Form NPORT-P NORTHWESTERN MUTUAL SERI For: Mar 31

May 24, 2022 1:40 PM EDT

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      NORTHWESTERN MUTUAL SERIES FUND INC
      811-03990
      0000742212
      549300T1UBX7MDSNZA55
      720 E WISCONSIN AVE
      MILWAUKEE
      
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      Long-Term US Government Bond Portfolio
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      2022-12-31
      2022-03-31
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        Merrill Lynch Mortgage Investors Trust
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        Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A4
        589929W87
        
          
        
        631.31000000
        PA
        USD
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        0.000497306480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Variable
          2.33000000
          N
          N
          N
        
        
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          N
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        Chicago Board of Trade
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        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
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        USD
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        -0.00685715980
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        DIR
        
        US
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        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            377207.30000000
            USD
            -8582.30000000
          
        
        
          N
          N
          N
        
      
      
        STRIP PRINC
        254900HROIFWPRGM1V77
        United States Treasury Strip Principal
        912803EE9
        
          
        
        700000.00000000
        PA
        USD
        393918.25000000
        0.314736188577
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        DBT
        UST
        US
        N
        
        2
        
          2043-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377GMM8
        
          
        
        228523.47000000
        PA
        USD
        201854.96000000
        0.161279810609
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-09-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TA6
        
          
        
        2000000.00000000
        PA
        USD
        1733437.50000000
        1.384996790289
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-08-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust 2018-1
        26828HAA5
        
          
        
        59638.24000000
        PA
        USD
        58576.79000000
        0.046802187062
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-02-27
          Floating
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC STRUCTURED PASS THROUGH
        254900HROIFWPRGM1V77
        Freddie Mac Structured Pass-Through Certificates
        31395A3J2
        
          
        
        5208.46000000
        PA
        USD
        5349.81000000
        0.004274437168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-25
          Floating
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWU01D5J2 IRS USD R V 12MSOFR SWUV1D5J4 CCPOIS / Short: BWU01D5J2 IRS USD P F  1.75000 SWU01D5J2 CCPOIS
        000000000
        
          
        
        2200000.00000000
        OU
        Notional Amount
        USD
        107309.84000000
        0.085739338145
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2053-10-23
            0.00000000
            USD
            -36922.86000000
            USD
            2200000.00000000
            USD
            144232.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A76U1
        
          
        
        31526.75000000
        PA
        USD
        31703.41000000
        0.025330662969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-25
          Floating
          0.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VESSEL MANAGEMENT SERVIC
        549300FGG4OD84UNFA43
        Vessel Management Services Inc
        228027AA6
        
          
        
        403000.00000000
        PA
        USD
        413065.26000000
        0.330034431169
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-08-15
          Fixed
          3.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Military Housing Bonds Resec Trust
        549300ZG8WH0M4JSUM77
        Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 2015-R1
        35563CAJ7
        
          
        
        567050.41000000
        PA
        USD
        588550.13000000
        0.470244840656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-10-25
          Variable
          4.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SW9
        
          
        
        1900000.00000000
        PA
        USD
        1691816.41000000
        1.351742014124
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-02-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796R43
        
          
        
        1400000.00000000
        PA
        USD
        1398495.04000000
        1.117381585223
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TB4
        
          
        
        24860000.00000000
        PA
        USD
        21806881.25000000
        17.42344938163
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-11-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        -89.00000000
        NC
        USD
        405934.43000000
        0.324336979336
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -13761496.93000000
            USD
            405934.43000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        12920000.00000000
        PA
        USD
        11637589.09000000
        9.298300940392
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton USA Trust
        N/A
        Hilton USA Trust 2016-HHV
        43300LAA8
        
          
        
        600000.00000000
        PA
        USD
        599182.20000000
        0.478739743312
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-05
          Fixed
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SC3
        
          
        
        2430000.00000000
        PA
        USD
        2713057.04000000
        2.167701628857
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-05-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2015-590M
        36250WAG5
        
          
        
        300000.00000000
        PA
        USD
        294957.66000000
        0.235667805947
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-10
          Variable
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BD4R4
        
          
        
        680990.74000000
        PA
        USD
        660420.87000000
        0.527668742132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2053-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        44.00000000
        NC
        USD
        -313565.56000000
        -0.25053530579
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            8107065.56000000
            USD
            -313565.56000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SH2
        
          
        
        1350000.00000000
        PA
        USD
        1451777.34000000
        1.159953535166
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-05-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CityLine Commercial Mortgage Trust
        N/A
        CityLine Commercial Mortgage Trust 2016-CLNE
        178772AA7
        
          
        
        600000.00000000
        PA
        USD
        594177.30000000
        0.474740885300
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-11-10
          Variable
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        841919.02000000
        NS
        USD
        841919.02000000
        0.672683693749
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        RFCSP STRIP PRINCIPAL
        N/A
        Resolution Funding Corp Principal Strip
        76116FAC1
        
          
        
        4800000.00000000
        PA
        USD
        3887666.78000000
        3.106201413097
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2030-04-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAA8
        
          
        
        397553.26000000
        PA
        USD
        392810.05000000
        0.313850749417
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Worldwide Plaza Trust
        N/A
        Worldwide Plaza Trust 2017-WWP
        98162JAA4
        
          
        
        100000.00000000
        PA
        USD
        98103.76000000
        0.078383785233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-10
          Fixed
          3.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTH
        549300HE1ISW43LNKM54
        Tennessee Valley Authority Principal Strip
        88059FBG5
        
          
        
        500000.00000000
        PA
        USD
        397442.21000000
        0.317551792421
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2030-05-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RP5
        
          
        
        370000.00000000
        PA
        USD
        394599.22000000
        0.315280275839
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AT2J0
        
          
        
        2200000.00000000
        PA
        USD
        2208950.04000000
        1.764925885883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396VSR0
        
          
        
        90155.53000000
        PA
        USD
        92306.33000000
        0.073751704790
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SX7
        
          
        
        2300000.00000000
        PA
        USD
        2253820.32000000
        1.800776727796
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-05-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        549300506SI9CRFV9Z86
        CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR18
        22541QFC1
        
          
        
        286.53000000
        PA
        USD
        293.69000000
        0.000234654960
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-25
          Variable
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31364FYC9
        
          
        
        100000.00000000
        PA
        USD
        117382.85000000
        0.093787558239
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2028-04-17
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BDY34
        
          
        
        2314708.12000000
        PA
        USD
        2364226.44000000
        1.888989958344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VKK2
        
          
        
        346843.12000000
        PA
        USD
        310007.62000000
        0.247692552321
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU012TP6 IRS USD R F  1.25000 SWU012TP6 CCPVANILLA / Short: SWU012TP6 IRS USD P V 03MLIBOR SWUV12TP8 CCPVANILLA
        000000000
        
          
        
        2100000.00000000
        OU
        Notional Amount
        USD
        -472152.03000000
        -0.37724408643
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-12-16
            0.00000000
            USD
            -178435.65000000
            USD
            2100000.00000000
            USD
            -293716.38000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -85.00000000
        NC
        USD
        345858.37000000
        0.276336892645
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -11860702.12000000
            USD
            345858.37000000
          
        
        
          N
          N
          N
        
      
      
        RESOLUTION FUNDING STRIP
        N/A
        Resolution Funding Corp Interest Strip
        76116EHK9
        
          
        
        400000.00000000
        PA
        USD
        339936.92000000
        0.271605721637
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2028-04-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        5493004IHDYOZ9K9WF47
        Hertz Vehicle Financing LLC
        42806MAN9
        
          
        
        300000.00000000
        PA
        USD
        280507.56000000
        0.224122340870
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-26
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SD1
        
          
        
        700000.00000000
        PA
        USD
        764312.50000000
        0.610676969477
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A2SY8
        
          
        
        25616.79000000
        PA
        USD
        25822.42000000
        0.020631819040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-15
          Floating
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAH4
        
          
        
        200000.00000000
        PA
        USD
        188101.51000000
        0.150290960936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        -5300000.00000000
        PA
        USD
        -4919683.61000000
        -3.93077108871
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU015HX5 IRS USD R V 03MLIBOR SWUV15HX7 CCPVANILLA / Short: BWU015HX5 IRS USD P F  1.15000 SWU015HX5 CCPVANILLA
        000000000
        
          
        
        680000.00000000
        OU
        Notional Amount
        USD
        164787.80000000
        0.131663572571
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-30
            15203.51000000
            USD
            0.00000000
            USD
            680000.00000000
            USD
            149584.29000000
          
        
        
          N
          N
          N
        
      
      
        LUXE Commercial Mortgage Trust
        N/A
        LUXE Trust 2021-MLBH
        55066XAA0
        
          
        
        100000.00000000
        PA
        USD
        97974.77000000
        0.078280723694
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        31.00000000
        NC
        USD
        -89164.92000000
        -0.07124175403
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            6658743.08000000
            USD
            -89164.92000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SZ2
        
          
        
        4300000.00000000
        PA
        USD
        3879406.25000000
        3.099601343850
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31394RLM9
        
          
        
        138439.58000000
        PA
        USD
        147705.76000000
        0.118015217455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2018-HOME Mortgage Trust
        20048JAA8
        
          
        
        200000.00000000
        PA
        USD
        197716.06000000
        0.157972876719
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-04-10
          Variable
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SR0
        
          
        
        6790000.00000000
        PA
        USD
        5350307.81000000
        4.274834912659
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-05-15
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU015JB1 IRS USD R V 03MLIBOR SWUV15JB3 CCPVANILLA / Short: BWU015JB1 IRS USD P F   .75000 SWU015JB1 CCPVANILLA
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        134167.00000000
        0.107197902643
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-03-30
            8772.40000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            125394.60000000
          
        
        
          N
          N
          N
        
      
      
        Massachusetts Educational Financing Authority
        5493007K5OP7V6CL0Y88
        Massachusetts Educational Financing Authority
        57563NAA6
        
          
        
        28381.15000000
        PA
        USD
        28408.06000000
        0.022697715907
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-04-25
          Floating
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -13.00000000
        NC
        USD
        37966.96000000
        0.030335167975
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -1528904.46000000
            USD
            37966.96000000
          
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2019-4
        89178BAA2
        
          
        
        108145.80000000
        PA
        USD
        106187.23000000
        0.084842385560
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-667M Mortgage Trust
        12636GAA9
        
          
        
        700000.00000000
        PA
        USD
        674220.05000000
        0.538694129554
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-10
          Fixed
          3.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VNO Mortgage Trust
        N/A
        VNDO Trust 2016-350P
        91831UAA5
        
          
        
        800000.00000000
        PA
        USD
        800876.00000000
        0.639890788920
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-10
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2004-AR5
        86359LDX4
        
          
        
        2174.95000000
        PA
        USD
        2127.34000000
        0.001699720394
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-19
          Floating
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-2 AA PTT
        N/A
        United Airlines 2016-2 Class AA Pass Through Trust
        90932EAA1
        
          
        
        157710.44000000
        PA
        USD
        149459.69000000
        0.119416587519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-07
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138L8YJ7
        
          
        
        576871.34000000
        PA
        USD
        607264.99000000
        0.485197800327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TC2
        
          
        
        2400000.00000000
        PA
        USD
        2171625.00000000
        1.735103604665
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ReadyCap Commercial Mortgage Trust
        N/A
        Ready Capital Mortgage Financing 2022-FL8 LLC
        75574PAA0
        
          
        
        200000.00000000
        PA
        USD
        199779.68000000
        0.159621685561
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2021-230P
        61772WAA5
        
          
        
        200000.00000000
        PA
        USD
        198000.28000000
        0.158199965257
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-12-15
          Floating
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SQ2
        
          
        
        65580000.00000000
        PA
        USD
        51411133.43000000
        41.07690919673
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-08-15
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2016-85T Mortgage Trust
        23307CAA3
        
          
        
        800000.00000000
        PA
        USD
        803560.72000000
        0.642035849578
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RQ3
        
          
        
        940000.00000000
        PA
        USD
        920318.75000000
        0.735324183764
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU012TN1 IRS USD R F  1.00000 SWU012TN1 CCPVANILLA / Short: SWU012TN1 IRS USD P V 03MLIBOR SWUV12TN3 CCPVANILLA
        000000000
        
          
        
        3170000.00000000
        OU
        Notional Amount
        USD
        -179986.89000000
        -0.14380747211
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            56116.99000000
            USD
            0.00000000
            USD
            3170000.00000000
            USD
            -236103.88000000
          
        
        
          N
          N
          N
        
      
      
        Hilton USA Trust
        N/A
        Hilton USA Trust 2016-HHV
        43300LAJ9
        
          
        
        400000.00000000
        PA
        USD
        393218.16000000
        0.314176824652
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-05
          Variable
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RFV6
        
          
        
        26375.22000000
        PA
        USD
        28497.63000000
        0.022769281315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BERC0
        
          
        
        806821.90000000
        PA
        USD
        859456.14000000
        0.686695652594
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2054-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BWAY Mortgage Trust
        N/A
        BWAY 2013-1515 Mortgage Trust
        05604FAC9
        
          
        
        300000.00000000
        PA
        USD
        297775.95000000
        0.237919587510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-03-10
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU01D5I4 IRS USD R F  1.60000 SWU01D5I4 CCPOIS / Short: SWU01D5I4 IRS USD P V 12MSOFR SWUV1D5I6 CCPOIS
        000000000
        
          
        
        10700000.00000000
        OU
        Notional Amount
        USD
        -304831.23000000
        -0.24355667575
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-10-23
            21707.03000000
            USD
            0.00000000
            USD
            10700000.00000000
            USD
            -326538.26000000
          
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        9128334Y3
        
          
        
        850000.00000000
        PA
        USD
        623526.84000000
        0.498190832989
        Long
        DBT
        UST
        US
        N
        
        2
        
          2034-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SP4
        
          
        
        3300000.00000000
        PA
        USD
        2539968.75000000
        2.029406059454
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-08-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2020-RPL1
        64828XAA1
        
          
        
        122922.28000000
        PA
        USD
        120651.03000000
        0.096398796781
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796W21
        
          
        
        371000.00000000
        PA
        USD
        370624.36000000
        0.296124636165
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Capital Holdings LLC
        N/A
        MSSG Trust 2017-237P
        55375KAS5
        
          
        
        700000.00000000
        PA
        USD
        679721.91000000
        0.543090052937
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-13
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SA7
        
          
        
        330000.00000000
        PA
        USD
        359532.42000000
        0.287262302624
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATQS6
        
          
        
        900000.00000000
        PA
        USD
        884227.50000000
        0.706487686683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403C6L0
        
          
        
        40806.31000000
        PA
        USD
        44147.43000000
        0.035273293008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810ST6
        
          
        
        11700000.00000000
        PA
        USD
        9565207.00000000
        7.642491288816
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DDL3
        
          
        
        35774.52000000
        PA
        USD
        38126.65000000
        0.030462758463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU0177O2 IRS USD R V 03MLIBOR SWUV177O4 CCPVANILLA / Short: BWU0177O2 IRS USD P F  1.25000 SWU0177O2 CCPVANILLA
        000000000
        
          
        
        6010000.00000000
        OU
        Notional Amount
        USD
        1066041.78000000
        0.851755222564
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-06-09
            130248.16000000
            USD
            0.00000000
            USD
            6010000.00000000
            USD
            935793.62000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
        
        400000.00000000
        PA
        USD
        327781.25000000
        0.261893479959
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-11-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-27
      NORTHWESTERN MUTUAL SERIES FUND INC
      Phillip Rinzel
      Phillip Rinzel
      Controller and Chief Accounting Officer
    
  
  XXXX



Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2022 (unaudited)

 

Corporate Bonds (0.6%)    Shares/ Par +    

Value

$ (000’s)

 

 

 

Consumer, Cyclical (0.1%)

    

United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.875%, 4/7/30

     157,710       150  
    

 

 

 

Total

       150  
    

 

 

 

Industrial (0.3%)

    

Vessel Management Services, Inc.
3.432%, 8/15/36

     403,000       413  
    

 

 

 

Total

       413  
    

 

 

 

Utilities (0.2%)

    

Duke Energy Florida LLC
2.500%, 12/1/29

     200,000       188  
    

 

 

 

Total

       188  
    

 

 

 

Total Corporate Bonds (Cost: $760)

       751  
    

 

 

 
Governments (101.8%)             

 

Governments (101.8%)

    

Federal National Mortgage Association

    

3.600%, 2/1/40

     576,871       607  

5.000%, 6/1/35

     26,375       28  

5.000%, 2/1/36

     40,806       44  

5.500%, 5/1/49

     35,775       38  

5.625%, 4/17/28

     100,000       117  

Resolution Funding Corp. Stripped
0.000%, 4/15/30 PO

     4,800,000       3,888  

0.000%, 4/15/28 IO

     400,000       340  

Tennessee Valley Authority Stripped
0.000%, 5/1/30 PO

     500,000       397  

US Treasury

    

1.125%, 5/15/40

     6,790,000       5,350  

1.125%, 8/15/40

     65,580,000       51,411  

1.375%, 11/15/40

     11,700,000       9,565  

1.375%, 8/15/50

     3,300,000       2,540  

1.625%, 11/15/50  b

     400,000       328  

1.750%, 8/15/41

     2,000,000       1,733  

1.875%, 2/15/41  b

     1,900,000       1,692  

1.875%, 11/15/51  b

     24,860,000       21,807  

2.000%, 11/15/41

     2,400,000       2,172  

2.000%, 2/15/50  b

     12,920,000       11,638  

2.000%, 8/15/51

     4,300,000       3,879  

2.375%, 5/15/51

     2,300,000       2,254  

2.500%, 2/15/46

     940,000       920  

2.875%, 5/15/49

     1,350,000       1,452  

3.000%, 11/15/45

     370,000       395  

3.000%, 2/15/48

     330,000       360  

3.000%, 8/15/48  b

     700,000       764  

3.125%, 5/15/48

     2,430,000       2,713  

US Treasury Stripped

    

0.000%, 8/15/34 IO

     850,000       624  

0.000%, 11/15/43 PO

     700,000       394  
    

 

 

 

Total

       127,450  
    

 

 

 

Total Governments (Cost: $146,891)

       127,450  
    

 

 

 
Structured Products (12.2%)    Shares/ Par +    

Value

$ (000’s)

 

 

Asset Backed Securities (0.4%)

    

ECMC Group Student Loan Trust,
Series 2018-1A, Class A

    

0.937%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A

     59,638       59  

Hertz Vehicle Financing LLC, Series 2022-2A, Class A
2.330%, 6/26/28 144A

     300,000       281  

Massachusetts Educational Financing Authority, Series 2008-1, Class A1

    

1.208%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38

     28,381       28  

Towd Point Mortgage Trust, Series 2019-4, Class A1
2.900%, (AFC), 10/25/59 144A

     108,146       106  
    

 

 

 

Total

       474  
    

 

 

 

Mortgage Securities (11.8%)

    

BWAY Mortgage Trust, Series 2013-1515, Class A2
3.454%, 3/10/33 144A

     300,000       298  

CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A
2.778%, (CSTR), 11/10/31 144A

     600,000       594  

COMM Mortgage Trust, Series 2016-667M, Class A
3.140%, 10/10/36 144A

     700,000       674  

COMM Mortgage Trust, Series 2018-HOME, Class A
3.815%, (AFC), 4/10/33 144A

     200,000       198  

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3
2.103%, (CSTR), 7/25/33

     287       π 

DBWF Mortgage Trust, Series 2016-85T, Class A
3.791%, 12/10/36 144A

     800,000       804  

Extended Stay America Trust, Series 2021- ESH, Class A

    

1.477%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A

     397,553       393  

Federal Home Loan Mortgage Corp., Series 2752, Class EZ
5.500%, 2/15/34

     138,440       148  

Federal Home Loan Mortgage Corp., Series 3759, Class FB

    

0.897%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40

     25,617       26  

Federal Home Loan Mortgage Corp., Series
4092, Class AY
3.000%, 8/15/32

     2,200,000       2,209  

Federal Home Loan Mortgage Corp., Series
4387, Class AZ
4.000%, 9/15/44

     2,314,708       2,364  

Federal Home Loan Mortgage Corp., Series
4398, Class ZX
4.000%, 9/15/54

     806,822       859  
 


Long-Term U.S. Government Bond Portfolio

 

Structured Products (12.2%)    Shares/ Par +      Value
$ (000’s)
 

 

Mortgage Securities continued

     

Federal Home Loan Mortgage Corp.,
Series 4830, Class ZG
3.000%, 4/15/53

     680,991        660  

Federal Home Loan Mortgage Corp., Series T-61, Class 1A1

     

1.504%, (Federal Reserve US 12 Month Cumulative Avg 1 year Constant Maturity plus 1.400%), 7/25/44

     5,208        5  

Federal National Mortgage Association, Series
2007-39, Class NZ
4.250%, 5/25/37

     90,156        92  

Federal National Mortgage Association, Series 2012-101, Class FC

     

0.687%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42

     31,527        32  

Federal National Mortgage Association, Series
2016-61, Class ML
3.000%, 9/25/46

     900,000        884  

Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2
4.320%, (CSTR), 10/25/52 144A

     567,050        588  

Government National Mortgage Association, Series 2010-26, Class OW
0.000%, 02/20/40 PO

     346,843        310  

Government National Mortgage Association, Series 2010-75, Class OA
0.000%, 09/20/35 PO

     228,523        202  

GS Mortgage Securities Trust, Series 2015- 590M, Class B
3.805%, (CSTR), 10/10/35 144A

     300,000        295  

Hilton USA Trust, Series 2016-HHV, Class A
3.719%, 11/5/38 144A

     600,000        599  

Hilton USA Trust, Series 2016-HHV, Class C
4.194%, (CSTR), 11/5/38 144A

     400,000        393  

LUXE Trust, Series 2021-MLBH, Class A

     

1.377%, (ICE LIBOR USD 1 Month plus 0.980%), 11/15/38 144A

     100,000        98  

Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A
2.331%, (CSTR, AFC), 5/25/33

     631        1  
Structured Products (12.2%)    Shares/ Par +     

Value

$ (000’s)

 

 

Mortgage Securities continued

     

Morgan Stanley Capital I Trust, Series 2021- 230P, Class A

     

1.566%, (ICE LIBOR USD 1 Month plus 1.169%), 12/15/23 144A

     200,000        198  

MSSG Trust, Series 2017-237P, Class A
3.397%, 9/13/39 144A

     700,000        680  

New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1
2.750%, (AFC), 11/25/59 144A

     122,922        121  

Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A

     

1.698%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A

     200,000        200  

Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1

     

0.822%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34

     2,175        2  

VNDO Trust, Series 2016-350P, Class A
3.805%, 1/10/35 144A

     800,000        801  

Worldwide Plaza Trust, Series 2017-WWP, Class A
3.526%, 11/10/36 144A

     100,000        98  
     

 

 

 

Total

        14,826  
     

 

 

 

Total Structured Products (Cost: $15,509)

        15,300  
     

 

 

 
Short-Term Investments (2.1%)              

 

Governments (1.4%)

     

US Treasury

     

0.000%, 6/21/22

     371,000        371  

0.000%, 6/23/22

     1,400,000        1,398  
     

 

 

 

Total

        1,769  
     

 

 

 

Money Market Funds (0.7%)

     

State Street Institutional U.S. Government Money Market Fund - Premier Class 0.250%#

     841,919        842  
     

 

 

 

Total

        842  
     

 

 

 

Total Short-Term Investments (Cost: $2,611)

 

     2,611  
     

 

 

 

Total Investments (116.7%) (Cost: $165,771)@

 

     146,112  
     

 

 

 

Other Assets, Less Liabilities (-16.7%)

        (20,959
     

 

 

 

Net Assets (100.0%)

        125,153  
     

 

 

 
 


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%       4/13/52      $ (5,300)        $ (5,067)        $ (4,920)      
       

 

 

 
        $ (5,300)        $ (5,067)        $ (4,920)      
       

 

 

 

Exchange Traded or Centrally Cleared Derivatives

Futures

 

Issuer    Long/
Short
   Currency    Notional Par
(000’s)
     Number
of
Contracts
     Expiration
Date
   Notional Value
(000’s)
     Unrealized
Appreciation/
(Depreciation)
(000’s)
     Variation Margin
(000’s)
 

 

 

Five-Year US Treasury Note Future

   Short    USD      1,300        13      6/22    $ 1,491      $ 38        $ (2)      

Ten-Year US Treasury Note Future

   Long    USD      300        3      6/22      369        (9)         1       

Two-Year US Treasury Note Future

   Long    USD      6,200        31      6/22      6,570        (89)         5       

Ultra Long Term US Treasury Note Future

   Long    USD      4,400        44      6/22      7,793        (313)         47       

Ultra Ten-Year US Treasury Note Future

   Short    USD      8,500        85      6/22      11,515        346          (34)      

US Treasury Long Bond Future

   Short    USD      8,900        89      6/22      13,356        406          (56)      
                    

 

 

 
                     $ 379        $ (39)      
                    

 

 

 

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

 

Floating Rate Index    Fixed
Rate
    Expiration
Date
    

Notional
Amount

(000’s)

     Currency      Upfront
Premium Paid/
(Received)
(000’s)
     Unrealized
Appreciation/
(Depreciation)
(000’s)
    

Market Value

(000’s)

    

Variation

Margin(000’s)

 

 

 

1-Day USD-SOFR

     1.750     10/53        2,200        USD      $ (37)       $ 144        $ 107        $ (15)      

Compounded-OIS

                                          

3-Month USD-LIBOR

     0.750     3/31        1,000        USD        9          125          134          (2)      

3-Month USD-LIBOR

     1.250     6/41        6,010        USD        130          936          1,066          (27)      

3-Month USD-LIBOR

     1.150     3/51        680        USD        15          150          165          (4)      
             

 

 

 
              $ 117        $ 1,355        $ 1,472        $ (48)      
             

 

 

 
Centrally Cleared Interest Rate Swaps - Pay Floating Rate

 

Floating Rate Index    Fixed
Rate
    Expiration
Date
     Notional
Amount
(000’s)
     Currency      Upfront
Premium Paid/
(Received)
(000’s)
     Unrealized
Appreciation/
(Depreciation)
(000’s)
    

Market Value

(000’s)

    

Variation

Margin(000’s)

 

 

 

1-Day USD-SOFR

     1.600     10/28        10,700        USD      $ 22        $ (327)       $ (305)       $ 5       

Compounded-OIS

                                  

3-Month USD-LIBOR

     1.000     12/25        3,170        USD        56          (236)         (180)         π       

3-Month USD-LIBOR

     1.250     12/50        2,100        USD        (178)         (294)         (472)         12       
             

 

 

 
              $ (100)       $ (857)       $ (957)       $ 17       
             

 

 

 

 

     Financial Derivative Assets      Financial Derivative Liabilities  
                                            Market Value  
     Variation Margin (000’s)      Variation Margin (000’s)     (000’s)  
     Swaps      Futures      Total      Swaps     Futures     Total     Options  
Total Exchange-Traded or Centrally Cleared Derivatives    $             17      $             53      $             70      $             (48   $             (92   $         (140   $ –      

 

+

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

b

Cash or securities with an aggregate value of $36,229 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 3/31/2022.

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 March 31, 2022 the value of these securities (in thousands) was $7,478 representing 6.0% of the net assets.

π

Amount is less than one thousand.

#

7-Day yield as of 3/31/2022.


Long-Term U.S. Government Bond Portfolio

 

@

At March 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $140,088 and the net unrealized appreciation of investments based on that cost was $1,998 which is comprised of $3,616 aggregate gross unrealized appreciation and $1,618 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The Fair Value Measurements and Disclosures Topic of the FASB 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

Level 3 -fair value is determined by significant unobservable inputs

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 Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at March 31, 2022.

 

    Valuation Inputs                  
 

 

 

 
Description               Level 1 - Quoted
Prices
       Level 2 - Other
Significant
Observable Inputs
      

Level 3     

-  Significant    
Unobservable    

Inputs    

 

 

 
    (Amounts in thousands)  

Assets:

                       

Corporate Bonds

       $        $ 751        $ —    

Governments

                  127,450          —    

Structured Products

                  15,300          —    

Short-Term Investments

                       

Money Market Funds

         842                   —    

All Others

                  1,769          —    

Other Financial Instruments^

                       

Futures

         790                   —    

Interest Rate Swaps

                  1,472          —    
      

 

 

Total Assets:

       $ 1,632        $             146,742        $ —    
      

 

 

Liabilities:

                       

Other Financial Instruments^

                       

Futures

         (411                 —    

Interest Rate Swaps

                  (957         

Securities Sold Short

                  (4,920        —    
      

 

 

Total Liabilities:

       $         (411      $ (5,877      $ —    
      

 

 

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


Abbreviations

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
SDR    Swedish Depository Receipt
ETF    Exchange Traded Fund
Currency Abbreviations
ARS    Argentine Peso
AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
CHF    Swiss Franc
CNH    Chinese Yuan Renminbi - Offshore
CNY    Chinese Yuan Renminbi
DKK    Danish Krone
EUR    Euro
GBP    British Pound
HKD    Hong Kong Dollar
IDR    Indonesian Rupiah
INR    Indian Rupee
JPY    Japanese Yen
KES    Kenyan Shilling
KRW    South Korean Won
MXN    Mexican New Peso
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


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