance for the Portfolio for both short- and long-term periods, the directors considered: (i) a comparison of the Portfolio’s one-, three-, and five-year (as applicable) performance to the returns of appropriate index benchmarks and indices, and to the performance averages of the Portfolio’s respective Broadridge and Lipper fund group categories for the same periods; (ii) the Broadridge overall star rating and Lipper quintile rating for the Portfolio; and (iii) the Broadridge and Lipper performance rankings for the Portfolio for the one-, three- and five-year time periods(as applicable). The directors evaluated the Portfolio’s performance against these peer groups and industry benchmarks and indices and viewed this information as providing an objective comparative measure against which they could assess performance of the Portfolio.

Based on these and other factors deemed relevant, the Board concluded that they were satisfied with the investment performance record of Wells Capital with respect to Portfolio.

Management Fees and Other Expenses. In evaluating the management fees to be paid by the Portfolio, the directors considered the contractual fees paid by the Portfolio under the Advisory Agreement between Mason Street Advisors and the Series Fund. The directors considered the sub-advisory fees (and applicable breakpoints) paid to Wells Capital under the Agreement. The Board considered the form of the New Sub-Advisory Agreement to be conditionally approved for Wells Capital or its to-be-named succesor, and concluded that it substantially conforms, in all material respects, with the form, terms and provisions of the Agreement currently in place with Wells Capital. The Board considered that the sub-advisory fees to be paid under the New Sub-Advisory Agreement remain unchanged from the current Agreement.

In connection with their review of proposed sub-advisory fees, the directors also considered the proposed allocation between Mason Street Advisors and Wells Capital of the investment advisory fee (i.e., the amount of the advisory fee retained by Mason Street Advisors relative to that would be paid to Wells Capital as a management fee). The directors considered the existing structure, size, and total operating expenses of the Portfolio. They also considered the advisory fee waiver arrangements in place for the Portfolio.

241

Approval and Continuance of Investment Advisory and Sub-Advisory Agreements (unaudited)

The directors determined that the fees proposed by Wells Capital for the Portfolio were favorable and were the product of an arm’s-length negotiation between Mason Street Advisors and the sub-advisory firm. Based on their review of the management fees and other expenses, comparative fee data and other factors deemed relevant by the directors, the Board concluded that the management fees, the sub-advisory fees proposed by Wells Capital for the Portfolio, and the total operating expenses of Portfolio were reasonable in relation to the nature, scope and quality of the services to be provided by Wells Capital.

Costs and Profitability. The directors considered Mason Street Advisors’ pricing methodology for its services as investment adviser for the products of which the Portfolio is an investment option. Mason Street Advisors provided information regarding the proposed sub-advisory fees of Wells Capital and the amount of the advisory fee that Mason Street Advisors would retain based upon the Wells Capital’s sub-advisory fees. The directors considered that the proposed fees under the New Sub-Advisory Agreement will remain unchanged from the current Agreement.

Based on their review of the sub-advisory fees proposed by Wells Capital, the Board concluded that they were satisfied that Mason Street Advisors’ resulting level of profitability related to services provided to the Portfolio was appropriate and not excessive.

Economies of Scale. The directors considered whether the expense structure for the Portfolio permitted economies of scale to be shared with investors in the Portfolio. They took into consideration the total assets and expense ratio of the Portfolio. The directors considered the breakpoints contained in the sub-advisory fee schedule proposed by Wells Capital for the Portfolio and the extent to which the Portfolio may benefit from economies of scale through those breakpoints. The directors also considered the fee waiver agreements in place for the Portfolio. Based on this information, the Board concluded that the fee structure for the Portfolio reflected appropriate economies of scale between the Portfolio and Mason Street Advisors.

Other Information

The directors were presented with other information intended to assist them in their consideration of the approval of the New Sub-Advisory Agreement, including information regarding any regulatory inquiries, examinations or actions to which Wells Capital or its affiliates may have been a party, and issues arising out of those regulatory events. The directors also received information regarding the intention to retain the current portfolio manager compensation program in place upon the closing of the Transaction.

Conclusions of the Directors

Based on a consideration of the foregoing information, the Board, including the Independent Directors, and assisted by the advice of legal counsel independent of Mason Street Advisors, in the exercise of its business judgment concluded that it was in the best interest of the Portfolio to conditionally approve the New Sub-Advisory Agreement with Wells Capital or its to-be-named successor, contingent upon the consummation of the closing of the change-in-control Transaction.

242

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.

Investments

Full Schedule of Investments is included in Item 1.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders

Not applicable.

Item 11.

Controls and Procedures

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this filing was recorded, processed, summarized, and reported timely.

(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13.

Exhibits

(a)(1) 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 17, 2021

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 17, 2021



By:		/s/ Todd M. Jones
		Todd M. Jones, Vice President,
		Chief Financial Officer and Treasurer

Date:		August 17, 2021