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
      
      53202
      414-271-1444
      Large Company Value Portfolio
      S000018227
      6UWSQM9V60QIAUKWH425
      2022-12-31
      2022-03-31
      N
    
    
      233774464.30
      938187.43
      232836276.87
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Cisco Systems Inc
        549300LKFJ962MZ46593
        Cisco Systems Inc
        17275R102
        
          
        
        121100.00000000
        NS
        USD
        6752536.00000000
        2.900121961566
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BlackRock Inc
        549300LRIF3NWCU26A80
        BlackRock Inc
        09247X101
        
          
        
        3045.00000000
        NS
        USD
        2326897.65000000
        0.999370751534
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mondelez International Inc
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207105
        
          
        
        41594.00000000
        NS
        USD
        2611271.32000000
        1.121505357800
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160104
        
          
        
        57333.00000000
        NS
        USD
        10161127.59000000
        4.364065482662
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Northern Trust Corp
        549300GLF98S992BC502
        Northern Trust Corp
        665859104
        
          
        
        21320.00000000
        NS
        USD
        2482714.00000000
        1.066291745158
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Universal Health Services Inc
        549300YGMGQDO0NMJD09
        Universal Health Services Inc
        913903100
        
          
        
        20533.00000000
        NS
        USD
        2976258.35000000
        1.278262300879
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        nVent Electric PLC
        N/A
        nVent Electric PLC
        000000000
        
          
        
        69278.00000000
        NS
        USD
        2409488.84000000
        1.034842539311
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Chubb Ltd
        E0JAN6VLUDI1HITHT809
        Chubb Ltd
        000000000
        
          
        
        11008.00000000
        NS
        USD
        2354611.20000000
        1.011273342647
        Long
        EC
        CORP
        CH
        
        N
        
        1
        
          N
          N
          N
        
      
      
        General Dynamics Corp
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550108
        
          
        
        12378.00000000
        NS
        USD
        2985326.04000000
        1.282156749855
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Xcel Energy Inc
        LGJNMI9GH8XIDG5RCM61
        Xcel Energy Inc
        98389B100
        
          
        
        54610.00000000
        NS
        USD
        3941203.70000000
        1.692693146008
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030N101
        
          
        
        39493.00000000
        NS
        USD
        1849062.26000000
        0.794146979524
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Unilever PLC
        549300MKFYEKVRWML317
        Unilever PLC
        904767704
        
          
        
        103471.00000000
        NS
        USD
        4715173.47000000
        2.025102588559
        Long
        EC
        CORP
        GB
        N
        
        1
        
          N
          N
          N
        
      
      
        Medtronic PLC
        549300GX3ZBSQWUXY261
        Medtronic PLC
        000000000
        
          
        
        89620.00000000
        NS
        USD
        9943339.00000000
        4.270528258597
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Truist Financial Corp
        549300DRQQI75D2JP341
        Truist Financial Corp
        89832Q109
        
          
        
        81083.00000000
        NS
        USD
        4597406.10000000
        1.974523112035
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PepsiCo Inc
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448108
        
          
        
        14294.00000000
        NS
        USD
        2392529.72000000
        1.027558828960
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Texas Instruments Inc
        WDJNR2L6D8RWOEB8T652
        Texas Instruments Inc
        882508104
        
          
        
        11593.00000000
        NS
        USD
        2127083.64000000
        0.913553364017
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Henkel AG & Co KGaA
        549300VZCL1HTH4O4Y49
        Henkel AG & Co KGaA
        000000000
        
          
        
        29379.00000000
        NS
        
        1967571.45000000
        0.845045057604
        Long
        EP
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Sodexo SA
        969500LCBOG12HXPYM84
        Sodexo SA
        000000000
        
          
        
        24281.00000000
        NS
        
        1971203.92000000
        0.846605153844
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Roche Holding AG
        549300U41AUUVOAAOB37
        Roche Holding AG
        000000000
        
          
        
        4921.00000000
        NS
        
        1946134.02000000
        0.835837974288
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Zimmer Biomet Holdings Inc
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956P102
        
          
        
        50563.00000000
        NS
        USD
        6467007.70000000
        2.777491457489
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        4666260.23000000
        NS
        USD
        4666260.23000000
        2.004095020212
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Baker Hughes Co
        N/A
        Baker Hughes Co
        05722G100
        
          
        
        59406.00000000
        NS
        USD
        2162972.46000000
        0.928967121909
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Edison International
        549300I7ROF15MAEVP56
        Edison International
        281020107
        
          
        
        22598.00000000
        NS
        USD
        1584119.80000000
        0.680357812491
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Procter & Gamble Co/The
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718109
        
          
        
        13245.00000000
        NS
        USD
        2023836.00000000
        0.869209913165
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Norfolk Southern Corp
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844108
        
          
        
        7191.00000000
        NS
        USD
        2051017.02000000
        0.880883789919
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887109
        
          
        
        11399.00000000
        NS
        USD
        3032134.00000000
        1.302260129203
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -52.29000000
        -0.00002245784
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            113382.77000000
            GBP
            148851.54000000
            USD
            2022-06-30
            -52.29000000
          
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746108
        
          
        
        21418.00000000
        NS
        USD
        3430092.70000000
        1.473177954101
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pinnacle West Capital Corp
        TWSEY0NEDUDCKS27AH81
        Pinnacle West Capital Corp
        723484101
        
          
        
        45758.00000000
        NS
        USD
        3573699.80000000
        1.534855241649
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chevron Corp
        N/A
        Chevron Corp
        166764100
        
          
        
        12288.00000000
        NS
        USD
        2000855.04000000
        0.859339904802
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cigna Corp
        549300VIWYMSIGT1U456
        Cigna Corp
        125523100
        
          
        
        11010.00000000
        NS
        USD
        2638106.10000000
        1.133030529204
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650100
        
          
        
        30494.00000000
        NS
        USD
        3086297.74000000
        1.325522715570
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Walt Disney Co/The
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687106
        
          
        
        16444.00000000
        NS
        USD
        2255459.04000000
        0.968688844504
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142103
        
          
        
        19359.00000000
        NS
        USD
        2882942.28000000
        1.238184323660
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Exxon Mobil Corp
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231G102
        
          
        
        57590.00000000
        NS
        USD
        4756358.10000000
        2.042790824496
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -16363.08000000
        -0.00702771931
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            1658067.76000000
            CHF
            1784835.72000000
            USD
            2022-06-30
            -16363.08000000
          
        
        
          N
          N
          N
        
      
      
        Berkshire Hathaway Inc
        5493000C01ZX7D35SD85
        Berkshire Hathaway Inc
        084670702
        
          
        
        16652.00000000
        NS
        USD
        5876657.32000000
        2.523944034408
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southwest Airlines Co
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741108
        
          
        
        73539.00000000
        NS
        USD
        3368086.20000000
        1.446547009459
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Volkswagen AG
        529900NNUPAGGOMPXZ31
        Volkswagen AG
        000000000
        
          
        
        7501.00000000
        NS
        
        1297045.32000000
        0.557063245227
        Long
        EP
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973304
        
          
        
        78803.00000000
        NS
        USD
        4188379.45000000
        1.798851753817
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1062.97000000
        0.000456531093
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            97525.13000000
            USD
            90753.86000000
            CHF
            2022-06-30
            1062.97000000
          
        
        
          N
          N
          N
        
      
      
        Conagra Brands Inc
        54930035UDEIH090K650
        Conagra Brands Inc
        205887102
        
          
        
        129285.00000000
        NS
        USD
        4340097.45000000
        1.864012562107
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Koninklijke Ahold Delhaize NV
        724500C9GNBV20UYRX36
        Koninklijke Ahold Delhaize NV
        000000000
        
          
        
        78502.00000000
        NS
        
        2523543.66000000
        1.083827526330
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Mondi PLC
        213800LOZA69QFDC9N34
        Mondi PLC
        000000000
        
          
        
        72639.00000000
        NS
        
        1408194.17000000
        0.604800157832
        Long
        EC
        CORP
        GB
        
        N
        
        2
        
          N
          N
          N
        
      
      
        MetLife Inc
        C4BXATY60WC6XEOZDX54
        MetLife Inc
        59156R108
        
          
        
        26795.00000000
        NS
        USD
        1883152.60000000
        0.808788314825
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Aflac Inc
        549300N0B7DOGLXWPP39
        Aflac Inc
        001055102
        
          
        
        41290.00000000
        NS
        USD
        2658663.10000000
        1.141859479862
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eversource Energy
        SJ7XXD41SQU3ZNWUJ746
        Eversource Energy
        30040W108
        
          
        
        23495.00000000
        NS
        USD
        2072024.05000000
        0.889906022314
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        F5 Inc
        54930015FPK9KT966303
        F5 Inc
        315616102
        
          
        
        14767.00000000
        NS
        USD
        3085564.65000000
        1.325207863430
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Duke Energy Corp
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441C204
        
          
        
        25331.00000000
        NS
        USD
        2828459.46000000
        1.214784696793
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081103
        
          
        
        38175.00000000
        NS
        USD
        1976319.75000000
        0.848802332938
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Verizon Communications Inc
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343V104
        
          
        
        139957.00000000
        NS
        USD
        7129409.58000000
        3.061984015480
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Raytheon Technologies Corp
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513E101
        
          
        
        52702.00000000
        NS
        USD
        5221187.14000000
        2.242428546869
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Allstate Corp/The
        OBT0W1ED8G0NWVOLOJ77
        Allstate Corp/The
        020002101
        
          
        
        41338.00000000
        NS
        USD
        5725726.38000000
        2.459121257636
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Advance Auto Parts Inc
        529900UCNQ5H9FSL0Y70
        Advance Auto Parts Inc
        00751Y106
        
          
        
        11476.00000000
        NS
        USD
        2375072.96000000
        1.020061389027
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Emerson Electric Co
        FGLT0EWZSUIRRITFOA30
        Emerson Electric Co
        291011104
        
          
        
        47167.00000000
        NS
        USD
        4624724.35000000
        1.986255927199
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of New York Mellon Corp/The
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        064058100
        
          
        
        114102.00000000
        NS
        USD
        5662882.26000000
        2.432130566647
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Siemens AG
        W38RGI023J3WT1HWRP32
        Siemens AG
        000000000
        
          
        
        19017.00000000
        NS
        
        2635037.33000000
        1.131712534413
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        TotalEnergies SE
        529900S21EQ1BO4ESM68
        TotalEnergies SE
        89151E109
        
          
        
        65244.00000000
        NS
        USD
        3297431.76000000
        1.416201892732
        Long
        EC
        CORP
        FR
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        43471.38000000
        0.018670363821
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            3964354.43000000
            GBP
            5249796.35000000
            USD
            2022-06-30
            43471.38000000
          
        
        
          N
          N
          N
        
      
      
        Sonoco Products Co
        GKOMIK4RDJGHEF0VNP11
        Sonoco Products Co
        835495102
        
          
        
        52107.00000000
        NS
        USD
        3259813.92000000
        1.400045544371
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ameriprise Financial Inc
        6ZLKQF7QB6JAEKQS5388
        Ameriprise Financial Inc
        03076C106
        
          
        
        8847.00000000
        NS
        USD
        2657284.92000000
        1.141267570381
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        McKesson Corp
        549300WZWOM80UCFSF54
        McKesson Corp
        58155Q103
        
          
        
        6609.00000000
        NS
        USD
        2023213.17000000
        0.868942416189
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Automatic Data Processing Inc
        HGBOLILQXWER4SAL2I23
        Automatic Data Processing Inc
        053015103
        
          
        
        9234.00000000
        NS
        USD
        2101104.36000000
        0.902395618176
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        iShares Russell 1000 Value ETF
        549300KLSYN5NN4YNM90
        iShares Russell 1000 Value ETF
        464287598
        
          
        
        14096.00000000
        NS
        USD
        2339654.08000000
        1.004849463945
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kimberly-Clark Corp
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368103
        
          
        
        28561.00000000
        NS
        USD
        3517572.76000000
        1.510749444754
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Merck & Co Inc
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933Y105
        
          
        
        64941.00000000
        NS
        USD
        5328409.05000000
        2.288478892391
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Healthpeak Properties Inc
        PZ9HF5U52KPF0MH0QN75
        Healthpeak Properties Inc
        42250P103
        
          
        
        70001.00000000
        NS
        USD
        2403134.33000000
        1.032113364079
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Colgate-Palmolive Co
        YMEGZFW4SBUSS5BQXF88
        Colgate-Palmolive Co
        194162103
        
          
        
        27270.00000000
        NS
        USD
        2067884.10000000
        0.888127970348
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Quest Diagnostics Inc
        8MCWUBXQ0WE04KMXBX50
        Quest Diagnostics Inc
        74834L100
        
          
        
        17622.00000000
        NS
        USD
        2411746.92000000
        1.035812353822
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Oshkosh Corp
        549300FEKNPCFSA2B506
        Oshkosh Corp
        688239201
        
          
        
        19582.00000000
        NS
        USD
        1970928.30000000
        0.846486778819
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Henry Schein Inc
        VGO3WGL8H45T73F4RR92
        Henry Schein Inc
        806407102
        
          
        
        30427.00000000
        NS
        USD
        2652930.13000000
        1.139397247569
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625H100
        
          
        
        47931.00000000
        NS
        USD
        6533953.92000000
        2.806243944386
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -50474.16000000
        -0.02167796216
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            10584246.35000000
            EUR
            11698820.41000000
            USD
            2022-06-30
            -50474.16000000
          
        
        
          N
          N
          N
        
      
      
        ConocoPhillips
        WPTL2Z3FIYTHSP5V2253
        ConocoPhillips
        20825C104
        
          
        
        23599.00000000
        NS
        USD
        2359900.00000000
        1.013544809994
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-27
      NORTHWESTERN MUTUAL SERIES FUND INC
      Phillip Rinzel
      Phillip Rinzel
      Controller and Chief Accounting Officer
    
  
  XXXX



Large Company Value Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2022 (unaudited)

 

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

Communication Services (5.0%)

 

Comcast Corp. - Class A

     39,493        1,849  

Verizon Communications, Inc.

     142,691        7,269  

The Walt Disney Co. *

     16,444        2,255  
     

 

 

 

Total

        11,373  
     

 

 

 

Consumer Discretionary (3.4%)

 

Advance Auto Parts, Inc.

     11,476        2,375  

Dollar Tree, Inc. *

     21,418        3,430  

Sodexo SA

     24,281        1,971  
     

 

 

 

Total

        7,776  
     

 

 

 

Consumer Staples (12.7%)

 

Colgate-Palmolive Co.

     27,270        2,068  

Conagra Brands, Inc.

     129,285        4,340  

Henkel AG & Co. KGaA

     29,379        1,968  

Kimberly-Clark Corp.

     28,561        3,518  

Koninklijke Ahold Delhaize NV

     78,502        2,524  

Mondelez International, Inc.

     41,594        2,611  

PepsiCo, Inc.

     14,294        2,392  

The Procter & Gamble Co.

     13,245        2,024  

Unilever PLC, ADR

     103,471        4,715  

Walmart, Inc.

     19,359        2,883  
     

 

 

 

Total

        29,043  
     

 

 

 

Energy (6.4%)

 

Baker Hughes

     59,406        2,163  

Chevron Corp.

     12,288        2,001  

ConocoPhillips

     23,599        2,360  

Exxon Mobil Corp.

     57,590        4,756  

TotalEnergies SE, ADR

     66,891        3,381  
     

 

 

 

Total

        14,661  
     

 

 

 

Financials (20.5%)

 

Aflac, Inc.

     41,290        2,659  

The Allstate Corp.

     42,144        5,837  

Ameriprise Financial, Inc.

     8,847        2,657  

The Bank of New York Mellon Corp.

     114,102        5,663  

Berkshire Hathaway, Inc. - Class B *

     16,457        5,808  

BlackRock, Inc.

     3,045        2,327  

Chubb, Ltd.

     11,008        2,355  

JPMorgan Chase & Co.

     47,931        6,534  

MetLife, Inc.

     26,795        1,883  

Northern Trust Corp.

     21,320        2,483  
Common Stocks
(98.1%)
   Shares/
Par +
    

Value

$ (000’s)

 

Financials continued

 

Truist Financial Corp.

     81,083        4,597  

U.S. Bancorp

     78,803        4,188  
     

 

 

 

Total

        46,991  
     

 

 

 

Health Care (23.7%)

 

Becton Dickinson and Co.

     11,399        3,032  

Cigna Corp.

     11,010        2,638  

CVS Health Corp.

     30,494        3,086  

Henry Schein, Inc. *

     30,427        2,653  

Johnson & Johnson

     56,299        9,978  

McKesson Corp.

     6,186        1,894  

Medtronic PLC

     87,966        9,760  

Merck & Co., Inc.

     64,415        5,285  

Pfizer, Inc.

     38,175        1,977  

Quest Diagnostics, Inc.

     17,622        2,412  

Roche Holding AG

     4,921        1,946  

Universal Health Services, Inc. - Class B

     20,533        2,976  

Zimmer Biomet Holdings, Inc.

     50,563        6,467  
     

 

 

 

Total

        54,104  
     

 

 

 

Industrials (11.0%)

 

Emerson Electric Co.

     47,167        4,625  

General Dynamics Corp.

     12,378        2,985  

Norfolk Southern Corp.

     7,191        2,051  

nVent Electric PLC

     69,278        2,410  

Oshkosh Corp.

     19,582        1,971  

Raytheon Technologies Corp.

     52,702        5,221  

Siemens AG

     19,017        2,635  

Southwest Airlines Co. *

     73,539        3,368  
     

 

 

 

Total

        25,266  
     

 

 

 

Information Technology (6.2%)

 

Automatic Data Processing, Inc.

     9,234        2,101  

Cisco Systems, Inc.

     121,100        6,752  

F5, Inc. *

     14,767        3,086  

Texas Instruments, Inc.

     11,593        2,127  
     

 

 

 

Total

        14,066  
     

 

 

 

Materials (2.0%)

 

Mondi PLC

     72,639        1,408  

Sonoco Products Co.

     52,107        3,260  
     

 

 

 

Total

        4,668  
     

 

 

 

Common Stocks

(98.1%)

   Shares/
Par +
    

Value

$ (000’s)

 

Real Estate (1.1%)

 

Healthpeak Properties, Inc.

     70,001        2,403  
     

 

 

 

Total

 

     2,403  
     

 

 

 

Utilities (6.1%)

 

Duke Energy Corp.

     25,331        2,829  

Edison International

     22,598        1,584  

Eversource Energy

     23,495        2,072  

Pinnacle West Capital Corp.

     44,985        3,513  

Xcel Energy, Inc.

     54,610        3,941  
     

 

 

 

Total

 

     13,939  
     

 

 

 

Total Common Stocks
(Cost: $192,944)

 

     224,290  
     

 

 

 

Preferred Stocks

(0.6%)

               

Consumer Discretionary (0.6%)

 

Volkswagen AG, 4.860%

     7,501        1,297  
     

 

 

 

Total

 

     1,297  
     

 

 

 

Total Preferred Stocks
(Cost: $1,651)

 

     1,297  
     

 

 

 
Investment Companies
(1.0%)
               

Investment Companies (1.0%)

 

iShares Russell 1000 Value ETF

     14,096        2,340  
     

 

 

 

Total

 

     2,340  
     

 

 

 

Total Investment Companies
(Cost: $2,295)

 

     2,340  
     

 

 

 
 


Large Company Value Portfolio

 

Short-Term
Investments (2.0%)
   Shares/
Par +
    

Value

$ (000’s)

 

Money Market Funds (2.0%)

 

  

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

     4,666,260        4,666  
     

 

 

 

Total

        4,666  
     

 

 

 

Total Short-Term Investments
(Cost: $4,666)

 

     4,666  
     

 

 

 

Total Investments (101.7%)
(Cost: $201,556)@

 

     232,593  
     

 

 

 

Other Assets, Less
Liabilities (-1.7%)

 

     (3,814)  
     

 

 

 

Net Assets (100.0%)

 

     228,779  
     

 

 

 

    

    

 

 

Over the Counter Derivatives

Forward Foreign Currency Contracts

 

Type    Counterparty    Currency  

Foreign Principal
Amount

Covered by
Contract (000s)

  USD Principal
Amount
Covered by
Contract (000’s)
  Settlement
Date
     Unrealized
Appreciation
(000’s)
     Unrealized
(Depreciation)
(000’s)
     Net
Unrealized
Appreciation/
(Depreciation)
(000’s)
 
Buy    Morgan Stanley Capital Services, Inc.    CHF     91       98       6/30/2022      $ 1        $          —        $            1     
Sell    Morgan Stanley Capital Services, Inc.    CHF     1,658       1,801       6/30/2022               (16)        (16)    
Sell    Goldman Sachs International    EUR     10,584       11,750       6/30/2022               (50)        (50)    
Sell    Bank of America NA    GBP     4,078        5,355        6/30/2022        43               43     
              

 

 

 
               $         44        $        (66)        $        (22)    
              

 

 

 

 

     Financial Derivative Assets (000’s)      Financial Derivative Liabilities (000’s)         
     Forward
Foreign
Currency
Contracts
     Swaps    Total      Forward
Foreign
Currency
Contracts
     Options      Swaps      Total  
                                                              

Total Over the Counter Derivatives

   $         44           $         44      $         (66)                    $         (66)  
                                                              

 

+

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

*

Non income producing

#

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

@

At March 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $201,556 and the net unrealized appreciation of investments based on that cost was $31,015 which is comprised of $34,732 aggregate gross unrealized appreciation and $3,717 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.


Large Company Value Portfolio

 

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:

          

Preferred Stocks

      $      $ 1,297     $             —  

Common Stocks

          

Consumer Discretionary

        5,805        1,971        

Consumer Staples

        24,551        4,492        

Health Care

        52,158        1,946        

Industrials

        22,631        2,635        

Materials

        3,260        1,408        

All Others

        103,433               

Investment Companies

        2,340               

Short-Term Investments

        4,666               

Other Financial Instruments^

          

Forward Foreign Currency Contracts

               44         
     

 

 

Total Assets:

      $             218,844      $             13,793     $  
     

 

 

Liabilities:

          

Other Financial Instruments^

          

Forward Foreign Currency Contracts

               (66      
     

 

 

Total Liabilities:

      $      $ (66   $  
     

 

 

^ 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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