N-CSRS 1 d10349dncsrs.htm THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10 The Prudential Variable Contract Account-10

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act file number:    811-03421
Exact name of registrant as specified in charter:    The Prudential Variable Contract Account-10
Address of principal executive offices:    655 Broad Street, 17th Floor
   Newark, New Jersey 07102
Name and address of agent for service:    Deborah A. Docs
   655 Broad Street, 17th Floor
   Newark, New Jersey 07102
Registrant’s telephone number, including area code:    973-367-7521
Date of fiscal year end:    12/31/2016
Date of reporting period:    6/30/2016


Item 1 – Reports to Stockholders


The MEDLEY Program


 

SEMIANNUAL REPORT    June 30, 2016

 

 

LOGO

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.

The views expressed in this report and information about the Accounts’ portfolio holdings are for the period covered by this report and are subject to change thereafter.

The accompanying financial statements as of June 30, 2016, were not audited and, accordingly, no auditor’s opinion is expressed on them. All are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.

Please note that this document may include prospectus supplements that are separate from and not a part of this report.

 

LOGO


The Prudential MEDLEY Program

 

Table of Contents

  Semiannual Report  

June 30, 2016

 

n  

LETTER TO PARTICIPANTS

 

n  

VCA-10 CAPITAL GROWTH ACCOUNT

Financial Statements

 

n  

VCA-11 MONEY MARKET ACCOUNT

Financial Statements

 

n  

VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Stock Index Portfolio

 

n  

APPROVAL OF ADVISORY AGREEMENTS


The Prudential MEDLEY Program

Letter to Participants

  June 30, 2016

 

n  

DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

 

LOGO   LOGO

Stuart Parker

President,

The Prudential Variable Contract Accounts 10 & 11

 

Timothy S. Cronin

President,

The Prudential Series Fund

July 29, 2016


Prudential Variable Contract Account-10 (VCA-10) & Variable Contract

Account-24 (VCA-24)

 

Presentation of Portfolio Holdings — unaudited

  June 30, 2016

 

Conservative Balanced   
Five Largest Holdings     (% of Net Assets
Federal National Mortgage Assoc., 3.000%, TBA     1.8%   
Apple, Inc.     1.3%   

Microsoft Corp.

    1.0%   
Exxon Mobil Corp.     1.0%   
Johnson & Johnson     0.9%   
Diversified Bond   
Issuer     (% of Net Assets
Commercial Mortgage-Backed Securities     11.5%   
Banks     10.9%   
Residential Mortgage-Backed Securities     10.4%   
Collateralized Loan Obligations     4.2%   
Sovereign Bonds     4.0%   
Equity   
Five Largest Holdings     (% of Net Assets

Amazon.com, Inc.

    3.5%   
Facebook, Inc.     3.2%   

Microsoft Corp.

    2.3%   
Apple, Inc.     2.2%   
Allergan PLC     2.2%   
 
Flexible Managed   
Five Largest Holdings     (% of Net Assets

Apple, Inc.

    1.5%   

Microsoft Corp.

    1.5%   
Federal National Mortgage Assoc., 3.000%, TBA     1.4%   
Facebook, Inc. (Class A Stock)     1.1%   
AT&T, Inc.     1.1%   
Global   
Top Five Countries     (% of Net Assets

United States

    54.5%   

Japan

    6.9%   

United Kingdom

    5.2%   
France     3.9%   
Switzerland     3.2%   
Government Income   
Allocation     (% of Net Assets
U.S. Government Agency Obligations     55.0%   
Commercial Mortgage-Backed Securities     27.5%   

U.S. Treasury Obligations

    10.8%   
Collateralized Loan Obligations     5.8%   
Corporate Bond     1.0%   
 
Stock Index   
Five Largest Holdings     (% of Net Assets
Apple, Inc.     2.8%   
Microsoft Corp.     2.1%   
Exxon Mobil Corp.     2.1%   
Johnson & Johnson     1.8%   
General Electric Co.     1.5%   
VCA-10   
Five Largest Holdings     (% of Net Assets
Shire PLC (Ireland), ADR     2.5%   
JPMorgan Chase & Co.     2.5%   
Alphabet, Inc. (Class A Stock)     2.3%   
Amazon.com, Inc.     2.2%   
Salesforce.com, Inc.     2.2%   
 

 

For a complete listing of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.


FINANCIAL STATEMENTS OF VCA-10

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

LONG-TERM INVESTMENTS — 96.2%  
COMMON STOCKS    Shares

     Value
(Note 2)

 

Aerospace & Defense — 2.0%

                 

Boeing Co. (The)

     10,367       $ 1,346,362   

United Technologies Corp.

     15,706         1,610,650   
             


                2,957,012   
             


Banks — 8.1%

                 

Bank of America Corp.

     145,973         1,937,062   

Citigroup, Inc.

     495,660         2,101,103   

JPMorgan Chase & Co.

     57,652         3,582,495   

PNC Financial Services Group, Inc.

     15,398         1,253,243   

Wells Fargo & Co.

     63,573         3,008,910   
             


                11,882,813   
             


Beverages — 1.1%

                 

Monster Beverage Corp.(a)

     10,315         1,657,724   
             


Biotechnology — 4.5%

                 

AbbVie, Inc.

     18,176         1,125,276   

Celgene Corp.(a)

     17,896         1,765,082   

Shire PLC (Ireland), ADR

     20,030         3,687,122   
             


                6,577,480   
             


Capital Markets — 1.1%

                 

Goldman Sachs Group, Inc. (The)

     11,265         1,673,754   
             


Chemicals — 1.5%

                 

Dow Chemicals Co. (The)

     19,648         976,702   

FMC Corp.

     25,833         1,196,326   
             


                2,173,028   
             


Communications Equipment — 0.8%

                 

Brocade Communications Systems, Inc.

     133,769         1,227,999   
             


Consumer Finance — 2.3%

                 

Capital One Financial Corp.

     24,530         1,557,900   

SLM Corp.(a)

     285,794         1,766,207   
             


                3,324,107   
             


Diversified Financial Services — 0.5%

                 

Voya Financial, Inc.

     28,342         701,748   
             


Electric Utilities — 3.5%

                 

FirstEnergy Corp.

     61,680         2,153,249   

PG&E Corp.

     47,214         3,017,919   
             


                5,171,168   
             


Electrical Equipment — 0.9%

                 

Eaton Corp. PLC

     21,169         1,264,424   
             


Electronic Equipment & Instruments — 0.9%

  

Flextronics International Ltd.(a)

     113,487         1,339,147   
             


Energy Equipment & Services — 1.3%

                 

Halliburton Co.

     42,261         1,914,001   
             


Food Products — 3.0%

                 

ConAgra Foods, Inc.

     46,800         2,237,508   

Mondelez International, Inc. (Class A Stock)

     48,180         2,192,672   
             


                4,430,180   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)

 

Health Care Equipment & Supplies — 1.1%

  

Zimmer Biomet Holdings, Inc.

     13,271       $ 1,597,563   
             


Health Care Providers & Services — 1.7%

  

Cigna Corp.

     7,821         1,001,010   

Laboratory Corp. Of America
Holdings(a)

     11,311         1,473,484   
             


                2,474,494   
             


Hotels, Restaurants & Leisure — 2.8%

                 

Carnival Corp.

     31,803         1,405,693   

Hyatt Hotels Corp.(a)

     25,170         1,236,854   

McDonald’s Corp.

     11,707         1,408,820   
             


                4,051,367   
             


Household Products — 1.7%

                 

Procter & Gamble Co. (The)

     28,484         2,411,740   
             


Industrial Conglomerates — 1.4%

                 

General Electric Co.

     66,986         2,108,719   
             


Insurance — 2.3%

                 

Chubb Ltd. (Switzerland)

     15,995         2,090,706   

MetLife, Inc.

     30,388         1,210,354   
             


                3,301,060   
             


Internet & Catalog Retail — 3.2%

                 

Amazon.com, Inc.(a)

     4,579         3,276,824   

Netflix, Inc.(a)

     14,635         1,338,810   
             


                4,615,634   
             


Internet Software & Services — 9.4%

                 

Alibaba Group Holding Ltd. (China), ADR(a)

     25,100         1,996,203   

Alphabet, Inc. (Class A Stock)(a)

     4,717         3,318,551   

Alphabet, Inc. (Class C Stock)(a)

     1,877         1,299,072   

eBay, Inc.(a)

     42,810         1,002,182   

Facebook, Inc. (Class A Stock)(a)

     28,623         3,271,036   

Tencent Holdings Ltd. (China), ADR

     120,673         2,771,859   
             


                13,658,903   
             


IT Services — 1.7%

                 

Visa, Inc. (Class A Stock)

     34,025         2,523,634   
             


Media — 2.6%

                 

Comcast Corp. (Class A Stock)

     32,294         2,105,246   

Liberty Global PLC (Series C) (United Kingdom)(a)

     17,424         499,198   

Liberty Global PLC LiLAC (Series C) (United Kingdom)(a)

     4,617         150,017   

Viacom, Inc.

     25,554         1,059,724   
             


                3,814,185   
             


Multiline Retail — 1.1%

                 

Target Corp.

     22,584         1,576,815   
             


Oil, Gas & Consumable Fuels — 8.3%

                 

Anadarko Petroleum Corp.

     21,547         1,147,378   

Chevron Corp.

     20,227         2,120,396   

Concho Resources, Inc.(a)

     7,162         854,212   

Hess Corp.

     17,485         1,050,849   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)

 

Oil, Gas & Consumable Fuels (continued)

  

Noble Energy, Inc.

     41,360       $ 1,483,583   

Occidental Petroleum Corp.

     25,723         1,943,630   

Royal Dutch Shell PLC (Netherlands), ADR

     33,277         1,837,556   

Suncor Energy, Inc. (Canada)

     59,329         1,645,193   
             


                12,082,797   
             


Pharmaceuticals — 8.5%

                 

Allergan PLC(a)

     13,629         3,149,526   

Bristol-Myers Squibb Co.

     32,948         2,423,325   

Merck & Co., Inc.

     40,249         2,318,745   

Pfizer, Inc.

     81,792         2,879,896   

Teva Pharmaceuticals Industries Ltd. (Israel), ADR

     32,321         1,623,484   
             


                12,394,976   
             


Real Estate Investment Trust (REITs) — 1.2%

  

American Tower Corp. (Class A Stock)

     14,750         1,675,748   
             


Road & Rail — 1.5%

                 

Ryder System, Inc.

     14,436         882,617   

Union Pacific Corp.

     15,696         1,369,476   
             


                2,252,093   
             


Semiconductors & Semiconductor Equipment — 2.0%

  

QUALCOMM, Inc.

     19,163         1,026,562   

Texas Instruments, Inc.

     29,659         1,858,136   
             


                2,884,698   
             


Software — 6.0%

                 

Adobe Systems, Inc.(a)

     20,888         2,000,862   

Microsoft Corp.

     34,118         1,745,818   

PTC, Inc.(a)

     44,655         1,678,135   

Salesforce.com, Inc.(a)

     41,202         3,271,851   
             


                8,696,666   
             


Specialty Retail — 4.2%

                 

Home Depot, Inc. (The)

     9,815         1,253,277   

Industria de Diseno Textil SA (Spain)

     54,477         1,832,077   

O’ Reilly Automotive, Inc.(a)

     7,054         1,912,339   

TJX Cos., Inc. (The)

     14,268         1,101,918   
             


                6,099,611   
             


Technology Hardware, Storage & Peripherals — 0.8%

  

Apple, Inc.

     12,621         1,206,568   
             


Textiles, Apparel & Luxury Goods — 2.2%

  

Adidas AG (Germany)

     21,554         1,545,206   

Coach, Inc.

     39,533         1,610,574   
             


                3,155,780   
             


Wireless Telecommunication Services — 1.0%

  

Vodafone Group PLC (United Kingdom), ADR

     49,037         1,514,753   
             


TOTAL COMMON STOCKS
(cost $113,892,073)

   

     140,392,389   
             


SHORT-TERM
INVESTMENT — 4.7%
   Shares

     Value
(Note 2)

 

Affiliated Mutual Fund

                 

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $6,899,779)(b) (Note 4)

     6,899,779       $ 6,899,779   
             


TOTAL INVESTMENTS — 100.9%
(cost $120,791,852)

   

     147,292,168   
             


LIABILITIES LESS, OTHER ASSETS — (0.9)%

  

Receivable for Securities Sold

  

     953,263   

Interest and Dividends Receivable

  

     256,900   

Tax Reclaim Receivable

  

     14,557   

Payable Pending Capital Transactions

  

     (139,524

Payable for Securities Purchased

  

     (2,470,487
             


LIABILITIES IN EXCESS OF OTHER ASSETS

  

     (1,385,291
             


NET ASSETS — 100%

  

   $ 145,906,877   
             


NET ASSETS, representing:

                 

Equity of Participants

  

   $ 145,933,622   

Equity of The Prudential Insurance Company of America

   

     (26,745
             


              $ 145,906,877   
             


The following abbreviation is used in the semiannual report:

 

ADR   American Depositary Receipt

 

(a) Non-income producing security.

 

(b) Prudential Investments LLC, the Manager of the Account, also serves as Manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

      

Level 1


      

Level 2


      

Level 3


 

Investments in Securities

  

Common Stocks

                                

Aerospace & Defense

     $ 2,957,012         $         $   —   

Banks

       11,882,813                       

Beverages

       1,657,724                       

Biotechnology

       6,577,480                       

Capital Markets

       1,673,754                       

Chemicals

       2,173,028                       

Communications Equipment

       1,227,999                       

Consumer Finance

       3,324,107                       

Diversified Financial Services

       701,748                       

Electric Utilities

       5,171,168                       

Electrical Equipment

       1,264,424                       

Electronic Equipment & Instruments

       1,339,147                       

Energy Equipment & Services

       1,914,001                       

Food Products

       4,430,180                       

Health Care Equipment & Supplies

       1,597,563                       

Health Care Providers & Services

       2,474,494                       

Hotels, Restaurants & Leisure

       4,051,367                       

Household Products

       2,411,740                       

Industrial Conglomerates

       2,108,719                       

Insurance

       3,301,060                       

Internet & Catalog Retail

       4,615,634                       

Internet Software & Services

       13,658,903                       

IT Services

       2,523,634                       

Media

       3,814,185                       

Multiline Retail

       1,576,815                       

Oil, Gas & Consumable Fuels

       12,082,797                       

Pharmaceuticals

       12,394,976                       

Real Estate Investment Trust (REITs)

       1,675,748                       

Road & Rail

       2,252,093                       

Semiconductors & Semiconductor Equipment

       2,884,698                       

Software

       8,696,666                       

Specialty Retail

       4,267,534           1,832,077             

Technology Hardware, Storage & Peripherals

       1,206,568                       

Textiles, Apparel & Luxury Goods

       3,155,780                       

Wireless Telecommunication Services

       1,514,753                       

Affiliated Mutual Fund

       6,899,779                       
      


    


    


Total

     $ 145,460,091         $ 1,832,077         $   
      


    


    


 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 was as follows:

 

Internet Software & Services

     9.4

Pharmaceuticals

     8.5   

Oil, Gas & Consumable Fuels

     8.3   

Banks

     8.1   

Software

     6.0   

Affiliated Mutual Fund

     4.7   

Biotechnology

     4.5   

Specialty Retail

     4.2   

Electric Utilities

     3.5   

Internet & Catalog Retail

     3.2   

Food Products

     3.0   

Hotels, Restaurants & Leisure

     2.8   

Media

     2.6   

Insurance

     2.3   

Consumer Finance

     2.3   

Textiles, Apparel & Luxury Goods

     2.2   

Aerospace & Defense

     2.0   

Semiconductors & Semiconductor Equipment

     2.0   

IT Services

     1.7   

Household Products

     1.7   

Health Care Providers & Services

     1.7

Road & Rail

     1.5   

Chemicals

     1.5   

Industrial Conglomerates

     1.4   

Energy Equipment & Services

     1.3   

Real Estate Investment Trust (REITs)

     1.2   

Capital Markets

     1.1   

Multiline Retail

     1.1   

Beverages

     1.1   

Health Care Equipment & Supplies

     1.1   

Wireless Telecommunications Services

     1.0   

Electrical Equipment

     0.9   

Electronic Equipment & Instruments

     0.9   

Technology Hardware, Storage & Peripherals

     0.8   

Communications Equipment

     0.8   

Diversified Financial Services

     0.5   
    


       100.9   

Liabilities in excess of other assets

     (0.9
    


       100.0
    


 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

     STATEMENT OF OPERATIONS (Unaudited)    

Six Months Ended June 30, 2016

 

        

INVESTMENT INCOME

        

Unaffiliated Dividend Income (net of $20,801 foreign withholding tax)

   $ 1,351,309   

Affiliated Dividend Income

     12,040   

Total Income

     1,363,349   

EXPENSES

        

Fees Charged to Participants for Investment Management Services

     (183,845

Fees Charged to Participants for Administrative Expenses:

        

Standard Contract

     (494,893

0.50% Contract

     (4,237

0.45% Contract

     (9,224

Total Expenses

     (692,199

NET INVESTMENT INCOME

     671,150   

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS

        

Net Realized Gain (Loss) on:

        

Investment Transactions

     2,096,316   

Foreign Currency Transactions

     (1,840
       2,094,476   

Net Change in Unrealized Appreciation (Depreciation) on Investments

     (7,858,755

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS

     (5,764,279

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (5,093,129

 

     STATEMENT OF CHANGES IN NET ASSETS  (Unaudited)    

 

       Six Months Ended
June 30, 2016
     Year Ended
December 31, 2015
 

OPERATIONS

                   

Net Investment Income

     $ 671,150       $ 1,046,235   

Net Realized Gain on Investment and Foreign Currency Transactions

       2,094,476         7,365,457   

Net Change In Unrealized Appreciation (Depreciation) on Investments

       (7,858,755      (11,020,024

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

       (5,093,129      (2,608,332

CAPITAL TRANSACTIONS

                   

Purchase Payments and Transfers In

       583,219         1,785,014   

Withdrawals and Transfers Out

       (7,143,619      (19,074,873

NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS

       (6,560,400      (17,289,859

NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS

       (6,798      (2,870

TOTAL DECREASE IN NET ASSETS

       (11,660,327      (19,901,061

NET ASSETS

                   

Beginning of period

       157,567,204         177,468,265   

End of period

     $ 145,906,877       $ 157,567,204   

Accumulation Unit Values and Equity of Participants as of June 30, 2016


Standard Contract:

        

Accumulation Unit Value and Equity of Participants, $133,522,725 / 9,192,380 Accumulation Units

   $ 14.5254   
    


0.50% Contract:

        

Accumulation Unit Value and Equity of Participants, $3,433,982 / 213,948 Accumulation Units

   $ 16.0505   
    


0.45% Contract:

        

Accumulation Unit Value and Equity of Participants, $8,976,915 / 557,782 Accumulation Units

   $ 16.0939   
    


 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-10

 

     INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)    

(For an Accumulation Unit outstanding throughout the period)

 

    Six Months Ended June 30, 2016

    Year Ended December 31, 2015

 
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
 

Investment Income

  $ .1332      $ .1468      $ .1472      $ .2397      $ .2631      $ .2637   

Expenses

                                               

Investment management fee

    (.0176     (.0195     (.0195     (.0384     (.0422     (.0423

Administrative expenses

    (.0528     (.0195     (.0156     (.1149     (.0422     (.0339

Net Investment Income

    .0628        .1078        .1121        .0864        .1787        .1875   

Capital Changes

                               

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (.5320     (.5855     (.5870     (.3479     (.3837     (.3847

Net Increase (Decrease) in Accumulation Unit Value

    (.4692     (.4777     (.4749     (.2615     (.2050     (.1972

Accumulation Unit Value

                               

Beginning of period

    14.9946        16.5282        16.5688        15.2561        16.7332        16.7660   

End of period

  $ 14.5254      $ 16.0505      $ 16.0939      $ 14.9946      $ 16.5282      $ 16.5688   

Total Return**

    (3.13 %)      (2.89 %)      (2.87 %)      (1.71 %)      (1.23 %)      (1.18 %) 

Ratio of Expenses To Average Net Assets***

    1.00 %††      .50 %††      .45 %††      1.00     .50     .45

Ratio of Net Investment Income To Average Net Assets***

    .88 %††      1.37 %††      1.42 %††      .57     1.06     1.11

Portfolio Turnover Rate

    24 %†††      24 %†††      24 %†††      47     47     47

Number of Accumulation Units Outstanding
For Participants at end of period (000’s omitted)

    9,192        214        558        9,595        219        609   

 

* Calculated by accumulating the actual per unit amounts daily.
** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
*** These calculations exclude PICA’s equity in VCA-10.
†† Annualized
††† Not Annualized

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-10

 

     INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)    

(For an Accumulation Unit outstanding throughout the year)

 

    Year Ended December 31, 2014

    Year Ended December 31, 2013

 
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
 

Investment Income

  $ .1871      $ .2046      $ .2049      $ .1792      $ .1950      $ .1952   

Expenses

                                               

Investment management fee

    (.0362     (.0397     (.0398     (.0303     (.0330     (.0330

Administrative expenses

    (.1086     (.0397     (.0318     (.0906     (.0330     (.0264

Net Investment Income

    .0423        .1252        .1333        .0583        .1290        .1358   

Capital Changes

                                               

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    1.4515        1.5879        1.5907        3.1834        3.4658        3.4700   

Net Increase (Decrease) in Accumulation Unit Value

    1.4938        1.7131        1.7240        3.2417        3.5948        3.6058   

Accumulation Unit Value

                                               

Beginning of year

    13.7623        15.0201        15.0420        10.5206        11.4253        11.4362   

End of year

  $ 15.2561      $ 16.7332      $ 16.7660      $ 13.7623      $ 15.0201      $ 15.0420   

Total Return**

    10.85     11.41     11.46     30.81     31.46     31.53

Ratio of Expenses To Average Net Assets***

    1.00     .50     .45     1.00     .50     .45

Ratio of Net Investment Income To Average Net Assets***

    .29     .78     .83     .48     .98     1.03

Portfolio Turnover Rate

    70     70     70     69     69     69

Number of Accumulation Units Outstanding
For Participants at end of year (000’s omitted)

    10,646        242        657        11,720        224        751   

 

* Calculated by accumulating the actual per unit amounts daily.
** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles.
*** These calculations exclude PICA’s equity in VCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-10

 

     INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)    

(For an Accumulation Unit outstanding throughout the period)

 

    Year Ended December 31, 2012

    Year/Period Ended December 31, 2011

 
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract†
 

Investment Income

  $ .1825      $ .1975      $ .1976      $ .1448      $ .1559      $ .1203   

Expenses

                                               

Investment management fee

    (.0251     (.0272     (.0272     (.0250     (.0270     (.0200

Administrative expenses

    (.0752     (.0272     (.0218     (.0749     (.0270     (.0160

Net Investment Income

    .0822        .1431        .1486        .0449        .1019        .0843   

Capital Changes

                                               

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    1.0786        1.1677        1.1686        (.7945     (.8579     (1.5558

Net Increase (Decrease) in Accumulation Unit Value

    1.1608        1.3108        1.3172        (.7496     (.7560     (1.4715

Accumulation Unit Value

                                               

Beginning of period

    9.3598        10.1145        10.1190        10.1094        10.8705        11.5905   

End of period

  $ 10.5206      $ 11.4253      $ 11.4362      $ 9.3598      $ 10.1145      $ 10.1190   

Total Return**

    12.40     12.96     13.02     (7.41 %)      (6.95 %)      (12.70 %) 

Ratio of Expenses To Average Net Assets***

    1.00     .50     .45     1.00     .50     .45 %†† 

Ratio of Net Investment Income To Average Net Assets***

    .82     1.32     1.37     .44     .94     1.03 %†† 

Portfolio Turnover Rate

    44     44     44     56     56     56 %††† 

Number of Accumulation Units Outstanding
For Participants at end of period (000’s omitted)

    13,204        205        891        15,386        205        1,001   

 

* Calculated by accumulating the actual per unit amounts daily.
** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized.
*** These calculations exclude PICA’s equity in VCA-10.
Inception Date — April 1, 2011.
†† Annualized.
††† Not Annualized.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

 

SEE NOTES TO FINANCIAL STATEMENTS.


NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10 (Unaudited)

 

Note 1:   General

The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended. VCA-10 has been designed for use by employers (“Contract-holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital. The Account’s investments are composed primarily of common stocks. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.

PICA issues standard VCA-10 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-10 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.

 

Note 2:   Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Securities Valuation:    The Account holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Statement of Net Assets.

Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing


price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Account securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Rights:     The Account may hold rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such rights are held as long positions by the Account until exercised, sold or expired. Rights are valued at fair value in accordance with the Committee Members’ approved fair valuation procedures.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Committee, the Account may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Account has valued the investment. Therefore, the Account may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Account’s subadviser under the guidelines adopted by the Committee Members of the Account. However, the liquidity of the Account’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Account are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency


gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Account does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Concentration of Risk:    Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain (losses) (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.

Estimates:    The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes:    The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.

 

Note 3:   Investment Management Agreement and Charges

The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.

VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.

Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services.

PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the year ended by cancelling Units.


Note 4:   Other Transactions with Affiliates

The Account may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Account’s Committee.

During the six months ended June 30, 2016, the Account invested in the Prudential Core Ultra Short Bond Fund (formerly known as Prudential Core Taxable Money Market Fund) (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

 

Note 5:   Purchases and Sales of Portfolio Securities

For the six months ended June 30, 2016, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $33,882,324 and $39,576,536, respectively.

 

Note 6:   Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, are as follows:

 

Standard Contracts


   Units

    Amount

 

Six months ended June 30, 2016:

                

Account units issued

     41,034      $ 582,972   

Account units redeemed

     (443,415     (6,248,164
    


 


Net increase (decrease) in units outstanding

     (402,381   $ (5,665,192
    


 


Year ended December 31, 2015:

                

Account units issued

     107,010      $ 1,648,237   

Account units redeemed

     (1,158,432     (17,720,977
    


 


Net increase (decrease) in units outstanding

     (1,051,422   $ (16,072,740
    


 


0.50 % Contracts


   Units

    Amount

 

Six months ended June 30, 2016:

                

Account units issued

     15      $ 247   

Account units redeemed

     (5,260     (83,685
    


 


Net increase (decrease) in units outstanding

     (5,245   $ (83,438
    


 


Year ended December 31, 2015:

                

Account units issued

     8,078      $ 136,777   

Account units redeemed

     (31,049     (527,491
    


 


Net increase (decrease) in units outstanding

     (22,971   $ (390,714
    


 


0.45 % Contracts


   Units

    Amount

 

Six months ended June 30, 2016:

                

Account units issued

          $   

Account units redeemed

     (51,521     (811,770
    


 


Net increase (decrease) in units outstanding

     (51,521   $ (811,770
    


 


Year ended December 31, 2015:

                

Account units issued

          $   

Account units redeemed

     (47,645     (804,689
    


 


Net increase (decrease) in units outstanding

     (47,645   $ (804,689
    


 


 

Note 7:   Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.


Note 8:   Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the six months ended June 30, 2016, $33,805 in participant loans were withdrawn from VCA-10 and $42,450 of principal and interest was repaid to VCA-10. For the year ended December 31, 2015, $100,361 in participant loans were withdrawn from VCA-10 and $172,795 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2016, PICA has advised the Account that it received $383 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

 

Note 9:   New Accounting Pronouncement

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.


FINANCIAL STATEMENTS OF VCA-11

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

SHORT-TERM
INVESTMENTS — 102.2%
   Principal
Amount
(000)#


     Value
(Note 2)


 

Certificates of Deposit — 16.7%

                 

Bank of Montreal

                 

0.837%, 10/14/2016(b)

   $ 275       $ 275,153   

Bank of Tokyo-Mitsubishi UFJ Ltd.

                 

0.400%, 07/07/2016(a)

     500         500,000   

Canadian Imperial Bank of Commerce

                 

0.822%, 10/17/2016(b)

     350         350,180   

0.982%, 02/09/2017(b)

     250         250,127   

Citibank NA

                 

0.620%, 08/23/2016(a)

     250         250,066   

0.720%, 10/21/2016(a)

     270         270,053   

Nordea Bank Finland

                 

1.035%, 04/21/2017(b)

     250         250,113   

Royal Bank of Canada

                 

0.880%, 10/14/2016(b)

     200         200,139   

State Street Bank & Trust Co.

                 

0.777%, 08/01/2016(b)

     300         300,083   

0.795%, 11/10/2016(b)

     325         325,079   

Sumitomo Mitsui Banking Corp.

                 

0.700%, 07/05/2016(a)

     300         300,016   

Toronto Dominion Bank

                 

1.025%, 05/19/2017(b)

     200         200,042   

Wells Fargo Bank NA

                 

0.650%, 09/06/2016(a)

     250         250,002   

0.797%, 09/06/2016(b)

     400         400,186   
             


                4,121,239   
             


Commercial Paper — 42.8%

  

ABN AMRO Funding USA LLC, 144A

                 

0.621%, 08/09/2016(a)

     600         599,718   

Apple Inc., 144A

                 

0.400%, 07/06/2016(a)

     250         249,988   

Australia & New Zealand Banking Group Ltd., 144A

                 

0.458%, 07/05/2016(b)

     600         600,022   

BASF AG, 144A

                 

0.621%, 09/28/2016(a)

     600         599,175   

Caisse Centrale Desjardins du Quebec, 144A

                 

0.520%, 08/08/2016(a)

     300         299,863   

Cargill, Inc., 144A

                 

0.400%, 07/08/2016(a)

     500         499,963   

CDP Financial, Inc., 144A

                 

0.601%, 09/15/2016(a)

     350         349,640   

0.641%, 09/12/2016(a)

     250         249,757   

Commonwealth Bank of Australia, 144A

                 

0.606%, 09/21/2016(a)

     320         319,646   

1.026%, 04/20/2017(b)

     250         250,095   

CPPIB Capital, Inc., 144A

                 

0.410%, 08/02/2016(a)

     600         599,789   

DNB Bank ASA, 144A

                 

1.034%, 04/26/2017(b)

     250         250,104   

HSBC Bank PLC, 144A

                 

0.823%, 07/26/2016(b)

     300         300,079   

1.034%, 02/06/2017(b)

     200         200,165   
SHORT-TERM INVESTMENTS
(continued)
   Principal
Amount
(000)#


     Value
(Note 2)


 

Commercial Paper (continued)

  

ING US Funding LLC

                 

0.702%, 09/08/2016(a)

   $ 250       $ 249,749   

0.828%, 11/09/2016(b)

     250         250,100   

International Finance Corp.

                 

0.410%, 07/13/2016(a)

     325         324,967   

JPMorgan Securities LLC, 144A

                 

0.817%, 10/14/2016(b)

     350         350,204   

1.037%, 02/02/2017(b)

     250         250,210   

KFW, 144A

                 

0.541%, 08/16/2016(a)

     350         349,830   

0.616%, 10/07/2016(a)

     260         259,672   

Microsoft Corp., 144A

                 

0.405%, 07/06/2016(a)

     400         399,980   

0.430%, 08/17/2016(a)

     300         299,851   

Nestle Capital Corp., 144A

                 

0.551%, 08/25/2016(a)

     450         449,707   

Ontario Teachers’ Financial Trust, 144A

                 

0.833%, 08/18/2016(a)

     250         249,783   

0.979%, 03/06/2017(b)

     300         297,549   

PSP Capital Inc., 144A

                 

0.601%, 08/05/2016(a)

     250         249,903   

Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN

                 

0.928%, 02/01/2017(b)

     250         250,058   

Roche Holdings, Inc., 144A

                 

0.420%, 07/07/2016(a)

     600         599,960   

Westpac Banking Corp., Sr. Unsec’d. Notes, 144A

                 

0.611%, 10/03/2016(a)

     340         339,437   
             


                10,538,964   
             


Other Corporate Obligations — 4.8%

                 

Bank of America NA

                 

1.096%, 02/14/2017(b)

     250         250,348   

1.096%, 11/14/2016(b)

     125         125,110   

Caisse Centrale Desjardins du Quebec, Sr. Unsec’d, 144A

                 

1.040%, 03/27/2017(b)

     160         159,832   

Caterpillar Inc.

                 

5.700%, 08/15/2016

     339         340,852   

Ontario (Province of)

                 

1.000%, 07/22/2016

     300         300,069   
             


                1,176,211   
             


Repurchase Agreement(c) — 9.7%

                 

BNP Paribas SA

                 

0.400%, dated 06/30/2016, due 07/01/2016 in the amount of $2,400,027

     2,400         2,400,000   
             


Time Deposit — 2.9%

                 

US Bank National Association

                 

0.320%, 07/01/2016(a)

     726         726,000   
             


U.S. Government Agency Obligations — 25.3%

  

Federal Farm Credit Bank

                 

0.442%, 10/13/2016(b)

     400         400,040   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-11

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

SHORT-TERM INVESTMENTS
(continued)
   Principal
Amount
(000)#


     Value
(Note 2)


 

U.S. Government Agency Obligations (continued)

  

Federal Home Loan Bank

                 

0.290%, 07/08/2016(a)

   $ 900       $ 899,970   

0.310%, 08/03/2016(a)

     700         699,840   

0.393%, 08/18/2016(b)

     500         499,997   

0.401%, 10/04/2016(a)

     194         193,816   

0.412%, 08/24/2016(b)

     500         500,000   

0.432%, 09/01/2016(b)

     500         500,006   

0.460%, 08/24/2016(a)

     350         349,869   

0.545%, 08/26/2016(b)

     400         400,048   

0.549%, 07/11/2016(b)

     500         500,018   

0.549%, 10/11/2016(b)

     250         250,066   

Federal Home Loan Mortgage Corporation

                 

0.434%, 09/02/2016(b)

     500         499,995   

0.493%, 04/27/2017(b)

     300         299,975   

Federal National Mortgage Association

                 

0.525%, 10/21/2016(b)

     250         250,046   
             


                6,243,686   
             


TOTAL INVESTMENTS — 102.2%
(cost $25,204,726)

   

     25,206,100   
             


LIABILITIES, LESS OTHER ASSETS — (2.2)%

  

Cash

  

     5   

Interest Receivable

  

     17,036   

Receivable Pending Capital Transactions

  

     19,044   

Payable for Securities Purchased

  

     (599,080
             


LIABILITIES IN EXCESS OF OTHER ASSETS

  

     (563,000
             


NET ASSETS — 100.0%

  

   $ 24,643,100   
             


NET ASSETS, representing:

  

Equity of Participants

  

   $ 24,644,228   

Equity of The Prudential Insurance Company of America

   

     (1,123
             


              $ 24,643,105   
             


The following abbreviations are used in the semiannual report:

 

144A   Security was purchased pursuant to Rule 144A under the Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
MTN  

MediumTerm Note

 

# Principal amount is shown in U.S. dollars unless otherwise stated.

 

(a) Rate quoted represents yield-to-maturity as of the purchase date.

 

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016.

 

(c) Repurchase agreements are collaterized by U.S. Treasury Securities (coupon rates 5.000%-6.000%, maturity dates 09/29/2016-07/01/2041), with the aggregate value, including accrued interest, of $2,448,000. Repurchase agreements are subject to contractual netting arrangements. For further detail on individual repurchase agreements and the corresponding counterparty, see the Statement of Net Assets.
 

 

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

      

Level 1


      

Level 2


      

Level 3


 

Investments in Securities

                                

Certificates of Deposit

     $   —         $ 4,121,239         $   —   

Commerical Paper

                 10,538,964             

Other Corporate Obligations

                 1,176,211             

Repurchase Agreement

                 2,400,000             

Time Deposit

                 726,000              

U.S. Government Agency Obligations

                 6,243,686             
      


    


    


Total

     $         $ 25,206,100         $   
      


    


    


 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-11

 

     STATEMENT OF NET ASSETS (Unaudited)    

June 30, 2016

 

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of June 30, 2016 was as follows:

 

Commercial Paper

     42.8

U.S. Government Agency Obligations

     25.3  

Certificates of Deposit

     16.7  

Repurchase Agreement

     9.7  

Other Corporate Obligations

     4.8  

Time Deposit

     2.9 %
    


       102.2   

Liabilities in excess of other assets

     (2.2
    


       100.0
    


 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-11

 

     STATEMENT OF OPERATIONS (Unaudited)    

Six Months Ended June 30, 2016

 

        

INVESTMENT INCOME

        

Unaffiliated Interest Income

   $ 63,431   

EXPENSES

        

Fees Charged to Participants for Investment Management Services

     (31,086

Fees Charged to Participants for Administrative Expenses:

        

Standard Contract

     (83,360

0.50% Contract

     (1,950

0.45% Contract

     (1,079

Total Expenses

     (117,475

NET INVESTMENT LOSS

     (54,044

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS

        

Net Realized Gain on Investment Transactions

     447   

Net Change in Unrealized Appreciation (Depreciation) on Investments

     1,374   

NET GAIN ON INVESTMENT TRANSACTIONS

     1,821   

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (52,223

 

     STATEMENT OF CHANGES IN NET ASSETS  (Unaudited)    

 

     Six Months Ended
June 30, 2016
     Year Ended
December 31, 2015
 

OPERATIONS

                 

Net Investment Loss

   $ (54,044    $ (194,100

Net Realized Gain on Investment Transactions

     447         316   

Net Change in Unrealized Appreciation (Depreciation) on Investments

     1,374           

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

     (52,223      (193,784

CAPITAL TRANSACTIONS

                 

Purchase Payments and Transfers In

     1,128,832         1,843,959   

Withdrawals and Transfers Out

     (1,749,140      (3,770,747

NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS

     (620,308      (1,926,788

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS

     (1,386      18   

TOTAL DECREASE IN NET ASSETS

     (673,917      (2,120,554

NET ASSETS

                 

Beginning of period

     25,317,022         27,437,576   

End of period

   $ 24,643,105       $ 25,317,022   

Accumulation Unit Values and Equity of Participants as of June 30, 2016


Standard Contract:

        

Accumulation Unit Value and Equity of Participants, $22,016,921 / 6,903,913 outstanding Accumulation Units

   $ 3.1890   
    


0.50% Contract:

        

Accumulation Unit Value and Equity of Participants, $1,551,093 / 443,888 outstanding Accumulation Units

   $ 3.4943   
    


0.45% Contract:

        

Accumulation Unit Value and Equity of Participants, $1,076,214 / 307,158 outstanding Accumulation Units

   $ 3.5038   
    


 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-11

 

     INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)    

(For an Accumulation Unit outstanding throughout the period)

 

       Six Months Ended June 30, 2016

    Year Ended December 31, 2015

 
       Standard
Contract
    0.50%
Contarct
    0.45%
Contract
   

Standard

Contract

    

0.50%

Contract

    

0.45%

Contract

 

Investment Income

     $ .0081      $ .0088      $ .0089      $ .0066       $ .0071       $ .0071   

Expenses

                                                    

Investment management fee

       (.0040     (.0043     (.0043     (.0080      (.0087      (.0088

Administrative expenses

       (.0119     (.0043     (.0035     (.0239      (.0087      (.0069

Net Investment Income (Loss)

       (.0078     .0002        .0011        (.0253      (.0103      (.0086

Capital Changes

                                                    

Net realized and unrealized gain (loss) on investment transactions

       .0002        .0002        .0002        .0000 ††       .0000 ††       .0000 †† 

Net Increase (Decrease) in Accumulation Unit Value

       (.0076     .0004        .0013        (.0253      (.0103      (.0086

Accumulation Unit Value

                                                    

Beginning of period

       3.1966        3.4939        3.5025        3.2219         3.5042         3.5111   

End of period

     $ 3.1890      $ 3.4943      $ 3.5038      $ 3.1966       $ 3.4939       $ 3.5025   

Total Return**

       (.24 %)      .01     .04     (.79 %)       (.29 %)       (.24 %) 

Ratio of Expenses To Average Net Assets***

       1.00 %†††      .50 %†††      .45 %†††      1.00      .50      .45

Ratio of Net Investment Income (Loss) To Average Net Assets***

       (.49 %)†††      .01 %†††      .06 %†††      (.79 %)       (.29 %)       (.24 %) 

Number of Accumulation Units Outstanding
For Participants at end of period (000’s omitted)

       6,904        444        307        7,077         456         314   

 

* Calculated by accumulating the actual per unit amounts daily.
** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
*** These calculations exclude PICA’s equity in VCA-11.
†† Less than $.00005.
††† Annualized

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-11

 

     INCOME PER ACCUMULATION UNIT* (Unaudited)    

(For an Accumulation Unit outstanding throughout the year)

 

 

       Year Ended December 31, 2014

     Year Ended December 31, 2013

 
       Standard
Contract
     0.50%
Contract
     0.45%
Contract
     Standard
Contract
     0.50%
Contract
     0.45%
Contract
 

Investment Income

     $ .0052       $ .0056       $ .0056       $ .0060       $ .0063       $ .0064   

Expenses

                                                       

Investment management fee

       (.0081      (.0088      (.0088      (.0081      (.0087      (.0087

Administrative expenses

       (.0242      (.0088      (.0070      (.0244      (.0087      (.0071

Net Investment Loss

       (.0271      (.0120      (.0102      (.0265      (.0111      (.0094

Capital Changes

                                                       

Net realized and unrealized gain (loss) on investment transactions

       .0000 ††       .0000 ††       .0000 ††       .0001         .0001         .0001   

Net Increase (Decrease) in Accumulation Unit Value

       (.0271      (.0120      (.0102      (.0264      (.0110      (.0093

Accumulation Unit Value

                                                       

Beginning of year

       3.2490         3.5162         3.5213         3.2754         3.5272         3.5306   

End of year

     $ 3.2219       $ 3.5042       $ 3.5111       $ 3.2490       $ 3.5162       $ 3.5213   

Total Return**

       (.83 %)       (.34 %)       (.29 %)       (.81 %)       (.31 %)       (.26 %) 

Ratio of Expenses To Average Net Assets***

       1.00      .50      .45      1.00      .50      .45

Ratio of Net Investment Income (Loss) To Average Net Assets***

       (.84 %)       (.34 %)       (.29 %)       (.81 %)       (.32 %)       (.27 %) 

Number of Accumulation Units Outstanding
For Participants at end of year (000’s omitted)

       7,653         458         335         8,446         502         393   

 

* Calculated by accumulating the actual per unit amounts daily.
** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles.
*** These calculations exclude PICA’s equity in VCA-11.
†† Less than $.00005.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-11

 

     INCOME PER ACCUMULATION UNIT* (Unaudited)    

(For an Accumulation Unit outstanding throughout the period)

 

       Year Ended December 31, 2012

     Year/Period Ended December 31, 2011

 
       Standard
Contract
     0.50%
Contract
     0.45%
Contract
     Standard
Contract
     0.50%
Contract
     0.45%
Contract†
 

Investment Income

     $ .0081       $ .0085       $ .0086       $ .0070       $ .0073       $ .0051   

Expenses

                                                       

Investment management fee

       (.0083      (.0088      (.0088      (.0083      (.0088      (.0067

Administrative expenses

       (.0246      (.0088      (.0071      (.0248      (.0088      (.0053

Net Investment Loss

       (.0248      (.0091      (.0073      (.0261      (.0103      (.0069

Capital Changes

                                                       

Net realized and unrealized gain (loss) on investment transactions

       .0001         .0001         .0001         .0001         .0001         .0000 †† 

Net Increase (Decrease) in Accumulation Unit Value

       (.0247      (.0090      (.0072      (.0260      (.0102      (.0069

Accumulation Unit Value

                                                       

Beginning of period

       3.3001         3.5362         3.5378         3.3261         3.5464         3.5447   

End of period

     $ 3.2754       $ 3.5272       $ 3.5306       $ 3.3001       $ 3.5362       $ 3.5378   

Total Return**

       (.75 %)       (.25 %)       (.20 %)       (.78 %)       (.29 %)       (.19 %) 

Ratio of Expenses To Average Net Assets***

       1.00      .50      .45      1.00      .50      .45 %††† 

Ratio of Net Investment Income (Loss) To Average Net Assets***

       (.75 %)       (.26 %)       (.21 %)       (.79 %)       (.29 %)       (.23 %)††† 

Number of Accumulation Units Outstanding
For Participants at end of period (000’s omitted)

       9,435         500         433         10,650         495         458   

 

* Calculated by accumulating the actual per unit amounts daily.
** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized.
*** These calculations exclude PICA’s equity in VCA-11.
Inception Date — April 1, 2011.
†† Less than $.00005.
††† Annualized.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.

 

SEE NOTES TO FINANCIAL STATEMENTS.


NOTES TO THE FINANCIAL STATEMENTS OF

VCA-11 (Unaudited)

 

Note 1:   General

The Prudential Variable Contract Account-11 (VCA-11 or the Account) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-11 has been designed for use by employers (Contract-holders) in making retirement arrangements on behalf of their employees (Participants). The investment objective of the Account is to realize a high level of current income as is consistent with the preservation of capital and liquidity. Its investments are primarily composed of short-term securities. The ability of the issuers of the securities held by the Account to meet their obligations may be affected by economic developments in a specific state, industry or region. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.

PICA issues standard VCA-11 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-11 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.

 

Note 2:   Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Securities Valuation:    The Account holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s action is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Statement of Net Assets.

Effective March 30, 2016, the Account has amended its valuation policy for fixed income securities as follows. Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

Through March 29, 2016, the Account valued all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the


issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Loan Participations:    The Account may invest in loan participations. When the Account purchases a loan participation, the Account typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Account assumes the credit risk of the borrower, the Selling Participant and any other persons positioned between the Account and the borrower. The Account may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.

Restricted and Illiquid Securities:    The Account may hold up to 5% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements, are valued pursuant to the valuation procedures noted above.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is the Account’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase agreement exceeds one business day, the value of collateral is marked-to-market on a daily basis to ensure adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Account may be delayed or limited.

Master Netting Arrangements:    The Account may be subject to various Master Agreements, or netting arrangements, with select counterparties. A master netting arrangement between the Account and the counterparty permits the Account to offset amounts payable by the Account to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Account to cover the Account’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforcable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right to set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from security transactions are calculated on the identified cost basis. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.

Estimates:    The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes:    The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.

 

Note 3:   Investment Management Agreement and Charges

The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with PGIM, Inc. The subadvisory agreement provides that PGIM, Inc. will furnish investment advisory services in connection with management of the Account. PI pays for the services of PGIM, Inc. Prior to January 4, 2016, PGIM, Inc. was known as Prudential Investment Management, Inc. (“PIM”).


VCA-11 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.

Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, for investment management services.

PICA, PI and PGIM, Inc. are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by cancelling Units.

 

Note 4:   Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, are as follows:

 

Standard Contract


   Units

    Amount

 

Six months ended June 30, 2016:

                

Account units issued

     326,568      $ 1,042,859   

Account units redeemed

     (499,847     (1,595,790
    


 


Net increase (decrease) in units outstanding

     (173,279   $ (552,931
    


 


Year ended December 31, 2015:

                

Account units issued

     524,714      $ 1,683,743   

Account units redeemed

     (1,100,210     (3,531,497
    


 


Net increase (decrease) in units outstanding

     (575,496   $ (1,847,754
    


 


0.50% Contract


            

Six months ended June 30, 2016:

                

Account units issued

     24,604      $ 85,974   

Account units redeemed

     (37,152     (129,819
    


 


Net increase (decrease) in units outstanding

     (12,548   $ (43,845
    


 


Year ended December 31, 2015:

                

Account units issued

     45,777      $ 160,216   

Account units redeemed

     (47,326     (165,489
    


 


Net increase (decrease) in units outstanding

     (1,549   $ (5,273
    


 


0.45% Contract


            

Six months ended June 30, 2016:

                

Account units issued

          $   

Account units redeemed

     (6,717     (23,531
    


 


Net increase (decrease) in units outstanding

     (6,717   $ (23,531
    


 


Year ended December 31, 2015:

                

Account units issued

          $   

Account units redeemed

     (21,034     (73,761
    


 


Net increase (decrease) in units outstanding

     (21,034   $ (73,761
    


 


 

Note 5:   Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

The increase (decrease) in net assets from surplus transfers represents the net increases to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.


Note 6:   Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-11 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the six months ended June 30, 2016, $7,582 in participant loans were withdrawn from VCA-11 and $13,739 of principal and interest was repaid to VCA-11. For the year ended December 31, 2015, $28,071 in participant loans were withdrawn from VCA-11 and $44,121 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the six months ended June 30, 2016, PICA has advised the Account that it received $209 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

 

Note 7:   New Accounting Pronouncement

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.


The Prudential Series Fund

The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.

Each Subaccount of VCA-24 will invest in the corresponding portfolio of the Prudential Series Fund (the “Fund”). Of the portfolios comprising the Fund, seven portfolios are presently available to The MEDLEY Program. The Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Stock Index Subaccount in the Stock Index Portfolio, the Equity Subaccount invests in the Equity Portfolio, and the Global Subaccount in the Global Portfolio.

There is no assurance that the investment objective of the portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.

Important Note

This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the seven portfolios of the Fund which are available through the Prudential Variable Contract Account-24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.

Contract unit values increase or decrease based on the performance of the portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of the Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.


The Prudential Series Fund

Fees and Expenses — unaudited

  June 30, 2016

 

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2016 through June 30, 2016.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.

 

The Prudential Series Fund Portfolios      Beginning
Account Value
January 1, 2016
       Ending
Account Value
June 30, 2016
       Annualized Expense
Ratio based on the
Six-Month period
     Expenses Paid
During the
Six-Month  period*
 
Conservative Balanced (Class I)    Actual      $ 1,000.00         $ 1,042.10           0.58    $ 2.94   
     Hypothetical      $ 1,000.00         $ 1,021.98           0.58    $ 2.92   
Diversified Bond (Class I)    Actual      $ 1,000.00         $ 1,070.50           0.46    $ 2.37   
     Hypothetical      $ 1,000.00         $ 1,022.58           0.46    $ 2.31   
Equity (Class I)    Actual      $ 1,000.00         $ 949.80           0.47    $ 2.28   
     Hypothetical      $ 1,000.00         $ 1,022.53           0.47    $ 2.36   
Equity (Class II)    Actual      $ 1,000.00         $ 948.00           0.87    $ 4.21   
     Hypothetical      $ 1,000.00         $ 1,020.54           0.87    $ 4.37   
Flexible Managed (Class I)    Actual      $ 1,000.00         $ 1,035.10           0.63    $ 3.19   
     Hypothetical      $ 1,000.00         $ 1,021.73           0.63    $ 3.17   
Global (Class I)    Actual      $ 1,000.00         $ 993.50           0.80    $ 3.97   
     Hypothetical      $ 1,000.00         $ 1,020.89           0.80    $ 4.02   
Government Income (Class I)    Actual      $ 1,000.00         $ 1,050.00           0.52    $ 2.65   
     Hypothetical      $ 1,000.00         $ 1,022.28           0.52    $ 2.61   
Stock Index (Class I)    Actual      $ 1,000.00         $ 1,039.10           0.32    $ 1.62   
     Hypothetical      $ 1,000.00         $ 1,023.27           0.32    $ 1.61   

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.


     CONSERVATIVE BALANCED  PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 90.3%         
COMMON STOCKS — 48.1%    Shares

     Value
(Note 2)


 

Aerospace & Defense — 1.2%

                 

Boeing Co. (The)

     38,850       $ 5,045,450   

General Dynamics Corp.

     18,300         2,548,092   

Honeywell International, Inc.

     48,212         5,608,020   

L-3 Communications Holdings, Inc.

     5,100         748,119   

Lockheed Martin Corp.

     16,500         4,094,805   

Northrop Grumman Corp.

     11,362         2,525,545   

Raytheon Co.

     18,800         2,555,860   

Rockwell Collins, Inc.(a)

     8,200         698,148   

Safran SA (France)

     1,224         82,427   

Textron, Inc.

     17,100         625,176   

Thales SA (France)

     835         69,342   

TransDigm Group, Inc.*(a)

     3,100         817,439   

United Technologies Corp.

     48,800         5,004,440   
             


                30,422,863   
             


Air Freight & Logistics — 0.3%

                 

C.H. Robinson Worldwide, Inc.

     9,200         683,100   

Deutsche Post AG (Germany)

     3,772         106,267   

Expeditors International of Washington, Inc.

     12,000         588,480   

FedEx Corp.

     16,400         2,489,192   

Royal Mail PLC (United Kingdom)

     3,171         21,305   

United Parcel Service, Inc. (Class B Stock)

     43,300         4,664,276   
             


                8,552,620   
             


Airlines — 0.2%

                 

Alaska Air Group, Inc.

     7,200         419,688   

American Airlines Group, Inc.

     36,900         1,044,639   

ANA Holdings, Inc. (Japan)

     13,000         37,045   

Cathay Pacific Airways Ltd. (Hong Kong)

     159,000         233,263   

Delta Air Lines, Inc.

     48,500         1,766,855   

International Consolidated Airlines Group SA (United Kingdom)

     3,186         15,775   

Japan Airlines Co. Ltd. (Japan)

     400         12,869   

Singapore Airlines Ltd. (Singapore)

     3,300         26,205   

Southwest Airlines Co.

     39,600         1,552,716   

United Continental Holdings, Inc.*

     21,100         865,944   
             


                5,974,999   
             


Auto Components — 0.2%

                 

BorgWarner, Inc.

     14,000         413,280   

Cie Generale des Etablissements Michelin (France)

     4,085         384,974   

Delphi Automotive PLC (United Kingdom)

     17,700         1,108,020   

Goodyear Tire & Rubber Co. (The)

     16,300         418,258   

Johnson Controls, Inc.

     40,600         1,796,956   

Koito Manufacturing Co. Ltd. (Japan)

     7,800         359,147   

Sumitomo Rubber Industries Ltd. (Japan)

     1,400         18,743   

Valeo SA (France)

     7,476         331,892   
             


                4,831,270   
             


Automobiles — 0.3%

                 

Bayerische Motoren Werke AG (Germany)

     1,290         93,880   

Daimler AG (Germany)

     446         26,688   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Automobiles (continued)

                 

Ferrari NV (Italy)

     846       $ 34,730   

Fiat Chrysler Automobiles NV (United Kingdom)

     3,504         21,569   

Ford Motor Co.

     244,185         3,069,406   

Fuji Heavy Industries Ltd. (Japan)

     2,300         79,059   

General Motors Co.

     88,000         2,490,400   

Harley-Davidson, Inc.(a)

     12,000         543,600   

Mazda Motor Corp. (Japan)

     2,200         29,113   

Mitsubishi Motors Corp. (Japan)

     6,100         28,160   

Nissan Motor Co. Ltd. (Japan)

     9,800         87,458   

Renault SA (France)

     4,649         350,990   

Suzuki Motor Corp. (Japan)

     1,400         37,909   

Toyota Motor Corp. (Japan)

     9,000         443,687   

Volkswagen AG (Germany)

     123         16,305   
             


                7,352,954   
             


Banks — 2.6%

                 

Aozora Bank Ltd. (Japan)

     11,000         38,159   

Banco Santander SA (Spain)

     7,244         28,112   

Bank of America Corp.

     646,721         8,581,988   

BB&T Corp.

     50,700         1,805,427   

BNP Paribas SA (France)

     10,881         477,194   

Citigroup, Inc.

     184,685         7,828,797   

Citizens Financial Group, Inc.

     31,700         633,366   

Comerica, Inc.

     11,000         452,430   

Commonwealth Bank of Australia (Australia)

     2,352         132,018   

Concordia Financial Group Ltd. (Japan)*

     4,700         18,151   

Credit Agricole SA (France)

     43,650         366,964   

Danske Bank A/S (Denmark)

     15,100         397,438   

DBS Group Holdings Ltd. (Singapore)

     29,400         346,653   

Erste Group Bank AG (Austria)

     2,698         61,428   

Fifth Third Bancorp

     47,021         827,099   

HSBC Holdings PLC (United Kingdom)

     127,438         789,553   

Huntington Bancshares, Inc.

     47,736         426,760   

ING Groep NV (Netherlands), CVA

     31,165         322,432   

Intesa Sanpaolo SpA (Italy)

     49,610         94,493   

Intesa Sanpaolo SpA, RSP (Italy)

     10,665         19,092   

JPMorgan Chase & Co.

     230,945         14,350,922   

KeyCorp.

     49,400         545,870   

Lloyds Banking Group PLC (United Kingdom)

     17,330         12,552   

M&T Bank Corp.

     10,400         1,229,592   

Mitsubishi UFJ Financial Group, Inc. (Japan)

     2,100         9,414   

Mizuho Financial Group, Inc. (Japan)

     93,700         134,840   

National Australia Bank Ltd. (Australia)

     10,202         195,873   

People’s United Financial, Inc.(a)

     19,100         280,006   

PNC Financial Services Group, Inc. (The)

     31,433         2,558,332   

Regions Financial Corp.

     78,203         665,508   

Societe Generale SA (France)

     11,871         371,397   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Banks (continued)

                 

Sumitomo Mitsui Financial Group, Inc. (Japan)

     16,700       $ 482,213   

Sumitomo Mitsui Trust Holdings, Inc. (Japan)

     32,000         104,122   

SunTrust Banks, Inc.

     31,800         1,306,344   

Svenska Handelsbanken AB (Sweden) (Class A Stock)

     5,816         70,609   

U.S. Bancorp

     102,285         4,125,154   

Wells Fargo & Co.

     291,264         13,785,525   

Westpac Banking Corp. (Australia)

     2,175         48,232   

Zions Bancorporation

     12,850         322,921   
             


                64,246,980   
             


Beverages — 1.1%

                 

Anheuser-Busch InBev SA/NV (Belgium)

     1,269         167,809   

Asahi Group Holdings Ltd. (Japan)

     1,500         48,502   

Brown-Forman Corp. (Class B Stock)

     6,250         623,500   

Coca-Cola Amatil Ltd. (Australia)

     18,153         112,059   

Coca-Cola Co. (The)

     244,101         11,065,098   

Coca-Cola European Partners PLC (United Kingdom)*

     850         30,459   

Coca-Cola HBC AG (Switzerland)*

     1,609         32,557   

Constellation Brands, Inc. (Class A Stock)

     11,100         1,835,940   

Diageo PLC (United Kingdom)

     9,798         273,715   

Dr. Pepper Snapple Group, Inc.

     12,000         1,159,560   

Heineken NV (Netherlands)

     2,521         231,232   

Molson Coors Brewing Co. (Class B Stock)

     11,700         1,183,221   

Monster Beverage Corp.*

     9,300         1,494,603   

PepsiCo, Inc.

     91,207         9,662,470   
             


                27,920,725   
             


Biotechnology — 1.4%

                 

AbbVie, Inc.

     100,900         6,246,719   

Actelion Ltd. (Switzerland)

     997         167,893   

Alexion Pharmaceuticals, Inc.*

     14,100         1,646,316   

Amgen, Inc.

     47,687         7,255,577   

Biogen, Inc.*

     13,860         3,351,625   

Celgene Corp.*

     49,000         4,832,870   

CSL Ltd. (Australia)

     1,796         151,462   

Gilead Sciences, Inc.

     85,600         7,140,752   

Regeneron Pharmaceuticals, Inc.*

     5,040         1,760,119   

Shire PLC

     4,852         299,867   

Vertex Pharmaceuticals, Inc.*

     15,900         1,367,718   
             


                34,220,918   
             


Building Products — 0.1%

                 

Allegion PLC

     6,433         446,643   

Asahi Glass Co. Ltd. (Japan)

     4,000         21,708   

Assa Abloy AB (Sweden) (Class B Stock)

     3,895         80,131   

Cie de Saint-Gobain (France)

     8,150         308,932   

Fortune Brands Home & Security, Inc.

     7,700         446,369   

Masco Corp.

     21,400         662,116   
             


                1,965,899   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Capital Markets — 0.9%

                 

3i Group PLC (United Kingdom)

     48,366       $ 354,868   

Affiliated Managers Group, Inc.*

     3,500         492,695   

Ameriprise Financial, Inc.

     10,820         972,177   

Bank of New York Mellon Corp. (The)

     67,358         2,616,858   

BlackRock, Inc.

     8,000         2,740,240   

Charles Schwab Corp. (The)

     75,650         1,914,702   

E*TRADE Financial Corp.*

     15,420         362,216   

Franklin Resources, Inc.

     22,900         764,173   

Goldman Sachs Group, Inc. (The)

     24,600         3,655,068   

Invesco Ltd.

     25,400         648,716   

Legg Mason, Inc.

     7,000         206,430   

Macquarie Group Ltd. (Australia)

     7,794         405,713   

Mediobanca SpA (Italy)

     1,571         9,052   

Morgan Stanley

     95,680         2,485,766   

Northern Trust Corp.

     13,600         901,136   

Partners Group Holding AG (Switzerland)

     66         28,285   

SBI Holdings, Inc. (Japan)

     24,100         239,991   

State Street Corp.

     25,400         1,369,568   

T. Rowe Price Group, Inc.

     15,900         1,160,223   
             


                21,327,877   
             


Chemicals — 1.0%

                 

Air Products & Chemicals, Inc.

     12,200         1,732,888   

Asahi Kasei Corp. (Japan)

     4,000         27,836   

BASF SE (Germany)

     1,558         119,466   

CF Industries Holdings, Inc.

     13,400         322,940   

Chr. Hansen Holding A/S (Denmark)

     947         62,194   

Croda International PLC (United Kingdom)

     513         21,535   

Daicel Corp. (Japan)

     20,800         215,531   

Dow Chemical Co. (The)

     70,031         3,481,241   

E.I. du Pont de Nemours & Co.

     54,620         3,539,376   

Eastman Chemical Co.

     9,300         631,470   

Ecolab, Inc.

     16,700         1,980,620   

FMC Corp.

     8,200         379,742   

Hitachi Chemical Co. Ltd. (Japan)

     400         7,471   

International Flavors & Fragrances, Inc.(a)

     5,000         630,350   

JSR Corp. (Japan)

     1,700         22,513   

K+S AG (Germany)

     1,502         30,749   

Kuraray Co. Ltd. (Japan)

     1,300         15,511   

LyondellBasell Industries NV (Class A Stock)

     21,700         1,614,914   

Mitsubishi Chemical Holdings Corp. (Japan)

     5,300         24,295   

Mitsubishi Gas Chemical Co., Inc. (Japan)

     3,000         15,651   

Mitsui Chemicals, Inc. (Japan)

     8,000         29,398   

Monsanto Co.

     27,594         2,853,496   

Mosaic Co. (The)

     21,900         573,342   

PPG Industries, Inc.

     16,700         1,739,305   

Praxair, Inc.

     17,900         2,011,781   

Sherwin-Williams Co. (The)

     5,000         1,468,350   

Shin-Etsu Chemical Co. Ltd. (Japan)

     1,500         87,883   

Sika AG (Switzerland)

     17         71,282   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Chemicals (continued)

                 

Solvay SA (Belgium)

     358       $ 33,440   

Sumitomo Chemical Co. Ltd. (Japan)

     6,000         24,756   

Teijin Ltd. (Japan)

     3,000         9,941   

Toray Industries, Inc. (Japan)

     4,000         34,132   

Yara International ASA (Norway)

     7,563         240,252   
             


                24,053,651   
             


Commercial Services & Supplies — 0.2%

  

        

Brambles Ltd. (Australia)

     6,171         57,615   

Cintas Corp.

     5,400         529,902   

ISS A/S (Denmark)

     6,141         230,965   

Pitney Bowes, Inc.

     9,400         167,320   

Republic Services, Inc.

     15,465         793,509   

Stericycle, Inc.*

     5,600         583,072   

Tyco International PLC

     26,800         1,141,680   

Waste Management, Inc.

     26,242         1,739,057   
             


                5,243,120   
             


Communications Equipment — 0.5%

                 

Cisco Systems, Inc.

     315,200         9,043,088   

F5 Networks, Inc.*

     4,500         512,280   

Harris Corp.

     8,000         667,520   

Juniper Networks, Inc.

     20,300         456,547   

Motorola Solutions, Inc.

     10,289         678,765   
             


                11,358,200   
             


Construction & Engineering — 0.1%

                 

Fluor Corp.

     8,800         433,664   

Jacobs Engineering Group, Inc.*

     7,700         383,537   

Kajima Corp. (Japan)

     27,000         187,562   

Obayashi Corp. (Japan)

     37,200         396,065   

Quanta Services, Inc.*

     8,000         184,960   

Shimizu Corp. (Japan)

     2,000         18,738   

Skanska AB (Sweden) (Class B Stock)

     6,496         136,019   

Taisei Corp. (Japan)

     4,000         32,867   

Vinci SA (France)

     1,947         137,394   
             


                1,910,806   
             


Construction Materials — 0.1%

                 

Fletcher Building Ltd. (New Zealand)

     5,520         33,954   

HeidelbergCement AG (Germany)

     1,131         85,201   

Martin Marietta Materials, Inc.

     4,000         768,000   

Vulcan Materials Co.

     8,300         998,988   
             


                1,886,143   
             


Consumer Finance — 0.3%

                 

American Express Co.

     51,300         3,116,988   

Capital One Financial Corp.

     32,961         2,093,353   

Discover Financial Services

     26,440         1,416,920   

Navient Corp.

     18,300         218,685   

Synchrony Financial*

     52,172         1,318,908   
             


                8,164,854   
             


Containers & Packaging — 0.2%

                 

Amcor Ltd. (Australia)

     23,137         260,143   

Avery Dennison Corp.

     6,100         455,975   

Ball Corp.(a)

     9,300         672,297   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Containers & Packaging (continued)

                 

International Paper Co.

     26,273       $ 1,113,450   

Owens-Illinois, Inc.*

     9,400         169,294   

Rexam PLC (United Kingdom)

     2,751         23,994   

Sealed Air Corp.

     12,000         551,640   

WestRock Co.

     15,544         604,195   
             


                3,850,988   
             


Distributors — 0.1%

                 

Genuine Parts Co.

     9,600         972,000   

LKQ Corp.*

     18,300         580,110   
             


                1,552,110   
             


Diversified Consumer Services

                 

H&R Block, Inc.(a)

     14,900         342,700   
             


Diversified Financial Services — 1.0%

                 

Berkshire Hathaway, Inc. (Class B Stock)*

     118,000         17,085,220   

CME Group, Inc.

     21,600         2,103,840   

Eurazeo SA (France)

     331         19,637   

Intercontinental Exchange, Inc.

     7,471         1,912,277   

Japan Exchange Group, Inc. (Japan)

     2,100         24,178   

Leucadia National Corp.

     18,600         322,338   

Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)

     58,600         225,175   

Moody’s Corp.

     10,900         1,021,439   

Nasdaq, Inc.

     7,000         452,690   

ORIX Corp. (Japan)

     5,200         67,291   

S&P Global, Inc.

     17,000         1,823,420   
             


                25,057,505   
             


Diversified Telecommunication Services — 1.4%

  

AT&T, Inc.

     387,038         16,723,912   

CenturyLink, Inc.

     33,336         967,077   

Deutsche Telekom AG (Germany)(a)

     14,470         246,747   

Elisa OYJ (Finland)

     555         21,325   

Frontier Communications Corp.

     66,190         326,979   

HKT Trust & HKT Ltd. (Hong Kong)

     21,000         30,263   

Koninklijke KPN NV (Netherlands)

     13,318         47,471   

Level 3 Communications, Inc.*

     17,800         916,522   

Nippon Telegraph & Telephone Corp. (Japan)

     10,700         501,776   

Orange SA (France)

     7,739         125,841   

Spark New Zealand Ltd. (New Zealand)

     21,304         54,147   

Telecom Italia SpA (Italy)*

     53,302         43,778   

Telecom Italia SpA, RSP (Italy)

     23,599         15,183   

Telefonica SA (Spain)

     17,344         164,661   

TPG Telecom Ltd. (Australia)

     2,362         21,180   

Verizon Communications, Inc.

     256,176         14,304,868   
             


                34,511,730   
             


Electric Utilities — 1.1%

                 

American Electric Power Co., Inc.

     30,760         2,155,968   

Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)

     2,000         17,244   

Chubu Electric Power Co., Inc. (Japan)

     2,400         34,154   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Electric Utilities (continued)

                 

Chugoku Electric Power Co., Inc. (The) (Japan)

     2,200       $ 27,969   

CLP Holdings Ltd. (Hong Kong)

     6,000         61,291   

Duke Energy Corp.

     43,161         3,702,782   

Edison International

     20,400         1,584,468   

EDP-Energias de Portugal SA (Portugal)

     17,828         54,582   

Electricite de France SA (France)

     1,013         12,283   

Endesa SA (Spain)

     1,230         24,681   

Enel SpA (Italy)

     78,956         350,523   

Entergy Corp.

     11,400         927,390   

Eversource Energy

     19,600         1,174,040   

Exelon Corp.

     57,613         2,094,809   

FirstEnergy Corp.

     27,406         956,743   

Fortum OYJ (Finland)

     1,698         27,281   

Hokuriku Electric Power Co. (Japan)

     2,200         27,261   

Iberdrola SA (Spain)

     21,207         144,666   

Kansai Electric Power Co., Inc. (The) (Japan)*

     2,700         26,296   

Kyushu Electric Power Co., Inc. (Japan)

     1,600         16,047   

NextEra Energy, Inc.

     28,900         3,768,560   

PG&E Corp.

     30,900         1,975,128   

Pinnacle West Capital Corp.

     7,400         599,844   

PPL Corp.

     43,500         1,642,125   

Shikoku Electric Power Co., Inc. (Japan)

     2,300         27,244   

Southern Co. (The)

     57,700         3,094,451   

SSE PLC (United Kingdom)

     3,926         81,713   

Tohoku Electric Power Co., Inc. (Japan)

     1,700         21,455   

Tokyo Electric Power Co. Holdings, Inc. (Japan)*

     5,600         23,716   

Xcel Energy, Inc.

     31,510         1,411,018   
             


                26,065,732   
             


Electrical Equipment — 0.3%

                 

ABB Ltd. (Switzerland)

     24,283         480,612   

Acuity Brands, Inc.

     2,700         669,492   

AMETEK, Inc.

     14,900         688,827   

Eaton Corp. PLC

     29,137         1,740,353   

Emerson Electric Co.

     40,100         2,091,616   

OSRAM Licht AG (Germany)

     694         36,058   

Rockwell Automation, Inc.

     8,500         975,970   

Schneider Electric SE (France)

     1,132         66,042   

Vestas Wind Systems A/S (Denmark)

     871         59,201   
             


                6,808,171   
             


Electronic Equipment, Instruments & Components — 0.2%

  

Amphenol Corp. (Class A Stock)

     19,500         1,117,935   

Corning, Inc.

     68,600         1,404,928   

FLIR Systems, Inc.

     8,800         272,360   

Hexagon AB (Sweden) (Class B Stock)

     2,079         76,083   

Hitachi High-Technologies Corp. (Japan)

     200         5,473   

Ingenico Group SA (France)

     215         24,920   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Electronic Equipment, Instruments & Components (continued)

  

TDK Corp. (Japan)

     6,800       $ 380,639   

TE Connectivity Ltd. (Switzerland)

     23,600         1,347,796   
             


                4,630,134   
             


Energy Equipment & Services — 0.5%

                 

Baker Hughes, Inc.

     27,398         1,236,472   

Diamond Offshore Drilling, Inc.

     2,700         65,691   

FMC Technologies, Inc.*

     14,300         381,381   

Halliburton Co.

     53,800         2,436,602   

Helmerich & Payne, Inc.

     6,700         449,771   

National Oilwell Varco, Inc.

     22,700         763,855   

Schlumberger Ltd.

     87,124         6,889,766   

Transocean Ltd.

     18,500         219,965   
             


                12,443,503   
             


Food & Staples Retailing — 1.1%

                 

Costco Wholesale Corp.

     27,600         4,334,304   

CVS Health Corp.

     68,848         6,591,507   

ICA Gruppen AB (Sweden)

     10,142         339,911   

J. Sainsbury PLC (United Kingdom)

     104,875         326,707   

Koninklijke Ahold NV (Netherlands)

     3,261         72,012   

Kroger Co. (The)

     60,292         2,218,143   

METRO AG (Germany)

     11,120         342,009   

Sysco Corp.

     32,800         1,664,272   

Wal-Mart Stores, Inc.

     98,000         7,155,960   

Walgreens Boots Alliance, Inc.

     54,700         4,554,869   

Whole Foods Market, Inc.

     20,700         662,814   
             


                28,262,508   
             


Food Products — 0.9%

                 

Archer-Daniels-Midland Co.

     37,926         1,626,646   

Campbell Soup Co.

     11,100         738,483   

ConAgra Foods, Inc.

     28,000         1,338,680   

General Mills, Inc.

     37,000         2,638,840   

Hershey Co. (The)

     9,200         1,044,108   

Hormel Foods Corp.

     16,800         614,880   

J.M. Smucker Co. (The)

     7,500         1,143,075   

Kellogg Co.

     15,800         1,290,070   

Kraft Heinz Co. (The)

     37,317         3,301,808   

McCormick & Co., Inc.

     7,500         800,025   

Mead Johnson Nutrition Co.

     11,967         1,086,005   

MEIJI Holdings Co. Ltd. (Japan)

     400         41,102   

Mondelez International, Inc. (Class A Stock)

     98,253         4,471,494   

Nestle SA (Switzerland)

     12,334         955,618   

Orkla ASA (Norway)

     11,342         100,871   

Tyson Foods, Inc. (Class A Stock)

     18,700         1,248,973   

WH Group Ltd. (Hong Kong), 144A

     484,500         383,722   

Wilmar International Ltd. (Singapore)

     109,700         267,043   
             


                23,091,443   
             


Gas Utilities

                 

AGL Resources, Inc.

     7,739         510,542   

Gas Natural SDG SA (Spain)

     1,347         26,775   

Tokyo Gas Co. Ltd. (Japan)

     7,000         28,901   
             


                566,218   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Health Care Equipment & Supplies — 1.1%

  

Abbott Laboratories

     92,300       $ 3,628,313   

Baxter International, Inc.

     34,200         1,546,524   

Becton, Dickinson & Co.

     13,678         2,319,652   

Boston Scientific Corp.*

     86,567         2,023,071   

C.R. Bard, Inc.

     4,600         1,081,736   

DENTSPLY SIRONA, Inc.

     15,300         949,212   

Edwards Lifesciences Corp.*

     13,700         1,366,301   

Hologic, Inc.*

     16,300         563,980   

Intuitive Surgical, Inc.*

     2,390         1,580,770   

Medtronic PLC

     88,090         7,643,569   

St. Jude Medical, Inc.

     17,800         1,388,400   

Stryker Corp.

     20,000         2,396,600   

Varian Medical Systems, Inc.*

     6,200         509,826   

Zimmer Biomet Holdings, Inc.

     11,800         1,420,484   
             


                28,418,438   
             


Health Care Providers & Services — 1.3%

  

Aetna, Inc.

     21,969         2,683,074   

Alfresa Holdings Corp. (Japan)

     17,200         359,344   

AmerisourceBergen Corp.

     12,500         991,500   

Anthem, Inc.

     16,400         2,153,976   

Cardinal Health, Inc.

     20,650         1,610,907   

Centene Corp.*

     11,000         785,070   

Cigna Corp.

     16,100         2,060,639   

DaVita HealthCare Partners, Inc.*

     10,700         827,324   

Express Scripts Holding Co.*

     39,649         3,005,394   

Fresenius SE & Co. KGaA (Germany)

     1,563         114,846   

HCA Holdings, Inc.*

     19,500         1,501,695   

Henry Schein, Inc.*

     5,300         937,040   

Humana, Inc.

     9,300         1,672,884   

Laboratory Corp. of America Holdings*

     6,700         872,809   

McKesson Corp.

     14,330         2,674,694   

Medipal Holdings Corp. (Japan)

     14,500         238,392   

Patterson Cos., Inc.

     5,400         258,606   

Quest Diagnostics, Inc.

     9,300         757,113   

Ramsay Health Care Ltd. (Australia)

     540         29,185   

Ryman Healthcare Ltd. (New Zealand)

     4,388         29,288   

Sonic Healthcare Ltd. (Australia)

     1,516         24,585   

Suzuken Co. Ltd. (Japan)

     210         6,610   

UnitedHealth Group, Inc.

     60,000         8,472,000   

Universal Health Services, Inc. (Class B Stock)

     5,700         764,370   
             


                32,831,345   
             


Health Care Technology

                 

Cerner Corp.*

     19,500         1,142,700   
             


Hotels, Restaurants & Leisure — 0.8%

                 

Aristocrat Leisure Ltd. (Australia)

     4,371         45,472   

Carnival Corp.

     28,800         1,272,960   

Chipotle Mexican Grill, Inc.*

     1,950         785,382   

Compass Group PLC (United Kingdom)

     12,874         244,934   

Darden Restaurants, Inc.

     7,650         484,551   

Marriott International, Inc. (Class A Stock)(a)

     11,928         792,735   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Hotels, Restaurants & Leisure (continued)

  

McDonald’s Corp.

     56,500       $ 6,799,210   

Oriental Land Co. Ltd. (Japan)

     800         51,799   

Paddy Power Betfair PLC (Ireland)

     887         93,221   

Royal Caribbean Cruises Ltd.(a)

     10,800         725,220   

Starbucks Corp.

     92,600         5,289,312   

Starwood Hotels & Resorts Worldwide, Inc.

     10,800         798,660   

TUI AG (Germany)

     1,957         22,274   

Wyndham Worldwide Corp.

     7,520         535,650   

Wynn Resorts Ltd.

     5,300         480,392   

Yum! Brands, Inc.

     25,600         2,122,752   
             


                20,544,524   
             


Household Durables — 0.3%

                 

Barratt Developments PLC (United Kingdom)

     3,993         21,698   

Berkeley Group Holdings PLC (United Kingdom)

     993         33,531   

D.R. Horton, Inc.

     20,200         635,896   

Electrolux AB (Sweden) (Class B Stock)

     5,844         159,336   

Garmin Ltd.

     7,000         296,940   

Harman International Industries, Inc.

     4,700         337,554   

Iida Group Holdings Co. Ltd. (Japan)

     12,000         245,749   

Leggett & Platt, Inc.

     8,400         429,324   

Lennar Corp. (Class A Stock)

     11,700         539,370   

Mohawk Industries, Inc.*

     4,200         796,992   

Newell Brands, Inc.

     28,214         1,370,354   

Nikon Corp. (Japan)

     1,300         17,602   

Persimmon PLC (United Kingdom)

     4,202         81,484   

PulteGroup, Inc.

     18,222         355,147   

Sekisui House Ltd. (Japan)

     2,300         40,278   

Taylor Wimpey PLC (United Kingdom)

     128,488         227,950   

Whirlpool Corp.

     4,926         820,868   
             


                6,410,073   
             


Household Products — 1.0%

                 

Church & Dwight Co., Inc.

     8,200         843,698   

Clorox Co. (The)

     8,100         1,120,959   

Colgate-Palmolive Co.

     55,900         4,091,880   

Henkel AG & Co. KGaA (Germany)

     406         43,917   

Kimberly-Clark Corp.

     22,600         3,107,048   

Procter & Gamble Co. (The)

     167,825         14,209,743   

Reckitt Benckiser Group PLC (United Kingdom)

     4,674         468,672   

Svenska Cellulosa AB SCA (Sweden) (Class B Stock)

     2,352         75,571   
             


                23,961,488   
             


Independent Power & Renewable Electricity Producers

  

AES Corp.

     39,500         492,960   

Electric Power Development Co. Ltd. (Japan)

     500         11,649   

NRG Energy, Inc.

     18,200         272,818   
             


                777,427   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Industrial Conglomerates — 1.2%

                 

3M Co.

     37,900       $ 6,637,048   

CK Hutchison Holdings Ltd. (Hong Kong)

     3,916         43,078   

Danaher Corp.

     37,500         3,787,500   

DCC PLC (United Kingdom)

     2,946         259,248   

General Electric Co.

     582,430         18,334,896   

Roper Technologies, Inc.

     6,300         1,074,528   

Siemens AG (Germany)

     2,966         304,376   
             


                30,440,674   
             


Insurance — 1.3%

                 

Aflac, Inc.

     26,700         1,926,672   

AIA Group Ltd. (Hong Kong)

     5,200         31,271   

Allianz SE (Germany)

     3,981         567,922   

Allstate Corp. (The)

     24,200         1,692,790   

American International Group, Inc.

     72,039         3,810,143   

Aon PLC

     17,300         1,889,679   

Arthur J. Gallagher & Co.

     10,100         480,760   

Assurant, Inc.

     4,300         371,133   

AXA SA (France)

     7,540         149,086   

Chubb Ltd.

     28,886         3,775,689   

Cincinnati Financial Corp.

     9,237         691,759   

Hannover Rueck SE (Germany)

     3,415         357,817   

Hartford Financial Services Group, Inc. (The)

     25,300         1,122,814   

Legal & General Group PLC (United Kingdom)

     46,279         118,479   

Lincoln National Corp.

     14,918         578,371   

Loews Corp.

     17,075         701,612   

Marsh & McLennan Cos., Inc.

     32,700         2,238,642   

Medibank Pvt. Ltd. (Australia)

     10,750         23,839   

MetLife, Inc.

     68,700         2,736,321   

MS&AD Insurance Group Holdings, Inc. (Japan)

     2,100         54,411   

NN Group NV (Netherlands)

     11,708         322,304   

Principal Financial Group, Inc.

     17,000         698,870   

Progressive Corp. (The)

     36,300         1,216,050   

SCOR SE (France)

     625         18,478   

Swiss Life Holding AG (Switzerland)

     123         28,425   

Swiss Re AG (Switzerland)

     5,227         456,528   

Torchmark Corp.

     6,925         428,104   

Travelers Cos., Inc. (The)

     18,835         2,242,118   

Unum Group

     15,310         486,705   

Willis Towers Watson PLC(a)

     8,700         1,081,497   

XL Group PLC (Ireland)

     18,000         599,580   
             


                30,897,869   
             


Internet & Catalog Retail — 1.0%

                 

Amazon.com, Inc.*

     24,340         17,418,191   

Expedia, Inc.

     7,650         813,195   

Netflix, Inc.*

     26,850         2,456,238   

Priceline Group, Inc. (The)*

     3,180         3,969,944   

TripAdvisor, Inc.*

     7,350         472,605   
             


                25,130,173   
             


Internet Software & Services — 1.9%

                 

Akamai Technologies, Inc.*

     11,000         615,230   

Alphabet, Inc. (Class A Stock)*

     18,500         13,015,305   

Alphabet, Inc. (Class C Stock)*

     18,703         12,944,347   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Internet Software & Services (continued)

  

eBay, Inc.*

     69,200       $ 1,619,972   

Facebook, Inc. (Class A Stock)*

     145,300         16,604,884   

Mixi, Inc. (Japan)

     2,100         86,825   

VeriSign, Inc.*

     6,400         553,344   

Yahoo!, Inc.*

     54,600         2,050,776   
             


                47,490,683   
             


IT Services — 1.7%

                 

Accenture PLC (Class A Stock)

     39,400         4,463,626   

Alliance Data Systems Corp.*

     3,840         752,333   

Amadeus IT Holding SA (Spain) (Class A Stock)

     4,113         181,214   

Atos SE (France)

     4,311         355,439   

Automatic Data Processing, Inc.

     28,600         2,627,482   

Capgemini SA (France)

     1,914         165,165   

Cognizant Technology Solutions Corp. (Class A Stock)*

     38,200         2,186,568   

Computershare Ltd. (Australia)

     1,831         12,661   

CSRA, Inc.

     8,700         203,841   

Fidelity National Information Services, Inc.

     17,700         1,304,136   

Fiserv, Inc.*

     14,300         1,554,839   

Global Payments, Inc.

     9,500         678,110   

International Business Machines Corp.

     55,400         8,408,612   

MasterCard, Inc. (Class A Stock)

     61,500         5,415,690   

Paychex, Inc.

     20,300         1,207,850   

PayPal Holdings, Inc.*

     69,700         2,544,747   

Teradata Corp.*

     8,400         210,588   

Total System Services, Inc.

     11,096         589,309   

Visa, Inc. (Class A Stock)(a)

     120,200         8,915,234   

Western Union Co. (The)

     30,410         583,264   

Xerox Corp.

     58,163         551,967   
             


                42,912,675   
             


Leisure Products — 0.1%

                 

Bandai Namco Holdings, Inc. (Japan)

     800         20,645   

Hasbro, Inc.

     7,000         587,930   

Mattel, Inc.

     21,351         668,073   

Sankyo Co. Ltd. (Japan)

     6,400         239,955   

Yamaha Corp. (Japan)

     600         16,172   
             


                1,532,775   
             


Life Sciences Tools & Services — 0.3%

  

        

Agilent Technologies, Inc.

     20,714         918,873   

Illumina, Inc.*

     9,500         1,333,610   

PerkinElmer, Inc.

     6,600         345,972   

QIAGEN NV*

     1,746         38,049   

Thermo Fisher Scientific, Inc.

     24,900         3,679,224   

Waters Corp.*

     5,200         731,380   
             


                7,047,108   
             


Machinery — 0.6%

                 

Amada Holdings Co. Ltd. (Japan)

     2,600         26,396   

ANDRITZ AG (Austria)

     3,093         146,662   

Atlas Copco AB (Sweden) (Class A Stock)

     1,000         25,972   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A6


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Machinery (continued)

                 

Atlas Copco AB (Sweden) (Class B Stock)

     1,000       $ 23,702   

Caterpillar, Inc.(a)

     36,400         2,759,484   

Cummins, Inc.

     10,400         1,169,376   

Deere & Co.(a)

     19,200         1,555,968   

Dover Corp.

     10,100         700,132   

Flowserve Corp.

     8,300         374,911   

GEA Group AG (Germany)

     711         33,560   

Hoshizaki Corp (Japan)

     100         9,790   

Illinois Tool Works, Inc.

     20,500         2,135,280   

Ingersoll-Rand PLC

     16,400         1,044,352   

Kone OYJ (Finland) (Class B Stock)

     2,610         120,453   

Mitsubishi Heavy Industries Ltd. (Japan)

     12,000         48,255   

PACCAR, Inc.

     22,043         1,143,370   

Parker-Hannifin Corp.

     8,765         947,058   

Pentair PLC (United Kingdom)

     11,577         674,823   

Schindler Holding AG (Switzerland)

     77         14,013   

Schindler Holding AG (Switzerland) (Part. Cert.)

     169         30,597   

Snap-on, Inc.

     3,600         568,152   

Stanley Black & Decker, Inc.

     9,697         1,078,500   

Volvo AB (Sweden) (Class B Stock)

     12,317         122,361   

Xylem, Inc.(a)

     11,600         517,940   
             


                15,271,107   
             


Marine

                 

A.P. Moeller-Maersk A/S (Denmark) (Class A Stock)

     30         37,811   
             


Media — 1.3%

                 

CBS Corp. (Class B Stock)

     26,934         1,466,287   

Comcast Corp. (Class A Stock)

     152,390         9,934,304   

Discovery Communications, Inc. (Class A Stock)*

     8,500         214,455   

Discovery Communications, Inc. (Class C Stock)*(a)

     15,200         362,520   

Hakuhodo DY Holdings, Inc. (Japan)

     11,100         133,042   

Interpublic Group of Cos., Inc. (The)

     25,331         585,146   

News Corp. (Class A Stock)

     21,475         243,741   

News Corp. (Class B Stock)(a)

     4,800         56,016   

Omnicom Group, Inc.

     15,300         1,246,797   

Publicis Groupe SA (France)

     34         2,275   

RTL Group SA (Luxembourg)

     287         23,439   

Scripps Networks Interactive, Inc. (Class A Stock)

     6,100         379,847   

TEGNA, Inc.

     13,800         319,746   

Time Warner, Inc.

     49,566         3,645,084   

Twenty-First Century Fox, Inc. (Class A Stock)

     69,800         1,888,090   

Twenty-First Century Fox, Inc. (Class B Stock)

     26,700         727,575   

Viacom, Inc. (Class B Stock)

     21,334         884,721   

Vivendi SA (France)

     4,574         85,574   

Walt Disney Co. (The)

     94,100         9,204,862   

WPP PLC (United Kingdom)

     20,591         429,148   
             


                31,832,669   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Metals & Mining — 0.2%

                 

Alcoa, Inc.

     80,940       $ 750,314   

Alumina Ltd. (Australia)

     20,821         20,466   

Anglo American PLC (United Kingdom)

     4,952         48,541   

BHP Billiton Ltd. (Australia)

     12,039         167,779   

BHP Billiton PLC (Australia)

     7,805         98,788   

Boliden AB (Sweden)

     1,060         20,717   

Fortescue Metals Group Ltd. (Australia)

     65,008         173,964   

Freeport-McMoRan, Inc.

     77,088         858,760   

JFE Holdings, Inc. (Japan)

     1,900         24,786   

Mitsubishi Materials Corp. (Japan)

     9,000         21,549   

Newmont Mining Corp.

     32,600         1,275,312   

Nippon Steel & Sumitomo Metal Corp. (Japan)

     14,000         271,035   

Nucor Corp.

     20,400         1,007,964   

Rio Tinto PLC (United Kingdom)

     5,551         172,451   

voestalpine AG (Austria)

     9,116         306,803   
             


                5,219,229   
             


Multi-Utilities — 0.6%

                 

Ameren Corp.

     15,100         809,058   

CenterPoint Energy, Inc.

     25,300         607,200   

CMS Energy Corp.

     17,200         788,792   

Consolidated Edison, Inc.

     18,300         1,472,052   

Dominion Resources, Inc.(a)

     37,832         2,948,248   

DTE Energy Co.

     11,700         1,159,704   

E.ON SE (Germany)

     13,224         133,494   

National Grid PLC (United Kingdom)

     34,681         509,998   

NiSource, Inc.

     19,600         519,792   

Public Service Enterprise Group, Inc.

     31,600         1,472,876   

SCANA Corp.

     8,800         665,808   

Sempra Energy

     15,119         1,723,868   

TECO Energy, Inc.

     14,500         400,780   

WEC Energy Group, Inc.

     19,913         1,300,319   
             


                14,511,989   
             


Multiline Retail — 0.3%

                 

Dollar General Corp.

     18,600         1,748,400   

Dollar Tree, Inc.*

     14,765         1,391,454   

Harvey Norman Holdings Ltd. (Australia)

     13,950         48,540   

Kohl’s Corp.(a)

     11,700         443,664   

Macy’s, Inc.

     19,474         654,521   

Nordstrom, Inc.(a)

     7,400         281,570   

Target Corp.

     37,700         2,632,214   
             


                7,200,363   
             


Oil, Gas & Consumable Fuels — 3.0%

                 

Anadarko Petroleum Corp.

     31,854         1,696,226   

Apache Corp.(a)

     23,914         1,331,292   

BP PLC (United Kingdom)

     56,926         333,219   

Cabot Oil & Gas Corp.

     27,700         712,998   

Caltex Australia Ltd. (Australia)

     1,070         25,798   

Chesapeake Energy Corp.*

     28,000         119,840   

Chevron Corp.

     118,422         12,414,178   

Cimarex Energy Co.

     6,200         739,784   

Columbia Pipeline Group, Inc.

     25,100         639,799   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A7


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Oil, Gas & Consumable Fuels (continued)

  

Concho Resources, Inc.*

     8,200       $ 978,014   

ConocoPhillips

     77,477         3,377,997   

Devon Energy Corp.

     32,100         1,163,625   

EOG Resources, Inc.

     34,500         2,877,990   

EQT Corp.

     11,200         867,216   

Exxon Mobil Corp.

     260,799         24,447,298   

Galp Energia SGPS SA (Portugal)

     28,310         393,747   

Hess Corp.

     17,100         1,027,710   

Kinder Morgan, Inc.

     115,698         2,165,867   

Marathon Oil Corp.

     51,882         778,749   

Marathon Petroleum Corp.

     33,082         1,255,793   

Murphy Oil Corp.(a)

     10,200         323,850   

Neste Oyj (Finland)

     10,961         393,051   

Newfield Exploration Co.*

     12,100         534,578   

Noble Energy, Inc.

     26,300         943,381   

Occidental Petroleum Corp.

     48,300         3,649,548   

OMV AG (Austria)

     1,124         31,597   

ONEOK, Inc.

     12,900         612,105   

Phillips 66

     29,338         2,327,677   

Pioneer Natural Resources Co.

     10,450         1,580,145   

Range Resources Corp.

     10,300         444,342   

Royal Dutch Shell PLC (Netherlands) (Class A Stock)

     16,280         447,135   

Royal Dutch Shell PLC (Netherlands) (Class B Stock)

     14,452         399,290   

Southwestern Energy Co.*(a)

     25,800         324,564   

Spectra Energy Corp.

     42,262         1,548,057   

Statoil ASA (Norway)

     4,228         73,053   

Tesoro Corp.

     7,800         584,376   

TOTAL SA (France)(a)

     8,992         431,222   

Valero Energy Corp.

     30,100         1,535,100   

Williams Cos., Inc. (The)

     42,500         919,275   
             


                74,449,486   
             


Paper & Forest Products

                 

Oji Holdings Corp. (Japan)

     6,000         23,034   

Stora Enso OYJ (Finland) (Class R Stock)

     2,120         17,050   

UPM-Kymmene OYJ (Finland)

     5,941         109,141   
             


                149,225   
             


Personal Products — 0.1%

                 

Estee Lauder Cos., Inc. (The) (Class A Stock)

     13,900         1,265,178   

Kao Corp. (Japan)

     1,900         110,660   

Unilever NV (United Kingdom), CVA

     1,176         54,696   

Unilever PLC (United Kingdom)

     5,810         278,388   
             


                1,708,922   
             


Pharmaceuticals — 2.9%

                 

Allergan PLC*

     25,175         5,817,691   

Astellas Pharma, Inc. (Japan)

     33,900         531,631   

AstraZeneca PLC (United Kingdom)

     2,715         162,313   

Bayer AG (Germany)

     6,743         677,235   

Bristol-Myers Squibb Co.

     104,570         7,691,124   

Eli Lilly & Co.

     61,000         4,803,750   

Endo International PLC*

     12,500         194,875   

GlaxoSmithKline PLC (United Kingdom)

     18,966         407,297   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Pharmaceuticals (continued)

                 

Johnson & Johnson

     173,148       $ 21,002,852   

Mallinckrodt PLC*

     7,700         468,006   

Merck & Co., Inc.

     173,833         10,014,519   

Mitsubishi Tanabe Pharma Corp. (Japan)

     2,100         37,943   

Mylan NV*

     25,600         1,106,944   

Novartis AG (Switzerland)

     5,897         486,730   

Novo Nordisk A/S (Denmark) (Class B Stock)

     7,173         386,287   

Perrigo Co. PLC

     9,300         843,231   

Pfizer, Inc.

     380,570         13,399,870   

Roche Holding AG (Switzerland)

     3,888         1,025,965   

Sanofi (France)

     4,583         380,770   

Shionogi & Co. Ltd. (Japan)

     1,200         65,599   

Teva Pharmaceutical Industries Ltd. (Israel)

     3,550         179,666   

Zoetis, Inc.

     28,600         1,357,356   
             


                71,041,654   
             


Professional Services — 0.2%

                 

Dun & Bradstreet Corp. (The)

     2,300         280,232   

Equifax, Inc.

     7,500         963,000   

Experian PLC (Ireland)

     7,664         145,403   

Intertek Group PLC (United Kingdom)

     1,572         73,245   

Nielsen Holdings PLC

     23,000         1,195,310   

Randstad Holding NV (Netherlands)

     459         18,356   

Robert Half International, Inc.

     8,400         320,544   

Verisk Analytics, Inc.*

     10,000         810,800   
             


                3,806,890   
             


Real Estate Investment Trusts (REITs) — 1.5%

  

American Tower Corp.

     26,600         3,022,026   

Apartment Investment & Management Co. (Class A Stock)

     9,533         420,977   

AvalonBay Communities, Inc.

     8,575         1,546,844   

Boston Properties, Inc.

     9,600         1,266,240   

British Land Co. PLC (The) (United Kingdom)

     16,746         135,966   

Crown Castle International Corp.

     20,900         2,119,887   

Dexus Property Group (Australia)

     58,353         395,964   

Digital Realty Trust, Inc.

     8,600         937,314   

Equinix, Inc.

     4,494         1,742,459   

Equity Residential

     22,800         1,570,464   

Essex Property Trust, Inc.

     4,100         935,169   

Extra Space Storage, Inc.

     8,000         740,320   

Federal Realty Investment Trust

     4,500         744,975   

General Growth Properties, Inc.

     35,800         1,067,556   

Goodman Group (Australia)

     6,830         36,633   

GPT Group (The) (Australia)

     19,120         77,754   

Hammerson PLC (United Kingdom)

     3,083         22,206   

HCP, Inc.

     30,100         1,064,938   

Host Hotels & Resorts, Inc.

     45,582         738,884   

Intu Properties PLC (United Kingdom)

     7,505         29,178   

Iron Mountain, Inc.

     14,902         593,547   

Kimco Realty Corp.

     25,600         803,328   

Link REIT (Hong Kong)

     65,500         447,903   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A8


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Real Estate Investment Trusts (REITs) (continued)

  

Macerich Co. (The)

     8,100       $ 691,659   

Mirvac Group (Australia)

     13,899         21,138   

Nomura Real Estate Master Fund, Inc. (Japan)

     13         20,551   

Prologis, Inc.

     32,877         1,612,288   

Public Storage

     9,300         2,376,987   

Realty Income Corp.

     15,500         1,075,080   

Scentre Group (Australia)

     20,441         75,713   

Simon Property Group, Inc.

     19,393         4,206,342   

SL Green Realty Corp.

     6,400         681,408   

Stockland (Australia)

     9,097         32,253   

Suntec Real Estate Investment Trust (Singapore)

     22,600         29,863   

UDR, Inc.

     15,900         587,028   

Ventas, Inc.

     20,818         1,515,967   

Vornado Realty Trust(a)

     11,425         1,143,871   

Welltower, Inc.

     22,100         1,683,357   

Westfield Corp. (Australia)

     7,599         61,040   

Weyerhaeuser Co.

     46,818         1,393,772   
             


                37,668,849   
             


Real Estate Management & Development — 0.1%

  

CBRE Group, Inc. (Class A Stock)*

     18,700         495,176   

Daiwa House Industry Co. Ltd. (Japan)

     7,300         214,379   

Henderson Land Development Co. Ltd. (Hong Kong)

     67,794         382,952   

Kerry Properties Ltd. (Hong Kong)

     5,000         12,379   

Mitsui Fudosan Co. Ltd. (Japan)

     4,000         91,803   

New World Development Co. Ltd. (Hong Kong)

     60,000         61,102   

Wharf Holdings Ltd. (The) (Hong Kong)

     5,000         30,513   

Wheelock & Co. Ltd. (Hong Kong)

     3,000         14,093   
             


                1,302,397   
             


Road & Rail — 0.4%

                 

Aurizon Holdings Ltd. (Australia)

     8,199         29,748   

Central Japan Railway Co. (Japan)

     1,700         302,368   

CSX Corp.

     59,200         1,543,936   

East Japan Railway Co. (Japan)

     1,200         111,208   

Hankyu Hanshin Holdings, Inc. (Japan)

     23,000         171,501   

JB Hunt Transport Services, Inc.

     6,000         485,580   

Kansas City Southern

     6,900         621,621   

Norfolk Southern Corp.

     18,700         1,591,931   

Ryder System, Inc.

     3,600         220,104   

Union Pacific Corp.

     53,000         4,624,250   

West Japan Railway Co. (Japan)

     600         38,024   
             


                9,740,271   
             


Semiconductors & Semiconductor Equipment — 1.3%

  

Analog Devices, Inc.

     19,600         1,110,144   

Applied Materials, Inc.

     69,600         1,668,312   

ARM Holdings PLC (United Kingdom)

     5,461         82,952   

Broadcom Ltd. (Singapore)

     23,280         3,617,712   

First Solar, Inc.*

     5,100         247,248   

Intel Corp.

     295,900         9,705,520   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Semiconductors & Semiconductor Equipment (continued)

  

KLA-Tencor Corp.

     10,000       $ 732,500   

Lam Research Corp.

     9,950         836,397   

Linear Technology Corp.

     14,900         693,297   

Microchip Technology, Inc.

     13,600         690,336   

Micron Technology, Inc.*

     61,600         847,616   

NVIDIA Corp.

     32,350         1,520,773   

NXP Semiconductors NV (Netherlands)*

     5,100         399,534   

Qorvo, Inc.*

     7,707         425,889   

QUALCOMM, Inc.

     93,700         5,019,509   

Skyworks Solutions, Inc.

     12,100         765,688   

Texas Instruments, Inc.

     63,000         3,946,950   

Tokyo Electron Ltd. (Japan)

     1,400         118,312   

Xilinx, Inc.

     16,200         747,306   
             


                33,175,995   
             


Software — 2.0%

                 

Activision Blizzard, Inc.

     31,400         1,244,382   

Adobe Systems, Inc.*

     31,500         3,017,385   

Autodesk, Inc.*

     14,200         768,788   

CA, Inc.

     18,064         593,041   

Check Point Software Technologies Ltd. (Israel)*

     500         39,840   

Citrix Systems, Inc.*

     9,900         792,891   

Electronic Arts, Inc.*

     19,400         1,469,744   

Intuit, Inc.

     16,400         1,830,404   

Konami Holdings Corp. (Japan)

     6,500         247,974   

Microsoft Corp.

     496,500         25,405,905   

Nice Ltd. (Israel)

     460         29,272   

Oracle Corp.

     197,400         8,079,582   

Red Hat, Inc.*

     11,400         827,640   

salesforce.com, inc.*

     39,500         3,136,695   

SAP SE (Germany)

     1,736         130,383   

Symantec Corp.

     38,178         784,176   
             


                48,398,102   
             


Specialty Retail — 1.2%

                 

Advance Auto Parts, Inc.

     4,800         775,824   

AutoNation, Inc.*(a)

     5,074         238,377   

AutoZone, Inc.*

     1,950         1,547,988   

Bed Bath & Beyond, Inc.

     10,800         466,776   

Best Buy Co., Inc.

     18,025         551,565   

CarMax, Inc.*(a)

     12,100         593,263   

Dixons Carphone PLC (United Kingdom)

     3,839         16,477   

Foot Locker, Inc.

     8,900         488,254   

Gap, Inc. (The)(a)

     13,300         282,226   

Home Depot, Inc. (The)

     79,450         10,144,971   

Industria de Diseno Textil SA (Spain)

     4,267         143,346   

Kingfisher PLC (United Kingdom)

     8,899         38,222   

L Brands, Inc.

     16,506         1,108,048   

Lowe’s Cos., Inc.

     57,300         4,536,441   

Nitori Holdings Co. Ltd. (Japan)

     500         60,642   

O’Reilly Automotive, Inc.*

     6,100         1,653,710   

Ross Stores, Inc.

     25,700         1,456,933   

Shimamura Co. Ltd. (Japan)

     200         29,757   

Signet Jewelers Ltd.

     5,200         428,532   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A9


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Specialty Retail (continued)

                 

Staples, Inc.

     37,049       $ 319,362   

Tiffany & Co.

     7,400         448,736   

TJX Cos., Inc. (The)

     42,000         3,243,660   

Tractor Supply Co.

     8,800         802,384   

Ulta Salon Cosmetics & Fragrance, Inc.*

     4,200         1,023,288   

Urban Outfitters, Inc.*

     4,300         118,250   
             


                30,517,032   
             


Technology Hardware, Storage & Peripherals — 1.7%

  

Apple, Inc.

     346,490         33,124,444   

EMC Corp.

     121,650         3,305,230   

FUJIFILM Holdings Corp. (Japan)

     3,800         147,442   

Hewlett Packard Enterprise Co.

     106,748         1,950,286   

HP, Inc.

     106,548         1,337,177   

NEC Corp. (Japan)

     11,000         25,629   

NetApp, Inc.

     17,800         437,702   

Ricoh Co. Ltd. (Japan)

     2,600         22,538   

Seagate Technology PLC

     16,700         406,812   

Western Digital Corp.

     17,803         841,370   
             


                41,598,630   
             


Textiles, Apparel & Luxury Goods — 0.4%

  

adidas AG (Germany)

     3,224         462,805   

Coach, Inc.

     17,300         704,802   

Hanesbrands, Inc.

     23,600         593,068   

Michael Kors Holdings Ltd.*

     11,800         583,864   

NIKE, Inc. (Class B Stock)

     84,600         4,669,920   

PVH Corp.

     5,300         499,419   

Ralph Lauren Corp.

     3,800         340,556   

Swatch Group AG (The) (Switzerland)

     363         20,788   

Under Armour, Inc. (Class A Stock)*(a)

     10,600         425,378   

Under Armour, Inc. (Class C Stock)*(a)

     10,574         384,894   

VF Corp.

     21,300         1,309,737   
             


                9,995,231   
             


Tobacco — 0.9%

                 

Altria Group, Inc.

     123,700         8,530,352   

British American Tobacco PLC (United Kingdom)

     12,979         841,421   

Imperial Brands PLC (United Kingdom)

     2,044         110,852   

Japan Tobacco, Inc. (Japan)

     10,000         403,022   

Philip Morris International, Inc.

     97,100         9,877,012   

Reynolds American, Inc.

     52,638         2,838,767   
             


                22,601,426   
             


Trading Companies & Distributors — 0.1%

  

Ashtead Group PLC (United Kingdom)

     1,960         27,997   

Fastenal Co.

     18,200         807,898   

ITOCHU Corp. (Japan)

     34,900         426,939   

Mitsui & Co. Ltd. (Japan)

     6,800         81,173   

United Rentals, Inc.*

     6,000         402,600   

W.W. Grainger, Inc.(a)

     3,800         863,550   
             


                2,610,157   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Transportation Infrastructure

                 

Abertis Infraestructuras SA (Spain)

     2,121       $ 31,343   

Aena SA (Spain), RegS, 144A

     1,540         204,129   

Atlantia SpA (Italy)

     3,899         97,417   

Auckland International Airport Ltd. (New Zealand)

     3,721         17,309   

Hutchison Port Holdings Trust (Hong Kong)

     56,600         25,753   

Sydney Airport (Australia)

     4,183         21,842   

Transurban Group (Australia)

     14,112         127,104   
             


                524,897   
             


Water Utilities

                 

American Water Works Co., Inc.

     11,100         938,061   
             


Wireless Telecommunication Services

                 

KDDI Corp. (Japan)

     6,600         200,704   

NTT DOCOMO, Inc. (Japan)

     10,900         293,957   

SoftBank Group Corp. (Japan)

     3,700         209,243   

Vodafone Group PLC (United Kingdom)

     102,761         313,306   
             


                1,017,210   
             


TOTAL COMMON STOCKS
(cost $515,213,685)

   

     1,191,472,176   
             


EXCHANGE TRADED FUND                  

iShares MSCI EAFE ETF
(cost $1,160,756)

     20,726         1,156,718   
             


PREFERRED STOCKS — 0.1%                  

Automobiles

                 

Bayerische Motoren Werke AG (Germany) (PRFC)

     212         13,515   

Volkswagen AG (Germany) (PRFC)

     3,113         377,049   
             


                390,564   
             


Banks

                 

Citigroup Capital XIII 6.988%, (Capital Security, fixed to floating preferred)

     20,000         521,400   
             


Capital Markets — 0.1%

                 

State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)

     30,000         805,200   
             


Household Products

                 

Henkel AG & Co. KGaA (Germany) (PRFC)

     100         12,221   
             


Media

                 

ProSiebenSat.1 Media SE (Germany) (PRFC)

     852         37,268   
             


TOTAL PREFERRED STOCKS
(cost $1,699,546)

   

     1,766,653   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A10


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

 

ASSET-BACKED SECURITIES — 4.9%    Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Collateralized Loan Obligations — 1.8%

                                  

ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A

     1.814% (b)      04/20/25         2,100       $ 2,078,233   

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A

     2.134% (b)      04/28/26         400         399,485   

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.228% (b)      10/15/26         2,000         1,989,167   

Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A

     2.183% (b)      04/18/27         1,000         993,382   

Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A

     2.168% (b)      10/15/26         600         599,340   

Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A

     2.233% (b)      10/17/26         250         248,749   

Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A

     2.163% (b)      04/18/27         1,000         990,770   

Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A

     1.828% (b)      07/15/24         1,000         988,778   

Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.783% (b)      04/17/25         2,200         2,165,951   

Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.184% (b)      04/20/26         1,650         1,645,875   

Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A

     2.143% (b)      10/18/26         250         248,339   

Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     2.033% (b)      01/17/26         250         247,685   

Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A

     0.885% (b)      07/22/20         83         82,155   

Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A

     2.098% (b)      10/15/26         750         745,145   

Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A

     2.083% (b)      05/05/27         250         248,112   

ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A

     3.280%        01/25/27         750         748,421   

Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A

     2.168% (b)      04/15/27         250         248,066   

KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.216% (b)      05/15/26         250         248,592   

Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A

     2.058% (b)      07/25/26         2,000         1,997,887   

Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A

     2.083% (b)      01/18/27         500         497,069   

Mill Creek CLO Ltd., Series 2016-1A, Class A, 144A

     2.340% (b)      04/20/28         1,250         1,250,416   

Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12A, Class BR, 144A

     2.738% (b)      07/25/23         250         247,233   

Neuberger Berman CLO Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A

     2.098% (b)      04/15/26         500         498,844   

OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A

     1.785% (b)      07/22/25         1,000         990,733   

Race Point V CLO Ltd. (Cayman Islands), Series 2011-5A, Class AR, 144A

     1.953% (b)      12/15/22         325         324,650   

Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A

     1.886% (b)      02/20/25         250         248,513   

Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.048% (b)      07/25/26         1,250         1,234,835   

Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A

     2.113% (b)      07/17/26         500         499,329   

Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A

     4.350%        07/17/26         500         495,502   

Shackleton II CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A

     2.044% (b)      10/20/23         500         498,899   

Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.132% (b)      05/07/26         2,500         2,495,938   

Shackleton VI CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A

     2.113% (b)      07/17/26         1,500         1,485,619   

Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.678% (b)      04/15/25         2,600         2,556,627   

Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A

     3.278% (b)      08/17/22         500         497,676   

Sound Point CLO I Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A

     3.334% (b)      10/20/23         900         899,198   

THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A

     2.255% (b)      01/22/27         1,750         1,749,522   

TIAA CLO I Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A

     2.386% (b)      07/20/28         1,750         1,747,246   

Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A(a)

     2.134% (b)      04/20/27         1,500         1,490,467   

Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.748% (b)      07/15/25         2,200         2,177,628   

Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A

     2.264% (b)      04/20/26         2,500         2,486,794   

Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.768% (b)      04/15/24         1,500         1,483,062   

Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.134% (b)      04/20/26         1,300         1,291,565   

Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A

     4.250%        04/20/26         500         497,332   
                              


                                 44,558,829   
                              


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A11


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

ASSET-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Non-Residential Mortgage-Backed Securities — 2.5%

                                  

American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A

     1.242% (b)      05/15/20         2,700       $ 2,694,379   

AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B

     1.197% (b)      04/08/19         2,722         2,726,344   

AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B

     1.147% (b)      10/08/19         3,000         3,003,920   

Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A

     1.920%        09/20/19         1,475         1,478,628   

Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A

     2.500%        07/20/21         4,800         4,864,929   

Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A

     2.630%        12/20/21         3,800         3,867,881   

Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A

     2.260%        11/15/25         2,325         2,371,760   

Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A

     2.310%        04/15/26         2,400         2,451,651   

Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A

     2.310%        08/15/27         4,100         4,185,713   

Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A

     2.030%        12/15/27         2,500         2,513,138   

GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c)

     0.942% (b)      05/15/20         1,600         1,589,557   

GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A

     1.292% (b)      05/17/21         1,700         1,694,230   

Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A

     2.730%        03/25/21         4,200         4,291,392   

Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A

     2.670%        09/25/21         2,500         2,550,662   

Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A

     2.320%        03/25/20         2,400         2,420,954   

OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A

     2.570%        07/18/25         3,800         3,798,876   

Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B

     1.142% (b)      12/17/18         1,102         1,102,498   

Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B

     1.192% (b)      12/17/18         1,629         1,630,168   

Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A

     2.200%        10/20/30         1,425         1,425,200   

Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A

     2.580%        09/20/32         1,499         1,511,404   

Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A

     3.080%        03/21/33         2,845         2,909,913   

Springleaf Funding Trust, Series 2015-AA, Class A, 144A

     3.160%        11/15/24         4,665         4,692,593   

SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A

     2.000%        09/20/29         611         604,278   

Synchrony Credit Card Master Note Trust, Series 2015-3, Class A

     1.740%        09/15/21         1,200         1,207,876   
                              


                                 61,587,944   
                              


Residential Mortgage-Backed Securities — 0.6%

                                  

CDC Mortgage Capital Trust, Series 2002-HE3, Class M1

     2.103% (b)      03/25/33         230         218,383   

Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3

     3.873%        07/25/35         375         357,069   

CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1

     1.203% (b)      03/25/34         1,826         1,748,679   

Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1

     4.836%        07/25/34         368         347,499   

Fremont Home Loan Trust, Series 2004-2, Class M1

     1.308% (b)      07/25/34         506         440,203   

Long Beach Mortgage Loan Trust, Series 2004-2, Class M1

     1.248% (b)      06/25/34         474         457,937   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1

     1.653% (b)      05/25/33         129         122,057   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1

     1.503% (b)      12/27/33         725         699,351   

Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1

     1.353% (b)      07/25/32         285         274,394   

Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1

     1.728% (b)      09/25/32         2,803         2,671,733   

Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1

     1.218% (b)      02/25/34         821         759,326   

VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A

     4.250%        04/25/46         1,954         1,953,974   

VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A

     3.375%        02/25/55         1,137         1,125,674   

VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A

     3.625%        07/25/45         3,019         3,008,097   
                              


                                 14,184,376   
                              


TOTAL ASSET-BACKED SECURITIES
(cost $119,504,751)

   

     120,331,149   
                              


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A12


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

BANK LOANS(b) — 0.3%    Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Automotive

                                  

Schaeffler AG (Germany)

     4.250%        05/15/20         129       $ 129,608   
                              


Food

                                  

Aramark Corp.

     3.250%        02/24/21         383         382,378   
                              


Healthcare & Pharmaceutical — 0.1%

                                  

RPI Finance Trust (Luxembourg)

     3.500%        11/09/20         1,174         1,173,444   
                              


Media & Entertainment

                                  

Nielsen Finance LLC

     2.696%        05/30/17         673         672,441   
                              


Technology — 0.2%

                                  

Avago Technologies Cayman Finance Ltd. (Singapore)

     4.250%        02/01/23         1,077         1,076,403   

Dell International LLC(d)

     —% (e)      12/31/18         500         485,000   

Dell International LLC

     —% (e)      09/30/23         610         607,628   

First Data Corp.

     4.452%        03/24/21         1,052         1,047,362   

Trans Union LLC

     3.500%        04/09/21         391         386,603   

Western Digital Corp.

     6.250%        04/28/23         880         881,925   
                              


                                 4,484,921   
                              


Telecommunications

                                  

T-Mobile USA, Inc.

     3.500%        11/09/22         736         738,141   
                              


TOTAL BANK LOANS
(cost $7,526,989)

   

     7,580,933   
                              


COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.5%                                   

Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A

     3.172%        05/15/49         3,100         3,240,830   

Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3

     5.369%        10/10/45         43         42,848   

Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A

     5.739% (b)      04/10/49         2,961         3,018,670   

CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3

     3.014%        05/10/58         2,500         2,590,571   

Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4

     5.901% (b)      12/10/49         800         823,464   

Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3

     2.815%        04/10/46         900         941,095   

Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4

     3.575%        05/10/47         2,090         2,267,874   

Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4

     3.462%        09/15/48         3,500         3,761,251   

Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3

     2.944%        05/10/49         2,700         2,784,439   

COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4

     5.223%        08/15/48         534         535,335   

Commercial Mortgage Trust, Series 2012-CR5, Class A3

     2.540%        12/10/45         1,000         1,030,749   

Commercial Mortgage Trust, Series 2013-CR7, Class A3

     2.929%        03/10/46         1,400         1,469,979   

Commercial Mortgage Trust, Series 2014-CR15, Class A2

     2.928%        02/10/47         2,000         2,067,409   

Commercial Mortgage Trust, Series 2014-CR18, Class A4

     3.550%        07/15/47         2,100         2,271,311   

Commercial Mortgage Trust, Series 2014-LC17, Class A4

     3.648%        10/10/47         5,000         5,441,250   

Commercial Mortgage Trust, Series 2014-UBS3, Class A2

     2.844%        06/10/47         1,700         1,761,299   

Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A

     5.297%        12/15/39         2,130         2,142,348   

CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3

     3.544%        11/15/48         2,500         2,662,093   

Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A

     3.673% (b)      09/10/35         1,100         1,195,358   

Fannie Mae-Aces, Series 2014-M2, Class A2

     3.513% (b)      12/25/23         1,925         2,137,192   

Fannie Mae-Aces, Series 2015-M8, Class AB2

     2.829%        01/25/25         4,100         4,359,019   

Fannie Mae-Aces, Series 2015-M10, Class A2

     3.092% (b)      04/25/27         4,700         5,103,401   

Fannie Mae-Aces, Series 2015-M17, Class A2

     3.038% (b)      11/25/25         3,000         3,199,993   

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O

     1.584% (b)      05/25/22         20,452         1,443,252   

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O

     1.620% (b)      06/25/22         5,658         406,120   

FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2

     3.171%        10/25/24         5,800         6,318,114   

FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2

     3.023%        01/25/25         4,965         5,358,003   

FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2

     3.329%        05/25/25         4,400         4,847,981   

FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2

     3.284% (b)      06/25/25         3,650         4,005,841   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A13


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,I/O

     1.369% (b)    03/25/26      9,350       $ 979,879   

FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O

     1.610% (b)    08/25/16      2,632         576   

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O

     1.894% (b)    05/25/19      15,972         673,689   

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O

     1.818% (b)    07/25/19      16,799         724,488   

FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4

     3.161% (b)    05/25/25      1,900         2,055,070   

GS Mortgage Securities Trust, Series 2015-GC28, Class A4

     3.136%      02/10/48      3,000         3,148,882   

GS Mortgage Securities Trust, Series 2015-GC34, Class A3

     3.244%      10/10/48      4,800         5,083,742   

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1

     3.408%      11/15/47      1,100         1,177,574   

JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1

     2.920%      02/15/48      5,000         5,171,465   

JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A

     2.881%      06/15/49      2,500         2,567,530   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3

     3.139%      06/15/45      1,187         1,213,634   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4

     2.611%      12/15/47      1,500         1,548,165   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4

     2.875%      12/15/47      3,200         3,343,861   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2

     3.070%      12/15/46      1,267         1,310,294   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4

     2.694%      04/15/46      1,100         1,136,032   

LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM

     6.114% (b)    07/15/40      2,500         2,577,994   

ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2

     5.331%      03/12/51      1,308         1,317,129   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3

     2.863%      12/15/48      1,200         1,257,607   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3

     3.451%      07/15/50      4,000         4,309,826   

Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB

     5.444%      02/12/44      113         112,810   

Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3

     3.540%      12/15/48      5,000         5,423,561   

UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4

     2.792%      12/10/45      1,400         1,457,437   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3

     2.920%      03/10/46      3,200         3,347,233   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3

     2.971%      04/10/46      1,500         1,570,099   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A

     5.608% (b)    05/15/46      3,853         3,948,712   

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3

     3.354%      09/15/57      4,000         4,261,591   
                          


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $132,953,793)

   

     136,945,969   
                          


CORPORATE BONDS — 11.6%                               

Agriculture — 0.2%

                              

Altria Group, Inc., Gtd. Notes

     4.000%      01/31/24      1,585         1,773,203   

Altria Group, Inc., Gtd. Notes

     9.950%      11/10/38      42         75,556   

Altria Group, Inc., Gtd. Notes

     10.200%      02/06/39      94         174,199   

Bunge Ltd. Finance Corp., Gtd. Notes

     8.500%      06/15/19      690         806,799   

Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A

     2.050%      02/11/18      1,680         1,694,569   

Reynolds American, Inc., Gtd. Notes

     8.125%      06/23/19      290         343,824   
                          


                             4,868,150   
                          


Airlines — 0.2%

                              

American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A

     3.375%      05/01/27      2,515         2,530,721   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A

     6.648%      09/15/17      34         35,100   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A14


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Airlines (continued)

                                  

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1

     6.703%        06/15/21         44       $ 46,052   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A

     7.250%        11/10/19         502         573,504   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A

     4.750%        01/12/21         540         575,182   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A

     4.000%        10/29/24         353         370,854   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A

     6.821%        08/10/22         277         322,131   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A

     4.950%        05/23/19         371         391,856   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A

     5.300%        04/15/19         636         677,242   
                              


                                 5,522,642   
                              


Auto Manufacturers — 0.3%

                                  

Ford Motor Co., Sr. Unsec’d. Notes(a)

     4.750%        01/15/43         1,035         1,095,530   

Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN

     4.389%        01/08/26         1,240         1,353,643   

General Motors Co., Sr. Unsec’d. Notes

     6.250%        10/02/43         1,065         1,183,058   

General Motors Co., Sr. Unsec’d. Notes

     6.600%        04/01/36         585         670,824   

Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A

     2.700%        03/15/17         380         383,814   

Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A

     2.850%        01/15/21         3,645         3,807,972   
                              


                                 8,494,841   
                              


Banks — 3.0%

                                  

Bank of America Corp., Jr. Sub. Notes

     6.300% (b)      12/31/49         275         292,187   

Bank of America Corp., Series K, Jr. Sub. Notes

     8.000% (b)      12/29/49         2,100         2,086,875   

Bank of America Corp., Sr. Unsec’d. Notes

     5.700%        01/24/22         1,290         1,493,585   

Bank of America Corp., Sr. Unsec’d. Notes

     6.000%        09/01/17         1,330         1,398,238   

Bank of America Corp., Sr. Unsec’d. Notes, GMTN

     3.300%        01/11/23         360         370,493   

Bank of America Corp., Sr. Unsec’d. Notes, GMTN(a)

     3.500%        04/19/26         4,770         4,929,261   

Bank of America Corp., Sr. Unsec’d. Notes, MTN

     4.000%        04/01/24         745         795,133   

Bank of America Corp., Sr. Unsec’d. Notes, MTN

     5.650%        05/01/18         105         112,523   

Bank of America Corp., Sub. Notes, MTN

     4.000%        01/22/25         1,700         1,732,829   

Bank of America NA, Sub. Notes

     5.300%        03/15/17         850         872,922   

Bank of America NA, Sub. Notes

     6.000%        10/15/36         805         1,027,243   

Barclays PLC (United Kingdom), Sr. Unsec’d. Notes

     4.375%        01/12/26         1,205         1,216,688   

Capital One Financial Corp., Sr. Unsec’d. Notes

     3.750%        04/24/24         3,325         3,468,926   

Citigroup, Inc., Jr. Sub. Notes

     5.950% (b)      12/31/49         1,590         1,549,097   

Citigroup, Inc., Jr. Sub. Notes

     6.125% (b)      12/31/49         945         959,175   

Citigroup, Inc., Jr. Sub. Notes

     6.250% (b)      12/31/49         640         657,600   

Citigroup, Inc., Sr. Unsec’d. Notes

     3.700%        01/12/26         1,610         1,694,828   

Citigroup, Inc., Sr. Unsec’d. Notes

     4.500%        01/14/22         1,125         1,243,512   

Citigroup, Inc., Sr. Unsec’d. Notes

     8.125%        07/15/39         850         1,325,688   

Citigroup, Inc., Sub. Notes

     4.450%        09/29/27         1,485         1,529,715   

Compass Bank, Sr. Unsec’d. Notes

     1.850%        09/29/17         1,050         1,046,927   

Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN

     3.375%        05/12/21         3,055         3,065,515   

Discover Bank, Sr. Unsec’d. Notes

     4.250%        03/13/26         595         622,335   

Discover Bank, Sub. Notes

     7.000%        04/15/20         485         552,367   

Goldman Sachs Group, Inc. (The), Jr. Sub. Notes

     5.375% (b)      12/31/49         1,800         1,780,056   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     3.750%        02/25/26         1,165         1,226,164   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     5.250%        07/27/21         2,305         2,601,151   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     5.750%        01/24/22         1,250         1,451,200   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     6.250%        02/01/41         220         284,703   

Goldman Sachs Group, Inc. (The), Sub. Notes

     6.750%        10/01/37         1,100         1,356,887   

HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes

     4.875%        01/14/22         1,230         1,349,697   

HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes

     5.100%        04/05/21         920         1,015,132   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A15


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Banks (continued)

                              

JPMorgan Chase & Co., Jr. Sub. Notes

     6.100% (b)    12/31/49      1,175       $ 1,211,719   

JPMorgan Chase & Co., Jr. Sub. Notes

     7.900% (b)    04/29/49      2,000         2,040,000   

JPMorgan Chase & Co., Sr. Unsec’d. Notes

     4.250%      10/15/20      1,660         1,809,317   

JPMorgan Chase & Co., Sub. Notes

     3.875%      09/10/24      3,525         3,649,563   

JPMorgan Chase & Co., Sub. Notes

     4.950%      06/01/45      195         214,106   

Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A

     5.800%      01/13/20      1,770         1,980,053   

Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes

     2.900%      02/06/25      2,385         2,444,511   

Morgan Stanley, Jr. Sub. Notes

     5.450% (b)    12/31/49      640         614,400   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     3.750%      02/25/23      605         640,801   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     5.450%      01/09/17      1,530         1,562,708   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     5.500%      07/28/21      840         959,175   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     6.625%      04/01/18      100         108,377   

Morgan Stanley, Sr. Unsec’d. Notes, MTN

     6.375%      07/24/42      640         866,702   

Morgan Stanley, Sub. Notes, GMTN

     4.350%      09/08/26      3,050         3,190,657   

MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes

     6.346% (b)    07/29/49      800         800,000   

National City Corp., Sub. Notes

     6.875%      05/15/19      2,687         3,028,663   

Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A

     1.875%      09/17/18      1,590         1,606,193   

PNC Bank NA, Sr. Unsec’d. Notes

     1.950%      03/04/19      455         461,848   

PNC Bank NA, Sub. Notes

     3.800%      07/25/23      480         517,545   

Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes

     2.450%      01/10/19      925         944,728   

US Bancorp, Sub. Notes, MTN

     2.950%      07/15/22      915         952,182   
                          


                             74,711,900   
                          


Beverages — 0.1%

                              

Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes

     4.700%      02/01/36      2,005         2,253,075   

Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes

     4.900%      02/01/46      535         626,935   
                          


                             2,880,010   
                          


Biotechnology — 0.1%

                              

Amgen, Inc., Sr. Unsec’d. Notes, 144A

     4.663%      06/15/51      1,527         1,595,430   

Gilead Sciences, Inc., Sr. Unsec’d. Notes

     5.650%      12/01/41      140         175,211   
                          


                             1,770,641   
                          


Building Materials — 0.1%

                              

Standard Industries, Inc., Sr. Unsec’d. Notes, 144A
(original cost $1,154,375; purchased 10/27/14-02/11/15)(c)(f)

     5.375%      11/15/24      1,135         1,154,862   
                          


Chemicals — 0.2%

                              

Celanese US Holdings LLC, Gtd. Notes

     5.875%      06/15/21      1,160         1,296,300   

CF Industries, Inc., Gtd. Notes

     5.375%      03/15/44      445         419,659   

Dow Chemical Co. (The), Sr. Unsec’d. Notes

     4.625%      10/01/44      5         5,295   

Dow Chemical Co. (The), Sr. Unsec’d. Notes

     9.400%      05/15/39      30         46,910   

LyondellBasell Industries NV, Sr. Unsec’d. Notes

     4.625%      02/26/55      955         932,039   

LyondellBasell Industries NV, Sr. Unsec’d. Notes

     5.000%      04/15/19      800         865,907   

Mosaic Co. (The), Sr. Unsec’d. Notes

     5.450%      11/15/33      265         293,072   

Mosaic Co. (The), Sr. Unsec’d. Notes

     5.625%      11/15/43      860         953,847   

Union Carbide Corp., Sr. Unsec’d. Notes

     7.500%      06/01/25      500         626,077   
                          


                             5,439,106   
                          


Commercial Services — 0.1%

                              

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,195,904; purchased 10/10/07)(c)(f)

     6.375%      10/15/17      1,198         1,269,876   

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $386,623; purchased 10/10/07)(c)(f)

     7.000%      10/15/37      390         531,326   

United Rentals North America, Inc., Gtd. Notes

     5.875%      09/15/26      400         397,000   

United Rentals North America, Inc., Gtd. Notes(a)

     7.375%      05/15/20      508         528,320   
                          


                             2,726,522   
                          


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A16


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Computers — 0.2%

                                   

Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A

     3.480%         06/01/19         825       $ 845,138   

Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A

     4.420%         06/15/21         700         720,490   

Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A

     2.450%         10/05/17         2,915         2,952,778   

Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A

     2.850%         10/05/18         545         558,113   

Seagate HDD Cayman, Gtd. Notes

     3.750%         11/15/18         455         455,287   
                               


                                  5,531,806   
                               


Diversified Financial Services — 0.4%

                                   

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes

     3.750%         05/15/19         600         604,500   

Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes

     6.400%         10/02/17         270         286,859   

Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes

     7.250%         02/01/18         1,135         1,237,258   

Discover Financial Services, Sr. Unsec’d. Notes

     3.850%         11/21/22         900         914,035   

GE Capital International Funding Co., Gtd. Notes, 144A

     4.418%         11/15/35         1,637         1,836,036   

Jefferies Group LLC, Sr. Unsec’d. Notes

     6.500%         01/20/43         465         461,714   

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)

     5.250%         02/06/12         1,850         124,875   

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)

     6.875%         05/02/18         700         49,000   

Navient Corp., Sr. Unsec’d. Notes, MTN

     8.450%         06/15/18         295         318,969   

Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN

     2.000%         09/13/16         680         681,174   

Private Export Funding Corp., U.S. Gov’t. Gtd. Notes

     1.875%         07/15/18         55         56,121   

Private Export Funding Corp., U.S. Gov’t. Gtd. Notes

     2.450%         07/15/24         285         297,618   

Private Export Funding Corp., U.S. Gov’t. Gtd. Notes

     3.250%         06/15/25         895         991,814   

Synchrony Financial, Sr. Unsec’d. Notes

     2.700%         02/03/20         2,175         2,180,953   
                               


                                  10,040,926   
                               


Electric — 0.6%

                                   

Arizona Public Service Co., Sr. Unsec’d. Notes

     6.250%         08/01/16         170         170,645   

Baltimore Gas & Electric Co., Sr. Unsec’d. Notes

     6.350%         10/01/36         530         723,724   

Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes

     6.125%         04/01/36         340         450,851   

Black Hills Corp., Sr. Unsec’d. Notes

     2.500%         01/11/19         950         969,819   

CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2

     6.950%         03/15/33         300         428,143   

Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C

     5.500%         12/01/39         145         182,805   

Dominion Resources, Inc., Jr. Sub. Notes

     4.104%         04/01/21         2,470         2,613,838   

Duke Energy Carolinas LLC, First Mortgage

     6.050%         04/15/38         530         722,235   

Dynegy, Inc., Gtd. Notes

     6.750%         11/01/19         345         345,431   

Dynegy, Inc., Gtd. Notes

     7.375%         11/01/22         255         246,075   

El Paso Electric Co., Sr. Unsec’d. Notes

     6.000%         05/15/35         845         1,034,617   

Emera U.S. Finance LP (Canada), Gtd. Notes, 144A

     3.550%         06/15/26         745         762,313   

Eversource Energy, Sr. Unsec’d. Notes

     4.500%         11/15/19         605         663,068   

Exelon Generation Co. LLC, Sr. Unsec’d. Notes

     6.250%         10/01/39         1,375         1,510,370   

FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A

     5.450%         07/15/44         265         288,724   

Florida Power & Light Co., First Mortgage

     5.950%         10/01/33         380         500,478   

Iberdrola International BV (Spain), Gtd. Notes

     6.750%         09/15/33         140         163,857   

Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A

     4.881%         08/15/19         545         596,661   

NiSource Finance Corp., Gtd. Notes

     5.450%         09/15/20         500         565,977   

NRG Energy, Inc., Gtd. Notes, 144A

     7.250%         05/15/26         685         681,575   

Public Service Co. of New Mexico, Sr. Unsec’d. Notes

     7.950%         05/15/18         135         150,338   

Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN

     5.800%         05/01/37         515         682,577   

Southern California Edison Co., First Mortgage

     3.600%         02/01/45         690         716,679   

Xcel Energy, Inc., Sr. Unsec’d. Notes

     4.800%         09/15/41         480         551,656   

Xcel Energy, Inc., Sr. Unsec’d. Notes

     5.613%         04/01/17         263         271,850   
                               


                                  15,994,306   
                               


Engineering & Construction

                                   

Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A
(original cost $530,000; purchased 06/19/14)(c)(f)

     5.250%         06/27/29         530         210,940   
                               


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A17


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Entertainment

                              

GLP Capital LP/GLP Financing II, Inc., Gtd. Notes

     4.875%      11/01/20      800       $ 829,000   
                          


Food — 0.1%

                              

Kraft Heinz Foods Co., Gtd. Notes, 144A

     3.000%      06/01/26      1,510         1,522,349   

Kraft Heinz Foods Co., Gtd. Notes, 144A

     4.375%      06/01/46      360         380,708   
                          


                             1,903,057   
                          


Food Service

                              

Aramark Services, Inc., Gtd. Notes

     5.125%      01/15/24      205         209,100   
                          


Forest Products & Paper — 0.1%

                              

Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $273,386; purchased 10/27/10)(c)(f)

     5.400%      11/01/20      275         311,469   

International Paper Co., Sr. Unsec’d. Notes

     6.000%      11/15/41      1,270         1,505,314   

International Paper Co., Sr. Unsec’d. Notes

     7.950%      06/15/18      460         518,506   
                          


                             2,335,289   
                          


Gas

                              

Dominion Gas Holdings LLC, Sr. Unsec’d. Notes

     4.800%      11/01/43      45         48,756   
                          


Healthcare-Products — 0.3%

                              

Becton Dickinson & Co., Sr. Unsec’d. Notes

     3.734%      12/15/24      805         867,099   

Medtronic, Inc., Gtd. Notes

     3.500%      03/15/25      2,515         2,741,664   

Medtronic, Inc., Gtd. Notes

     4.375%      03/15/35      997         1,127,747   

St. Jude Medical, Inc., Sr. Unsec’d. Notes

     2.000%      09/15/18      3,700         3,742,273   
                          


                             8,478,783   
                          


Healthcare-Services — 0.6%

                              

Aetna, Inc., Sr. Unsec’d. Notes

     6.625%      06/15/36      480         639,957   

Aetna, Inc., Sr. Unsec’d. Notes

     6.750%      12/15/37      1,050         1,424,134   

Anthem, Inc., Sr. Unsec’d. Notes

     4.625%      05/15/42      330         346,154   

Anthem, Inc., Sr. Unsec’d. Notes

     4.650%      01/15/43      260         271,342   

CHS/Community Health Systems, Inc., Sr. Sec’d. Notes

     5.125%      08/15/18      181         183,603   

Cigna Corp., Sr. Unsec’d. Notes

     5.875%      03/15/41      540         662,605   

Cigna Corp., Sr. Unsec’d. Notes

     6.150%      11/15/36      640         792,783   

Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A

     4.125%      10/15/20      1,235         1,268,962   

HCA, Inc., Sr. Sec’d. Notes

     5.000%      03/15/24      900         931,500   

HCA, Inc., Sr. Sec’d. Notes

     5.250%      04/15/25      350         365,750   

HCA, Inc., Sr. Sec’d. Notes

     5.250%      06/15/26      700         726,687   

Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes

     3.200%      02/01/22      160         165,501   

New York & Presbyterian Hospital (The), Unsec’d. Notes

     4.024%      08/01/45      340         370,438   

Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A

     2.875%      09/29/21      4,385         4,664,105   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     3.950%      10/15/42      440         460,350   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     6.000%      06/15/17      115         120,411   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     6.625%      11/15/37      410         579,594   
                          


                             13,973,876   
                          


Home Builders

                              

D.R. Horton, Inc., Gtd. Notes

     3.625%      02/15/18      375         380,981   
                          


Housewares — 0.1%

                              

Newell Brands, Inc., Sr. Unsec’d. Notes

     4.200%      04/01/26      610         661,271   

Newell Brands, Inc., Sr. Unsec’d. Notes

     6.250%      04/15/18      1,600         1,715,253   
                          


                             2,376,524   
                          


Insurance — 0.9%

                              

Allied World Assurance Co. Holdings Ltd., Gtd. Notes

     5.500%      11/15/20      480         534,439   

American International Group, Inc., Sr. Unsec’d. Notes(a)

     4.500%      07/16/44      1,910         1,847,818   

AXIS Specialty Finance LLC, Gtd. Notes

     5.875%      06/01/20      990         1,106,616   

Berkshire Hathaway, Inc., Sr. Unsec’d. Notes

     3.125%      03/15/26      1,350         1,415,535   

Chubb Corp. (The), Gtd. Notes

     6.375% (b)    04/15/37      1,260         1,096,200   

Chubb INA Holdings, Inc., Gtd. Notes(a)

     3.350%      05/03/26      705         751,459   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A18


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Insurance (continued)

                              

Chubb INA Holdings, Inc., Gtd. Notes

     4.350%      11/03/45      100       $ 115,042   

Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes

     5.125%      04/15/22      635         722,182   

Liberty Mutual Group, Inc., Gtd. Notes, 144A

     6.500%      05/01/42      215         260,393   

Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A

     7.000%      03/15/34      910         1,138,418   

Lincoln National Corp., Sr. Unsec’d. Notes

     6.300%      10/09/37      876         1,032,989   

Lincoln National Corp., Sr. Unsec’d. Notes

     7.000%      06/15/40      660         849,936   

Lincoln National Corp., Sr. Unsec’d. Notes

     8.750%      07/01/19      505         597,374   

Markel Corp., Sr. Unsec’d. Notes

     5.000%      03/30/43      165         175,960   

New York Life Insurance Co., Sub. Notes, 144A

     6.750%      11/15/39      650         888,138   

Nippon Life Insurance Co. (Japan), Sub. Notes, 144A

     5.100% (b)    10/16/44      1,505         1,619,555   

Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A

     6.063%      03/30/40      350         447,698   

Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A

     6.375%      04/30/20      640         723,096   

Pacific Life Insurance Co., Sub. Notes, 144A

     9.250%      06/15/39      695         1,053,763   

Principal Financial Group, Inc., Gtd. Notes

     4.625%      09/15/42      105         111,063   

Progressive Corp. (The), Jr. Sub. Notes

     6.700% (b)    06/15/37      715         656,013   

Progressive Corp. (The), Sr. Unsec’d. Notes

     3.700%      01/26/45      570         586,679   

Teachers Insurance & Annuity Association of America, Sub. Notes, 144A

     6.850%      12/16/39      1,430         1,942,592   

Travelers Cos., Inc. (The), Sr. Unsec’d. Notes

     4.300%      08/25/45      660         751,503   

Unum Group, Sr. Unsec’d. Notes

     5.625%      09/15/20      315         353,659   

W.R. Berkley Corp., Sr. Unsec’d. Notes

     6.150%      08/15/19      575         640,888   
                          


                             21,419,008   
                          


Lodging — 0.2%

                              

Choice Hotels International, Inc., Gtd. Notes

     5.750%      07/01/22      955         1,023,665   

Marriott International, Inc., Sr. Unsec’d. Notes

     3.000%      03/01/19      490         505,675   

Marriott International, Inc., Sr. Unsec’d. Notes

     3.250%      09/15/22      805         836,165   

Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes

     6.750%      05/15/18      2,700         2,945,335   

Wyndham Worldwide Corp., Sr. Unsec’d. Notes

     2.500%      03/01/18      405         409,223   
                          


                             5,720,063   
                          


Machinery-Diversified — 0.1%

                              

Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes

     7.875%      12/01/17      1,100         1,182,500   

SPX Flow, Inc., Gtd. Notes

     6.875%      09/01/17      535         557,069   

Xylem, Inc., Sr. Unsec’d. Notes

     4.875%      10/01/21      1,060         1,155,737   
                          


                             2,895,306   
                          


Media — 0.6%

                              

21st Century Fox America, Inc., Gtd. Notes

     6.150%      03/01/37      250         310,309   

21st Century Fox America, Inc., Gtd. Notes

     6.900%      08/15/39      35         46,820   

21st Century Fox America, Inc., Gtd. Notes

     7.625%      11/30/28      1,265         1,750,179   

AMC Networks, Inc., Gtd. Notes

     5.000%      04/01/24      1,225         1,212,597   

Cablevision Systems Corp., Sr. Unsec’d. Notes

     8.625%      09/15/17      900         950,625   

CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A

     5.375%      05/01/25      720         730,800   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A(a)

     6.384%      10/23/35      630         746,036   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.484%      10/23/45      760         907,456   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.834%      10/23/55      200         237,803   

Comcast Cable Holdings LLC, Gtd. Notes

     9.875%      06/15/22      1,440         1,936,631   

Historic TW, Inc., Gtd. Notes

     9.150%      02/01/23      625         840,116   

Myriad International Holdings BV (South Africa), Gtd. Notes, RegS

     6.375%      07/28/17      750         778,845   

Time Warner Cable, Inc., Gtd. Notes

     5.850%      05/01/17      1,240         1,283,617   

Time Warner, Inc., Gtd. Notes

     6.200%      03/15/40      175         214,933   

Time Warner, Inc., Gtd. Notes(a)

     6.250%      03/29/41      495         622,936   

Time Warner, Inc., Gtd. Notes

     7.625%      04/15/31      75         102,873   

Viacom, Inc., Sr. Unsec’d. Notes

     4.500%      02/27/42      50         41,484   

Viacom, Inc., Sr. Unsec’d. Notes

     4.875%      06/15/43      150         132,421   

Viacom, Inc., Sr. Unsec’d. Notes

     5.850%      09/01/43      325         325,857   

Videotron Ltd. (Canada), Gtd. Notes

     5.000%      07/15/22      850         879,750   
                          


                             14,052,088   
                          


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A19


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Mining — 0.1%

                              

BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes

     5.000%      09/30/43      700       $ 813,381   

BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A

     6.250% (b)    10/19/75      845         889,785   

Southern Copper Corp. (Peru), Sr. Unsec’d. Notes

     5.875%      04/23/45      400         376,829   

Southern Copper Corp. (Peru), Sr. Unsec’d. Notes

     7.500%      07/27/35      370         408,702   
                          


                             2,488,697   
                          


Miscellaneous Manufacturing — 0.1%

                              

Actuant Corp., Gtd. Notes

     5.625%      06/15/22      1,040         1,060,800   

General Electric Co., Sr. Unsec’d. Notes

     4.125%      10/09/42      180         197,987   

General Electric Co., Sr. Unsec’d. Notes

     4.500%      03/11/44      260         300,034   

General Electric Co., Sr. Unsec’d. Notes, GMTN

     6.875%      01/10/39      311         469,439   

General Electric Co., Sr. Unsec’d. Notes, MTN

     5.875%      01/14/38      167         225,862   

Koppers, Inc., Gtd. Notes

     7.875%      12/01/19      1,050         1,071,000   
                          


                             3,325,122   
                          


Multi-National — 0.1%

                              

Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes

     2.000%      05/10/19      1,065         1,076,896   

North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes

     2.400%      10/26/22      855         873,085   

North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes

     4.375%      02/11/20      600         655,010   
                          


                             2,604,991   
                          


Oil & Gas — 0.5%

                              

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     4.677% (h)    10/10/36      1,000         377,790   

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     6.450%      09/15/36      305         351,394   

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     6.600%      03/15/46      780         941,854   

ConocoPhillips Co., Gtd. Notes(a)

     4.950%      03/15/26      1,700         1,927,667   

Devon Energy Corp., Sr. Unsec’d. Notes

     5.000%      06/15/45      210         195,903   

Devon Energy Corp., Sr. Unsec’d. Notes(a)

     5.600%      07/15/41      95         91,788   

Devon Energy Corp., Sr. Unsec’d. Notes

     5.850%      12/15/25      420         463,296   

Devon Financing Corp. LLC, Gtd. Notes

     7.875%      09/30/31      1,350         1,570,960   

EOG Resources, Inc., Sr. Unsec’d. Notes

     3.900%      04/01/35      830         832,146   

Helmerich & Payne International Drilling Co., Gtd. Notes

     4.650%      03/15/25      1,555         1,659,173   

Nabors Industries, Inc., Gtd. Notes

     4.625%      09/15/21      890         816,693   

Phillips 66, Gtd. Notes

     2.950%      05/01/17      415         421,075   

Pioneer Natural Resources Co., Sr. Unsec’d. Notes

     6.875%      05/01/18      1,450         1,567,520   

Reliance Holding USA, Inc. (India), Gtd. Notes, 144A

     5.400%      02/14/22      400         447,886   

Valero Energy Corp., Sr. Unsec’d. Notes(a)

     4.900%      03/15/45      225         208,403   
                          


                             11,873,548   
                          


Oil & Gas Services — 0.1%

                              

Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A

     4.000%      12/21/25      2,170         2,335,428   
                          


Packaging & Containers — 0.1%

                              

Ball Corp., Gtd. Notes

     4.375%      12/15/20      465         489,122   

Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes

     4.500%      01/15/23      1,000         1,020,000   

WestRock RKT Co., Gtd. Notes

     4.900%      03/01/22      675         749,292   
                          


                             2,258,414   
                          


Pharmaceuticals — 0.4%

                              

AbbVie, Inc., Sr. Unsec’d. Notes

     3.600%      05/14/25      950         995,438   

AbbVie, Inc., Sr. Unsec’d. Notes

     4.500%      05/14/35      1,595         1,667,035   

Actavis Funding SCS, Gtd. Notes

     3.800%      03/15/25      805         838,672   

Actavis Funding SCS, Gtd. Notes

     4.550%      03/15/35      1,465         1,505,611   

Actavis Funding SCS, Gtd. Notes

     4.750%      03/15/45      350         367,526   

Actavis, Inc., Gtd. Notes

     6.125%      08/15/19      440         493,781   

Johnson & Johnson, Sr. Unsec’d. Notes

     3.550%      03/01/36      250         276,201   

Merck & Co., Inc., Sr. Unsec’d. Notes

     2.750%      02/10/25      340         355,510   

Merck & Co., Inc., Sr. Unsec’d. Notes

     3.700%      02/10/45      1,105         1,170,931   

Novartis Capital Corp. (Switzerland), Gtd. Notes

     4.400%      05/06/44      1,010         1,217,287   

Zoetis, Inc., Sr. Unsec’d. Notes

     4.700%      02/01/43      90         89,177   
                          


                             8,977,169   
                          


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A20


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Pipelines — 0.2%

                              

DCP Midstream LLC, Sr. Unsec’d. Notes, 144A

     5.350%      03/15/20      473       $ 463,540   

Energy Transfer Partners LP, Sr. Unsec’d. Notes

     4.650%      06/01/21      610         629,815   

Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)

     4.900%      03/15/35      200         176,694   

EnLink Midstream Partners LP, Sr. Unsec’d. Notes

     4.150%      06/01/25      665         612,872   

Enterprise Products Operating LLC, Gtd. Notes

     3.750%      02/15/25      1,055         1,100,348   

Enterprise Products Operating LLC, Gtd. Notes

     3.950%      02/15/27      1,310         1,389,421   

Kinder Morgan Energy Partners LP, Gtd. Notes

     5.950%      02/15/18      530         559,427   

MPLX LP, Sr. Unsec’d. Notes

     4.000%      02/15/25      1,140         1,035,526   

ONEOK Partners LP, Gtd. Notes

     6.650%      10/01/36      130         136,062   
                          


                             6,103,705   
                          


Real Estate

                              

Prologis LP, Gtd. Notes

     6.875%      03/15/20      68         80,049   
                          


Real Estate Investment Trusts (REITs) — 0.1%

                              

Mack-Cali Realty LP, Sr. Unsec’d. Notes

     7.750%      08/15/19      685         773,194   

Select Income REIT, Sr. Unsec’d. Notes

     2.850%      02/01/18      550         554,308   

Simon Property Group LP, Sr. Unsec’d. Notes

     2.800%      01/30/17      235         236,515   

Simon Property Group LP, Sr. Unsec’d. Notes

     3.375%      03/15/22      190         203,377   
                          


                             1,767,394   
                          


Retail — 0.3%

                              

CVS Health Corp., Sr. Unsec’d. Notes

     5.125%      07/20/45      590         731,940   

CVS Health Corp., Sr. Unsec’d. Notes

     5.300%      12/05/43      170         212,217   

Home Depot, Inc. (The), Sr. Unsec’d. Notes

     3.000%      04/01/26      585         621,722   

Home Depot, Inc. (The), Sr. Unsec’d. Notes

     4.400%      03/15/45      565         654,713   

L Brands, Inc., Gtd. Notes

     5.625%      02/15/22      1,300         1,398,800   

Lowe’s Cos., Inc., Sr. Unsec’d. Notes

     6.500%      03/15/29      345         473,358   

Macy’s Retail Holdings, Inc., Gtd. Notes

     3.875%      01/15/22      300         308,430   

McDonald’s Corp., Sr. Unsec’d. Notes, MTN

     3.700%      01/30/26      1,925         2,079,855   

Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)

     5.625%      12/01/25      1,020         1,068,450   

Target Corp., Sr. Unsec’d. Notes

     3.500%      07/01/24      265         293,636   
                          


                             7,843,121   
                          


Savings & Loans — 0.1%

                              

People’s United Financial, Inc., Sr. Unsec’d. Notes

     3.650%      12/06/22      1,195         1,230,027   
                          


Semiconductors — 0.1%

                              

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

     5.750%      03/15/23      1,200         1,254,000   
                          


Software — 0.2%

                              

Fidelity National Information Services, Inc., Gtd. Notes

     3.625%      10/15/20      1,640         1,733,677   

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

     2.850%      10/15/18      1,225         1,257,201   

Oracle Corp., Sr. Unsec’d. Notes

     4.300%      07/08/34      700         744,467   
                          


                             3,735,345   
                          


Telecommunications — 0.6%

                              

America Movil SAB de CV (Mexico), Gtd. Notes

     6.125%      03/30/40      200         245,221   

AT&T Corp., Gtd. Notes

     8.250%      11/15/31      18         25,888   

AT&T, Inc., Sr. Unsec’d. Notes

     3.400%      05/15/25      3,130         3,201,699   

AT&T, Inc., Sr. Unsec’d. Notes

     4.500%      05/15/35      350         358,047   

AT&T, Inc., Sr. Unsec’d. Notes

     4.750%      05/15/46      560         573,929   

AT&T, Inc., Sr. Unsec’d. Notes

     4.800%      06/15/44      305         313,116   

AT&T, Inc., Sr. Unsec’d. Notes

     5.150%      03/15/42      520         561,060   

AT&T, Inc., Sr. Unsec’d. Notes

     5.350%      09/01/40      1,133         1,239,380   

British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes

     9.375% (b)    12/15/30      350         539,238   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.522%      09/15/48      1,827         1,902,455   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.672%      03/15/55      2,288         2,314,175   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.862%      08/21/46      1,053         1,151,021   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     5.012%      08/21/54      2,349         2,484,190   
                          


                             14,909,419   
                          


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A21


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Transportation — 0.1%

                                   

Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes

     3.450%         09/15/21         1,180       $ 1,278,772   

Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes

     6.700%         08/01/28         735         1,005,737   

CSX Corp., Sr. Unsec’d. Notes

     6.150%         05/01/37         690         899,338   

Norfolk Southern Corp., Sr. Unsec’d. Notes

     5.590%         05/17/25         120         145,449   
                               


                                  3,329,296   
                               


TOTAL CORPORATE BONDS
(cost $271,623,292)

   

     288,084,208   
                               


MUNICIPAL BONDS — 0.6%                                    

California — 0.2%

                                   

Bay Area Toll Authority, Revenue Bonds, BABs

     6.263%         04/01/49         1,305         1,993,035   

State of California, GO, BABs

     7.300%         10/01/39         1,250         1,891,600   

State of California, GO, BABs(a)

     7.500%         04/01/34         350         530,894   

State of California, GO, BABs

     7.550%         04/01/39         245         387,663   

State of California, GO, BABs

     7.625%         03/01/40         205         323,392   
                               


                                  5,126,584   
                               


Colorado

                                   

Regional Transportation District, Revenue Bonds, Series 2010-B, BABs

     5.844%         11/01/50         565         823,521   
                               


Illinois — 0.1%

                                   

Chicago O’Hare International Airport, Revenue Bonds, BABs

     6.395%         01/01/40         970         1,379,010   
                               


New Jersey — 0.1%

                                   

New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs

     7.414%         01/01/40         1,000         1,565,340   
                               


New York — 0.1%

                                   

New York City Transitional Finance Authority, Revenue Bonds, BABs

     5.767%         08/01/36         1,100         1,441,440   
                               


Ohio

                                   

Ohio State University (The), Revenue Bonds, BABs

     4.910%         06/01/40         415         525,714   

Ohio State Water Development Authority, Revenue Bonds, BABs

     4.879%         12/01/34         275         331,760   
                               


                                  857,474   
                               


Oregon

                                   

Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs

     5.834%         11/15/34         425         581,056   
                               


Pennsylvania

                                   

Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs

     5.511%         12/01/45         505         663,514   
                               


Tennessee — 0.1%

                                   

Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs

     6.731%         07/01/43         945         1,309,676   
                               


TOTAL MUNICIPAL BONDS
(cost $9,696,324)

   

     13,747,615   
                               


NON-CORPORATE FOREIGN AGENCIES — 0.8%                                    

Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A

     2.375%         03/16/26         1,680         1,762,874   

Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A

     2.625%         04/28/21         2,086         2,207,019   

CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A

     3.150%         07/24/24         1,300         1,397,114   

Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A

     4.875%         01/15/24         490         512,663   

Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes

     5.125%         06/29/20         265         298,213   

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

     4.950%         07/19/22         255         264,119   

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

     6.510%         03/07/22         440         480,788   

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, MTN, 144A

     2.125%         04/13/21         600         609,927   

KFW (Germany), Gov’t. Gtd. Notes

     2.750%         10/01/20         2,645         2,817,541   

Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A

     1.125%         05/23/18         2,634         2,644,043   

Petroleos Mexicanos (Mexico), Gtd. Notes

     5.500%         01/21/21         795         841,826   

Petroleos Mexicanos (Mexico), Gtd. Notes

     8.625%         12/01/23         350         412,125   

Russian Agricultural Bank OJSC via RSHB Capital SA (Russia),
Sr. Unsec’d. Notes, 144A

     6.299%         05/15/17         560         575,512   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A22


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

NON-CORPORATE FOREIGN AGENCIES
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A

     1.750%        04/10/17         1,035       $ 1,038,376   

Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A

     2.500%        04/28/20         1,000         1,010,787   

State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A

     2.750%        05/07/19         500         514,943   

Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN

     1.750%        03/10/21         2,385         2,430,258   
                              


TOTAL NON-CORPORATE FOREIGN AGENCIES
(cost $19,283,923)

   

     19,818,128   
                              


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.8%                                   

Alternative Loan Trust, Series 2004-18CB, Class 3A1

     5.250%        09/25/19         195         195,765   

Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1

     6.000%        01/25/36         1,122         939,202   

Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A

     3.500% (b)      10/27/18         1,660         1,658,398   

Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A

     0.608% (b)      08/26/36         858         791,227   

Banc of America Mortgage Trust, Series 2005-A, Class 2A1

     2.953% (b)      02/25/35         254         243,552   

Banc of America Mortgage Trust, Series 2005-B, Class 2A1

     3.051% (b)      03/25/35         299         275,150   

Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5

     2.888% (b)      02/25/37         558         532,877   

Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A(d)

     2.434% (b)      10/30/47         903         900,168   

Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1(i)

     2.403% (b)      11/25/24         1,639         1,645,904   

Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(i)

     1.953% (b)      02/25/25         398         398,482   

Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(i)

     1.603% (b)      05/25/25         2,848         2,844,790   

Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(i)

     2.603% (b)      09/25/28         1,120         1,133,275   

Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(i)

     2.653% (b)      10/25/28         1,432         1,447,074   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(i)

     1.353% (b)      10/25/27         5,807         5,805,053   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(i)

     1.803% (b)      04/25/28         1,865         1,868,313   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(i)

     1.903% (b)      07/25/28         2,780         2,788,702   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(i)

     2.446% (b)      12/25/28         1,425         1,434,491   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(i)

     2.703% (b)      11/25/28         1,200         1,206,957   

JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1

     2.948% (b)      07/25/35         299         298,474   

LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A(d)

     3.539% (b)      09/01/21         3,860         3,821,758   

LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(d)

     2.457% (b)      12/01/21         781         766,919   

LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A(d)

     2.457% (b)      04/01/20         1,474         1,446,081   

LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d)

     2.457% (b)      05/01/20         4,338         4,240,100   

LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A

     2.978% (b)      07/01/20         1,759         1,728,559   

LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A

     2.457% (b)      08/01/20         1,314         1,289,838   

LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d)

     2.457% (b)      11/01/20         652         637,076   

LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A

     2.439% (b)      01/01/21         2,763         2,681,489   

MASTR Alternative Loan Trust, Series 2004-4, Class 4A1

     5.000%        04/25/19         47         47,040   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

     2.830% (b)      02/25/34         349         345,539   

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A

     5.000%        03/25/20         129         129,152   
                              


TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $43,886,966)

   

     43,541,405   
                              


SOVEREIGN BONDS — 0.6%                                   

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

     4.000%        02/26/24         920         960,940   

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

     4.375%        07/12/21         400         429,400   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     4.000%        03/25/19         392         406,700   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     6.375%        03/29/21         1,760         2,003,535   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     7.625%        03/29/41         1,200         1,740,000   

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)

     5.875%        03/13/20         770         856,305   

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN, 144A

     5.125%        01/15/45         700         742,657   

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN, 144A

     5.875%        01/15/24         750         867,351   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A23


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

SOVEREIGN BONDS
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS

     4.875%        05/05/21         750       $ 814,303   

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN

     3.625%        03/15/22         550         579,700   

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN

     4.750%        03/08/44         766         825,365   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     3.750%        03/16/25         490         516,950   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     4.000%        09/22/24         395         423,637   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     5.200%        01/30/20         375         415,312   

Province of Manitoba (Canada), Sr. Unsec’d. Notes

     2.125%        06/22/26         1,060         1,053,739   

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, 144A

     4.875%        01/22/24         140         154,364   

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, RegS

     6.125%        01/22/44         350         436,520   

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

     7.000%        06/05/20         1,260         1,429,054   
                              


TOTAL SOVEREIGN BONDS
(cost $14,181,149)

   

     14,655,832   
                              


U.S. GOVERNMENT AGENCY OBLIGATIONS — 14.2%                                   

Federal Home Loan Banks(j)

     5.500%        07/15/36         850         1,226,350   

Federal Home Loan Mortgage Corp.

     2.500%        TBA         3,250         3,360,855   

Federal Home Loan Mortgage Corp.

     2.500%        TBA         2,000         2,064,468   

Federal Home Loan Mortgage Corp.

     2.500%        03/01/30         864         896,759   

Federal Home Loan Mortgage Corp.

     2.598% (b)      12/01/35         302         317,686   

Federal Home Loan Mortgage Corp.

     2.710% (b)      06/01/36         284         299,311   

Federal Home Loan Mortgage Corp.

     3.000%        TBA         3,500         3,621,727   

Federal Home Loan Mortgage Corp.

     3.000%        10/01/28-04/01/45         11,299         11,792,686   

Federal Home Loan Mortgage Corp.(k)

     3.500%        TBA         5,000         5,271,094   

Federal Home Loan Mortgage Corp.

     3.500%        TBA         10,500         11,056,172   

Federal Home Loan Mortgage Corp.

     3.500%        08/01/26-06/01/42         1,668         1,772,531   

Federal Home Loan Mortgage Corp.(k)

     4.000%        TBA         8,500         9,097,656   

Federal Home Loan Mortgage Corp.

     4.000%        TBA         10,000         10,693,750   

Federal Home Loan Mortgage Corp.

     4.000%        06/01/26-01/01/42         4,454         4,770,089   

Federal Home Loan Mortgage Corp.

     4.500%        02/01/19-10/01/41         8,701         9,502,335   

Federal Home Loan Mortgage Corp.

     5.000%        07/01/18-05/01/39         2,246         2,443,716   

Federal Home Loan Mortgage Corp.

     5.500%        12/01/33-07/01/38         2,075         2,332,814   

Federal Home Loan Mortgage Corp.

     6.000%        03/01/32-08/01/39         933         1,074,458   

Federal Home Loan Mortgage Corp.

     7.000%        05/01/31-10/01/31         243         277,210   

Federal National Mortgage Assoc.

     2.432% (b)      07/01/33         323         339,324   

Federal National Mortgage Assoc.

     2.500%        TBA         11,000         11,380,481   

Federal National Mortgage Assoc.

     2.500%        01/01/28-10/01/43         2,303         2,366,502   

Federal National Mortgage Assoc.

     2.560% (b)      06/01/37         74         74,410   

Federal National Mortgage Assoc.

     2.651% (b)      07/01/37         465         481,807   

Federal National Mortgage Assoc.

     3.000%        TBA         42,000         43,507,724   

Federal National Mortgage Assoc.

     3.000%        02/01/27-07/01/43         21,525         22,500,208   

Federal National Mortgage Assoc.

     3.500%        TBA         18,000         18,970,312   

Federal National Mortgage Assoc.

     3.500%        07/01/27-01/01/46         32,286         34,222,997   

Federal National Mortgage Assoc.

     4.000%        TBA         9,000         9,640,992   

Federal National Mortgage Assoc.

     4.000%        10/01/41-09/01/44         9,339         10,022,597   

Federal National Mortgage Assoc.

     4.500%        TBA         1,000         1,091,557   

Federal National Mortgage Assoc.

     4.500%        11/01/18-03/01/41         6,161         6,773,784   

Federal National Mortgage Assoc.(k)

     5.000%        TBA         2,500         2,777,654   

Federal National Mortgage Assoc.

     5.000%        TBA         4,000         4,442,997   

Federal National Mortgage Assoc.

     5.000%        10/01/18-05/01/36         1,754         1,941,211   

Federal National Mortgage Assoc.

     5.500%        12/01/16-04/01/37         3,628         4,082,977   

Federal National Mortgage Assoc.

     6.000%        09/01/17-06/01/38         4,208         4,852,884   

Federal National Mortgage Assoc.

     6.250%        05/15/29         850         1,237,898   

Federal National Mortgage Assoc.

     6.500%        07/01/17-01/01/37         1,590         1,849,753   

Federal National Mortgage Assoc.

     7.000%        02/01/32-07/01/32         181         211,562   

Federal National Mortgage Assoc.

     7.125%        01/15/30         2,480         3,890,835   

Federal National Mortgage Assoc.

     7.500%        05/01/32         18         18,468   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A24


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

U.S. GOVERNMENT AGENCY OBLIGATIONS
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Government National Mortgage Assoc.(k)

     3.000%        TBA         12,500       $ 13,069,580   

Government National Mortgage Assoc.

     3.000%        TBA         7,000         7,304,746   

Government National Mortgage Assoc.

     3.000%        03/15/45         1,851         1,935,191   

Government National Mortgage Assoc.(k)

     3.500%        TBA         13,500         14,328,457   

Government National Mortgage Assoc.

     3.500%        TBA         9,500         10,069,629   

Government National Mortgage Assoc.

     3.500%        05/20/43-02/20/46         8,152         8,667,376   

Government National Mortgage Assoc.

     4.000%        TBA         4,250         4,542,851   

Government National Mortgage Assoc.

     4.000%        06/15/40-05/20/41         314         338,090   

Government National Mortgage Assoc.

     4.500%        TBA         1,000         1,100,464   

Government National Mortgage Assoc.

     4.500%        04/15/40-03/20/41         4,977         5,450,370   

Government National Mortgage Assoc.

     5.000%        10/20/37         220         244,221   

Government National Mortgage Assoc.

     5.500%        08/15/33-04/15/36         1,785         2,028,911   

Government National Mortgage Assoc.

     6.000%        11/15/23-07/15/34         729         850,612   

Government National Mortgage Assoc.

     6.500%        10/15/23-09/15/36         1,311         1,529,867   

Government National Mortgage Assoc.

     8.000%        01/15/24-07/15/24         21         23,589   

Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes

     2.578%        06/30/22         3,910         4,165,847   

Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes

     3.000%        06/30/25         1,115         1,215,685   

Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes

     5.500%        12/04/23         190         239,187   

Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes

     5.500%        04/26/24         500         633,255   

Israel Government USAID Bond Principal Strip, U.S. Gov’t. Gtd. Notes, PO

     2.633% (h)      11/01/24         400         336,508   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     1.825% (h)      10/15/19         1,105         1,069,558   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     2.804% (h)      01/15/30         870         625,845   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     2.962% (h)      04/15/30         1,705         1,228,684   

Tennessee Valley Authority, Sr. Unsec’d. Notes

     5.880%        04/01/36         76         110,134   

Tennessee Valley Authority, Sr. Unsec’d. Notes

     7.125%        05/01/30         1,725         2,641,501   
                              


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $344,656,281)

   

     352,300,759   
                              


U.S. TREASURY OBLIGATIONS — 1.8%                                   

U.S. Treasury Bonds

     2.500%        02/15/46         425         442,548   

U.S. Treasury Bonds

     2.875%        05/15/43         1,220         1,371,880   

U.S. Treasury Bonds(l)

     3.000%        05/15/45         3,175         3,649,390   

U.S. Treasury Bonds

     3.000%        11/15/45         790         908,377   

U.S. Treasury Inflation Indexed Bonds, TIPS

     0.125%        04/15/21         7,964         8,159,752   

U.S. Treasury Inflation Indexed Bonds, TIPS

     1.000%        02/15/46         1,358         1,466,008   

U.S. Treasury Inflation Indexed Bonds, TIPS

     2.375%        01/15/25         8,757         10,455,663   

U.S. Treasury Notes

     1.125%        06/30/21         50         50,248   

U.S. Treasury Notes

     2.125%        12/31/22         880         927,816   

U.S. Treasury Strips Coupon

     2.184% (h)      02/15/28         2,115         1,720,005   

U.S. Treasury Strips Coupon

     2.241% (h)      05/15/28         1,055         852,580   

U.S. Treasury Strips Coupon

     2.280% (h)      02/15/29         1,055         838,425   

U.S. Treasury Strips Coupon

     2.384% (h)      05/15/29         2,175         1,715,953   

U.S. Treasury Strips Coupon

     2.519% (h)      08/15/25         1,930         1,669,942   

U.S. Treasury Strips Coupon

     2.576% (h)      08/15/30         6,970         5,327,568   

U.S. Treasury Strips Coupon

     2.972% (h)      02/15/37         4,550         2,898,641   

U.S. Treasury Strips Coupon

     3.103% (h)      11/15/34         1,430         968,808   

U.S. Treasury Strips Principal, PO

     2.465% (h)      05/15/43         770         403,743   

U.S. Treasury Strips Principal, PO

     2.543% (h)      02/15/45         665         330,389   

U.S. Treasury Strips Principal, PO

     2.874% (h)      05/15/45         710         350,140   

U.S. Treasury Strips Principal, PO

     3.635% (h)      05/15/44         820         419,139   
                              


TOTAL U.S. TREASURY OBLIGATIONS
(cost $42,403,709)

   

     44,927,015   
                              


TOTAL LONG-TERM INVESTMENTS
(cost $1,523,791,164)

   

     2,236,328,560   
                              


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A25


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

SHORT-TERM INVESTMENTS — 17.9%                 Shares

     Value
(Note 2)


 

AFFILIATED MUTUAL FUNDS — 17.8%

                                  

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $102,068,746)(m)(Note 4)

                      10,662,349       $ 99,053,225   

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $340,448,347; includes $33,764,573 of cash collateral for securities on loan)(m)(n)(Note 4)

                      340,448,347         340,448,347   
                              


TOTAL AFFILIATED MUTUAL FUNDS
(cost $442,517,093)

   

     439,501,572   
                              


     Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


        

U.S. TREASURY OBLIGATION — 0.1%

                                  

U.S. Treasury Bills(j)
(cost $2,593,568)

     0.266% (o)      09/15/16         2,595         2,593,884   
                              


TOTAL SHORT-TERM INVESTMENTS
(cost $445,110,661) (Note 3)

   

     442,095,456   
                              


TOTAL INVESTMENTS — 108.2%
(cost $1,968,901,825)

   

     2,678,424,016   

LIABILITIES IN EXCESS OF OTHER ASSETS(p) — (8.2)%

  

     (203,671,707
                              


NET ASSETS — 100.0%

  

   $ 2,474,752,309   
                              


See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $33,118,479; cash collateral of $33,764,573 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

 

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016.

 

(c) Indicates a security that has been deemed illiquid.

 

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $12,297,102 and 0.5% of net assets.

 

(e) Interest rate not available as of June 30, 2016.

 

(f) Indicates a restricted security; the aggregate original cost of the restricted securities is $3,540,288. The aggregate value of $3,478,473 is approximately 0.1% of net assets.

 

(g) Represents issuer in default on interest payments and/or principal re-payments; non-income producing security. Such securities may be post maturity.

 

(h) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

 

(i) Represents a Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac.

 

(j) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(k) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $42,000,000 is approximately 1.7% of net assets.

 

(l) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(m) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

 

(n) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

 

(o) Rate quoted represents yield-to-maturity as of purchase date.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A26


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

 

(p) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at June 30, 2016:

 

Number of
Contracts


    Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 
  Long Positions:                                           
  226        2 Year U.S. Treasury Notes        Sep. 2016      $ 49,245,435      $ 49,568,156      $ 322,721   
  637        5 Year U.S. Treasury Notes        Sep. 2016        76,830,373        77,818,508        988,135   
  377        10 Year U.S. Treasury Notes        Sep. 2016        48,764,215        50,135,110        1,370,895   
  439        30 Year U.S. Ultra Treasury Bonds        Sep. 2016        77,708,553        81,818,625        4,110,072   
  15        Mini MSCI EAFE Index        Sep. 2016        1,214,085        1,211,400        (2,685
  86        S&P 500 E-Mini Index        Sep. 2016        8,886,580        8,987,860        101,280   
  74        S&P 500 Index        Sep. 2016        38,512,002        38,668,700        156,698   
                                       


                                          7,047,116   
                                       


  Short Position:                                           
  488        20 Year U.S. Treasury Bonds        Sep. 2016        79,284,053        84,103,750        (4,819,697
                                       


                                        $ 2,227,419   
                                       



  A U.S. Treasury Obligation with a market value of $2,593,884 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency Obligation and a U.S. Treasury Obligation, including those sold and pending settlement, with a combined market value of $1,994,325 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Interest rate swap agreements outstanding at June 30, 2016:

 

Notional
Amount
(000)#


       Termination
Date


       Fixed
Rate


    

Floating Rate


     Value at
Trade Date


       Value at
June 30, 2016


       Unrealized
Appreciation
(Depreciation)


 

 

Centrally cleared swap agreements:

  

  2,270           07/11/18           0.947%      

3 Month LIBOR(2)

     $ 155         $ (9,512      $ (9,667
  21,290           01/06/21           1.750%      

3 Month LIBOR(1)

       190           766,073           765,883   
  16,455           05/31/22           2.200%      

3 Month LIBOR(1)

       (33,360        (1,085,054        (1,051,694
  7,020           05/31/22           2.217%      

3 Month LIBOR(1)

       188           (469,783        (469,971
  20,465           11/30/22           1.850%      

3 Month LIBOR(1)

       261           (950,826        (951,087
  6,240           11/30/22           1.982%      

3 Month LIBOR(1)

       184           (341,839        (342,023
  1,900           12/31/22           1.405%      

3 Month LIBOR(2)

       160           (35,035        (35,195
  1,500           12/31/22           1.406%      

3 Month LIBOR(2)

       158           (27,800        (27,958
  2,900           12/31/22           1.409%      

3 Month LIBOR(2)

       166           (54,204        (54,370
  700           12/31/22           1.412%      

3 Month LIBOR(2)

       154           (13,204        (13,358
  1,000           12/31/22           1.495%      

3 Month LIBOR(2)

       156           (24,183        (24,339
  5,570           09/04/25           2.214%      

3 Month LIBOR(1)

       190           (440,194        (440,384
  26,340           01/08/26           2.210%      

3 Month LIBOR(1)

       283           (2,084,880        (2,085,163
                                     


    


    


                                      $ (31,115      $ (4,770,441      $ (4,739,326
                                     


    


    



(1) Portfolio pays the floating rate and receives the fixed rate.

 

(2) Portfolio pays the fixed rate and receives the floating rate.

Credit default swap agreements outstanding at June 30, 2016:

 

Reference Entity/ Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Implied
Credit
Spread at
June 30,
2016(3)


    Value at
Trade
Date


     Value at
June 30,
2016


     Unrealized
Appreciation
(Depreciation)


 

Centrally cleared credit default swaps on corporate issues—Sell Protection(2):

  

        

General Motors Co.

     06/20/19         5.000%         3,310         1.179   $ 372,607       $ 366,410       $ (6,197

General Motors Co.

     06/20/21         5.000%         1,180         1.819     177,632         174,193         (3,439
                                       


  


  


                                        $ 550,239       $ 540,603       $ (9,636
                                       


  


  


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A27


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Credit default swap agreements outstanding at June 30, 2016 (continued):

 

Reference Entity/ Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Value at
Trade
Date


    Value at
June 30,
2016(5)


    Unrealized
Appreciation
(Depreciation)


 

Centrally cleared credit default swap on credit indices—Buy Protection(1):

  

CDX.NA.IG.24.V1

     06/20/20         1.000%         53,000       $ (997,537   $ (472,746   $ 524,791   
                               


 


 


A U.S. Treasury Obligation, including those sold and pending settlement, with a market value of $8,367,735 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

 

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(3) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

 

(4) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(5) The fair value of credit default swap agreements on credit indices and asset-backed securities serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Total return swap agreements outstanding at June 30, 2016:

 

Counterparty

     Termination
Date


     Long (Short)
Notional
Amount
(000)#


    

Description


   Fair
Value


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)(1)


 

 

OTC total return swap agreements:

  

 
 
Deutsche
Bank AG
  
  
     09/08/16         2,000      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

   $ 112,192       $       $ 112,192   
 
 
Deutsche
Bank AG
  
  
     09/08/16         2,000      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     141,566                 141,566   
 
 
Deutsche
Bank AG
  
  
     09/08/16         1,000      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     32,018                 32,018   
 
 
Deutsche
Bank AG
  
  
     09/08/16         1,000      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     44,400                 44,400   
                               


  


  


                                $ 330,176       $   —       $ 330,176   
                               


  


  



(1) Upfront/ recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A28


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

    

Level 1


    

Level 2


   

Level 3


 

Investments in Securities

                         

Common Stocks

   $ 1,146,475,873       $ 44,996,303      $   

Exchange Traded Fund

     1,156,718                  

Preferred Stocks

     1,326,600         440,053          

Asset-Backed Securities

                         

Collateralized Loan Obligations

             44,558,829          

Non-Residential Mortgage-Backed Securities

             61,587,944          

Residential Mortgage-Backed Securities

             14,184,376          

Bank Loans

             7,095,933        485,000   

Commercial Mortgage-Backed Securities

             136,945,969          

Corporate Bonds

             288,084,208          

Municipal Bonds

             13,747,615          

Non-Corporate Foreign Agencies

             19,818,128          

Residential Mortgage-Backed Securities

             31,729,303        11,812,102   

Sovereign Bonds

             14,655,832          

U.S. Government Agency Obligations

             352,300,759          

U.S. Treasury Obligations

             47,520,899          

Affiliated Mutual Funds

     439,501,572                  

Other Financial Instruments*

                         

Futures Contracts

     2,227,419                  

Centrally Cleared Interest Rate Swap Agreements

             (4,739,326       

Centrally Cleared Credit Default Swap Agreements

             515,155          

OTC Total Return Swap Agreements

             330,176          
    


  


 


Total

   $ 1,590,688,182       $ 1,073,772,156      $ 12,297,102   
    


  


 



* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

 

Affiliated Mutual Funds (including 1.4% of collateral for securities on loan)

     17.8

U.S. Government Agency Obligations

     14.2   

Banks

     5.6   

Commercial Mortgage-Backed Securities

     5.5   

Pharmaceuticals

     3.3   

Oil, Gas & Consumable Fuels

     3.0   

Non-Residential Mortgage-Backed Securities

     2.5   

Residential Mortgage-Backed Securities

     2.4   

Insurance

     2.2   

Software

     2.2   

U.S. Treasury Obligations

     1.9   

Internet Software & Services

     1.9   

Media

     1.9   

Collateralized Loan Obligations

     1.8   

IT Services

     1.7   

Technology Hardware, Storage & Peripherals

     1.7   

Real Estate Investment Trusts (REITs)

     1.6   

Biotechnology

     1.5   

Diversified Financial Services

     1.4

Diversified Telecommunication Services

     1.4   

Semiconductors & Semiconductor Equipment

     1.3   

Health Care Providers & Services

     1.3   

Beverages

     1.2   

Specialty Retail

     1.2   

Industrial Conglomerates

     1.2   

Aerospace & Defense

     1.2   

Chemicals

     1.2   

Health Care Equipment & Supplies

     1.1   

Food & Staples Retailing

     1.1   

Electric Utilities

     1.1   

Internet & Catalog Retail

     1.0   

Household Products

     1.0   

Capital Markets

     1.0   

Food Products

     0.9   

Tobacco

     0.9   

Hotels, Restaurants & Leisure

     0.8   

Non-Corporate Foreign Agencies

     0.8   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A29


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Industry table (cont.)


  
 

Electric

     0.6

Telecommunications

     0.6   

Machinery

     0.6   

Sovereign Bonds

     0.6   

Multi-Utilities

     0.6   

Healthcare-Services

     0.6   

Municipal Bonds

     0.6   

Energy Equipment & Services

     0.5   

Oil & Gas

     0.5   

Communications Equipment

     0.5   

Airlines

     0.4   

Textiles, Apparel & Luxury Goods

     0.4   

Road & Rail

     0.4   

Air Freight & Logistics

     0.3   

Auto Manufacturers

     0.3   

Healthcare-Products

     0.3   

Consumer Finance

     0.3   

Retail

     0.3   

Automobiles

     0.3   

Multiline Retail

     0.3   

Life Sciences Tools & Services

     0.3   

Electrical Equipment

     0.3   

Household Durables

     0.3   

Pipelines

     0.2   

Lodging

     0.2   

Computers

     0.2   

Commercial Services & Supplies

     0.2   

Metals & Mining

     0.2   

Agriculture

     0.2   

Auto Components

     0.2   

Electronic Equipment, Instruments & Components

     0.2

Technology

     0.2   

Containers & Packaging

     0.2   

Professional Services

     0.2   

Transportation

     0.1   

Miscellaneous Manufacturing

     0.1   

Machinery-Diversified

     0.1   

Commercial Services

     0.1   

Trading Companies & Distributors

     0.1   

Multi-National

     0.1   

Mining

     0.1   

Housewares

     0.1   

Oil & Gas Services

     0.1   

Forest Products & Paper

     0.1   

Food

     0.1   

Packaging & Containers

     0.1   

Building Products

     0.1   

Construction & Engineering

     0.1   

Construction Materials

     0.1   

Personal Products

     0.1   

Distributors

     0.1   

Leisure Products

     0.1   

Real Estate Management & Development

     0.1   

Semiconductors

     0.1   

Savings & Loans

     0.1   

Healthcare & Pharmaceutical

     0.1   

Building Materials

     0.1   
    


       108.2   

Liabilities in excess of other assets

     (8.2
    


       100.0
    


 

 

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

 

Derivatives not designated as hedging
instruments, carried at fair value


  

Asset Derivatives


   

Liability Derivatives


 
  

Balance Sheet Location


   Fair Value

   

Balance Sheet Location


   Fair Value

 

Credit contracts

   Due from/to broker — variation margin swaps    $ 524,791   Due from/to broker — variation margin swaps    $ 9,636

Equity contracts

   Due from/to broker — variation margin futures      257,978   Due from/to broker — variation margin futures      2,685

Interest rate contracts

   Due from/to broker — variation margin futures      6,791,823   Due from/to broker — variation margin futures      4,819,697

Interest rate contracts

   Due from/to broker — variation margin swaps      765,883   Due from/to broker — variation margin swaps      5,505,209

Interest rate contracts

   Unrealized appreciation on OTC swap agreements      330,176             
         


      


Total

        $ 8,670,651           $ 10,337,227   
         


      



* Includes cumulative appreciation/depreciation as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A30


     CONSERVATIVE BALANCED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging
instruments, carried at fair value


     Options
Purchased*


     Options
Written


     Futures

       Swaps

     Total

 

Credit contracts

     $       $       $         $ (360,735    $ (360,735

Equity contracts

                       1,887,029                   1,887,029   

Interest rate contracts

       (630,007      (448,004      2,513,727           (364,215      1,071,501   
      


  


  


    


  


Total

     $ (630,007    $ (448,004    $ 4,400,756         $ (724,950    $ 2,597,795   
      


  


  


    


  



* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging
instruments, carried at fair value


     Rights*

     Options
Purchased*


       Options
Written


     Futures

     Swaps

     Total

 

Credit contracts

     $       $         $       $       $ (53,516    $ (53,516

Equity contracts

       (34                        (10,410              (10,444

Interest rate contracts

               300,971           (177,697      1,680,464         (3,175,584      (1,371,846
      


  


    


  


  


  


Total

     $ (34    $ 300,971         $ (177,697    $ 1,670,054       $ (3,229,100    $ (1,435,806
      


  


    


  


  


  



* Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations.

For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:

 

Options Purchased(1)


 

Options Written(2)


 

Futures Contracts—
Long Positions(3)


 

Futures Contracts—
Short Positions(3)


$146,237   $320,433   $330,868,831   $94,346,179

Interest Rate Swap
Agreements(2)


 

Credit Default
Swap Agreements—Buy
Protection(2)


 

Credit Default
Swap Agreements—Sell
Protection(2)


 

Total Return Swap
Agreements(2)


$153,911   $53,000   $4,257   $4,000

(1) Cost.

 

(2) Notional Amount in USD (000).

 

(3) Value at Trade Date.

Offsetting of OTC derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

 

Counterparty


     Gross amounts of
recognized assets(1)


       Gross amounts
available for offset


       Collateral
Received


       Net
Amount


 

Deutsche Bank AG

     $ 330,176         $   —         $   —         $ 330,176   
      


    


    


    


Counterparty


     Gross amounts of
recognized liabilities(2)


       Gross amounts
available for offset


       Collateral
Pledged


       Net
Amount


 

Deutsche Bank AG

     $         $         $         $   
      


    


    


    



(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

 

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A31


     CONSERVATIVE BALANCED PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS         

Investments at value, including securities on loan of $33,118,479:

        

Unaffiliated investments (cost $1,526,384,732)

   $ 2,238,922,444   

Affiliated investments (cost $442,517,093)

     439,501,572   

Cash

     772   

Foreign currency, at value (cost $359,816)

     360,387   

Receivable for investments sold

     138,309,576   

Dividends and interest receivable

     7,317,312   

Tax reclaim receivable

     589,230   

Due from broker—variation margin futures

     548,084   

Unrealized appreciation on OTC swap agreements

     330,176   

Receivable for Series shares sold

     1,747   

Prepaid expenses

     2,782   
    


Total Assets

     2,825,884,082   
    


LIABILITIES         

Payable for investments purchased

     315,288,707   

Payable to broker for collateral for securities on loan

     33,764,573   

Management fee payable

     1,123,197   

Payable for Series shares repurchased

     653,651   

Accrued expenses and other liabilities

     284,642   

Due to broker—variation margin swaps

     10,692   

Due to broker—variation margin futures

     5,331   

Affiliated transfer agent fee payable

     980   
    


Total Liabilities

     351,131,773   
    


NET ASSETS    $ 2,474,752,309   
    


Net assets were comprised of:

        

Paid-in capital

   $ 1,227,894,020   

Retained earnings

     1,246,858,289   
    


Net assets, June 30, 2016

   $ 2,474,752,309   
    


Net asset value and redemption price per share $2,474,752,309 / 105,367,108 outstanding shares of beneficial interest

   $ 23.49   
    


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

NET INVESTMENT INCOME (LOSS)        
INCOME        

Unaffiliated dividend income (net) (foreign withholding tax of $275,980, of which $4,550 is reimbursable by an affiliate)

  $ 14,720,824   

Interest income

    13,759,708   

Affiliated dividend income

    1,514,205   

Affiliated income from securities lending, net

    223,963   
   


Total income

    30,218,700   
   


EXPENSES        

Management fee

    6,809,094   

Custodian and accounting fees

    211,000   

Shareholders’ reports

    114,000   

Audit fee

    22,000   

Trustees’ fees

    16,000   

Insurance expenses

    16,000   

Legal fees and expenses

    7,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

    6,000   

Miscellaneous

    28,871   
   


Total expenses

    7,229,965   
   


NET INVESTMENT INCOME (LOSS)     22,988,735   
   


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS        

Net realized gain (loss) on:

       

Investment transactions

    18,735,853   

Futures transactions

    4,400,756   

Options written transactions

    (448,004

Swap agreement transactions

    (724,950

Foreign currency transactions

    (29,372
   


      21,934,283   
   


Net change in unrealized appreciation (depreciation) on:

       

Investments (including affiliated: $212,304)

    55,984,303   

Futures

    1,670,054   

Options written

    (177,697

Swap agreements

    (3,229,100

Foreign currencies

    12,567   
   


      54,260,127   
   


NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     76,194,410   
   


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 99,183,145   
   


 

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 22,988,735      $ 42,958,646   

Net realized gain (loss) on investment and foreign currency transactions

     21,934,283        125,966,448   

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     54,260,127        (158,615,573
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     99,183,145        10,309,521   
    


 


SERIES SHARE TRANSACTIONS                 

Series shares sold [193,802 and 6,321,083 shares, respectively]

     4,372,416        143,898,043   

Series shares repurchased [8,137,670 and 7,700,902 shares, respectively]

     (185,373,719     (174,291,543
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (181,001,303     (30,393,500
    


 


Capital Contributions (Note 4)      2,299,220          
    


 


TOTAL INCREASE (DECREASE)      (79,518,938     (20,083,979
NET ASSETS:                 

Beginning of period

     2,554,271,247        2,574,355,226   
    


 


End of period

   $ 2,474,752,309      $ 2,554,271,247   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A32


     DIVERSIFIED BOND PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 89.8%

ASSET-BACKED SECURITIES — 11.9%

   Interest
Rate


     Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Collateralized Loan Obligations — 4.2%

        

A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A

     2.078% (a)       07/15/26                 500       $ 493,932   

ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A

     1.814% (a)       04/20/25                 3,300         3,265,795   

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.228% (a)       10/15/26                 1,750         1,740,521   

Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.093% (a)       07/17/26                 1,000         996,959   

Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A

     2.035% (a)       10/22/25                 1,300         1,286,536   

Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A

     2.233% (a)       10/17/26                 2,750         2,736,238   

Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A

     2.878% (a)       10/15/25                 1,000         996,656   

Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A

     1.828% (a)       07/15/24                 900         889,900   

Benefit Street Partners CLO V Ltd. (Cayman Islands),
Series 2014-VA, Class A, 144A

     2.234% (a)       10/20/26                 1,250         1,244,194   

Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A

     2.108% (a)       01/15/26                 700         694,176   

Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.783% (a)       04/17/25                 2,600         2,559,760   

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A

     2.094% (a)       07/27/26                 250         249,324   

ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A

     2.078% (a)       07/15/26                 1,500         1,471,922   

Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A

     2.104% (a)       01/20/26                 2,500         2,487,537   

Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     2.033% (a)       01/17/26                 1,250         1,238,424   

Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A

     2.168% (a)       04/15/27                 2,250         2,232,595   

KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A

     2.178% (a)       07/15/26                 250         246,001   

Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A

     2.108% (a)       04/15/26                 250         249,515   

Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A

     2.134% (a)       07/20/27                 1,000         990,867   

Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A

     2.198% (a)       10/25/26                 4,375         4,345,734   

Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A

     3.440%         04/15/25                 700         701,380   

Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.132% (a)       05/07/26                 1,250         1,247,969   

Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.678% (a)       04/15/25                 7,300         7,178,221   

Sound Point CLO VI Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A

     1.994% (a)       10/20/26                 750         739,512   

THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A

     2.083% (a)       01/18/26                 3,300         3,282,828   

Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.748% (a)       07/15/25                 300         296,949   

Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.768% (a)       04/15/24                 4,200         4,152,574   
                                       


                                          48,016,019   
                                       


Non-Residential Mortgage-Backed Securities — 2.3%

  

Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 144A

     2.990%         06/20/22                 2,500         2,581,542   

Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A

     2.730%         03/25/21                 3,200         3,269,632   

Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A

     2.950%         03/25/22                 1,600         1,644,132   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A33


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

ASSET-BACKED SECURITIES
(continued)
   Interest
Rate


     Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Non-Residential Mortgage-Backed Securities (continued)

  

Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A

     3.540%         10/20/32                 1,409       $ 1,435,211   

OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A

     2.570%         07/18/25                 4,100         4,098,787   

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A

     4.320%         07/18/25                 1,100         1,057,838   

OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A

     3.660%         02/20/29                 2,500         2,555,709   

OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A

     4.100%         03/20/28                 3,600         3,711,948   

Springleaf Funding Trust, Series 2015-AA, Class A, 144A

     3.160%         11/15/24                 5,200         5,230,758   
                                       


                                          25,585,557   
                                       


Residential Mortgage-Backed Securities — 5.4%

  

ABFC Trust, Series 2004-OPT1, Class M1

     1.503% (a)       08/25/33                 1,118         1,058,825   

ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1

     1.353% (a)       09/25/33                 1,199         1,124,116   

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3

     4.953% (a)       01/25/33                 2,037         1,869,251   

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1

     1.413% (a)       09/25/34                 729         725,490   

Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3

     3.378% (a)       10/25/31                 355         348,147   

Argent Securities, Inc., Series 2003-W2, Class M4

     3.245% (a)       09/25/33                 2,400         2,204,284   

Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1

     1.278% (a)       05/25/34                 980         930,720   

Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2

     1.233% (a)       10/25/34                 1,648         1,599,732   

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1

     1.687% (a)       06/15/33                 1,022         975,899   

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1

     1.492% (a)       01/15/34                 178         165,497   

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1

     1.353% (a)       08/25/34                 1,443         1,358,342   

Bayview Opportunity Master Fund liib NPL Trust, Series 2015-NPLA, Class A, 144A

     3.721%         07/28/35                 3,812         3,807,221   

Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1

     1.353% (a)       03/25/34                 3,220         3,073,991   

Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2

     2.178% (a)       04/25/34                 1,935         1,777,954   

Centex Home Equity Loan Trust, Series 2004-B, Class AF6

     4.686%         03/25/34                 878         893,918   

Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2

     2.703% (a)       08/25/32                 50         44,092   

Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1

     4.836%         07/25/34                 466         439,607   

FBR Securitization Trust, Series 2005-2, Class M1

     1.173% (a)       09/25/35                 2,267         2,247,833   

Fremont Home Loan Trust, Series 2003-B, Class M1

     1.503% (a)       12/25/33                 172         164,183   

GSAMP Trust, Series 2004-FM1, Class M1

     1.428% (a)       11/25/33                 1,472         1,377,253   

Long Beach Mortgage Loan Trust, Series 2004-1, Class M1

     1.203% (a)       02/25/34                 3,207         3,026,194   

MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1

     1.233% (a)       02/25/34                 1,756         1,670,832   

Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1

     1.653% (a)       08/25/35                 489         463,132   

Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A

     0.973% (a)       06/25/35                 1,320         1,266,177   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1

     1.653% (a)       05/25/33                 961         909,325   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1

     1.473% (a)       10/25/33                 695         648,720   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1

     1.503% (a)       12/27/33                 589         568,223   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1

     1.323% (a)       11/25/34                 3,688         3,339,642   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A34


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

ASSET-BACKED SECURITIES
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Residential Mortgage-Backed Securities (continued)

  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1

     1.383% (a)     06/25/34              1,715       $ 1,658,310   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1

     1.368% (a)     07/25/34              1,339         1,276,829   

New Century Home Equity Loan Trust, Series 2003-4, Class M1

     1.578% (a)     10/25/33              2,398         2,304,217   

New Century Home Equity Loan Trust, Series 2004-4, Class M1

     1.218% (a)     02/25/35              2,718         2,466,673   

Residential Asset Securities Corp., Series 2004-KS1, Class AI5

     5.221%       02/25/34              931         962,369   

Saxon Asset Securities Trust, Series 2002-3, Class M1

     1.578% (a)     12/25/32              165         152,485   

Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1

     1.233% (a)     02/25/34              2,637         2,450,615   

Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1

     1.218% (a)     02/25/35              1,038         954,573   

Structured Asset Investment Loan Trust, Series 2004-2, Class A4

     1.158% (a)     03/25/34              2,149         1,958,527   

Structured Asset Investment Loan Trust, Series 2004-7, Class A8

     1.653% (a)     08/25/34              1,400         1,231,284   

VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A

     4.250%       04/25/46              2,716         2,716,024   

VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A

     3.625%       07/25/45              5,450         5,431,286   
                                   


                                      61,641,792   
                                   


TOTAL ASSET-BACKED SECURITIES
(cost $129,437,108)

   

     135,243,368   
                                   


BANK LOANS(a) — 3.4%   

Aerospace & Defense — 0.2%

                                       

TransDigm, Inc.

     3.750%       05/16/22              1,976         1,949,029   
                                   


Automotive — 0.1%

                                       

Chrysler Group LLC

     3.250%       12/31/18              581         581,167   

Chrysler Group LLC

     3.500%       05/24/17              778         777,308   
                                   


                                      1,358,475   
                                   


Chemicals — 0.1%

                                       

Axalta Coating Systems US Holdings

     3.750%       02/01/20              636         634,743   

MacDermid, Inc.

     5.500%       06/07/20              1,042         1,025,625   
                                   


                                      1,660,368   
                                   


Consumer — 0.1%

                                       

Generac Power Systems, Inc.

     3.500%       05/31/20              1,575         1,560,234   
                                   


Diversified Manufacturing — 0.1%

                                       

CeramTec GmbH (Germany)

     4.250%       08/30/20      EUR        900         993,785   
                                   


Gaming — 0.1%

                                       

CCM Merger, Inc.

     4.500%       08/06/21              1,547         1,545,494   
                                   


Healthcare & Pharmaceutical — 0.6%

                                       

Mallinckrodt International Finance (Luxembourg)

     3.500%       03/19/21              1,498         1,479,584   

Ortho Clinical Diagnostics

     4.750%       06/30/21              491         462,184   

RPI Finance Trust

     3.500%       11/09/20              1,679         1,678,097   

Select Med Corp.(b)

     6.000%       03/03/21              1,546         1,542,260   

Valeant Pharmaceuticals International, Inc.

     5.000%       04/01/22              1,096         1,063,341   
                                   


                                      6,225,466   
                                   


Retail — 0.1%

                                       

Euro Garages (United Kingdom)

     6.091%       01/30/23      GBP        1,000         1,304,632   
                                   


Retailers — 0.1%

                                       

Rite Aid Corp.

     4.875%       06/21/21              1,375         1,374,141   
                                   


Supermarkets — 0.1%

                                       

Albertsons LLC

     4.500%       08/25/21              858         855,875   
                                   


Technology — 1.4%

                                       

Action Nederland BV

     4.500%       02/25/22      EUR        1,100         1,223,782   

Avago Technologies Cayman Finance Ltd. (Singapore)

     4.250%       02/01/23              2,768         2,765,757   

BMC Software Finance, Inc.

     5.000%       09/10/20              490         434,967   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A35


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

BANK LOANS(a)
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Technology (continued)

                                       

Dell International LLC(b)

     —% (c)     12/31/18              2,800       $ 2,716,000   

Dell International LLC

     —% (c)     09/30/23              800         796,889   

First Data Corp.

     4.452%       03/24/21              2,604         2,593,097   

ON Semiconductor Corp.

     5.250%       03/31/23              575         577,464   

Solera Holdings, Inc.

     5.750%       03/03/23              1,097         1,095,878   

TransUnion LLC

     3.500%       04/09/21              694         686,417   

Vantiv LLC

     2.406%       06/13/19              1,350         1,335,376   

Western Digital Corp.

     6.000%       04/29/23      EUR        825         917,551   

Western Digital Corp.

     6.250%       04/28/23              975         977,133   
                                   


                                      16,120,311   
                                   


Telecommunications — 0.2%

                                       

LTS Buyer LLC

     4.000%       04/13/20              1,119         1,109,717   

SBA Senior Finance II LLC

     3.250%       03/24/21              1,127         1,114,008   
                                   


                                      2,223,725   
                                   


Transportation Services — 0.2%

                                       

Scandlines GmbH (Germany)

     4.500%       12/03/20      EUR        1,675         1,860,736   
                                   


TOTAL BANK LOANS
(cost $39,709,592)

   

     39,032,271   
                                   


COMMERCIAL MORTGAGE-BACKED SECURITIES — 11.5%   

Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4

     5.356%       10/10/45              800         802,512   

Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A

     5.739% (a)     04/10/49              1,342         1,368,464   

Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A3

     2.903%       06/15/49              2,300         2,379,070   

CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A

     2.292% (a)     12/15/27              5,000         4,953,216   

Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4

     3.575%       05/10/47              3,200         3,472,343   

Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4

     3.209%       05/10/49              5,200         5,466,476   

Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4

     3.314%       04/10/49              100         106,116   

COMM Mortgage Trust, Series 2012-CR5, Class A3

     2.540%       12/10/45              2,000         2,061,497   

COMM Mortgage Trust, Series 2013-CR7, Class A3

     2.929%       03/10/46              3,900         4,094,942   

COMM Mortgage Trust, Series 2014-UBS4, Class A4

     3.420%       08/10/47              3,200         3,397,788   

COMM Mortgage Trust, Series 2014-UBS5, Class A4

     3.838%       09/10/47              3,600         3,938,358   

COMM Mortgage Trust, Series 2015-DC1, Class A4

     3.078%       02/10/48              5,000         5,223,311   

COMM Mortgage Trust, Series 2015-LC21, Class A4

     3.708%       07/10/48              2,600         2,847,740   

COMM Mortgage Trust, Series 2015-PC1, Class A5

     3.902%       07/10/50              2,100         2,307,544   

COMM Mortgage Trust, Series 2016-DC2, Class A5

     3.765%       02/10/49              600         655,667   

Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A

     3.673% (a)     09/10/35              3,000         3,032,848   

FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO

     1.795% (a)     06/25/20              8,989         431,914   

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

     1.584% (a)     05/25/22              28,063         1,980,276   

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

     1.620% (a)     06/25/22              16,016         1,149,526   

FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO

     1.013% (a)     10/25/22              11,004         494,614   

FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO

     0.946% (a)     01/25/23              137,994         5,872,921   

FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO

     0.881% (a)     01/25/25              83,723         4,334,773   

FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO

     1.369% (a)     03/25/26              28,050         2,939,637   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A36


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO

     1.610% (a)     08/25/16              5,140       $ 1,124   

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

     1.894% (a)     05/25/19              22,079         931,276   

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

     1.818% (a)     07/25/19              26,878         1,159,181   

GS Mortgage Securities Trust, Series 2013-GC12, Class A3

     2.860%       06/10/46              4,600         4,819,173   

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4

     3.493%       08/15/47              3,200         3,455,919   

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4

     2.611%       12/15/47              2,000         2,064,221   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3

     6.131% (a)     02/15/51              132         131,470   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4

     2.875%       12/15/47              4,600         4,806,801   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4

     2.694%       04/15/46              4,600         4,750,679   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A5

     3.914%       01/15/49              3,200         3,570,275   

Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3

     6.021% (a)     06/12/50              22         22,365   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A

     1.886% (a)     08/15/45              49,908         3,060,181   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3

     2.863%       12/15/48              1,700         1,781,610   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3

     2.834%       05/15/46              2,300         2,393,541   

Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C10, Class A3

     4.104% (a)     07/15/46              4,800         5,342,723   

Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class A3

     3.766%       11/15/46              4,000         4,395,824   

Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB

     5.654% (a)     04/15/49              740         743,799   

Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A

     3.126%       07/05/36              3,400         3,528,306   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3

     2.920%       03/10/46              4,600         4,811,647   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3

     2.971%       04/10/46              3,800         3,977,585   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4

     5.509%       04/15/47              4,238         4,299,509   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A

     5.889% (a)     06/15/49              2,079         2,137,375   

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4

     3.548%       08/15/50              4,300         4,647,181   
                                   


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $127,744,112)

   

     130,143,318   
                                   


CORPORATE BONDS — 46.7%                                        

Aerospace & Defense — 0.1%

                                       

United Technologies Corp., Sr. Unsec’d. Notes

     1.125%       12/15/21      EUR        700         801,635   
                                   


Agriculture — 0.5%

                                       

Altria Group, Inc., Gtd. Notes

     9.950%       11/10/38              873         1,570,478   

Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A

     2.050%       02/11/18              2,375         2,395,596   

Reynolds American, Inc., Gtd. Notes

     3.500%       08/04/16              515         516,065   

Reynolds American, Inc., Gtd. Notes

     8.125%       06/23/19              895         1,061,114   
                                   


                                      5,543,253   
                                   


Airlines — 0.6%

                                       

American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA

     3.575%       01/15/28              1,835         1,939,999   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1

     6.703%       06/15/21              1         869   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A37


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Airlines (continued)

                                   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A

     5.983%       04/19/22          1,429       $ 1,600,334   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A

     4.750%       01/12/21          412         438,234   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A

     6.821%       08/10/22          1,028         1,195,104   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A

     4.950%       05/23/19          429         453,876   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A

     5.300%       04/15/19          474         504,961   

United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A

     6.636%       07/02/22          770         816,339   
                               


                                  6,949,716   
                               


Apparel — 0.2%

                                   

Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A

     3.500%       06/15/24    EUR     575         646,085   

PVH Corp., Sr. Unsec’d. Notes, 144A

     3.625%       07/15/24    EUR     1,250         1,402,800   
                               


                                  2,048,885   
                               


Auto Manufacturers — 0.8%

                                   

Ford Motor Co., Sr. Unsec’d. Notes

     4.750%       01/15/43          1,665         1,762,374   

Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes

     2.375%       01/16/18          2,225         2,252,367   

Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN

     4.389%       01/08/26          1,095         1,195,355   

General Motors Co., Sr. Unsec’d. Notes

     4.875%       10/02/23          1,350         1,437,130   

General Motors Co., Sr. Unsec’d. Notes

     6.250%       10/02/43          1,885         2,093,958   

General Motors Co., Sr. Unsec’d. Notes

     6.600%       04/01/36          210         240,809   
                               


                                  8,981,993   
                               


Auto Parts & Equipment — 0.1%

  

LKQ Italia Bondco SpA, Gtd. Notes, 144A

     3.875%       04/01/24    EUR     1,275         1,450,311   
                               


Banks — 10.9%

  

Bank of America Corp., Jr. Sub. Notes, Series K

     8.000% (a)     07/29/49          3,500         3,478,125   

Bank of America Corp., Sr. Unsec’d. Notes

     5.700%       01/24/22          1,775         2,055,127   

Bank of America Corp., Sr. Unsec’d. Notes

     6.000%       09/01/17          4,590         4,825,499   

Bank of America Corp., Sr. Unsec’d. Notes, GMTN

     3.300%       01/11/23          4,275         4,399,603   

Bank of America Corp., Sr. Unsec’d. Notes, MTN

     4.000%       04/01/24          1,150         1,227,387   

Bank of America Corp., Sr. Unsec’d. Notes, MTN

     4.125%       01/22/24          3,750         4,033,421   

Bank of America Corp., Sr. Unsec’d. Notes, Series 1

     3.750%       07/12/16          1,340         1,340,643   

Bank of America Corp., Sub. Notes, GMTN

     4.450%       03/03/26          1,735         1,814,699   

Bank of America NA, Sub. Notes

     5.300%       03/15/17          790         811,304   

Barclays PLC (United Kingdom), Sr. Unsec’d. Notes

     4.375%       01/12/26          1,290         1,302,513   

Branch Banking & Trust Co., Sr. Unsec’d. Notes

     2.850%       04/01/21          3,700         3,890,050   

Capital One Financial Corp., Sr. Unsec’d. Notes

     3.750%       04/24/24          2,400         2,503,886   

Capital One Financial Corp., Sr. Unsec’d. Notes

     5.250%       02/21/17          2,460         2,517,707   

Capital One Financial Corp., Sub. Notes

     6.150%       09/01/16          700         705,445   

CIT Group, Inc., Sr. Unsec’d. Notes

     5.000%       08/15/22          1,350         1,373,625   

CIT Group, Inc., Sr. Unsec’d. Notes, 144A

     5.500%       02/15/19          4,000         4,185,000   

Citigroup, Inc., Jr. Sub. Notes, Series Q

     5.950% (a)     12/29/49          1,355         1,320,143   

Citigroup, Inc., Jr. Sub. Notes, Series R

     6.125% (a)     12/29/49          1,085         1,101,275   

Citigroup, Inc., Sr. Unsec’d. Notes

     8.125%       07/15/39          2,995         4,671,101   

Citigroup, Inc., Sub. Notes

     4.450%       09/29/27          1,405         1,447,306   

Credit Suisse/New York NY (Switzerland),
Sr. Unsec’d. Notes, MTN

     3.625%       09/09/24          1,050         1,086,295   

Deutsche Bank AG (Germany), Sr. Unsec’d. Notes

     3.700%       05/30/24          1,650         1,640,186   

Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN

     3.375%       05/12/21          1,790         1,796,161   

Discover Bank, Sr. Unsec’d. Notes

     4.250%       03/13/26          1,150         1,202,832   

Discover Bank, Sub. Notes

     7.000%       04/15/20          2,005         2,283,499   

Fifth Third Bank, Sr. Unsec’d. Notes

     2.375%       04/25/19          425         435,227   

Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M

     5.375% (a)     12/29/49          1,950         1,928,394   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A38


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Banks (continued)

  

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     3.750%       02/25/26          125       $ 131,563   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     5.750%       01/24/22          4,200         4,876,032   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     6.150%       04/01/18          1,355         1,460,006   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     6.250%       02/01/41          2,195         2,840,558   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D

     6.000%       06/15/20          2,420         2,761,305   

Goldman Sachs Group, Inc. (The), Sub. Notes

     6.750%       10/01/37          440         542,755   

ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A

     7.250% (a)     12/29/49          2,380         2,385,945   

JPMorgan Chase & Co., Jr. Sub. Notes, Series 1

     7.900% (a)     12/29/49          6,130         6,252,600   

JPMorgan Chase & Co., Jr. Sub. Notes, Series X

     6.100% (a)     10/29/49          1,450         1,495,312   

JPMorgan Chase & Co., Sr. Unsec’d. Notes(d)

     2.750%       06/23/20          5,400         5,564,333   

JPMorgan Chase & Co., Sr. Unsec’d. Notes

     3.200%       06/15/26          3,020         3,104,041   

JPMorgan Chase & Co., Sr. Unsec’d. Notes

     3.250%       09/23/22          500         522,713   

JPMorgan Chase & Co., Sr. Unsec’d. Notes

     4.250%       10/15/20          600         653,970   

JPMorgan Chase & Co., Sub. Notes

     4.250%       10/01/27          420         444,374   

JPMorgan Chase & Co., Sub. Notes

     4.950%       06/01/45          715         785,054   

KeyCorp, Sr. Unsec’d. Notes, MTN

     5.100%       03/24/21          1,155         1,299,286   

Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A

     5.800%       01/13/20          2,650         2,964,486   

Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A

     1.850%       03/21/18          1,125         1,132,984   

Morgan Stanley, Jr. Sub. Notes, Series H

     5.450% (a)     07/29/49          975         936,000   

Morgan Stanley, Sr. Unsec’d. Notes

     5.750%       01/25/21          1,920         2,189,078   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     3.750%       02/25/23          1,535         1,625,834   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     5.450%       01/09/17          4,035         4,121,260   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     5.500%       07/28/21          2,080         2,375,100   

Morgan Stanley, Sr. Unsec’d. Notes, MTN

     5.625%       09/23/19          2,635         2,923,554   

Morgan Stanley, Sub. Notes, GMTN

     4.350%       09/08/26          750         784,588   

Northern Trust Corp., Sub. Notes

     3.950%       10/30/25          2,725         3,042,266   

People’s United Bank, Sub. Notes

     4.000%       07/15/24          550         561,403   

PNC Financial Services Group, Inc. (The), Sub. Notes

     3.900%       04/29/24          975         1,046,029   

Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes

     2.875%       10/16/20          1,550         1,538,025   

State Street Corp., Jr. Sub. Notes

     4.956%       03/15/18          3,025         3,170,375   

Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes

     2.450%       01/10/19          625         638,330   
                               


                                  123,545,612   
                               


Beverages — 0.4%

                                   

Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes

     4.700%       02/01/36          2,130         2,393,541   

Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes

     4.900%       02/01/46          570         667,950   

Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A

     4.750%       10/01/18          375         392,215   

Cott Beverages, Inc. (Canada), Gtd. Notes

     6.750%       01/01/20          1,250         1,303,125   
                               


                                  4,756,831   
                               


Biotechnology — 0.3%

                                   

Amgen, Inc., Sr. Unsec’d. Notes, 144A

     4.663%       06/15/51          2,948         3,080,109   
                               


Building Materials — 0.5%

  

Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A

     9.375%       10/12/22          1,200         1,320,000   

Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A

     4.750%       01/11/22    EUR     900         998,779   

Standard Industries, Inc., Sr. Unsec’d. Notes, 144A
(original cost $3,116,250; purchased 02/11/15)(e)(f)

     5.375%       11/15/24          3,000         3,052,500   

US Concrete, Inc., Gtd. Notes, 144A

     6.375%       06/01/24          600         600,000   
                               


                                  5,971,279   
                               


Chemicals — 1.7%

  

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

     4.900%       06/01/43          870         901,622   

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

     5.250%       01/15/45          420         450,519   

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

     6.125%       01/15/41          450         533,979   

Ashland, Inc., Sr. Unsec’d. Notes

     6.875%       05/15/43          3,000         3,000,000   

Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holdings BV, Gtd. Notes, 144A

     7.375%       05/01/21          1,200         1,264,500   

CF Industries, Inc., Gtd. Notes

     4.950%       06/01/43          675         620,689   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A39


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Chemicals (continued)

  

CF Industries, Inc., Gtd. Notes

     5.375%       03/15/44              700       $ 660,138   

CF Industries, Inc., Gtd. Notes

     6.875%       05/01/18              380         412,865   

CF Industries, Inc., Gtd. Notes

     7.125%       05/01/20              300         346,139   

Dow Chemical Co. (The), Sr. Unsec’d. Notes

     4.625%       10/01/44              125         132,371   

Dow Chemical Co. (The), Sr. Unsec’d. Notes

     9.400%       05/15/39              1,002         1,566,797   

LyondellBasell Industries NV, Sr. Unsec’d. Notes

     6.000%       11/15/21              3,550         4,162,311   

Mexichem SAB de CV (Mexico), Gtd. Notes, 144A

     6.750%       09/19/42              1,065         1,086,300   

Mosaic Co. (The), Sr. Unsec’d. Notes

     5.450%       11/15/33              465         514,259   

Mosaic Co. (The), Sr. Unsec’d. Notes

     5.625%       11/15/43              155         171,914   

Union Carbide Corp., Sr. Unsec’d. Notes

     7.875%       04/01/23              3,058         3,878,786   
                                   


                                      19,703,189   
                                   


Commercial Services — 1.4%

  

Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A

     6.500%       07/15/22              1,375         1,430,853   

Avis Budget Car Rental LLC / Avis Budget Finance, Inc., Gtd. Notes, 144A

     6.375%       04/01/24              650         643,500   

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,098,609; purchased 05/30/13)(e)(f)

     6.700%       06/01/34              920         1,218,908   

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $996,365; purchased 05/14/13)(e)(f)

     7.000%       10/15/37              770         1,049,028   

Hertz Corp. (The), Gtd. Notes(g)

     6.750%       04/15/19              1,500         1,531,357   

RR Donnelley & Sons Co., Sr. Unsec’d. Notes

     8.600%       08/15/16              4,750         4,785,625   

Service Corp. International, Sr. Unsec’d. Notes

     7.625%       10/01/18              2,000         2,220,000   

United Rentals North America, Inc., Gtd. Notes

     5.500%       07/15/25              650         640,250   

United Rentals North America, Inc., Gtd. Notes

     7.625%       04/15/22              2,700         2,882,250   
                                   


                                      16,401,771   
                                   


Computers — 0.7%

  

Apple, Inc., Sr. Unsec’d. Notes

     3.250%       02/23/26              2,260         2,399,162   

Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A

     3.480%       06/01/19              905         927,091   

Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A

     4.420%       06/15/21              770         792,539   

Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A

     2.450%       10/05/17              3,360         3,403,545   

Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A

     2.850%       10/05/18              630         645,158   
                                   


                                      8,167,495   
                                   


Diversified Financial Services — 1.0%

  

Ally Financial, Inc., Sr. Unsec’d. Notes

     4.125%       02/13/22              3,000         2,977,500   

GE Capital International Funding Co., Gtd. Notes, 144A

     2.342%       11/15/20              982         1,011,618   

GE Capital International Funding Co., Gtd. Notes, 144A

     4.418%       11/15/35              619         694,262   

HSBC Finance Corp., Sub. Notes

     6.676%       01/15/21              295         330,549   

International Lease Finance Corp., Sr. Unsec’d. Notes

     6.250%       05/15/19              1,400         1,499,750   

Jefferies Group LLC, Sr. Unsec’d. Notes

     6.500%       01/20/43              650         645,407   

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(h)

     6.875%       05/02/18              2,740         191,800   

Navient Corp., Sr. Unsec’d. Notes, MTN

     6.000%       01/25/17              1,075         1,088,437   

Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN

     2.000%       09/13/16              950         951,640   

OneMain Financial Holdings, Inc., Gtd. Notes, 144A

     7.250%       12/15/21              1,625         1,555,937   

Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(e)

     1.360% (a)     07/03/33              390         336,417   
                                   


                                      11,283,317   
                                   


Electric — 4.0%

  

AES Corp. (The), Sr. Unsec’d. Notes

     5.500%       04/15/25              5,000         5,012,500   

Baltimore Gas & Electric Co., Sr. Unsec’d. Notes

     3.350%       07/01/23              550         581,604   

Calpine Corp., Sr. Unsec’d. Notes

     5.375%       01/15/23              800         780,000   

Calpine Corp., Sr. Unsec’d. Notes

     5.500%       02/01/24              1,500         1,447,500   

Calpine Corp., Sr. Unsec’d. Notes

     5.750%       01/15/25              1,350         1,312,875   

Dominion Resources Inc., Jr. Sub. Notes

     4.104%       04/01/21              2,710         2,867,814   

Duke Energy Corp., Sr. Unsec’d. Notes

     2.100%       06/15/18              3,775         3,808,465   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A40


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Electric (continued)

  

        

Dynegy, Inc., Gtd. Notes

     5.875%       06/01/23              2,400       $ 2,112,000   

Dynegy, Inc., Gtd. Notes

     7.375%       11/01/22              2,500         2,412,500   

El Paso Electric Co., Sr. Unsec’d. Notes

     6.000%       05/15/35              2,325         2,846,728   

Emera US Finance LP (Canada), Gtd. Notes, 144A

     3.550%       06/15/26              820         839,056   

Enel Finance International NV (Italy), Gtd. Notes, 144A

     6.000%       10/07/39              1,450         1,713,510   

Exelon Generation Co. LLC, Sr. Unsec’d. Notes

     6.200%       10/01/17              1,930         2,039,259   

Exelon Generation Co. LLC, Sr. Unsec’d. Notes

     6.250%       10/01/39              1,900         2,087,057   

FirstEnergy Corp., Sr. Unsec’d. Notes, Series A

     2.750%       03/15/18              1,800         1,822,415   

FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A

     5.450%       07/15/44              400         435,810   

Iberdrola International BV (Spain), Gtd. Notes

     6.750%       09/15/33              1,150         1,345,972   

NiSource Finance Corp., Gtd. Notes

     4.800%       02/15/44              300         344,068   

NiSource Finance Corp., Gtd. Notes

     5.450%       09/15/20              1,345         1,522,478   

NRG Energy, Inc., Gtd. Notes

     6.625%       03/15/23              3,263         3,214,055   

Pacific Gas & Electric Co., Sr. Unsec’d. Notes

     4.600%       06/15/43              1,950         2,231,494   

South Carolina Electric & Gas Co., First Mortgage

     4.600%       06/15/43              2,025         2,291,788   

Xcel Energy, Inc., Sr. Unsec’d. Notes

     5.613%       04/01/17              1,947         2,012,521   
                                   


                                      45,081,469   
                                   


Electronics — 0.1%

  

Honeywell International, Inc., Sr. Unsec’d. Notes

     0.650%       02/21/20      EUR        900         1,013,175   
                                   


Energy – Alternate Sources — 0.1%

  

ContourGlobal Power Holdings SA (France), Sr. Sec’d. Notes, 144A

     5.125%       06/15/21      EUR        1,350         1,473,149   
                                   


Engineering & Construction

 

Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A
(original cost $1,275,000; purchased 06/19/14)(e)(f)

     5.250%       06/27/29              1,275         507,450   
                                   


Entertainment — 0.3%

  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes

     5.375%       06/01/24              425         437,750   

Cinemark USA, Inc., Gtd. Notes

     4.875%       06/01/23              1,508         1,492,920   

CPUK Finance Ltd. (United Kingdom), Sec’d. Notes, RegS

     7.000%       08/28/20      GBP        1,100         1,500,992   
                                   


                                      3,431,662   
                                   


Environmental Control — 0.2%

  

Covanta Holding Corp., Sr. Unsec’d. Notes

     7.250%       12/01/20              2,500         2,575,000   
                                   


Food — 1.1%

  

B&G Foods, Inc., Gtd. Notes

     4.625%       06/01/21              2,000         2,000,000   

Ingles Markets, Inc., Sr. Unsec’d. Notes

     5.750%       06/15/23              1,925         1,944,250   

JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(e)(f)

     7.250%       06/01/21              1,330         1,376,550   

JBS USA LLC/JBS USA Finance, Inc. (Brazil),
Sr. Unsec’d. Notes, 144A
(original cost $2,025,000; purchased 05/20/15)(e)(f)

     5.750%       06/15/25              2,025         1,903,500   

Kraft Heinz Foods Co., Gtd. Notes, 144A

     3.000%       06/01/26              1,360         1,371,122   

Kraft Heinz Foods Co., Gtd. Notes, 144A

     4.375%       06/01/46              400         423,009   

Kraft Heinz Foods Co., Gtd. Notes, 144A

     5.000%       07/15/35              725         831,518   

Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A

     12.250%       02/10/22              725         783,000   

Post Holdings, Inc., Gtd. Notes, 144A

     6.000%       12/15/22              1,500         1,537,500   
                                   


                                      12,170,449   
                                   


Food Service

 

Aramark Corp., Gtd. Notes

     5.750%       03/15/20              252         259,560   
                                   


Forest Products & Paper — 0.3%

  

International Paper Co., Sr. Unsec’d. Notes

     6.000%       11/15/41              675         800,069   

International Paper Co., Sr. Unsec’d. Notes

     7.300%       11/15/39              1,000         1,314,814   

International Paper Co., Sr. Unsec’d. Notes

     7.950%       06/15/18              1,640         1,848,588   
                                   


                                      3,963,471   
                                   


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A41


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Gas — 0.1%

  

AGL Capital Corp., Gtd. Notes

     4.400%         06/01/43                 1,050       $ 1,073,973   

Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $440,059; purchased 07/22/14)(e)(f)

     6.375%         03/30/38                 421         418,503   
                                       


                                          1,492,476   
                                       


Healthcare-Products — 0.7%

  

        

ConvaTec Finance International SA (Luxembourg), Gtd. Notes, PIK, 144A

     8.250%         01/15/19                 2,300         2,256,875   

Medtronic, Inc., Gtd. Notes

     3.500%         03/15/25                 3,435         3,744,579   

Medtronic, Inc., Gtd. Notes

     4.375%         03/15/35                 1,358         1,536,088   
                                       


                                          7,537,542   
                                       


Healthcare-Services — 2.6%

  

Aetna, Inc., Sr. Unsec’d. Notes

     6.750%         12/15/37                 1,900         2,577,004   

Anthem, Inc., Sr. Unsec’d. Notes

     4.650%         01/15/43                 385         401,795   

CHS/Community Health Systems, Inc., Gtd. Notes(g)

     7.125%         07/15/20                 750         695,318   

CHS/Community Health Systems, Inc., Gtd. Notes

     8.000%         11/15/19                 3,400         3,327,750   

Cigna Corp., Sr. Unsec’d. Notes

     4.375%         12/15/20                 745         809,160   

Cigna Corp., Sr. Unsec’d. Notes

     5.375%         03/15/17                 2,125         2,175,290   

Cigna Corp., Sr. Unsec’d. Notes

     5.875%         03/15/41                 750         920,285   

DaVita HealthCare Partners, Inc., Gtd. Notes

     5.000%         05/01/25                 500         495,625   

Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A

     4.125%         10/15/20                 2,705         2,779,388   

HCA, Inc., Gtd. Notes

     5.375%         02/01/25                 5,025         5,150,625   

HCA, Inc., Gtd. Notes

     5.875%         02/15/26                 725         752,188   

HealthSouth Corp., Gtd. Notes

     5.125%         03/15/23                 300         294,000   

Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes

     3.200%         02/01/22                 240         248,251   

Select Medical Corp., Gtd. Notes(g)

     6.375%         06/01/21                 2,600         2,496,000   

Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes, RegS(e)

     6.250%         07/01/22         EUR        1,100         1,287,870   

Tenet Healthcare Corp., Sr. Unsec’d. Notes

     6.750%         02/01/20                 500         491,250   

Tenet Healthcare Corp., Sr. Unsec’d. Notes

     8.000%         08/01/20                 1,570         1,607,288   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     3.950%         10/15/42                 1,260         1,318,274   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     6.500%         06/15/37                 760         1,059,906   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     6.625%         11/15/37                 195         275,660   
                                       


                                          29,162,927   
                                       


Home Builders — 0.9%

  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A

     6.125%         07/01/22                 2,000         1,890,000   

CalAtlantic Group, Inc., Gtd. Notes

     6.250%         12/15/21                 3,500         3,718,750   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A

     5.250%         04/15/21                 2,175         2,169,562   

William Lyon Homes, Inc., Gtd. Notes

     8.500%         11/15/20                 2,000         2,055,000   
                                       


                                          9,833,312   
                                       


Home Furnishings — 0.1%

  

Tempur Sealy International, Inc., Gtd. Notes, 144A

     5.500%         06/15/26                 650         638,625   
                                       


Housewares — 0.1%

  

Newell Brands, Inc., Sr. Unsec’d. Notes

     4.200%         04/01/26                 670         726,314   
                                       


Insurance — 2.9%

  

Allied World Assurance Co. Holdings Ltd., Gtd. Notes

     5.500%         11/15/20                 430         478,768   

Allied World Assurance Co. Holdings Ltd., Gtd. Notes

     7.500%         08/01/16                 2,475         2,486,633   

American International Group, Inc., Sr. Unsec’d. Notes

     3.300%         03/01/21                 3,960         4,091,096   

American International Group, Inc., Sr. Unsec’d. Notes

     4.500%         07/16/44                 1,075         1,040,002   

Berkshire Hathaway, Inc., Sr. Unsec’d. Notes

     2.750%         03/15/23                 4,760         4,918,184   

Chubb Corp. (The), Gtd. Notes

     6.375% (a)       04/15/37                 1,775         1,544,250   

Chubb INA Holdings, Inc., Gtd. Notes

     3.350%         05/03/26                 740         788,765   

Chubb INA Holdings, Inc., Gtd. Notes

     4.350%         11/03/45                 115         132,298   

Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes

     7.000%         07/15/34                 1,350         1,620,181   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A42


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Insurance (continued)

  

Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes

     5.125%       04/15/22              500       $ 568,648   

Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A

     6.500%       03/15/35              1,030         1,263,692   

Lincoln National Corp., Sr. Unsec’d. Notes

     7.000%       06/15/40              1,265         1,629,044   

Lincoln National Corp., Sr. Unsec’d. Notes

     8.750%       07/01/19              1,265         1,496,393   

Markel Corp., Sr. Unsec’d. Notes

     5.000%       03/30/43              350         373,248   

Nippon Life Insurance Co. (Japan), Sub. Notes, 144A

     5.100% (a)     10/16/44              2,075         2,232,941   

Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A

     6.063%       03/30/40              500         639,568   

Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A

     6.375%       04/30/20              850         960,362   

Principal Financial Group, Inc., Gtd. Notes

     4.625%       09/15/42              150         158,661   

Progressive Corp. (The), Jr. Sub. Notes

     6.700% (a)     06/15/37              1,015         931,263   

Teachers Insurance & Annuity Association of America, Sub. Notes, 144A

     6.850%       12/16/39              2,310         3,138,033   

Unum Group, Sr. Unsec’d. Notes

     5.625%       09/15/20              500         561,364   

XLIT Ltd. (Ireland), Gtd. Notes, Series E

     6.500% (a)     10/29/49              1,880         1,306,600   
                                   


                                      32,359,994   
                                   


Leisure Time — 0.1%

  

Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A
(original cost $1,701,125; purchased 09/29/15-09/30/15)(e)(f)

     8.500%       10/15/22              1,550         1,321,375   
                                   


Lodging — 0.5%

  

Boyd Gaming Corp., Gtd. Notes, 144A

     6.375%       04/01/26              575         600,875   

Marriott International, Inc., Sr. Unsec’d. Notes

     3.250%       09/15/22              1,325         1,376,296   

MGM Resorts International, Gtd. Notes

     6.625%       12/15/21              3,325         3,615,938   
                                   


                                      5,593,109   
                                   


Machinery-Diversified — 0.4%

  

CNH Industrial Capital LLC, Gtd. Notes(g)

     4.875%       04/01/21              1,050         1,068,375   

Rockwell Automation, Inc., Sr. Unsec’d. Notes

     5.200%       01/15/98              1,100         1,253,973   

Xylem, Inc., Sr. Unsec’d. Notes

     4.875%       10/01/21              1,960         2,137,023   
                                   


                                      4,459,371   
                                   


Media — 3.6%

  

21st Century Fox America, Inc., Gtd. Notes

     6.900%       08/15/39              65         86,951   

21st Century Fox America, Inc., Gtd. Notes

     7.625%       11/30/28              1,415         1,957,711   

Cablevision Systems Corp., Sr. Unsec’d. Notes

     8.625%       09/15/17              2,000         2,112,500   

CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A

     5.500%       05/01/26              3,300         3,349,500   

CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A

     5.875%       04/01/24              800         830,000   

CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A

     5.875%       05/01/27              1,000         1,032,500   

Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A

     5.125%       12/15/21              700         665,000   

Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Sec’d. Notes, 144A

     7.750%       07/15/25              1,500         1,563,750   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.384%       10/23/35              710         840,771   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.484%       10/23/45              855         1,020,888   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.834%       10/23/55              225         267,528   

Comcast Corp., Gtd. Notes

     3.150%       03/01/26              1,190         1,266,622   

DISH DBS Corp., Gtd. Notes

     4.250%       04/01/18              2,850         2,907,000   

Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes

     6.125%       01/31/46              495         546,614   

Historic TW, Inc., Gtd. Notes

     6.625%       05/15/29              1,837         2,395,951   

Liberty Interactive LLC, Sr. Unsec’d. Notes

     8.250%       02/01/30              2,250         2,334,375   

Myriad International Holdings BV (South Africa), Gtd. Notes, 144A

     6.375%       07/28/17              1,035         1,074,806   

NBCUniversal Media LLC, Gtd. Notes

     4.450%       01/15/43              290         324,665   

Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A

     5.000%       04/15/22              1,500         1,530,000   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A43


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Media (continued)

  

Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A

     5.875%       03/15/26          775       $ 790,500   

Sky PLC (United Kingdom), Gtd. Notes, 144A

     6.100%       02/15/18          210         224,528   

TCI Communications, Inc., Sr. Unsec’d. Notes

     7.875%       02/15/26          750         1,074,756   

TEGNA, Inc., Gtd. Notes, 144A

     4.875%       09/15/21          475         486,875   

Time Warner Cable, Inc., Gtd. Notes

     6.750%       07/01/18          2,620         2,872,932   

Time Warner Cos., Inc., Gtd. Notes

     7.250%       10/15/17          1,440         1,547,608   

Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes, RegS

     4.000%       01/15/25    EUR     1,100         1,227,371   

Univision Communications, Inc., Sr. Sec’d. Notes, 144A
(original cost $1,191,156; purchased 04/13/15)(e)(f)

     5.125%       02/15/25          1,175         1,161,781   

UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A

     5.375%       01/15/25          1,140         1,128,600   

UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A

     7.250%       11/15/21          1,035         1,078,987   

Viacom, Inc., Sr. Unsec’d. Notes

     4.500%       02/27/42          95         78,819   

Viacom, Inc., Sr. Unsec’d. Notes

     4.875%       06/15/43          475         419,335   

Virgin Media Secured Finance PLC (United Kingdom),
Sr. Sec’d. Notes, 144A

     6.000%       04/15/21    GBP     945         1,292,633   

Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes, RegS

     3.750%       01/15/25    EUR     1,000         1,082,011   
                               


                                  40,573,868   
                               


Mining — 0.4%

  

Alcoa, Inc., Sr. Unsec’d. Notes

     5.125%       10/01/24          425         423,937   

BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A

     6.750% (a)     10/19/75          1,730         1,838,125   

Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes

     3.625%       06/09/21          825         849,823   

Southern Copper Corp. (Peru), Sr. Unsec’d. Notes

     5.875%       04/23/45          820         772,500   

Southern Copper Corp. (Peru), Sr. Unsec’d. Notes

     6.750%       04/16/40          990         1,020,818   
                               


                                  4,905,203   
                               


Miscellaneous Manufacturing — 0.5%

  

General Electric Co., Sr. Unsec’d. Notes

     4.125%       10/09/42          500         549,964   

General Electric Co., Sr. Unsec’d. Notes

     4.500%       03/11/44          740         853,945   

General Electric Co., Sr. Unsec’d. Notes, MTN

     5.875%       01/14/38          194         262,379   

General Electric Co., Sub. Notes

     5.300%       02/11/21          340         394,464   

Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes

     5.750%       06/15/43          425         524,569   

Pentair Finance SA (United Kingdom), Gtd. Notes

     1.875%       09/15/17          625         623,864   

Textron, Inc., Sr. Unsec’d. Notes

     7.250%       10/01/19          2,350         2,702,274   
                               


                                  5,911,459   
                               


Multi-National — 0.1%

  

Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes

     2.000%       05/10/19          1,180         1,193,181   
                               


Office & Business Equipment — 0.1%

  

CDW LLC/CDW Finance Corp., Gtd. Notes

     5.000%       09/01/23          1,150         1,158,038   
                               


Oil & Gas — 1.1%

  

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     4.677% (i)     10/10/36          2,000         755,580   

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     6.450%       09/15/36          340         391,718   

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     6.600%       03/15/46          645         778,841   

Lukoil International Finance BV (Russia), Gtd. Notes, 144A

     6.125%       11/09/20          600         654,034   

Nabors Industries, Inc., Gtd. Notes

     4.625%       09/15/21          1,650         1,514,093   

Noble Energy, Inc., Sr. Unsec’d. Notes

     6.000%       03/01/41          1,530         1,645,454   

Pioneer Natural Resources Co., Sr. Unsec’d. Notes

     6.875%       05/01/18          1,750         1,891,834   

Reliance Holding USA, Inc. (India), Gtd. Notes, 144A

     5.400%       02/14/22          510         571,054   

Sasol Financing International PLC (South Africa), Gtd. Notes

     4.500%       11/14/22          2,525         2,530,050   

Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A

     6.250%       04/15/21          2,100         2,094,750   
                               


                                  12,827,408   
                               


Oil & Gas Services — 0.1%

  

Cameron International Corp., Sr. Unsec’d. Notes

     7.000%       07/15/38          450         583,189   
                               


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A44


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Packaging & Containers — 0.6%

  

Ball Corp., Gtd. Notes

     4.375%       12/15/23    EUR     1,125       $ 1,345,231   

Greif Nevada Holdings, Sr. Unsec’d. Notes, MTN, 144A

     7.375%       07/15/21    EUR     1,470         1,902,573   

Greif, Inc., Sr. Unsec’d. Notes

     7.750%       08/01/19          1,815         2,019,187   

WestRock RKT Co., Gtd. Notes

     4.450%       03/01/19          1,165         1,231,072   
                               


                                  6,498,063   
                               


Pharmaceuticals — 0.9%

  

        

AbbVie, Inc., Sr. Unsec’d. Notes

     3.600%       05/14/25          1,020         1,068,787   

AbbVie, Inc., Sr. Unsec’d. Notes

     4.500%       05/14/35          1,715         1,792,455   

Actavis Funding SCS, Gtd. Notes

     3.800%       03/15/25          875         911,599   

Actavis Funding SCS, Gtd. Notes

     4.550%       03/15/35          1,670         1,716,294   

Actavis Funding SCS, Gtd. Notes

     4.750%       03/15/45          385         404,278   

Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A

     6.000%       07/15/23          625         546,875   

Johnson & Johnson, Sr. Unsec’d. Notes

     3.550%       03/01/36          270         298,296   

Johnson & Johnson, Sr. Unsec’d. Notes

     3.700%       03/01/46          550         619,296   

Merck & Co, Inc., Sr. Unsec’d. Notes

     4.150%       05/18/43          2,075         2,324,409   

Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A

     6.125%       04/15/25          450         361,125   
                               


                                  10,043,414   
                               


Pipelines — 0.4%

  

Enterprise Products Operating LLC, Gtd. Notes

     4.900%       05/15/46          2,900         3,124,243   

ONEOK Partners LP, Gtd. Notes

     2.000%       10/01/17          750         748,964   

Western Gas Partners LP, Sr. Unsec’d. Notes

     5.450%       04/01/44          575         539,249   
                               


                                  4,412,456   
                               


Real Estate

 

ProLogis LP, Gtd. Notes

     6.875%       03/15/20          8         9,417   
                               


Real Estate Investment Trusts (REITs) — 0.5%

  

DuPont Fabros Technology LP, Gtd. Notes

     5.875%       09/15/21          2,000         2,097,500   

Simon Property Group LP, Sr. Unsec’d. Notes

     3.375%       03/15/22          325         347,882   

Simon Property Group LP, Sr. Unsec’d. Notes

     10.350%       04/01/19          1,685         2,052,438   

Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A

     5.250%       12/15/24          1,235         1,262,787   
                               


                                  5,760,607   
                               


Retail — 0.7%

  

CVS Health Corp., Sr. Unsec’d. Notes

     5.125%       07/20/45          765         949,041   

Dufry Finance SCA (Switzerland), Gtd. Notes, 144A

     4.500%       08/01/23    EUR     1,425         1,648,610   

Landry’s, Inc., Gtd. Notes, 144A
(original cost $1,704,880; purchased 01/11/16)(e)(f)

     9.375%       05/01/20          1,616         1,696,800   

Limited Brands, Inc., Gtd. Notes

     5.625%       02/15/22          2,200         2,367,200   

Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A
(original cost $1,350,000; purchased 05/29/15)(e)(f)

     8.000%       06/15/22          1,350         1,188,000   
                               


                                  7,849,651   
                               


Savings & Loans — 0.2%

  

People’s United Financial, Inc., Sr. Unsec’d. Notes

     3.650%       12/06/22          1,675         1,724,096   
                               


Semiconductors — 0.6%

  

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

     3.750%       06/01/18          1,925         1,963,500   

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

     4.625%       06/01/23          3,250         3,306,875   

Sensata Technologies BV, Gtd. Notes, 144A

     5.000%       10/01/25          1,750         1,757,682   
                               


                                  7,028,057   
                               


Software — 0.8%

  

Fidelity National Information Services, Inc., Gtd. Notes

     5.000%       10/15/25          1,050         1,191,989   

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

     4.500%       10/15/22          2,355         2,608,243   

First Data Corp., Gtd. Notes, 144A

     7.000%       12/01/23          2,225         2,252,812   

Infor US, Inc., Gtd. Notes

     6.500%       05/15/22          950         897,161   

Infor US, Inc., Sr. Sec’d. Notes, 144A
(original cost $1,353,375; purchased 02/03/16)(e)(f)

     5.750%       08/15/20          1,350         1,414,125   

Oracle Corp., Sr. Unsec’d. Notes

     4.300%       07/08/34          1,070         1,137,971   
                               


                                  9,502,301   
                               


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A45


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Telecommunications — 2.3%

  

        

America Movil SAB de CV (Mexico), Gtd. Notes

     6.125%       03/30/40          235       $ 288,135   

AT&T Corp., Gtd. Notes

     8.250%       11/15/31          103         148,139   

AT&T, Inc., Sr. Unsec’d. Notes

     3.400%       05/15/25          2,320         2,373,144   

AT&T, Inc., Sr. Unsec’d. Notes

     4.500%       05/15/35          300         306,898   

AT&T, Inc., Sr. Unsec’d. Notes

     4.750%       05/15/46          850         871,142   

AT&T, Inc., Sr. Unsec’d. Notes

     4.800%       06/15/44          1,515         1,555,316   

AT&T, Inc., Sr. Unsec’d. Notes

     5.350%       09/01/40          483         528,350   

Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A

     5.125%       03/11/23          1,305         1,410,214   

Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A

     5.350%       05/20/24          690         762,578   

Clearwire Communications LLC/Clearwire Finance, Inc.,
Sr. Sec’d. Notes, 144A

     14.750%       12/01/16          800         839,000   

CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A

     6.625%       06/01/20          1,142         1,179,115   

Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes

     7.250%       10/15/20          2,016         1,436,400   

Sprint Capital Corp., Gtd. Notes

     6.900%       05/01/19          1,300         1,241,500   

Sprint Corp., Gtd. Notes

     7.625%       02/15/25          500         395,625   

T-Mobile USA, Inc., Gtd. Notes

     6.500%       01/15/26          1,675         1,767,125   

Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN

     6.375%       06/24/19    GBP     950         1,391,808   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.522%       09/15/48          1,679         1,748,343   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.672%       03/15/55          2,796         2,827,986   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.750%       11/01/41          745         800,359   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     5.012%       08/21/54          3,362         3,555,490   

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A

     9.125%       04/30/18          200         220,963   
                               


                                  25,647,630   
                               


Textiles

 

Mohawk Industries, Inc., Sr. Unsec’d. Notes

     3.850%       02/01/23          294         309,807   
                               


Transportation — 0.1%

  

Silk Bidco AS (Norway), Sr. Sec’d. Notes, RegS

     7.500%       02/01/22    EUR     1,300         1,458,911   
                               


TOTAL CORPORATE BONDS
(cost $507,662,149)

   

     529,682,582   
                               


FOREIGN AGENCIES — 1.8%   

CITIC Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS

     6.875%       01/21/18          1,100         1,181,424   

CNOOC Finance 2013 Ltd. (China), Gtd. Notes

     3.000%       05/09/23          750         744,988   

Ecopetrol SA (Colombia), Sr. Unsec’d. Notes

     4.125%       01/16/25          100         90,470   

Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A

     5.375%       11/04/16          790         798,714   

Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A

     6.510%       03/07/22          1,665         1,819,346   

Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, RegS

     4.950%       07/19/22          390         403,946   

Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A

     2.125%       04/13/21          600         609,927   

KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A

     9.125%       07/02/18          2,910         3,230,682   

Korea Development Bank (The) (South Korea),
Sr. Unsec’d. Notes

     4.625%       11/16/21          600         679,866   

Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS

     4.250%       11/02/20          1,750         1,936,149   

Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A

     4.750%       07/13/21          250         282,494   

Majapahit Holding BV (Indonesia), Gtd. Notes, RegS

     7.750%       10/17/16          2,500         2,537,500   

Majapahit Holding BV (Indonesia), Gtd. Notes, RegS

     7.750%       01/20/20          1,500         1,714,500   

Petrobras Global Finance BV (Brazil), Gtd. Notes

     8.375%       05/23/21          1,575         1,625,400   

Petroleos Mexicanos (Mexico), Gtd. Notes

     4.875%       01/24/22          1,100         1,124,629   

Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A

     2.500%       04/28/20          1,250         1,263,484   
                               


TOTAL FOREIGN AGENCIES
(cost $19,512,288)

   

     20,043,519   
                               


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A46


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

MUNICIPAL BONDS — 1.9%    Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

California — 0.7%

  

Bay Area Toll Authority, Revenue Bonds, BABs

     6.907%      10/01/50              1,125       $ 1,769,895   

State of California, General Obligation Unlimited, BABs

     7.300%      10/01/39              2,280         3,450,278   

State of California, General Obligation Unlimited, BABs

     7.625%      03/01/40              725         1,143,702   

University of California, Revenue Bonds, BABs

     5.770%      05/15/43              1,400         1,887,606   
                                  


                                     8,251,481   
                                  


Colorado — 0.1%

  

Regional Transportation District, Revenue Bonds,
Series 2010-B, BABs

     5.844%      11/01/50              770         1,122,321   
                                  


Illinois — 0.2%

  

Chicago O’Hare International Airport, Revenue Bonds, BABs

     6.395%      01/01/40              1,380         1,961,891   
                                  


New Jersey — 0.4%

  

New Jersey State Turnpike Authority, Revenue Bonds,
Series A, BABs

     7.102%      01/01/41              1,175         1,786,764   

New Jersey State Turnpike Authority, Revenue Bonds,
Series F, BABs

     7.414%      01/01/40              2,050         3,208,947   
                                  


                                     4,995,711   
                                  


Ohio — 0.1%

  

Ohio State University (The), Revenue Bonds, BABs

     4.910%      06/01/40              695         880,412   

Ohio State Water Development Authority, Revenue Bonds, BABs

     4.879%      12/01/34              450         542,880   
                                  


                                     1,423,292   
                                  


Oregon — 0.1%

  

Oregon State Department of Transportation, Revenue Bonds,
Series A, BABs

     5.834%      11/15/34              615         840,822   
                                  


Pennsylvania — 0.1%

  

Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs

     5.511%      12/01/45              800         1,051,112   
                                  


Tennessee — 0.2%

  

Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs

     6.731%      07/01/43              1,375         1,905,613   
                                  


TOTAL MUNICIPAL BONDS
(cost $14,873,217)

   

     21,552,243   
                                  


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.0%  

Alternative Loan Trust, Series 2004-18CB, Class 3A1

     5.250%      09/25/19              241         242,130   

Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A

     0.601% (a)    08/26/36              3,003         2,769,295   

Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A

     2.774% (a)    09/25/47              1,175         1,047,526   

CSMC, Series 2015-12R, Class 1A1, 144A(b)

     2.434% (a)    10/30/47              1,805         1,800,337   

Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(j)

     1.953% (a)    02/25/25              531         531,309   

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2015-DNA3, Class M2(j)

     3.303% (a)    04/25/28              1,300         1,336,444   

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-DNA3, Class M2(j)

     2.446% (a)    12/25/28              1,550         1,560,324   

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-HQA2, Class M2(j)

     2.703% (a)    11/25/28              1,450         1,458,406   

GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A

     0.586% (a)    01/26/37              3,816         3,658,671   

GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A

     0.586% (a)    01/26/37              1,400         1,112,184   

GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A

     0.586% (a)    03/26/37              2,980         2,819,766   

GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A

     0.586% (a)    03/26/37              700         537,677   

Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1

     0.668% (a)    07/19/47              2,416         1,947,369   

LSTAR Securities Investment Ltd., Series 2016-2, Class A, 144A

     2.439% (a)    03/01/21              2,295         2,246,413   

LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(b)

     2.457% (a)    12/01/21              781         766,919   

LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(b)

     2.457% (a)    05/01/20              6,231         6,090,548   

LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A

     2.978% (a)    07/01/20              4,398         4,321,397   

LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A

     2.439% (a)    08/01/20              3,121         3,063,366   

LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A

     2.457% (a)    10/01/20              4,598         4,513,257   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A47


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

RESIDENTIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

LSTAR Securities Investment Trust, Series 2015-10, Class A2, 144A(b)

     3.939% (a)     11/01/20              1,500       $ 1,432,500   

LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A

     2.439% (a)     01/01/21              6,003         5,825,969   

MASTR Alternative Loan Trust, Series 2004-4, Class 4A1

     5.000%       04/25/19              47         47,040   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

     2.830% (a)     02/25/34              978         967,509   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1

     2.707% (a)     12/25/34              5,534         5,344,278   

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3

     3.453% (a)     07/25/32              593         573,254   

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A

     5.000%       03/25/20              199         198,131   
                                   


TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $56,281,367)

   

     56,212,019   
                                   


SOVEREIGN BONDS — 4.0%   

Argentina Bonar Bonds (Argentina), Sr. Unsec’d. Notes

     7.000%       04/17/17              1,060         1,085,836   

Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes, 144A

     6.875%       04/22/21              1,175         1,253,137   

Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes, 144A

     7.500%       04/22/26              500         540,500   

Brazilian Government International Bond (Brazil), Unsec’d. Notes

     11.000%       06/26/17      EUR        2,200         2,692,931   

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

     4.000%       02/26/24              1,750         1,827,875   

Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, RegS

     7.500%       05/06/21              2,250         2,499,750   

Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A

     6.850%       01/27/45              600         621,000   

Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A

     7.450%       04/30/44              290         319,000   

Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A

     7.500%       05/06/21              600         666,600   

Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, EMTN(e)

     3.800%       08/08/17      JPY        680,000         6,181,669   

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes, RegS

     6.000%       01/11/19      EUR        715         899,981   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     4.125%       02/19/18              2,020         2,084,398   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     5.375%       02/21/23              436         483,223   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     6.375%       03/29/21              2,776         3,160,121   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     7.625%       03/29/41              1,000         1,450,000   

Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes, 144A

     2.875%       07/08/21      EUR        825         951,401   

Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes, 144A

     3.375%       07/30/25      EUR        1,625         1,846,765   

Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes, RegS

     5.875%       03/13/20              295         328,065   

Italy Government International Bond (Italy),
Sr. Unsec’d. Notes, RegS

     3.450%       03/24/17      JPY        170,000         1,682,303   

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes

     2.750%       04/22/23      EUR        2,350         2,816,558   

Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes, MTN

     4.750%       03/08/44              462         497,805   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     3.750%       03/16/25              450         474,750   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A48


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

SOVEREIGN BONDS
(continued)
   Interest
Rate


     Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A

     3.974% (i)       05/31/18                 395       $ 381,869   

Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes

     9.500%         02/02/30                 450         769,743   

Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, 144A

     5.125%         10/15/24                 800         799,768   

Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS

     5.125%         10/15/24                 1,300         1,299,623   

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A

     3.875%         10/29/35         EUR        945         1,101,028   

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS

     3.875%         10/29/35         EUR        1,000         1,165,109   

Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS

     5.250%         02/18/24                 2,300         2,590,375   

Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS

     5.500%         10/26/22                 1,300         1,475,890   

Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS

     5.850%         05/10/23                 200         232,290   

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

     7.000%         06/05/20                 1,510         1,712,597   
                                       


TOTAL SOVEREIGN BONDS
(cost $46,842,856)

   

     45,891,960   
                                       


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4%                                            

Federal Home Loan Mortgage Corp.

     5.000%         07/01/19                 52         53,181   

Federal Home Loan Mortgage Corp.

     5.500%         10/01/33-06/01/34                 1,207         1,383,125   

Federal Home Loan Mortgage Corp.

     6.000%         11/01/33-06/01/34                 776         887,751   

Federal Home Loan Mortgage Corp.

     6.500%         07/01/32-09/01/32                 653         755,000   

Federal Home Loan Mortgage Corp.

     7.000%         10/01/32                 69         74,839   

Federal National Mortgage Assoc.

     4.000%         05/01/19                 40         41,079   

Federal National Mortgage Assoc.

     4.500%         12/01/18-02/01/35                 276         285,924   

Federal National Mortgage Assoc.

     5.500%         03/01/17-06/01/34                 1,296         1,419,019   

Federal National Mortgage Assoc.

     6.000%         09/01/17-11/01/36                 1,502         1,727,989   

Federal National Mortgage Assoc.

     6.500%         07/01/17-11/01/33                 1,171         1,380,437   

Federal National Mortgage Assoc.

     7.000%         05/01/32-06/01/32                 166         191,773   

Government National Mortgage Assoc.

     5.500%         01/15/33-07/15/35                 1,451         1,647,953   

Government National Mortgage Assoc.

     6.000%         12/15/32-11/15/34                 1,776         2,100,365   

Government National Mortgage Assoc.

     6.500%         09/15/32-11/15/33                 1,167         1,338,962   

Government National Mortgage Assoc.

     7.500%         10/15/25-02/15/26                 44         48,576   

Tennessee Valley Authority, Sr. Unsec’d. Notes

     7.125%         05/01/30                 1,720         2,633,845   
                                       


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $14,339,467)

   

     15,969,818   
                                       


U.S. TREASURY OBLIGATIONS — 2.0%                                            

U.S. Treasury Bonds

     2.500%         02/15/46                 545         567,502   

U.S. Treasury Bonds(k)(l)

     2.875%         05/15/43                 5,300         5,959,808   

U.S. Treasury Notes

     1.125%         06/30/21                 1,485         1,492,367   

U.S. Treasury Notes(k)(l)

     1.625%         04/30/23                 9,850         10,071,241   

U.S. Treasury Notes(k)

     2.000%         02/15/25                 4,855         5,079,544   
                                       


TOTAL U.S. TREASURY OBLIGATIONS
(cost $22,069,941)

   

     23,170,462   
                                       


PREFERRED STOCKS — 0.2%                        Shares

        

Banking

                                           

Citigroup Capital XIII, 7.008%, (Capital Security, fixed to floating preferred)(a)

  

    45,000         1,173,150   

State Street Corp., 5.35%(a)

  

    35,000         939,400   
                                       


TOTAL PREFERRED STOCKS
(cost $2,000,000)

   

     2,112,550   
                                       


TOTAL LONG-TERM INVESTMENTS
(cost $980,472,097)

   

     1,019,054,110   
                                       


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A49


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

SHORT-TERM INVESTMENTS — 9.4%                  Shares

     Value
(Note 2)


 

AFFILIATED MUTUAL FUNDS

  

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $90,945,636)(m)(Note 4)

    9,352,846       $ 86,887,936   

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $20,167,181; includes $5,006,241 of cash collateral for securities on loan)(m)(n)(Note 4)

    20,167,181         20,167,181   
                           


TOTAL SHORT-TERM INVESTMENTS
(cost $111,112,817)

   

     107,055,117   
                           


TOTAL INVESTMENTS — 99.2%
(cost $1,091,584,914)

   

     1,126,109,227   

OTHER ASSETS IN EXCESS OF LIABILITIES(o) — 0.8%

  

     8,930,516   
                           


NET ASSETS — 100.0%

  

   $ 1,135,039,743   
                           


See the Glossary for abbreviations used in the semiannual report.

 

# Principal or notional amount is shown in U.S. dollars unless otherwise stated.

 

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016.

 

(b) Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,364,275 and 1.3% of net assets.

 

(c) Interest rate not available as of June 30, 2016.

 

(d) Represents security, or a portion thereof, segregated as collateral for OTC swap agreements.

 

(e) Indicates a security or securities that have been deemed illiquid.

 

(f) Indicates a restricted security; the aggregate original cost of the restricted securities is $17,478,744. The aggregate value of $16,308,520 is approximately 1.4% of net assets.

 

(g) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $4,916,595; cash collateral of $5,006,241 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

 

(h) Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Security may be post maturity.

 

(i) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

 

(j) Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac.

 

(k) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(l) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(m) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

 

(n) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

 

(o) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at June 30, 2016:

 

Number of
Contracts


  Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 
Long Positions:                                        
3,746     5 Year U.S. Treasury Notes        Sep. 2016      $ 450,193,881      $ 457,626,578      $ 7,432,697   
79     10 Year Euro-Bund        Sep. 2016        14,475,509        14,651,515        176,006   
1,926     10 Year U.S. Treasury Notes        Sep. 2016        249,229,570        256,127,906        6,898,336   
453     30 Year U.S. Ultra Treasury Bonds        Sep. 2016        78,958,703        84,427,875        5,469,172   
                                   


                                      19,976,211   
                                   


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A50


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Futures contracts outstanding at June 30, 2016 (continued):

 

Number of
Contracts


  Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 
Short Positions:                                        
394     2 Year U.S. Treasury Notes        Sep. 2016      $ 85,876,327      $ 86,415,281      $ (538,954
8     10 Year U.K. Gilt        Sep. 2016        1,308,253        1,368,425        (60,172
160     20 Year U.S. Treasury Bonds        Sep. 2016        26,234,835        27,575,000        (1,340,165
23     30 Year Euro BUXL        Sep. 2016        4,822,547        5,006,858        (184,311
                                   


                                      (2,123,602
                                   


                                    $ 17,852,609   
                                   



  Cash of $1,150,000 and U.S. Treasury obligations with a combined market value of $6,983,526 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Forward foreign currency exchange contracts outstanding at June 30, 2016:

 

Purchase Contracts


  

Counterparty


   Notional
Amount
(000)


     Value at
Settlement
Date


     Current
Value


     Unrealized
Appreciation
(Depreciation)


 

OTC forward foreign currency exchange contracts:

  

Japanese Yen,

                                        

Expiring 07/27/16

  

Citigroup Global Markets

   JPY 15,301       $ 138,061       $ 148,294       $ 10,233   

Mexican Peso,

                                        

Expiring 07/22/16

  

JPMorgan Chase

   MXN 1,079         57,615         58,881         1,266   
                  


  


  


                   $ 195,676       $ 207,175         11,499   
                  


  


  


 

Sale Contracts


  

Counterparty


   Notional
Amount
(000)


     Value at
Settlement
Date


     Current
Value


     Unrealized
Appreciation
(Depreciation)


 

OTC forward foreign currency exchange contracts:

  

                          

Australian Dollar,

                                        

Expiring 07/14/16

  

JPMorgan Chase

   AUD 559       $ 425,963       $ 416,949       $ 9,014   

British Pound,

                                        

Expiring 07/27/16

  

Citigroup Global Markets

   GBP 3,932         5,697,390         5,236,164         461,226   

Euro,

                                        

Expiring 07/27/16

  

BNP Paribas

   EUR 1,250         1,404,859         1,388,608         16,251   

Expiring 07/27/16

  

Deutsche Bank AG

   EUR 12,532         14,164,734         13,921,300         243,434   

Expiring 07/27/16

  

JPMorgan Chase

   EUR 240         276,286         266,311         9,975   

Expiring 07/27/16

  

JPMorgan Chase

   EUR 542         606,494         601,734         4,760   

Expiring 07/27/16

  

UBS AG

   EUR 1,344         1,512,395         1,492,488         19,907   

Hungarian Forint,

                                        

Expiring 07/22/16

  

Citigroup Global Markets

   HUF  219,665         804,635         772,023         32,612   

Mexican Peso,

                                        

Expiring 07/22/16

  

Citigroup Global Markets

   MXN 17,850         1,025,301         974,310         50,991   

Polish Zloty,

                                        

Expiring 07/22/16

  

Citigroup Global Markets

   PLN 2,314         610,383         586,176         24,207   
                  


  


  


                   $ 26,528,440       $ 25,656,063         872,377   
                  


  


  


                                     $ 883,876   
                                    


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A51


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2016:

 

Notional
Amount
(000)#


     Termination
Date


     Fixed
Rate


    

Floating
Rate


   Fair
Value


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)


    

Counterparty


 

OTC swap agreements:

                               
MXN  76,000         06/20/18         6.020%      

28 Day Mexican Interbank Rate(2)

   $ 81,463       $   —       $ 81,463      

Credit Suisse First Boston Corp.

MXN  73,100         11/09/18         5.410%      

28 Day Mexican Interbank Rate(2)

     31,453                 31,453      

Deutsche Bank AG

ZAR 10,000         09/03/33         8.970%      

3 Month JIBAR(2)

     41,668                 41,668      

Hong Kong & Shanghai Bank

                               


  


  


    
                                $ 154,584       $       $ 154,584        
                               


  


  


    

 

Notional
Amount
(000)#


     Termination
Date


     Fixed
Rate


    

Floating Rate


   Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 

 

Centrally cleared swap agreements:

                        
EUR 8,050         08/04/16         0.078%      

1 Day EUROIS(1)

   $ 4,792      $ (28,739   $ (33,531
EUR 8,000         08/01/19         0.346%      

1 Day EUROIS(1)

     (132,893     (276,935     (144,042
EUR 7,020         06/28/20         (0.458%   

1 Day EUROIS(1)

     168        2,424        2,256   
EUR 2,150         06/20/24         (0.050%   

1 Day EUROIS(1)

     (266     (8,901     (8,635
EUR 2,000         07/28/25         0.780%      

1 Day EUROIS(1)

     (1,907     (176,732     (174,825
EUR 3,900         02/23/26         0.324%      

1 Day EUROIS(1)

     (810     (111,351     (110,541
EUR 6,810         05/09/31         1.587%      

6 Month EURIBOR(2)

     607        169,227        168,620   
EUR 1,750         06/29/31         0.678%      

6 Month EURIBOR(2)

     186        (20,911     (21,097
EUR 705         03/04/36         0.865%      

1 Day EUROIS(1)

     (284     (38,982     (38,698
EUR 550         04/11/36         0.962%      

6 Month EURIBOR(1)

     (5     (12,152     (12,147
EUR 4,290         05/09/46         1.357%      

6 Month EURIBOR(1)

     36        (203,324     (203,360
EUR 940         06/29/46         0.792%      

6 Month EURIBOR(1)

     196        23,895        23,699   
GBP 1,950         02/23/21         0.639%      

1 Day GBP OIS(1)

     571        (56,276     (56,847
GBP 885         09/07/25         1.477%      

6 Month GBP LIBOR(2)

     32        56,614        56,582   
MXN  112,800         02/09/18         4.630%      

28 Day Mexican Interbank Rate(2)

     (8,795     (32,568     (23,773
MXN 70,000         04/18/19         5.480%      

28 Day Mexican Interbank Rate(2)

     (36,283     30,280        66,563   
MXN 48,200         05/25/22         6.370%      

28 Day Mexican Interbank Rate(2)

     (47,258     98,295        145,553   
MXN 38,000         08/13/24         6.120%      

28 Day Mexican Interbank Rate(2)

     (8,237     29,958        38,195   
MXN 38,100         12/27/24         5.795%      

28 Day Mexican Interbank Rate(2)

     8,681        (22,413     (31,094
MXN 13,900         07/27/34         6.720%      

28 Day Mexican Interbank Rate(2)

     941        7,490        6,549   
  1,575         03/11/20         1.824%      

3 Month LIBOR(1)

     28        (55,029     (55,057
  135,870         12/31/21         1.787%      

3 Month LIBOR(1)

     (151,223     (5,586,807     (5,435,584
  17,000         12/31/21         1.850%      

3 Month LIBOR(1)

     242        (757,435     (757,677
  51,250         05/31/22         1.741%      

3 Month LIBOR(1)

     375,423        (2,013,094     (2,388,517
  29,120         05/31/22         2.237%      

3 Month LIBOR(1)

     (77,974     (1,982,119     (1,904,145
  22,700         08/31/22         1.788%      

3 Month LIBOR(1)

     273        (968,014     (968,287
  87,900         08/31/22         2.013%      

3 Month LIBOR(1)

     (161,643     (4,946,642     (4,784,999
  12,360         11/30/22         1.982%      

3 Month LIBOR(1)

     217        (677,104     (677,321
  5,800         12/31/22         1.405%      

3 Month LIBOR(1)

     181        (106,950     (107,131
  4,400         12/31/22         1.406%      

3 Month LIBOR(1)

     174        (81,546     (81,720
  8,700         12/31/22         1.409%      

3 Month LIBOR(1)

     197        (162,613     (162,810
  2,400         12/31/22         1.412%      

3 Month LIBOR(1)

     163        (45,271     (45,434
  12,100         12/31/22         1.416%      

3 Month LIBOR(1)

     216        (231,633     (231,849
  4,850         12/31/22         1.495%      

3 Month LIBOR(1)

     177        (117,288     (117,465
  10,495         05/31/23         1.394%      

3 Month LIBOR(1)

     207        (150,775     (150,982
  10,495         05/31/23         1.395%      

3 Month LIBOR(1)

     208        (151,519     (151,727
  20,990         05/31/23         1.399%      

3 Month LIBOR(1)

     (2,291     (308,228     (305,937
  10,290         05/31/23         1.513%      

3 Month LIBOR(1)

     206        (227,497     (227,703
  19,980         05/31/23         1.578%      

3 Month LIBOR(1)

     (18,314     (526,851     (508,537
  3,950         05/31/23         1.584%      

3 Month LIBOR(1)

     172        (105,562     (105,734
ZAR 63,800         08/26/20         7.855%      

3 Month JIBAR(2)

     (14,698     4,757        19,455   
ZAR 20,000         10/22/23         7.625%      

3 Month JIBAR(2)

     3,049        (38,148     (41,197
ZAR 38,300         11/14/23         8.190%      

3 Month JIBAR(2)

     (36,838     7,289        44,127   
ZAR 1,800         01/12/25         7.430%      

3 Month JIBAR(2)

     921        (6,199     (7,120

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A52


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2016 (continued):

 

Notional
Amount
(000)#


     Termination
Date


     Fixed
Rate


    

Floating Rate


   Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 

 

Centrally cleared swap agreements (continued):

                        
ZAR  14,500         01/13/25         7.440%      

3 Month JIBAR(2)

   $ 27,681      $ (49,332   $ (77,013
ZAR 8,100         01/11/26         9.330%      

3 Month JIBAR(2)

     513        37,039        36,526   
ZAR 8,300         01/11/26         9.330%      

3 Month JIBAR(2)

     525        37,954        37,429   
                               


 


 


                                $ (272,736   $ (19,779,718   $ (19,506,982
                               


 


 



(1) Portfolio pays the fixed rate and receives the floating rate.

 

(2) Portfolio pays the floating rate and receives the fixed rate.

Credit default swap agreements outstanding at June 30, 2016:

 

Reference Entity/Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Implied
Credit
Spread at
June 30,
2016(5)


    Value at
Trade
Date


     Value at
June 30,
2016


    

Unrealized
Appreciation
(Depreciation)


Centrally cleared credit default swaps on corporate issues—Sell Protection(2):

  

                     

Citigroup, Inc.

     06/20/18         5.000%         5,450         1.726   $ 348,357       $ 343,372       $(4,985)

General Motors Co.

     06/20/19         5.000%         3,640         1.166     409,756         402,941       (6,815)

General Motors Co.

     06/20/21         5.000%         1,300         1.777     195,696         191,907       (3,789)
                                       


  


  
                                        $ 953,809       $ 938,220       $(15,589)
                                       


  


  

 

Reference Entity/ Obligation


  Termination
Date


    Fixed
Rate


    Notional
Amount
(000)#(4)


    Value at
Trade
Date


    Value at
June 30,
2016(3)


    Unrealized
Appreciation
(Depreciation)


 

Centrally cleared credit default swaps on credit indices—Buy Protection(1):

  

                               

CDX.NA.HY.26.V1

    06/20/21        5.000%        13,900      $ (298,850   $ (447,406   $ (148,556
                           


 


 


 

Reference Entity/ Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Fair
Value(3)


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)


    

Counterparty


OTC credit default swaps on asset-backed securities—Sell Protection(2)(b):

  

                      

Ameriquest Home Equity

     07/29/16         1.500%         177       $ 7       $   —       $ 7      

Goldman Sachs & Co.

Ameriquest Home Equity

     07/29/16         1.500%         149         6                 6      

Goldman Sachs & Co.

Ameriquest Home Equity

     07/29/16         1.500%         225         9                 9      

Goldman Sachs & Co.

Ameriquest Home Equity

     07/29/16         1.500%         252         11                 11      

Goldman Sachs & Co.

Ameriquest Home Equity

     07/29/16         1.500%         135         6                 6      

Goldman Sachs & Co.

Ameriquest Home Equity

     07/29/16         1.500%         310         13                 13      

Goldman Sachs & Co.

Ameriquest Home Equity

     07/29/16         1.500%         547         23                 23      

Goldman Sachs & Co.

Bank of America Prime Mortgage

     07/29/16         1.500%         800         33                 33      

Goldman Sachs & Co.

Bear Stearns Asset Backed Securities Trust

     07/29/16         1.500%         503         21                 21      

Goldman Sachs & Co.

Bear Stearns Asset Backed Securities Trust

     07/29/16         1.500%         154         6                 6      

Goldman Sachs & Co.

Chase Mortgage

     07/29/16         1.500%         635         26                 26      

Goldman Sachs & Co.

Chase Mortgage

     07/29/16         1.500%         449         19                 19      

Goldman Sachs & Co.

Chase Mortgage

     07/29/16         1.500%         176         7                 7      

Goldman Sachs & Co.

Citibank Mortgage

     07/29/16         1.500%         195         8                 8      

Goldman Sachs & Co.

Citigroup Commercial Mortgage Trust

     07/22/16         1.500%         42         57                 57      

Goldman Sachs & Co.

Citigroup Commercial Mortgage Trust

     07/22/16         1.500%         337         449                 449      

Goldman Sachs & Co.

Citigroup Mortgage Loan Trust

     07/29/16         1.500%         166         7                 7      

Goldman Sachs & Co.

Citigroup Mortgage Loan Trust

     07/29/16         1.500%         160         7                 7      

Goldman Sachs & Co.

COMM Mortgage Trust

     07/22/16         1.500%         116         155                 155      

Goldman Sachs & Co.

COMM Mortgage Trust

     07/22/16         1.500%         52         69                 69      

Goldman Sachs & Co.

COMM Mortgage Trust

     07/22/16         1.500%         56         75                 75      

Goldman Sachs & Co.

COMM Mortgage Trust

     07/22/16         1.500%         718         957                 957      

Goldman Sachs & Co.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A53


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Credit default swap agreements outstanding at June 30, 2016 (continued):

 

Reference Entity/ Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Fair
Value(3)


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)


    

Counterparty


OTC credit default swaps on asset-backed securities—Sell Protection(2)(b) (continued):

COMM Mortgage Trust

     07/22/16         1.500%         465       $ 620       $       $ 620      

Goldman Sachs & Co.

COMM Mortgage Trust

     07/22/16         1.500%         433         577                 577      

Goldman Sachs & Co.

Commercial Mortgage Pass Through Certificate

     07/22/16         1.500%         93         124                 124      

Goldman Sachs & Co.

Countrywide Home Equity

     07/29/16         1.500%         421         18                 18      

Goldman Sachs & Co.

Federal Home Loan Mortgage Corp.

     07/01/16         1.500%         446         573                 573      

Goldman Sachs & Co.

Federal Home Loan Mortgage Corp.

     07/01/16         1.500%         1,501         1,933                 1,933      

Goldman Sachs & Co.

Federal Home Loan Mortgage Corp.

     07/01/16         1.500%         127         163                 163      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         130         173                 173      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         373         498                 498      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         213         283                 283      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         254         338                 338      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         1,334         1,779                 1,779      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         107         142                 142      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         88         118                 118      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         157         210                 210      

Goldman Sachs & Co.

GS Mortgage Securities Trust

     07/22/16         1.500%         429         571                 571      

Goldman Sachs & Co.

GSAMP Home Equity

     07/29/16         1.500%         219         9                 9      

Goldman Sachs & Co.

JPMBB Commercial Mortgage Securities Trust

     07/22/16         1.500%         222         296                 296      

Goldman Sachs & Co.

Lehman Home Equity

     07/29/16         1.500%         479         20                 20      

Goldman Sachs & Co.

LNR CDO Ltd.

     07/11/16         1.500%         2,304         3,104                 3,104      

Goldman Sachs & Co.

Long Beach Home Equity

     07/29/16         1.500%         329         14                 14      

Goldman Sachs & Co.

Morgan Stanley BAML Trust

     07/22/16         1.500%         98         130                 130      

Goldman Sachs & Co.

Morgan Stanley BAML Trust

     07/22/16         1.500%         84         112                 112      

Goldman Sachs & Co.

Morgan Stanley BAML Trust

     07/22/16         1.500%         452         602                 602      

Goldman Sachs & Co.

Morgan Stanley Home Equity

     07/29/16         1.500%         303         13                 13      

Goldman Sachs & Co.

New Century Home Equity

     07/29/16         1.500%         366         15                 15      

Goldman Sachs & Co.

Option One Home Equity

     07/29/16         1.500%         918         38                 38      

Goldman Sachs & Co.

Option One Home Equity

     07/29/16         1.500%         407         17                 17      

Goldman Sachs & Co.

Wells Fargo Home Equity

     07/29/16         1.500%         115         5                 5      

Goldman Sachs & Co.

WF-RBS Commercial Mortgage Trust

     07/22/16         1.500%         61         81                 81      

Goldman Sachs & Co.

WF-RBS Commercial Mortgage Trust

     07/22/16         1.500%         856         1,141           —         1,141      

Goldman Sachs & Co.

WMC Home Equity

     07/29/16         1.500%         560         23                 23      

Goldman Sachs & Co.

                               


  


  


    
                                $ 15,711       $       $ 15,711        
                               


  


  


    

 

Reference Entity/Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Implied
Credit
Spread at
June 30,
2016(5)


    Fair
Value


    Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)


   

Counterparty


OTC credit default swaps on corporate issues—Buy Protection(1):

  

            

American International Group, Inc.

     03/20/18         3.700%         3,700         0.307   $ (220,336   $       $ (220,336  

Deutsche Bank AG

R.R. Donnelley & Sons Co.

     09/20/16         1.000%         4,750         0.359     (8,373     229,661         (238,034  

JPMorgan Chase

                                       


 


  


   
                                        $ (228,709   $ 229,661       $ (458,370    
                                       


 


  


   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A54


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Credit default swap agreements outstanding at June 30, 2016 (continued):

 

Reference Entity/Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Implied
Credit
Spread at
June 30,
2016(5)


    Fair
Value


    Upfront
Premiums
Paid
(Received)


    Unrealized
Appreciation
(Depreciation)


   

Counterparty


OTC credit default swaps on sovereign issues—Sell Protection(2):

  

           

Kingdom of Spain

     12/20/20         1.000%         9,755         1.022   $ (6,568   $ (18,430   $ 11,862     

JPMorgan Chase

Petroleo Brasileriro SA

     06/20/18         1.000%         2,250         4.242     (137,789     (172,518     34,729     

Morgan Stanley

Republic of Italy

     09/20/20         1.000%         9,680         1.413     (158,410     44,911        (203,321  

JPMorgan Chase

Republic of Italy

     09/20/20         1.000%         2,000         1.413     (32,729     5,761        (38,490  

JPMorgan Chase

                                       


 


 


   
                                        $ (335,496   $ (140,276   $ (195,220    
                                       


 


 


   

Cash of $8,201,000 and U.S. Treasury obligations with a combined market value of $14,121,835 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

 

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(3) The fair value of credit default swap agreements on credit indices and asset-backed securities serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

 

(4) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of the emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency swap agreements outstanding at June 30, 2016:

 

Notional
Amount
(000)#


    Fund
Receives


    Notional
Amount
(000)#


  Fund Pays

 

Counterparty


  Termination
Date


  Fair
Value


    Upfront
Premiums
Paid
(Received)


    Unrealized
Appreciation
(Depreciation)


 

 

OTC currency swap agreements:

                       
  502        3 Month LIBOR        JPY     

50,000

  3 Month JPY
LIBOR minus
54.00 bps
 

Barclays Capital Group

  10/12/16   $ 17,935      $      $ 17,935   
  278        3 Month LIBOR        EUR     

240

  3 Month EURIBOR
minus 24.50 bps
 

Citigroup Global Markets

  01/16/17     12,995               12,995   
  1,541       
 
3 Month LIBOR
plus 432 bps
  
  
    JPY     

120,000

  3.450%  

Citigroup Global Markets

  03/24/17     383,720        10,186        373,534   
  5,882        3 Month LIBOR        JPY     

600,000

  3 Month JPY
LIBOR minus
31.25 bps
 

Deutsche Bank AG

  05/14/17     56,916               56,916   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A55


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Currency swap agreements outstanding at June 30, 2016 (continued):

 

Notional
Amount
(000)#


    Fund
Receives


    Notional
Amount
(000)#


  Fund Pays

 

Counterparty


  Termination
Date


    Fair
Value


    Upfront
Premiums
Paid
(Received)


    Unrealized
Appreciation
(Depreciation)


 

 

OTC currency swap agreements (continued):

  

                       
  1,157        3 Month LIBOR        EUR     

900

  3 Month EURIBOR
minus 31.75 bps
 

Hong Kong & Shanghai Bank

    09/28/17      $ 157,808      $      $ 157,808   
JPY 265,000       
 
 
3 Month JPY
LIBOR minus
43.35 bps
  
  
  
         

2,250

  3 Month LIBOR  

JPMorgan Chase

    11/26/16        317,983               317,983   
JPY  1,060,000       
 
 
3 Month JPY
LIBOR minus
42.10 bps
  
  
  
         

8,979

  3 Month LIBOR  

JPMorgan Chase

    11/28/16        1,291,059               1,291,059   
  13,099        3 Month LIBOR        EUR     

11,400

  3 Month EURIBOR
minus 26.95 bps
 

JPMorgan Chase

    02/17/17        455,554               455,554   
  1,003        3 Month LIBOR        EUR     

900

  (0.613)%  

JPMorgan Chase

    02/22/20        1,721               1,721   
  2,348        3 Month LIBOR        JPY     

264,000

  3 Month JPY
LIBOR minus
99.25 bps
 

JPMorgan Chase

    04/03/20        8,331               8,331   
  17,098        3 Month LIBOR        JPY     

1,920,000

  3 Month JPY
LIBOR minus
98.63 bps
 

JPMorgan Chase

    04/06/20        56,709               56,709   
  719        3 Month LIBOR        EUR     

640

  (0.443)%  

JPMorgan Chase

    08/22/21        1,982               1,982   
  2,250        3 Month LIBOR        JPY     

265,000

  3 Month JPY
LIBOR minus
69.88 bps
 

JPMorgan Chase

    11/26/24        (372,374            (372,374
  8,979        3 Month LIBOR        JPY     

1,060,000

  3 Month JPY
LIBOR minus
67.32 bps
 

JPMorgan Chase

    11/28/24        (1,531,965            (1,531,965
                                           


 


 


                                            $ 858,374      $ 10,186      $ 848,188   
                                           


 


 


Total return swap agreements outstanding at June 30, 2016:

 

Counterparty


   Termination
Date


     Long (Short)
Notional
Amount
(000)#


    

Description


   Fair
Value


    Upfront
Premiums
Paid
(Received)


    Unrealized
Appreciation
(Depreciation)(1)


 

OTC total return swap agreements:

  

                             
Deutsche Bank AG      09/08/16         2,400      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

   $ 168,941      $      $ 168,941   
Deutsche Bank AG      09/08/16         2,400      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     133,692               133,692   
Deutsche Bank AG      09/08/16         1,200      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     52,811               52,811   
Deutsche Bank AG      09/08/16         1,200      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     37,953               37,953   
Credit Suisse First Boston Corp.      01/12/41         6,054      

Pay variable payments based on 1 Month LIBOR and receives fixed payments based on the IOS.FN30.450.10 Index

     (69,876     (17,336     (52,540
                           


 


 


                            $ 323,521      $ (17,336   $ 340,857   
                           


 


 



(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A56


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

    

Level 1


    

Level 2


   

Level 3


 

Investments in Securities

                         

Asset-Backed Securities

                         

Collateralized Loan Obligations

   $       $ 48,016,019      $   

Non-Residential Mortgage-Backed Securities

             25,585,557          

Residential Mortgage-Backed Securities

             61,641,792          

Bank Loans

             34,774,011        4,258,260   

Commercial Mortgage-Backed Securities

             130,143,318          

Corporate Bonds

             529,682,582          

Foreign Agencies

             20,043,519          

Municipal Bonds

             21,552,243          

Residential Mortgage-Backed Securities

             46,121,715        10,090,304   

Sovereign Bonds

             45,891,960          

U.S. Government Agency Obligations

             15,969,818          

U.S. Treasury Obligations

             23,170,462          

Preferred Stocks

     2,112,550                  

Affiliated Mutual Funds

     107,055,117                  

Other Financial Instruments*

                         

Futures Contracts

     17,852,609                  

OTC Forward Foreign Currency Exchange Contracts

             883,876          

Centrally Cleared Interest Rate Swap Agreements

             (19,506,982       

OTC Interest Rate Swap Agreements

             154,584          

Centrally Cleared Credit Default Swap Agreements

             (164,145       

OTC Credit Default Swap Agreements

             (564,205     15,711   

OTC Currency Swap Agreements

             858,374          

OTC Total Return Swap Agreements

             323,521          
    


  


 


Total

   $ 127,020,276       $ 984,578,019      $ 14,364,275   
    


  


 


The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:

 

     Bank
Loans

    Residential
Mortgage-Backed
Securities


    Credit
Default
Swaps


 

Balance as of 12/31/15

   $      $ 18,076,943      $ 2,839   

Realized gain (loss)

     74        30,513          

Change in unrealized appreciation (depreciation)**

     25,516        (56,938     12,872   

Purchases

     4,235,000        595,239          

Sales

     (3,875     (3,752,298       

Accrued discount/premium

     1,545        11,765          

Transfers into Level 3

                     

Transfers out of Level 3

            (4,814,920       
    


 


 


Balance as of 06/30/16

   $ 4,258,260      $ 10,090,304      $ 15,711   
    


 


 



* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

 

** Of which, $(15,710) was relating to securities held at the reporting period end.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A57


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:

 

Level 3 Securities


   Fair Value as of
June 30, 2016


     Valuation
Methodology


    

Unobservable Inputs


Bank Loans

   $ 4,258,260         Market Approach       Single Broker Indicative Quote

Credit Default Swap Agreements

     15,711         Model Pricing       Discretionary Volatility Factor and/or Discount Rate

Residential Mortgage-Backed Securities

     10,090,304         Market Approach       Single Broker Indicative Quote
    


             
     $ 14,364,275                 
    


             

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:

 

Investments in Securities


   Amount
Transferred


     Level
Transfer


     Logic

 

Residential Mortgage-Backed Securities

     4,814,920         L3 to L2         Single Broker Indicative Quote to Evaluated Bid   

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2016 were as follows:

 

Commercial Mortgage-Backed Securities

     11.5

Banks

     10.9   

Residential Mortgage-Backed Securities

     10.4   

Affiliated Mutual Funds (including 0.4% of collateral for securities on loan)

     9.4   

Collateralized Loan Obligations

     4.2   

Sovereign Bonds

     4.0   

Electric

     4.0   

Media

     3.6   

Insurance

     2.9   

Healthcare-Services

     2.6   

Telecommunications

     2.5   

Non-Residential Mortgage-Backed Securities

     2.3   

U.S. Treasury Obligations

     2.0   

Municipal Bonds

     1.9   

Chemicals

     1.8   

Foreign Agencies

     1.8   

Commercial Services

     1.4   

Technology

     1.4   

U.S. Government Agency Obligations

     1.4   

Oil & Gas

     1.1   

Food

     1.1   

Diversified Financial Services

     1.0   

Pharmaceuticals

     0.9   

Home Builders

     0.9   

Software

     0.8   

Retail

     0.8   

Auto Manufacturers

     0.8   

Computers

     0.7   

Healthcare-Products

     0.7   

Semiconductors

     0.6   

Airlines

     0.6   

Packaging & Containers

     0.6   

Healthcare & Pharmaceutical

     0.6   

Building Materials

     0.5   

Miscellaneous Manufacturing

     0.5   

Real Estate Investment Trusts (REITs)

     0.5   

Lodging

     0.5

Agriculture

     0.5   

Mining

     0.4   

Beverages

     0.4   

Machinery-Diversified

     0.4   

Pipelines

     0.4   

Forest Products & Paper

     0.3   

Entertainment

     0.3   

Biotechnology

     0.3   

Aerospace & Defense

     0.3   

Environmental Control

     0.2   

Banking

     0.2   

Apparel

     0.2   

Transportation Services

     0.2   

Savings & Loans

     0.2   

Consumer

     0.1   

Gaming

     0.1   

Gas

     0.1   

Energy – Alternate Sources

     0.1   

Transportation

     0.1   

Auto Parts & Equipment

     0.1   

Retailers

     0.1   

Automotive

     0.1   

Leisure Time

     0.1   

Multi-National

     0.1   

Office & Business Equipment

     0.1   

Electronics

     0.1   

Diversified Manufacturing

     0.1   

Supermarkets

     0.1   

Housewares

     0.1   

Home Furnishings

     0.1   

Oil & Gas Services

     0.1   
    


       99.2   

Other assets in excess of liabilities

     0.8   
    


       100.0
    


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A58


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value


  

Asset Derivatives


   

Liability Derivatives


 
  

Balance Sheet Location


   Fair Value

   

Balance Sheet Location


   Fair Value

 

Credit contracts

      $      Due from/to broker — variation margin swaps    $ 164,145

Credit contracts

   Premiums paid for OTC swap agreements      280,333      Premiums received for OTC swap agreements      190,948   

Credit contracts

   Unrealized appreciation on OTC swap agreements      62,302      Unrealized depreciation on OTC swap agreements      700,181   

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      883,876             

Interest rate contracts

   Due from/to broker — variation margin futures      19,976,211   Due from/to broker — variation margin futures      2,123,602

Interest rate contracts

   Due from/to broker — variation margin swaps      645,554   Due from/to broker — variation margin swaps      20,152,536

Interest rate contracts

   Premiums paid for OTC swap agreements      10,186      Premiums received for OTC swap agreements      17,336   

Interest rate contracts

   Unrealized appreciation on OTC swap agreements      3,300,508      Unrealized depreciation on OTC swap agreements      1,956,879   
         


      


Total

        $ 25,158,970           $ 25,305,627   
         


      



* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures contracts and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income


 

Derivatives not designated as hedging
instruments, carried at fair value


  Options
Purchased*


    Options
Written


    Futures

    Forward Rate
Agreements


    Forward
Foreign
Currency
Exchange
Contracts**


    Swaps

    Total

 

Credit contracts

  $ (518,630   $ 265,120      $      $      $      $ (1,081,499   $ (1,335,009

Foreign exchange contracts

                                5,848,446               5,848,446   

Interest rate contracts

    158,325        (261,208     21,473,253        94,614               (2,819,103     18,645,881   
   


 


 


 


 


 


 


Total

  $ (360,305   $ 3,912      $ 21,473,253      $ 94,614      $ 5,848,446      $ (3,900,602   $ 23,159,318   
   


 


 


 


 


 


 



* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

** Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income


 

Derivatives not designated as hedging
instruments, carried at fair value


     Options
Purchased*


       Options
Written


     Futures

       Forward
Foreign
Currency
Exchange
Contracts**


       Swaps

     Total

 

Credit contracts

     $ 357,855         $ (209,859    $         $         $ 599,284       $ 747,280   

Foreign exchange contracts

                                   521,590                   521,590   

Interest rate contracts

       428,204           (284,376      18,430,766                     (19,101,219      (526,625
      


    


  


    


    


  


Total

     $ 786,059         $ (494,235    $ 18,430,766         $ 521,590         $ (18,501,935    $ 742,245   
      


    


  


    


    


  



* Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations.

 

** Included in net unrealized appreciation (depreciation) on foreign currency transactions in the Statement of Operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A59


     DIVERSIFIED BOND PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:

 

Options
Purchased(1)


 

Options
Written(4)


 

Futures
Contracts
Long Positions(2)


 

Futures
Contracts
Short Positions(2)


 

Forward Foreign
Currency  Exchange
Contracts—Purchased(3)


$854,359   $231,743   $791,752,840   $114,662,177   $5,861,222

Forward Foreign
Currency  Exchange
Contracts—Sold(3)


 

Interest Rate
Swap Agreements(4)


 

Credit Default
Swap Agreements
Buy Protection(4)


 

Credit Default
Swap Agreements
Sell Protection(4)


 

Currency
Swap Agreements(4)


$24,065,580   $675,683   $22,350   $60,090   $59,493
       

Total
Return
Swap Agreements(4)


       
        $11,217        

(1) Cost.

 

(2) Value at Trade Date.

 

(3) Value at Settlement Date.

 

(4) Notional Amount in USD (000).

Offsetting of over-the-counter (OTC) derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

 

Counterparty


     Gross amounts of
recognized assets(1)


       Gross amounts
available for offset


     Collateral
Received


     Net Amount

 

Barclays Capital Group

     $ 17,935         $       $       $ 17,935   

BNP Paribas

       16,251                           16,251   

Citigroup Global Markets

       975,984                   (975,984        

Credit Suisse First Boston Corp.

       81,463           (69,876      (11,587        

Deutsche Bank AG

       725,200           (220,336      (271,027      233,837   

Goldman & Sachs Co.

       15,711                           15,711   

JPMorgan Chase

       2,450,549           (2,402,614              47,935   

Hong Kong & Shanghai Bank

       199,476                           199,476   

Morgan Stanley

       34,729           (34,729                

UBS AG

       19,907                           19,907   
      


                            
       $ 4,537,205                                
      


                            

 

Counterparty


     Gross amounts of
recognized liabilities(2)


     Gross amounts
available for offset


       Collateral
Pledged


       Net Amount

 

Barclays Capital Group

     $       $         $   —         $   

BNP Paribas

                                     

Citigroup Global Markets

                                     

Credit Suisse First Boston Corp.

       (69,876      69,876                       

Deutsche Bank AG

       (220,336      220,336                       

Goldman & Sachs Co.

                                     

JPMorgan Chase

       (2,402,614      2,402,614                       

Hong Kong & Shanghai Bank

                                     

Morgan Stanley

       (172,518      34,729                     (137,789

UBS AG

                                     
      


                              
       $ (2,865,344                               
      


                              

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

 

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A60


     DIVERSIFIED BOND PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS         

Investments at value, including securities on loan of $4,916,595:

        

Unaffiliated investments (cost $980,472,097)

   $ 1,019,054,110   

Affiliated investments (cost $111,112,817)

     107,055,117   

Cash

     151,250   

Foreign currency, at value (cost $423,167)

     423,848   

Dividends and interest receivable

     9,752,458   

Deposit with broker for futures and centrally cleared swaps

     9,351,000   

Unrealized appreciation on OTC swap agreements

     3,362,810   

Unrealized appreciation on OTC forward foreign currency exchange contracts

     883,876   

Receivable for investments sold

     541,029   

Premium paid for OTC swap agreements

     290,519   

Due from broker—variation margin swaps

     55,421   

Tax reclaim receivable

     52,846   

Receivable for Series shares sold

     2,770   

Prepaid expenses

     1,150   
    


Total Assets

     1,150,978,204   
    


LIABILITIES         

Payable for investments purchased

     7,019,595   

Payable to broker for collateral for securities on loan

     5,006,241   

Unrealized depreciation on OTC swap agreements

     2,657,060   

Management fee payable

     370,024   

Accrued expenses and other liabilities

     252,562   

Due to broker—variation margin futures

     236,245   

Premium received for OTC swap agreements

     208,284   

Payable for Series shares repurchased

     186,075   

Deferred trustees’ fees

     1,395   

Affiliated transfer agent fee payable

     980   
    


Total Liabilities

     15,938,461   
    


NET ASSETS    $ 1,135,039,743   
    


Net assets were comprised of:

        

Paid-in capital

   $ 963,843,504   

Retained earnings

     171,196,239   
    


Net assets, June 30, 2016

   $ 1,135,039,743   
    


Net asset value and redemption price per share $1,135,039,743 / 91,333,054 outstanding shares of beneficial interest

   $ 12.43   
    


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

NET INVESTMENT INCOME (LOSS)        
INCOME        

Interest income (net of foreign withholding taxes of $2,048)

  $ 21,388,480   

Affiliated dividend income

    676,337   

Affiliated income from securities lending, net

    80,604   

Unaffiliated dividend income

    47,225   
   


Total income

    22,192,646   
   


EXPENSES        

Management fee

    2,203,792   

Shareholders’ reports

    152,000   

Custodian and accounting fees

    97,000   

Audit fee

    25,000   

Trustees’ fees

    10,000   

Legal fees and expenses

    9,000   

Insurance expenses

    7,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

    6,000   

Miscellaneous

    10,359   
   


Total expenses

    2,520,151   
   


NET INVESTMENT INCOME (LOSS)     19,672,495   
   


REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
       

Net realized gain (loss) on:

       

Investment transactions

    (2,564,774

Futures transactions

    21,473,253   

Options written transactions

    3,912   

Forward rate agreement transactions

    94,614   

Swap agreement transactions

    (3,900,602

Foreign currency transactions

    7,903   
   


      15,114,306   
   


Net change in unrealized appreciation (depreciation) on:

       

Investments (including affiliated: $186,229)

    38,192,225   

Futures

    18,430,766   

Options written

    (494,235

Swap agreements

    (18,501,935

Foreign currencies

    526,203   
   


      38,153,024   
   


NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     53,267,330   
   


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 72,939,825   
   


 

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 19,672,495      $ 37,422,495   

Net realized gain (loss) on investment and foreign currency transactions

     15,114,306        6,161,154   

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     38,153,024        (45,769,143
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     72,939,825        (2,185,494
    


 


SERIES SHARE TRANSACTIONS                 

Series shares sold [1,233,605 and 8,670,539 shares, respectively]

     14,837,897        101,626,083   

Series shares repurchased [3,133,673 and 7,014,473 shares, respectively]

     (37,652,548     (82,418,630
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (22,814,651     19,207,453   
    


 


Capital Contributions (Note 4)      20,597          
    


 


TOTAL INCREASE (DECREASE)      50,145,771        17,021,959   
NET ASSETS:                 

Beginning of period

     1,084,893,972        1,067,872,013   
    


 


End of period

   $ 1,135,039,743      $ 1,084,893,972   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A61


     EQUITY PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 97.3%         
COMMON STOCKS    Shares

     Value
(Note 2)


 

Aerospace & Defense — 1.8%

  

Boeing Co. (The)

     216,936       $ 28,173,478   

United Technologies Corp.

     342,940         35,168,497   
             


                63,341,975   
             


Automobiles — 0.5%

                 

Tesla Motors, Inc.*(a)

     90,083         19,122,819   
             


Banks — 6.1%

                 

Bank of America Corp.

     2,536,469         33,658,944   

Citigroup, Inc.

     947,408         40,160,625   

JPMorgan Chase & Co.

     949,886         59,025,916   

PNC Financial Services Group, Inc. (The)

     385,281         31,358,020   

Wells Fargo & Co.

     1,106,578         52,374,337   
             


                216,577,842   
             


Beverages — 0.7%

                 

Monster Beverage Corp.*

     165,275         26,561,345   
             


Biotechnology — 6.1%

                 

AbbVie, Inc.

     316,310         19,582,752   

Alexion Pharmaceuticals, Inc.*

     253,230         29,567,135   

Biogen, Inc.*

     49,997         12,090,275   

BioMarin Pharmaceutical, Inc.*

     252,029         19,607,856   

Celgene Corp.*

     409,276         40,366,892   

Regeneron Pharmaceuticals, Inc.*

     68,317         23,858,346   

Shire PLC, ADR

     384,544         70,786,859   
             


                215,860,115   
             


Capital Markets — 1.4%

                 

Goldman Sachs Group, Inc. (The)

     224,319         33,329,317   

Morgan Stanley

     607,206         15,775,212   
             


                49,104,529   
             


Chemicals — 1.2%

                 

Dow Chemical Co. (The)

     341,726         16,987,200   

FMC Corp.

     537,139         24,874,907   
             


                41,862,107   
             


Communications Equipment — 0.3%

  

Palo Alto Networks, Inc.*

     100,725         12,352,914   
             


Consumer Finance — 1.6%

                 

Capital One Financial Corp.

     478,764         30,406,302   

SLM Corp.*

     4,118,457         25,452,064   
             


                55,858,366   
             


Diversified Financial Services — 0.5%

  

Voya Financial, Inc.

     690,597         17,099,182   
             


Electric Utilities — 2.5%

                 

FirstEnergy Corp.

     1,070,948         37,386,795   

PG&E Corp.

     811,534         51,873,253   
             


                89,260,048   
             


Electrical Equipment — 1.0%

                 

Eaton Corp. PLC

     584,169         34,892,414   
             


Electronic Equipment, Instruments & Components — 0.8%

  

Flextronics International Ltd.*

     2,332,017         27,517,801   
             


Energy Equipment & Services — 1.5%

  

Halliburton Co.

     1,141,382         51,693,191   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Food & Staples Retailing — 1.9%

                 

Costco Wholesale Corp.

     240,931       $ 37,835,804   

Kroger Co. (The)

     758,324         27,898,740   
             


                65,734,544   
             


Food Products — 2.7%

                 

ConAgra Foods, Inc.

     924,110         44,181,699   

Mondelez International, Inc. (Class A Stock)

     1,137,174         51,752,789   
             


                95,934,488   
             


Health Care Equipment & Supplies — 0.9%

  

Zimmer Biomet Holdings, Inc.

     269,499         32,442,290   
             


Health Care Providers & Services — 0.9%

  

Laboratory Corp. of America Holdings*

     239,850         31,245,259   
             


Hotels, Restaurants & Leisure — 3.9%

  

Carnival Corp.

     776,610         34,326,162   

Marriott International, Inc. (Class A Stock)(a)

     621,251         41,288,341   

McDonald’s Corp.

     247,546         29,789,686   

Starbucks Corp.

     602,807         34,432,336   
             


                139,836,525   
             


Household Products — 1.3%

                 

Procter & Gamble Co. (The)

     550,472         46,608,464   
             


Industrial Conglomerates — 1.2%

                 

General Electric Co.

     1,309,466         41,221,990   
             


Insurance — 2.0%

                 

Chubb Ltd.

     344,194         44,989,598   

MetLife, Inc.

     616,042         24,536,953   
             


                69,526,551   
             


Internet & Catalog Retail — 5.5%

                 

Amazon.com, Inc.*

     173,835         124,399,803   

Netflix, Inc.*

     394,594         36,097,459   

Priceline Group, Inc. (The)*

     28,086         35,062,843   
             


                195,560,105   
             


Internet Software & Services — 9.7%

  

Alibaba Group Holding Ltd. (China), ADR*(a)

     529,337         42,098,171   

Alphabet, Inc. (Class A Stock)*

     74,560         52,455,197   

Alphabet, Inc. (Class C Stock)*

     75,955         52,568,455   

eBay, Inc.*

     917,680         21,482,889   

Facebook, Inc. (Class A Stock)*

     992,643         113,439,242   

Tencent Holdings Ltd. (China)

     2,622,314         60,155,027   
             


                342,198,981   
             


IT Services — 3.1%

                 

MasterCard, Inc. (Class A Stock)

     395,716         34,846,751   

Visa, Inc. (Class A Stock)(a)

     1,029,071         76,326,196   
             


                111,172,947   
             


Life Sciences Tools & Services — 0.3%

  

Illumina, Inc.*

     70,770         9,934,693   
             


Media — 2.0%

                 

Comcast Corp. (Class A Stock)

     551,070         35,924,253   

Walt Disney Co. (The)

     352,973         34,527,819   
             


                70,452,072   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A62


     EQUITY PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Multiline Retail — 1.0%

                 

Target Corp.

     495,063       $ 34,565,299   
             


Oil, Gas & Consumable Fuels — 4.7%

  

Chevron Corp.

     505,812         53,024,272   

Noble Energy, Inc.

     813,947         29,196,279   

Occidental Petroleum Corp.

     618,390         46,725,548   

Suncor Energy, Inc. (Canada)

     1,287,374         35,713,057   
             


                164,659,156   
             


Pharmaceuticals — 8.4%

                 

Allergan PLC*

     335,638         77,562,586   

Bristol-Myers Squibb Co.

     752,353         55,335,563   

Merck & Co., Inc.

     661,902         38,132,174   

Novo Nordisk A/S (Denmark), ADR

     576,932         31,027,403   

Pfizer, Inc.

     1,430,321         50,361,602   

Teva Pharmaceutical Industries Ltd. (Israel), ADR

     930,996         46,763,929   
             


                299,183,257   
             


Real Estate Investment Trusts (REITs) — 0.8%

  

American Tower Corp.

     254,408         28,903,293   
             


Road & Rail — 0.4%

                 

Ryder System, Inc.

     251,200         15,358,368   
             


Semiconductors & Semiconductor Equipment — 2.2%

  

NXP Semiconductors NV (Netherlands)*

     241,698         18,934,621   

QUALCOMM, Inc.

     332,977         17,837,578   

Texas Instruments, Inc.

     631,243         39,547,374   
             


                76,319,573   
             


Software — 9.1%

                 

Adobe Systems, Inc.*

     538,190         51,553,220   

Microsoft Corp.

     1,574,369         80,560,462   

PTC, Inc.*

     872,770         32,798,696   

Red Hat, Inc.*

     495,847         35,998,492   

salesforce.com, Inc.*

     868,870         68,996,967   

Splunk, Inc.*

     457,707         24,798,565   

Workday, Inc. (Class A Stock)*(a)

     369,025         27,555,097   
             


                322,261,499   
             


Specialty Retail — 3.5%

                 

Home Depot, Inc. (The)

     293,163         37,433,984   

Industria de Diseno Textil SA (Spain), ADR

     3,195,593         53,238,579   

O’Reilly Automotive, Inc.*

     118,654         32,167,099   
             


                122,839,662   
             


Technology Hardware, Storage & Peripherals — 2.2%

  

Apple, Inc.

     828,426         79,197,526   
             


Textiles, Apparel & Luxury Goods — 2.6%

  

adidas AG (Germany), ADR

     199,355         14,291,760   

Coach, Inc.

     803,207         32,722,653   

NIKE, Inc. (Class B Stock)

     827,764         45,692,573   
             


                92,706,986   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Wireless Telecommunication Services — 1.0%

  

Vodafone Group PLC (United Kingdom), ADR

     1,137,940       $ 35,150,967   
             


TOTAL LONG-TERM INVESTMENTS
(cost $2,604,414,197)

   

     3,444,119,143   
             


SHORT-TERM INVESTMENT — 6.0%   

AFFILIATED MUTUAL FUND

  

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $214,386,877; includes $131,778,076 of cash collateral for securities on loan)(b)(c)(Note 4)

     214,386,877         214,386,877   
             


TOTAL INVESTMENTS — 103.3%
(cost $2,818,801,074)

   

     3,658,506,020   

LIABILITIES IN EXCESS OF
OTHER ASSETS — (3.3)%

   

     (118,276,398
             


NET ASSETS — 100.0%

  

   $ 3,540,229,622   
             


See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $131,124,392; cash collateral of $131,778,076 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

 

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

 

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A63


     EQUITY PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

    

Level 1


    

Level 2


    

Level 3


 

Investments in Securities

                          

Common Stocks

                          

Aerospace & Defense

   $ 63,341,975       $       $   

Automobiles

     19,122,819                   

Banks

     216,577,842                   

Beverages

     26,561,345                   

Biotechnology

     215,860,115                   

Capital Markets

     49,104,529                   

Chemicals

     41,862,107                   

Communications Equipment

     12,352,914                   

Consumer Finance

     55,858,366                   

Diversified Financial Services

     17,099,182                   

Electric Utilities

     89,260,048                   

Electrical Equipment

     34,892,414                   

Electronic Equipment, Instruments & Components

     27,517,801                   

Energy Equipment & Services

     51,693,191                   

Food & Staples Retailing

     65,734,544                   

Food Products

     95,934,488                   

Health Care Equipment & Supplies

     32,442,290                   

Health Care Providers & Services

     31,245,259                   

Hotels, Restaurants & Leisure

     139,836,525                   

Household Products

     46,608,464                   

Industrial Conglomerates

     41,221,990                   

Insurance

     69,526,551                   

Internet & Catalog Retail

     195,560,105                   

Internet Software & Services

     282,043,954         60,155,027           

IT Services

     111,172,947                   

Life Sciences Tools & Services

     9,934,693                   

Media

     70,452,072                   

Multiline Retail

     34,565,299                   

Oil, Gas & Consumable Fuels

     164,659,156                   

Pharmaceuticals

     299,183,257                   

Real Estate Investment Trusts (REITs)

     28,903,293                   

Road & Rail

     15,358,368                   

Semiconductors & Semiconductor Equipment

     76,319,573                   

Software

     322,261,499                   

Specialty Retail

     122,839,662                   

Technology Hardware, Storage & Peripherals

     79,197,526                   

Textiles, Apparel & Luxury Goods

     92,706,986                   

Wireless Telecommunication Services

     35,150,967                   

Affiliated Mutual Fund

     214,386,877                   
    


  


  


Total

   $ 3,598,350,993       $ 60,155,027       $   —   
    


  


  


The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

 

Internet Software & Services

     9.7

Software

     9.1   

Pharmaceuticals

     8.4   

Banks

     6.1   

Biotechnology

     6.1   

Affiliated Mutual Fund (including 3.7% of collateral for securities on loan)

     6.0   

Internet & Catalog Retail

     5.5   

Oil, Gas & Consumable Fuels

     4.7   

Hotels, Restaurants & Leisure

     3.9   

Specialty Retail

     3.5   

IT Services

     3.1   

Food Products

     2.7

Textiles, Apparel & Luxury Goods

     2.6   

Electric Utilities

     2.5   

Technology Hardware, Storage & Peripherals

     2.2   

Semiconductors & Semiconductor Equipment

     2.2   

Media

     2.0   

Insurance

     2.0   

Food & Staples Retailing

     1.9   

Aerospace & Defense

     1.8   

Consumer Finance

     1.6   

Energy Equipment & Services

     1.5   

Capital Markets

     1.4   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A64


     EQUITY PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Industry table (cont.)


      

Household Products

     1.3

Chemicals

     1.2   

Industrial Conglomerates

     1.2   

Wireless Telecommunication Services

     1.0   

Electrical Equipment

     1.0   

Multiline Retail

     1.0   

Health Care Equipment & Supplies

     0.9   

Health Care Providers & Services

     0.9   

Real Estate Investment Trusts (REITs)

     0.8   

Electronic Equipment, Instruments & Components

     0.8   

Beverages

     0.7

Automobiles

     0.5   

Diversified Financial Services

     0.5   

Road & Rail

     0.4   

Communications Equipment

     0.3   

Life Sciences Tools & Services

     0.3   
    


       103.3   

Liabilities in excess of other assets

     (3.3
    


       100.0
    


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A65


     EQUITY PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS        

Investments at value, including securities on loan of $131,124,392:

       

Unaffiliated investments (cost $2,604,414,197)

  $ 3,444,119,143   

Affiliated investments (cost $214,386,877)

    214,386,877   

Receivable for investments sold

    23,032,947   

Dividends receivable

    4,896,712   

Tax reclaim receivable

    1,782,711   

Receivable for Series shares sold

    5,394   

Prepaid expenses

    4,453   
   


Total assets

    3,688,228,237   
   


LIABILITIES        

Payable to broker for collateral for securities on loan

    131,778,076   

Payable for investments purchased

    14,055,086   

Management fee payable

    1,318,456   

Payable for Series shares repurchased

    610,852   

Accrued expenses

    234,127   

Affiliated transfer agent fee payable

    980   

Distribution fee payable

    398   

Deferred trustees’ fees

    325   

Administration fee payable

    315   
   


Total liabilities

    147,998,615   
   


NET ASSETS   $ 3,540,229,622   
   


Net assets were comprised of:

       

Paid-in capital

  $ 1,777,219,339   

Retained earnings

    1,763,010,283   
   


Net assets, June 30, 2016

  $ 3,540,229,622   
   


Class I:        

Net asset value and redemption price per share $3,538,447,263 / 94,381,338 outstanding shares of beneficial interest

  $ 37.49   
   


Class II:        

Net asset value and redemption price per share $1,782,359 / 47,698 outstanding shares of beneficial interest

  $ 37.37   
   


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

INCOME        
NET INVESTMENT INCOME (LOSS)        

Unaffiliated dividend income (net of foreign withholding taxes of $346,625)

  $ 25,133,022   

Affiliated income from securities lending, net

    1,145,321   

Affiliated dividend income

    200,967   
   


Total income

    26,479,310   
   


EXPENSES        

Management fee

    7,935,368   

Distribution fee—Class II

    2,232   

Administration fee—Class II

    1,339   

Custodian and accounting fees

    214,000   

Shareholders’ reports

    121,000   

Insurance expenses

    26,000   

Trustees’ fees

    22,000   

Audit fee

    14,000   

Legal fees and expenses

    9,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

    6,000   

Miscellaneous

    19,430   
   


Total expenses

    8,370,369   
   


NET INVESTMENT INCOME (LOSS)     18,108,941   
   


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS        

Net realized gain (loss) on:

       

Investment transactions

    32,959,674   

Foreign currency transactions

    (210
   


      32,959,464   
   


Net change in unrealized appreciation (depreciation) on:

       

Investments

    (248,799,038

Foreign currencies

    39,798   
   


      (248,759,240
   


NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     (215,799,776
   


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ (197,690,835
   


 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 18,108,941      $ 34,018,287   

Net realized gain (loss) on investment and foreign currency transactions

     32,959,464        164,739,137   

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     (248,759,240     (104,802,733
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     (197,690,835     93,954,691   
    


 


SERIES SHARE TRANSACTIONS (NOTE 7)                 

Series shares sold

     4,599,024        11,599,955   

Series shares repurchased

     (118,111,957     (277,235,158
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (113,512,933     (265,635,203
    


 


Capital Contributions (Note 4)

     3,315,979          
TOTAL INCREASE (DECREASE)      (307,887,789     (171,680,512
NET ASSETS:                 

Beginning of period

     3,848,117,411        4,019,797,923   
    


 


End of period

   $ 3,540,229,622      $ 3,848,117,411   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A66


     FLEXIBLE MANAGED PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 95.5%  
COMMON STOCKS — 59.4%    Shares

     Value
(Note 2)


 

Aerospace & Defense — 1.4%

  

Boeing Co. (The)

     79,400       $ 10,311,678   

BWX Technologies, Inc.

     120,000         4,292,400   

General Dynamics Corp.

     112,600         15,678,424   

Huntington Ingalls Industries, Inc.

     68,300         11,476,449   

Safran SA (France)

     3,623         243,980   

Spirit AeroSystems Holdings, Inc. (Class A Stock)*

     201,500         8,664,500   

Textron, Inc.

     33,700         1,232,072   

Thales SA (France)

     1,229         102,062   

United Technologies Corp.

     19,400         1,989,470   
             


                53,991,035   
             


Air Freight & Logistics — 0.4%

  

Deutsche Post AG (Germany)

     7,511         211,605   

FedEx Corp.

     107,700         16,346,706   

Royal Mail PLC (United Kingdom)

     6,963         46,781   
             


                16,605,092   
             


Airlines — 0.5%

  

ANA Holdings, Inc. (Japan)

     12,000         34,195   

Cathay Pacific Airways Ltd. (Hong Kong)

     312,000         457,724   

International Consolidated Airlines Group SA (United Kingdom)

     6,346         31,421   

Japan Airlines Co. Ltd. (Japan)

     900         28,955   

Ryanair Holdings PLC (Ireland), ADR

     3,385         235,393   

Singapore Airlines Ltd. (Singapore)

     2,100         16,676   

Southwest Airlines Co.

     375,100         14,707,671   

United Continental Holdings, Inc.*

     106,900         4,387,176   
             


                19,899,211   
             


Auto Components

  

Cie Generale des Etablissements Michelin (France)

     5,692         536,420   

Koito Manufacturing Co. Ltd. (Japan)

     15,500         713,689   

Sumitomo Rubber Industries Ltd. (Japan)

     1,300         17,404   

Valeo SA (France)

     11,510         510,978   
             


                1,778,491   
             


Automobiles — 0.8%

  

Bayerische Motoren Werke AG (Germany)

     2,570         187,033   

Daimler AG (Germany)

     445         26,628   

Ferrari NV (Italy)

     952         39,082   

Fiat Chrysler Automobiles NV (United Kingdom)

     6,980         42,965   

Ford Motor Co.

     925,500         11,633,535   

Fuji Heavy Industries Ltd. (Japan)

     4,500         154,680   

General Motors Co.

     538,200         15,231,060   

Mazda Motor Corp. (Japan)

     12,900         170,709   

Mitsubishi Motors Corp. (Japan)

     5,300         24,467   

Nissan Motor Co. Ltd. (Japan)

     19,600         174,917   

Peugeot SA (France)*

     1,072         12,849   

Renault SA (France)

     9,259         699,035   

Suzuki Motor Corp. (Japan)

     2,900         78,526   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Automobiles (continued)

  

Toyota Motor Corp. (Japan)

     19,900       $ 981,041   

Volkswagen AG (Germany)

     246         32,610   
             


                29,489,137   
             


Banks — 3.6%

  

Aozora Bank Ltd. (Japan)

     13,000         45,097   

Banco Santander SA (Spain)

     13,182         51,155   

Bank of America Corp.

     2,059,000         27,322,930   

BNP Paribas SA (France)

     21,671         950,397   

BOC Hong Kong Holdings Ltd. (Hong Kong)

     8,500         25,614   

Citigroup, Inc.

     616,100         26,116,479   

Commonwealth Bank of Australia (Australia)

     4,684         262,914   

Concordia Financial Group Ltd. (Japan)*

     9,400         36,302   

Credit Agricole SA (France)

     81,889         688,438   

Danske Bank A/S (Denmark)

     30,073         791,533   

DBS Group Holdings Ltd. (Singapore)

     28,300         333,683   

Erste Group Bank AG (Austria)

     3,281         74,702   

Fukuoka Financial Group, Inc. (Japan)

     9,000         29,675   

HSBC Holdings PLC (United Kingdom)

     257,329         1,594,304   

ING Groep NV (Netherlands), CVA

     46,296         478,976   

Intesa Sanpaolo SpA (Italy)

     98,988         188,544   

Intesa Sanpaolo SpA, RSP (Italy)

     10,151         18,172   

Japan Post Bank Co. Ltd. (Japan)

     3,100         36,452   

JPMorgan Chase & Co.

     612,894         38,085,233   

Kyushu Financial Group, Inc. (Japan)

     2,800         13,879   

Lloyds Banking Group PLC (United Kingdom)

     34,514         24,998   

Mitsubishi UFJ Financial Group, Inc. (Japan)

     4,200         18,828   

Mizrahi Tefahot Bank Ltd. (Israel)

     1,616         18,634   

Mizuho Financial Group, Inc. (Japan)

     186,700         268,672   

National Australia Bank Ltd. (Australia)

     20,319         390,114   

PNC Financial Services Group, Inc. (The)

     175,300         14,267,667   

Resona Holdings, Inc. (Japan)

     7,000         25,584   

Societe Generale SA (France)

     23,642         739,665   

Sumitomo Mitsui Financial Group, Inc. (Japan)

     33,300         961,540   

Sumitomo Mitsui Trust Holdings, Inc. (Japan)

     208,000         676,793   

SunTrust Banks, Inc.

     219,600         9,021,168   

Svenska Handelsbanken AB (Sweden) (Class A Stock)

     11,584         140,636   

Wells Fargo & Co.

     305,512         14,459,883   

Westpac Banking Corp. (Australia)

     4,332         96,065   
             


                138,254,726   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A67


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Beverages — 1.0%

  

Anheuser-Busch InBev NV (Belgium)

     2,940       $ 388,777   

Asahi Group Holdings Ltd. (Japan)

     3,000         97,004   

Coca-Cola Amatil Ltd. (Australia)

     47,215         291,459   

Coca-Cola Co. (The)

     57,400         2,601,942   

Coca-Cola European Partners PLC (United Kingdom)*

     1,692         60,631   

Coca-Cola HBC AG (Switzerland)

     2,390         48,361   

Diageo PLC (United Kingdom)

     23,031         643,389   

Heineken NV (Netherlands)

     2,686         246,366   

PepsiCo, Inc.

     320,120         33,913,513   

SABMiller PLC (United Kingdom)

     307         17,904   
             


                38,309,346   
             


Biotechnology — 2.1%

  

Actelion Ltd. (Switzerland)

     1,213         204,266   

Amgen, Inc.

     153,408         23,341,027   

Biogen Idec, Inc.*

     59,300         14,339,926   

Celgene Corp.*

     194,600         19,193,398   

CSL Ltd. (Australia)

     3,345         282,093   

Gilead Sciences, Inc.

     274,100         22,865,422   

Shire PLC (Ireland)

     7,012         433,362   
             


                80,659,494   
             


Building Products — 0.5%

  

Asahi Glass Co. Ltd. (Japan)

     8,000         43,415   

Assa Abloy AB (Sweden) (Class B Stock)

     7,756         159,563   

Cie de Saint-Gobain (France)

     13,509         512,069   

Continental Building Products, Inc.*

     49,500         1,100,385   

Masco Corp.

     430,700         13,325,858   

Universal Forest Products, Inc.

     24,800         2,298,712   
             


                17,440,002   
             


Capital Markets — 1.3%

  

3i Group PLC (United Kingdom)

     96,321         706,720   

Ameriprise Financial, Inc.

     55,300         4,968,705   

Franklin Resources, Inc.

     192,700         6,430,399   

Goldman Sachs Group, Inc. (The)

     119,800         17,799,884   

Invesco Ltd.

     258,000         6,589,320   

Macquarie Group Ltd. (Australia)

     15,522         807,991   

Mediobanca SpA (Italy)

     4,422         25,479   

Morgan Stanley

     205,200         5,331,096   

Partners Group Holding AG (Switzerland)

     132         56,571   

Raymond James Financial, Inc.(a)

     142,400         7,020,320   

SBI Holdings, Inc. (Japan)

     48,000         477,990   
             


                50,214,475   
             


Chemicals — 1.1%

  

Air Products & Chemicals, Inc.

     97,900         13,905,716   

Asahi Kasei Corp. (Japan)

     9,000         62,631   

BASF SE (Germany)

     2,238         171,608   

Chr Hansen Holding A/S (Denmark)

     1,152         75,658   

Covestro AG (Germany), 144A

     551         24,542   

Daicel Corp. (Japan)

     22,400         232,110   

GCP Applied Technologies, Inc.*

     46,200         1,203,048   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Chemicals (continued)

  

Givaudan SA (Switzerland)

     29       $ 58,392   

Hitachi Chemical Co. Ltd. (Japan)

     800         14,941   

K+S AG (Germany)

     6,091         124,697   

Kaneka Corp. (Japan)

     3,000         20,017   

Kuraray Co. Ltd. (Japan)

     3,900         46,533   

LyondellBasell Industries NV (Class A Stock)

     200,100         14,891,442   

Mitsubishi Chemical Holdings Corp. (Japan)

     15,500         71,052   

Mitsubishi Gas Chemical Co., Inc. (Japan)

     4,000         20,868   

Mitsui Chemicals, Inc. (Japan)

     9,000         33,073   

Shin-Etsu Chemical Co. Ltd. (Japan)

     4,900         287,083   

Sika AG (Switzerland)

     26         109,019   

Solvay SA (Belgium)

     565         52,776   

Sumitomo Chemical Co. Ltd. (Japan)

     12,000         49,513   

Teijin Ltd. (Japan)

     7,000         23,195   

Toray Industries, Inc. (Japan)

     11,000         93,862   

Westlake Chemical Corp.

     178,500         7,661,220   

Yara International ASA (Norway)

     20,992         666,849   
             


                39,899,845   
             


Commercial Services & Supplies — 0.1%

  

Brambles Ltd. (Australia)

     12,290         114,744   

Herman Miller, Inc.

     25,900         774,151   

ISS A/S (Denmark)

     15,658         588,902   

Secom Co. Ltd. (Japan)

     1,600         118,293   

Steelcase, Inc. (Class A Stock)

     135,100         1,833,307   
             


                3,429,397   
             


Communications Equipment — 0.8%

  

Cisco Systems, Inc.

     973,600         27,932,584   

Juniper Networks, Inc.

     41,600         935,584   

NETGEAR, Inc.*

     18,500         879,490   
             


                29,747,658   
             


Construction & Engineering — 0.1%

  

ACS Actividades de Construccion y Servicios SA (Spain)

     1,553         42,598   

EMCOR Group, Inc.

     42,200         2,078,772   

Hochtief AG (Germany)

     163         21,045   

Kajima Corp. (Japan)

     62,000         430,697   

Obayashi Corp. (Japan)

     74,200         790,001   

Shimizu Corp. (Japan)

     6,000         56,214   

Skanska AB (Sweden) (Class B Stock)

     7,492         156,875   

Taisei Corp. (Japan)

     8,000         65,734   

Vinci SA (France)

     3,878         273,659   
             


                3,915,595   
             


Construction Materials

  

Fletcher Building Ltd. (New Zealand)

     5,381         33,099   

HeidelbergCement AG (Germany)

     1,101         82,941   
             


                116,040   
             


Consumer Finance — 0.2%

  

Navient Corp.

     730,800         8,733,060   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A68


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Containers & Packaging — 0.1%

  

Amcor Ltd. (Australia)

     13,389       $ 150,541   

Greif, Inc. (Class A Stock)

     46,000         1,714,420   

Rexam PLC (United Kingdom)

     5,479         47,787   
             


                1,912,748   
             


Diversified Financial Services — 0.8%

  

Berkshire Hathaway, Inc. (Class B Stock)*

     214,000         30,985,060   

Eurazeo SA (France)

     3,127         185,513   

Japan Exchange Group, Inc. (Japan)

     4,200         48,356   

Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)

     66,700         256,300   

ORIX Corp. (Japan)

     10,400         134,581   
             


                31,609,810   
             


Diversified Telecommunication Services — 2.2%

  

AT&T, Inc.

     948,820         40,998,512   

Deutsche Telekom AG (Germany)(a)

     25,214         429,958   

Koninklijke KPN NV (Netherlands)

     26,523         94,540   

Nippon Telegraph & Telephone Corp. (Japan)

     21,300         998,862   

Orange SA (France)

     15,413         250,624   

Spark New Zealand Ltd. (New Zealand)

     199,243         506,405   

Telecom Italia SpA (Italy)

     46,997         30,237   

Telefonica SA (Spain)

     34,542         327,937   

TPG Telecom Ltd. (Australia)

     3,510         31,474   

Verizon Communications, Inc.

     708,888         39,584,306   
             


                83,252,855   
             


Electric Utilities — 1.7%

  

American Electric Power Co., Inc.

     162,800         11,410,652   

AusNet Services (Australia)

     20,657         25,442   

Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)

     5,000         43,110   

Chubu Electric Power Co., Inc. (Japan)

     4,900         69,732   

Chugoku Electric Power Co., Inc. (The) (Japan)

     2,100         26,698   

CLP Holdings Ltd. (Hong Kong)

     22,500         229,842   

EDP-Energias de Portugal SA (Portugal)

     28,232         86,435   

Electricite de France (France)

     13,900         168,541   

Endesa SA (Spain)

     2,451         49,181   

Enel SpA (Italy)

     90,243         400,631   

Entergy Corp.

     71,000         5,775,850   

Exelon Corp.

     513,200         18,659,952   

FirstEnergy Corp.

     372,500         13,003,975   

Fortum OYJ (Finland)

     3,382         54,337   

Hokuriku Electric Power Co. (Japan)

     1,700         21,065   

Iberdrola SA (Spain)

     28,204         192,396   

Kansai Electric Power Co., Inc. (The) (Japan)*

     5,300         51,618   

Kyushu Electric Power Co., Inc. (Japan)

     3,200         32,094   

PPL Corp.

     394,300         14,884,825   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Electric Utilities (continued)

  

Red Electrica Corp. SA (Spain)

     569       $ 50,843   

Shikoku Electric Power Co., Inc. (Japan)

     1,200         14,214   

SSE PLC (United Kingdom)

     7,818         162,718   

Tohoku Electric Power Co., Inc. (Japan)

     3,500         44,172   

Tokyo Electric Power Co., Inc. (Japan)*

     11,200         47,432   
             


                65,505,755   
             


Electrical Equipment — 0.8%

  

ABB Ltd. (Switzerland)

     48,361         957,166   

Eaton Corp. PLC

     233,500         13,946,955   

Emerson Electric Co.(a)

     214,800         11,203,968   

OSRAM Licht AG (Germany)

     692         35,954   

Regal Beloit Corp.

     45,700         2,515,785   

Vestas Wind Systems A/S (Denmark)

     1,735         117,927   
             


                28,777,755   
             


Electronic Equipment, Instruments & Components — 0.1%

  

Hexagon AB (Sweden) (Class B Stock)

     2,001         73,228   

Hitachi High-Technologies Corp. (Japan)

     500         13,684   

Hitachi Ltd. (Japan)

     7,000         29,329   

Ingenico Group SA (France)

     427         49,492   

Jabil Circuit, Inc.

     87,700         1,619,819   

TDK Corp. (Japan)

     13,600         761,278   
             


                2,546,830   
             


Energy Equipment & Services — 0.2%

  

Ensco PLC (Class A Stock)

     730,400         7,092,184   
             


Food & Staples Retailing — 1.7%

  

ICA Gruppen AB (Sweden)

     20,199         676,973   

J. Sainsbury PLC (United Kingdom)

     208,860         650,642   

Koninklijke Ahold NV (Netherlands)

     6,495         143,427   

Kroger Co. (The)

     458,800         16,879,252   

METRO AG (Germany)

     22,147         681,158   

Wal-Mart Stores, Inc.

     362,600         26,477,052   

Walgreens Boots Alliance, Inc.

     243,400         20,267,918   
             


                65,776,422   
             


Food Products — 1.1%

  

Blue Buffalo Pet Products, Inc.*

     47,800         1,115,652   

Bunge Ltd.

     148,800         8,801,520   

ConAgra Foods, Inc.

     206,600         9,877,546   

Lindt & Spruengli AG (Switzerland)

     1         71,463   

Marine Harvest ASA (Norway)

     2,963         49,978   

MEIJI Holdings Co. Ltd. (Japan)

     800         82,204   

Nestle SA (Switzerland)

     24,565         1,903,255   

Orkla ASA (Norway)

     20,558         182,834   

Pilgrim’s Pride Corp.

     38,700         986,076   

Tyson Foods, Inc. (Class A Stock)

     246,300         16,450,377   

WH Group Ltd. (Hong Kong), 144A

     904,000         715,964   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A69


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Food Products (continued)

  

Wilmar International Ltd. (Singapore)

     209,000       $ 508,769   
             


                40,745,638   
             


Gas Utilities — 0.1%

  

Gas Natural SDG SA (Spain)

     2,684         53,352   

Tokyo Gas Co. Ltd. (Japan)

     15,000         61,931   

UGI Corp.

     117,000         5,294,250   
             


                5,409,533   
             


Health Care Equipment & Supplies — 1.7%

  

Abbott Laboratories

     423,300         16,639,923   

Becton Dickinson and Co.

     90,500         15,347,895   

C.R. Bard, Inc.

     38,300         9,006,628   

Edwards Lifesciences Corp.*

     9,400         937,462   

Hill-Rom Holdings, Inc.

     24,100         1,215,845   

Hologic, Inc.*

     297,000         10,276,200   

Medtronic PLC

     124,800         10,828,896   

Sysmex Corp. (Japan)

     500         34,429   
             


                64,287,278   
             


Health Care Providers & Services — 2.0%

  

Alfresa Holdings Corp. (Japan)

     34,300         716,599   

Anthem, Inc.

     113,900         14,959,626   

Express Scripts Holding Co.*

     227,000         17,206,600   

Fresenius SE & Co. KGaA (Germany)

     244         17,929   

HCA Holdings, Inc.*

     91,900         7,077,219   

McKesson Corp.

     28,200         5,263,530   

Medipal Holdings Corp. (Japan)

     42,400         697,091   

Ramsay Health Care Ltd. (Australia)

     1,076         58,153   

Ryman Healthcare Ltd. (New Zealand)

     2,922         19,503   

Sonic Healthcare Ltd. (Australia)

     3,021         48,992   

UnitedHealth Group, Inc.

     199,400         28,155,280   
             


                74,220,522   
             


Hotels, Restaurants & Leisure — 1.4%

  

Aristocrat Leisure Ltd. (Australia)

     4,201         43,703   

Bloomin’ Brands, Inc.

     143,100         2,557,197   

Compass Group PLC (United Kingdom)

     23,433         445,824   

Extended Stay America, Inc.(a)

     145,700         2,178,215   

McDonald’s Corp.

     198,400         23,875,456   

Oriental Land Co. Ltd. (Japan)

     1,600         103,599   

Paddy Power Betfair PLC (Ireland)

     2,012         211,455   

Tui AG (Germany)

     3,897         44,356   

Wyndham Worldwide Corp.

     163,000         11,610,490   

Yum! Brands, Inc.

     125,900         10,439,628   
             


                51,509,923   
             


Household Durables — 0.4%

  

Barratt Developments PLC (United Kingdom)

     7,953         43,217   

Berkeley Group Holdings PLC (United Kingdom)

     5,688         192,072   

D.R. Horton, Inc.

     394,200         12,409,416   

Electrolux AB (Sweden) (Class B Stock)

     19,200         523,485   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Household Durables (continued)

  

Iida Group Holdings Co. Ltd. (Japan)

     2,000       $ 40,958   

Meritage Homes Corp.*

     41,100         1,542,894   

Nikon Corp. (Japan)

     6,300         85,301   

Persimmon PLC (United Kingdom)

     3,351         64,982   

Sekisui House Ltd. (Japan)

     7,000         122,585   

Taylor Wimpey PLC (United Kingdom)

     262,670         466,001   
             


                15,490,911   
             


Household Products — 1.6%

  

Colgate-Palmolive Co.

     228,900         16,755,480   

Henkel AG & Co. KGaA (Germany)

     2,201         238,079   

Kimberly-Clark Corp.

     39,400         5,416,712   

Procter & Gamble Co. (The)

     455,505         38,567,608   

Reckitt Benckiser Group PLC (United Kingdom)

     6,992         701,103   

Svenska Cellulosa AB SCA (Sweden) (Class B Stock)

     7,684         246,892   
             


                61,925,874   
             


Independent Power & Renewable Electricity Producers — 0.3%

  

AES Corp.

     945,000         11,793,600   

Electric Power Development Co. Ltd. (Japan)

     1,100         25,628   
             


                11,819,228   
             


Industrial Conglomerates — 1.1%

  

3M Co.

     122,700         21,487,224   

Carlisle Cos., Inc.

     32,200         3,402,896   

CK Hutchison Holdings Ltd. (Hong Kong)

     20,520         225,729   

Danaher Corp.

     30,900         3,120,900   

DCC PLC (United Kingdom)

     5,866         516,208   

General Electric Co.

     387,592         12,201,396   

NWS Holdings Ltd. (Hong Kong)

     18,000         28,492   

Siemens AG (Germany)

     7,232         742,160   
             


                41,725,005   
             


Insurance — 1.4%

  

Aflac, Inc.

     154,600         11,155,936   

AIA Group Ltd. (Hong Kong)

     7,400         44,502   

Allianz SE (Germany)

     7,928         1,130,993   

Allstate Corp. (The)

     222,900         15,591,855   

American Financial Group, Inc.

     15,500         1,145,915   

Assicurazioni Generali SpA (Italy)

     1,889         22,276   

AXA SA (France)

     15,016         296,907   

Hannover Rueck SE (Germany)

     6,802         712,699   

Legal & General Group PLC (United Kingdom)

     131,827         337,492   

Mapfre SA (Spain)

     8,291         18,208   

Medibank Pvt Ltd. (Australia)

     33,000         73,180   

MetLife, Inc.

     384,600         15,318,618   

MS&AD Insurance Group Holdings, Inc. (Japan)

     4,100         106,231   

NN Group NV (Netherlands)

     23,317         641,883   

Poste Italiane SpA (Italy), 144A

     4,046         26,865   

SCOR SE (France)

     1,788         52,863   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A70


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Insurance (continued)

  

Swiss Life Holding AG (Switzerland)

     247       $ 57,081   

Swiss Re AG (Switzerland)

     10,410         909,214   

Travelers Cos., Inc. (The)

     37,200         4,428,288   
             


                52,071,006   
             


Internet & Catalog Retail — 0.8%

  

Amazon.com, Inc.*

     44,000         31,487,280   

Start Today Co. Ltd. (Japan)

     500         26,429   
             


                31,513,709   
             


Internet Software & Services — 2.8%

  

Alphabet, Inc. (Class A Stock)*

     33,900         23,849,667   

Alphabet, Inc. (Class C Stock)*

     38,682         26,771,812   

eBay, Inc.*

     542,100         12,690,561   

Facebook, Inc. (Class A Stock)*

     368,000         42,055,040   

Mixi, Inc. (Japan)

     500         20,673   
             


                105,387,753   
             


IT Services — 1.7%

  

Accenture PLC (Class A Stock)

     166,900         18,908,101   

Amadeus IT Holding SA (Spain) (Class A Stock)

     5,242         230,957   

Atos SE (France)

     8,510         701,644   

Cap Gemini SA (France)

     1,890         163,094   

Cognizant Technology Solutions Corp. (Class A Stock)*

     256,200         14,664,888   

Computershare Ltd. (Australia)

     6,189         42,796   

CSRA, Inc.

     80,000         1,874,400   

DST Systems, Inc.

     24,700         2,875,821   

First Data Corp. (Class A Stock)*

     636,900         7,050,483   

Fiserv, Inc.*

     69,000         7,502,370   

Leidos Holdings, Inc.(a)

     93,200         4,461,484   

Nomura Research Institute Ltd. (Japan)

     1,000         36,675   

Visa, Inc. (Class A Stock)(a)

     87,000         6,452,790   
             


                64,965,503   
             


Leisure Products

  

Bandai Namco Holdings, Inc. (Japan)

     1,600         41,290   

Sankyo Co. Ltd. (Japan)

     12,800         479,911   

Sega Sammy Holdings, Inc. (Japan)

     2,200         23,694   

Yamaha Corp. (Japan)

     2,000         53,907   
             


                598,802   
             


Life Sciences Tools & Services — 0.1%

  

QIAGEN NV*

     1,704         37,134   

VWR Corp.*

     67,100         1,939,190   
             


                1,976,324   
             


Machinery — 0.4%

  

Allison Transmission Holdings, Inc.

     27,900         787,617   

Amada Co. Ltd. (Japan)

     2,700         27,411   

ANDRITZ AG (Austria)

     922         43,719   

Atlas Copco AB (Sweden) (Class A Stock)

     600         15,583   

Atlas Copco AB (Sweden) (Class B Stock)

     4,607         109,197   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Machinery (continued)

  

GEA Group AG (Germany)

     1,414       $ 66,743   

Hoshizaki Electric Co. Ltd. (Japan)

     4,200         411,155   

Illinois Tool Works, Inc.

     45,100         4,697,616   

Ingersoll-Rand PLC

     24,600         1,566,528   

Kone OYJ (Finland) (Class B Stock)

     3,913         180,587   

Mitsubishi Heavy Industries Ltd. (Japan)

     25,000         100,531   

Schindler Holding AG (Switzerland)

     155         28,208   

Schindler Holding AG (Switzerland) (Part. Cert.)

     338         61,194   

Terex Corp.

     116,800         2,372,208   

Volvo AB (Sweden) (Class B Stock)

     18,271         181,510   

Wabash National Corp.*(a)

     221,900         2,818,130   
             


                13,467,937   
             


Marine

  

A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)

     28         35,290   
             


Media — 1.2%

                 

Comcast Corp. (Class A Stock)

     426,473         27,801,775   

Hakuhodo DY Holdings, Inc. (Japan)

     16,100         192,971   

News Corp. (Class A Stock)

     63,600         721,860   

ProSiebenSat.1 Media AG (Germany)*

     1,699         74,318   

RELX PLC (United Kingdom)

     1,066         19,630   

RTL Group SA (Luxembourg)

     300         24,501   

TEGNA, Inc.

     41,200         954,604   

Time Warner, Inc.

     13,100         963,374   

Viacom, Inc. (Class B Stock)

     34,000         1,409,980   

Vivendi SA (France)

     9,108         170,400   

Walt Disney Co. (The)

     134,200         13,127,444   

WPP PLC (United Kingdom)

     41,007         854,648   
             


                46,315,505   
             


Metals & Mining — 0.4%

  

Alumina Ltd. (Australia)

     18,022         17,715   

Anglo American PLC (United Kingdom)

     9,862         96,670   

BHP Billiton Ltd. (Australia)

     23,976         334,136   

BHP Billiton PLC (Australia)

     6,611         83,676   

Boliden AB (Sweden)

     38,065         743,946   

Fortescue Metals Group Ltd. (Australia)

     186,008         497,766   

JFE Holdings, Inc. (Japan)

     3,900         50,876   

Mitsubishi Materials Corp. (Japan)

     12,000         28,732   

Newmont Mining Corp.

     30,500         1,193,160   

Nippon Steel & Sumitomo Metal Corp. (Japan)

     9,800         189,724   

Nucor Corp.

     108,700         5,370,867   

Rio Tinto PLC (United Kingdom)

     9,305         289,076   

Steel Dynamics, Inc.

     292,600         7,168,700   

Voestalpine AG (Austria)

     9,333         314,106   
             


                16,379,150   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A71


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Multi-Utilities — 0.3%

  

DTE Energy Co.

     10,700       $ 1,060,584   

E.ON SE (Germany)

     23,905         241,318   

MDU Resources Group, Inc.

     76,600         1,838,400   

National Grid PLC (United Kingdom)

     79,503         1,169,123   

Public Service Enterprise Group, Inc.

     139,300         6,492,773   
             


                10,802,198   
             


Multiline Retail — 0.7%

  

Harvey Norman Holdings Ltd. (Australia)

     6,703         23,324   

J Front Retailing Co. Ltd. (Japan)

     2,600         26,958   

Macy’s, Inc.

     388,300         13,050,763   

Takashimaya Co. Ltd. (Japan)

     3,000         21,487   

Target Corp.

     202,400         14,131,568   
             


                27,254,100   
             


Oil, Gas & Consumable Fuels — 3.7%

  

BP PLC (United Kingdom)

     135,134         791,013   

Caltex Australia Ltd. (Australia)

     2,887         69,606   

Chevron Corp.

     6,856         718,714   

ConocoPhillips

     128,500         5,602,600   

EQT Corp.

     171,700         13,294,731   

Exxon Mobil Corp.

     385,116         36,100,774   

Galp Energia SGPS SA (Portugal)

     46,405         645,419   

HollyFrontier Corp.

     84,900         2,018,073   

Kinder Morgan, Inc.

     840,600         15,736,032   

Marathon Petroleum Corp.

     259,600         9,854,416   

Neste OYJ (Finland)

     21,252         762,077   

OMV AG (Austria)

     1,111         31,231   

ONEOK, Inc.(a)

     50,500         2,396,225   

PBF Energy, Inc. (Class A Stock)

     91,500         2,175,870   

Phillips 66

     193,300         15,336,422   

Royal Dutch Shell PLC (Netherlands) (Class A Stock)

     32,423         890,508   

Royal Dutch Shell PLC (Netherlands) (Class B Stock)

     28,783         795,237   

Statoil ASA (Norway)

     8,420         145,485   

Tesoro Corp.

     160,400         12,017,168   

Total SA (France)

     17,587         843,406   

Valero Energy Corp.

     269,100         13,724,100   

Western Refining, Inc.(a)

     405,400         8,363,402   
             


                142,312,509   
             


Paper & Forest Products

                 

KapStone Paper & Packaging Corp.

     74,600         970,546   

Stora Enso OYJ (Finland) (Class R Stock)

     4,222         33,954   

UPM-Kymmene OYJ (Finland)

     40,344         741,153   
             


                1,745,653   
             


Personal Products

                 

Kao Corp. (Japan)

     3,900         227,144   

Pola Orbis Holdings, Inc. (Japan)

     200         18,822   

Unilever NV (United Kingdom)

     3,991         185,621   

Unilever PLC (United Kingdom)

     9,943         476,423   
             


                908,010   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Pharmaceuticals — 3.3%

                 

Allergan PLC*

     5,800       $ 1,340,322   

Astellas Pharma, Inc. (Japan)

     67,500         1,058,558   

AstraZeneca PLC (United Kingdom)

     5,148         307,767   

Bayer AG (Germany)

     11,098         1,114,631   

Bristol-Myers Squibb Co.

     277,500         20,410,125   

GlaxoSmithKline PLC (United Kingdom)

     45,945         986,674   

Jazz Pharmaceuticals PLC*

     45,400         6,415,474   

Johnson & Johnson

     322,298         39,094,748   

Mallinckrodt PLC*

     199,200         12,107,376   

Merck & Co., Inc.

     308,600         17,778,446   

Mitsubishi Tanabe Pharma Corp. (Japan)

     2,600         46,977   

Novartis AG (Switzerland)

     11,745         969,415   

Novo Nordisk A/S (Denmark) (Class B Stock)

     14,287         769,396   

Orion OYJ (Finland) (Class B Stock)

     782         30,365   

Pfizer, Inc.

     576,697         20,305,502   

Roche Holding AG (Switzerland)

     8,079         2,131,885   

Sanofi (France)

     9,128         758,383   

Shionogi & Co. Ltd. (Japan)

     2,400         131,199   

Teva Pharmaceutical Industries Ltd. (Israel)

     13,221         669,118   
             


                126,426,361   
             


Professional Services — 0.2%

  

Experian PLC (Ireland)

     11,510         218,369   

Intertek Group PLC (United Kingdom)

     1,912         89,087   

Randstad Holding NV (Netherlands)

     915         36,592   

Robert Half International, Inc.

     193,300         7,376,328   
             


                7,720,376   
             


Real Estate Investment Trusts (REITs) — 1.4%

  

American Tower Corp.

     86,200         9,793,182   

British Land Co. PLC (The) (United Kingdom)

     11,499         93,364   

CBL & Associates Properties, Inc.

     321,900         2,996,889   

Chimera Investment Corp.

     269,900         4,237,430   

Dexus Property Group (Australia)

     116,212         788,576   

Franklin Street Properties Corp.

     82,100         1,007,367   

General Growth Properties, Inc.

     55,100         1,643,082   

GEO Group, Inc. (The)

     76,200         2,604,516   

Goodman Group (Australia)

     13,602         72,954   

GPT Group (Australia)

     130,006         528,690   

HCP, Inc.(a)

     348,000         12,312,240   

Intu Properties PLC (United Kingdom)

     7,276         28,288   

Link REIT (The) (Hong Kong)

     131,000         895,805   

Nomura Real Estate Master Fund, Inc. (Japan)

     27         42,682   

Scentre Group (Australia)

     40,709         150,785   

Segro PLC (United Kingdom)

     5,837         32,354   

Simon Property Group, Inc.

     33,100         7,179,390   

Starwood Property Trust, Inc.

     417,300         8,646,456   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A72


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Real Estate Investment Trusts (REITs) (continued)

  

Stockland (Australia)

     18,117       $ 64,234   

Suntec Real Estate Investment Trust (Singapore)

     18,300         24,181   

Westfield Corp. (Australia)

     15,133         121,559   
             


                53,264,024   
             


Real Estate Management & Development — 0.2%

  

CBRE Group, Inc. (Class A Stock)*

     56,200         1,488,176   

Daiwa House Industry Co. Ltd. (Japan)

     24,100         707,745   

Henderson Land Development Co. Ltd. (Hong Kong)

     55,561         313,851   

Hulic Co. Ltd. (Japan)

     1,800         18,968   

Jones Lang LaSalle, Inc.

     62,500         6,090,625   

Kerry Properties Ltd. (Hong Kong)

     7,000         17,331   

Mitsui Fudosan Co. Ltd. (Japan)

     3,000         68,852   

New World Development Co. Ltd. (Hong Kong)

     62,000         63,138   

Wharf Holdings Ltd. (The) (Hong Kong)

     70,000         427,177   

Wheelock & Co. Ltd. (Hong Kong)

     6,000         28,186   
             


                9,224,049   
             


Road & Rail — 0.1%

  

Aurizon Holdings Ltd. (Australia)

     16,328         59,243   

Central Japan Railway Co. (Japan)

     1,900         337,941   

CSX Corp.

     33,300         868,464   

East Japan Railway Co. (Japan)

     3,800         352,159   

Hankyu Hanshin Holdings, Inc. (Japan)

     32,000         238,609   

West Japan Railway Co. (Japan)

     1,200         76,048   
             


                1,932,464   
             


Semiconductors & Semiconductor Equipment — 1.6%

  

ARM Holdings PLC (United Kingdom)

     1,651         25,078   

Intel Corp.

     996,800         32,695,040   

NXP Semiconductors NV (Netherlands)*

     10,200         799,068   

QUALCOMM, Inc.

     360,900         19,333,413   

Texas Instruments, Inc.

     121,600         7,618,240   

Tokyo Electron Ltd. (Japan)

     3,300         278,879   
             


                60,749,718   
             


Software — 2.8%

  

Adobe Systems, Inc.*

     150,300         14,397,237   

Check Point Software Technologies Ltd. (Israel)*(a)

     1,000         79,680   

Citrix Systems, Inc.*

     131,100         10,499,799   

Konami Holdings Corp. (Japan)

     18,000         686,697   

Manhattan Associates, Inc.*

     38,600         2,475,418   

Microsoft Corp.

     1,118,600         57,238,762   

NICE Ltd. (Israel)

     479         30,480   

Oracle Corp.

     545,600         22,331,408   

SAP SE (Germany)

     7,634         573,356   
             


                108,312,837   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Specialty Retail — 1.1%

  

ABC-Mart, Inc. (Japan)

     300       $ 20,134   

Bed Bath & Beyond, Inc.

     148,800         6,431,136   

Dixons Carphone PLC (United Kingdom)

     7,646         32,817   

Express, Inc.*

     326,300         4,734,613   

Francesca’s Holdings Corp.*

     66,700         737,035   

Gap, Inc. (The)(a)

     280,600         5,954,332   

GNC Holdings, Inc. (Class A Stock)

     251,900         6,118,651   

Home Depot, Inc. (The)

     87,900         11,223,951   

Industria de Diseno Textil SA (Spain)

     14,362         482,479   

Nitori Holdings Co. Ltd. (Japan)

     900         109,156   

Ross Stores, Inc.

     26,600         1,507,954   

Shimamura Co. Ltd. (Japan)

     200         29,757   

Staples, Inc.

     369,600         3,185,952   
             


                40,567,967   
             


Technology Hardware, Storage & Peripherals — 2.0%

  

Apple, Inc.

     606,400         57,971,840   

Brother Industries Ltd. (Japan)

     1,900         20,380   

FUJIFILM Holdings Corp. (Japan)

     9,000         349,204   

Hewlett Packard Enterprise Co.

     282,600         5,163,102   

HP, Inc.

     639,900         8,030,745   

NEC Corp. (Japan)

     21,000         48,927   

Ricoh Co. Ltd. (Japan)

     5,200         45,076   

Seagate Technology PLC(a)

     150,600         3,668,616   
             


                75,297,890   
             


Textiles, Apparel & Luxury Goods — 0.5%

  

adidas AG (Germany)

     6,761         970,541   

Michael Kors Holdings Ltd.*

     194,300         9,613,964   

NIKE, Inc. (Class B Stock)

     142,000         7,838,400   

Swatch Group AG (The) (Switzerland)

     536         30,695   
             


                18,453,600   
             


Tobacco — 1.3%

  

Altria Group, Inc.

     454,600         31,349,216   

British American Tobacco PLC (United Kingdom)

     25,849         1,675,774   

Imperial Brands PLC (United Kingdom)

     7,412         401,976   

Japan Tobacco, Inc. (Japan)

     15,500         624,684   

Reynolds American, Inc.

     314,000         16,934,020   
             


                50,985,670   
             


Trading Companies & Distributors — 0.1%

  

Ashtead Group PLC (United Kingdom)

     2,286         32,653   

HD Supply Holdings, Inc.*

     95,300         3,318,346   

ITOCHU Corp. (Japan)

     69,500         850,208   

Mitsui & Co. Ltd. (Japan)

     9,400         112,210   
             


                4,313,417   
             


Transportation Infrastructure

  

Abertis Infraestructuras SA (Spain)

     4,223         62,406   

Aena SA (Spain), 144A

     2,383         315,869   

Atlantia SpA (Italy)

     3,982         99,490   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A73


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Transportation Infrastructure (continued)

  

Auckland International Airport Ltd. (New Zealand)

     7,412       $ 34,480   

Hutchison Port Holdings Trust (Hong Kong)

     39,700         18,064   

Kamigumi Co. Ltd. (Japan)

     3,000         27,728   

Sydney Airport (Australia)

     8,331         43,502   

Transurban Group (Australia)

     24,304         218,901   
             


                820,440   
             


Wireless Telecommunication Services — 0.1%

  

KDDI Corp. (Japan)

     13,600         413,573   

Millicom International Cellular SA (Luxembourg), SDR

     513         31,467   

NTT DOCOMO, Inc. (Japan)

     16,700         450,375   

SoftBank Corp. (Japan)

     7,400         418,485   

Vodafone Group PLC (United Kingdom)

     204,650         623,952   
             


                1,937,852   
             


TOTAL COMMON STOCKS
(cost $1,855,061,416)

   

     2,261,830,989   
             


EXCHANGE TRADED FUND   

iShares MSCI EAFE Index Fund
(cost $1,550,853)

     28,050         1,565,470   
             


PREFERRED STOCKS

   Shares

     Value
(Note 2)


 

Automobiles

  

Bayerische Motoren Werke AG (Germany) (PRFC)

     423       $ 26,965   

Volkswagen AG (Germany) (PRFC)

     6,200         750,949   
             


                777,914   
             


Banks

  

Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b)

     22,000         573,540   
             


Household Products

  

Henkel AG & Co. KGaA (Germany) (PRFC)

     100         12,221   
             


TOTAL PREFERRED STOCKS
(cost $1,368,641)

   

     1,363,675   
             


     Units

        
RIGHTS*   

Construction & Engineering

  

ACS Actividades de Construccion y Servicios SA (Spain),
expiring 07/29/16
(cost $1,209)

     1,553         1,091   
             


 

 

ASSET-BACKED SECURITIES — 4.0%    Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Collateralized Loan Obligations — 1.5%

                              

ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A

     1.814% (b)    04/20/25      2,550         2,523,569   

AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A

     2.029% (b)    01/15/28      2,500         2,474,655   

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A

     2.134% (b)    04/28/26      1,500         1,498,069   

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.228% (b)    10/15/26      2,500         2,486,459   

Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A

     2.183% (b)    04/18/27      1,000         993,382   

Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A

     2.168% (b)    10/15/26      750         749,175   

Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A

     2.233% (b)    10/17/26      250         248,749   

Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A

     2.163% (b)    04/18/27      1,250         1,238,463   

Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A

     1.828% (b)    07/15/24      1,200         1,186,533   

Benefit Street Partners CLO VII Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A

     2.163% (b)    07/18/27      750         744,256   

Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.783% (b)    04/17/25      2,100         2,067,499   

Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.184% (b)    04/20/26      2,200         2,194,500   

Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A

     2.434% (b)    04/20/26      450         437,281   

Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A

     2.143% (b)    10/18/26      500         496,677   

Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A

     2.104% (b)    01/20/26      2,300         2,288,534   

Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     2.033% (b)    01/17/26      500         495,370   

Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A

     0.885% (b)    07/22/20      124         123,233   

Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A

     2.098% (b)    10/15/26      1,250         1,241,908   

Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A

     2.083% (b)    05/05/27      250         248,112   

ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A

     3.280%      01/25/27      1,000         997,895   

Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A

     2.168% (b)    04/15/27      500         496,132   

KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.216% (b)    05/15/26      300         298,311   

Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A

     2.133% (b)    04/18/26      750         744,257   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A74


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

ASSET-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Collateralized Loan Obligations (continued)

                              

Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A

     2.058% (b)    07/25/26      3,000       $ 2,996,830   

Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A

     2.108% (b)    04/15/26      4,550         4,541,171   

Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A

     2.083% (b)    01/18/27      500         497,069   

Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12A, Class BR, 144A

     2.738% (b)    07/25/23      250         247,233   

Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A

     2.098% (b)    04/15/26      500         498,844   

OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A

     1.785% (b)    07/22/25      1,200         1,188,879   

Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A

     1.953% (b)    12/15/22      325         324,650   

Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A

     1.886% (b)    02/20/25      250         248,513   

Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.048% (b)    07/25/26      1,000         987,868   

Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A

     2.113% (b)    07/17/26      800         798,927   

Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A

     4.350%      07/17/26      500         495,502   

Shackleton CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A

     2.132% (b)    05/07/26      1,250         1,247,969   

Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.678% (b)    04/15/25      3,200         3,146,618   

Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A

     3.278% (b)    08/17/22      500         497,676   

Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A

     3.334% (b)    10/20/23      1,100         1,099,020   

THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A

     2.255% (b)    01/22/27      2,250         2,249,386   

Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A

     2.134% (b)    04/20/27      250         248,411   

Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.748% (b)    07/15/25      2,700         2,672,544   

Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A

     2.264% (b)    04/20/26      3,000         2,984,152   

Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A

     1.768% (b)    04/15/24      1,850         1,829,110   

Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A

     2.134% (b)    04/20/26      1,850         1,837,997   

Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A

     4.250%      04/20/26      500         497,332   
                          


                             57,408,720   
                          


Non-Residential Mortgage-Backed Securities — 2.1%

                 

American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A

     1.242% (b)    05/15/20      3,900         3,891,881   

AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B

     1.197% (b)    04/08/19      3,629         3,635,126   

AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B

     1.147% (b)    10/08/19      3,900         3,905,096   

Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A

     1.920%      09/20/19      1,700         1,704,181   

Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A

     2.500%      07/20/21      6,000         6,081,161   

Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A

     2.630%      12/20/21      4,700         4,783,958   

Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A

     2.260%      11/15/25      2,000         2,040,223   

Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A

     2.310%      04/15/26      3,200         3,268,868   

Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A

     2.310%      08/15/27      5,400         5,512,890   

Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A

     2.030%      12/15/27      3,300         3,317,342   

GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c)

     0.942% (b)    05/15/20      1,800         1,788,252   

GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A

     1.292% (b)    05/17/21      2,300         2,292,193   

Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A

     2.730%      03/25/21      4,300         4,393,568   

Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A

     2.670%      09/25/21      3,400         3,468,901   

Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A

     2.320%      03/25/20      3,000         3,026,193   

OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A

     2.570%      07/18/25      4,700         4,698,609   

Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B

     1.142% (b)    12/17/18      1,469         1,469,997   

Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B

     1.192% (b)    12/17/18      2,240         2,241,480   

Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A

     2.200%      10/20/30      1,813         1,813,891   

Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A

     2.580%      09/20/32      2,044         2,061,006   

Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A

     3.080%      03/21/33      3,621         3,703,526   

Springleaf Funding Trust, Series 2015-AA, Class A, 144A

     3.160%      11/15/24      5,795         5,829,278   

SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A

     2.000%      09/20/29      740         731,494   

Synchrony Credit Card Master Note Trust, Series 2015-3, Class A

     1.740%      09/15/21      1,700         1,711,158   
                          


                             77,370,272   
                          


Residential Mortgage-Backed Securities — 0.4%

                              

CDC Mortgage Capital Trust, Series 2002-HE3, Class M1

     2.103% (b)    03/25/33      183         173,341   

Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3

     3.873% (b)    07/25/35      302         287,297   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A75


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

ASSET-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Residential Mortgage-Backed Securities (continued)

                              

Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1

     4.836% (b)    07/25/34      284       $ 267,951   

GSAMP Trust, Series 2004-HE2, Class A3C

     1.613% (b)    09/25/34      522         514,446   

Long Beach Mortgage Loan Trust, Series 2004-2, Class M1

     1.248% (b)    06/25/34      474         457,937   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1

     1.653% (b)    05/25/33      322         305,143   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1

     1.398% (b)    06/25/34      715         672,662   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1

     1.503% (b)    12/27/33      589         568,223   

Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1

     1.353% (b)    07/25/32      263         252,731   

Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1

     1.728% (b)    09/25/32      3,613         3,443,541   

Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1

     1.218% (b)    02/25/34      655         605,730   

VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A

     4.250%      04/25/46      2,442         2,442,468   

VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A

     3.375%      02/25/55      1,705         1,688,511   

VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A

     3.625%      07/25/45      4,444         4,428,587   
                          


                             16,108,568   
                          


TOTAL ASSET-BACKED SECURITIES
(cost $150,061,272)

   

     150,887,560   
                          


BANK LOANS(b) — 0.2%                               

Automotive

                              

Schaeffler AG (Germany)

     4.250%      05/15/20      162         162,010   
                          


Food

                              

ARAMARK Corp.

     3.250%      02/24/21      468         467,351   
                          


Health Care & Pharmaceutical

                              

RPI Finance Trust (Luxembourg)

     3.500%      11/09/20      1,546         1,545,166   
                          


Media & Entertainment

                              

Nielsen Finance LLC

     2.696%      05/30/17      753         752,137   
                          


Technology — 0.2%

                              

Avago Technologies Cayman Finance Ltd. (Singapore)

     4.250%      02/01/23      1,342         1,340,520   

Dell Int’l LLC(d)

     —% (e)    12/31/18      600         582,000   

Dell Int’l LLC

     —% (e)    09/30/23      815         811,830   

First Data Corp.

     4.452%      03/24/21      1,141         1,135,797   

TransUnion LLC

     3.500%      04/09/21      489         483,253   

Western Digital Corp.

     6.250%      04/28/23      1,095         1,097,396   
                          


                             5,450,796   
                          


Telecommunications

                              

T-Mobile USA, Inc.

     3.500%      11/09/22      1,030         1,032,400   
                          


TOTAL BANK LOANS
(cost $9,345,182)

   

     9,409,860   
                          


COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.7%   

Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A

     3.172%      05/15/49      4,000         4,181,716   

Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3

     5.369%      10/10/45      49         49,149   

Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A

     5.739% (b)    04/10/49      5,211         5,312,859   

Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4

     5.901% (b)    12/10/49      1,000         1,029,329   

Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3

     2.815%      04/10/46      1,100         1,150,228   

Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4

     3.575%      05/10/47      2,750         2,984,044   

Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3

     3.356%      07/10/47      2,800         3,002,803   

Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4

     3.462%      09/15/48      4,900         5,265,752   

Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3

     2.944%      05/10/49      5,000         5,156,368   

Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3

     3.050%      04/10/49      6,500         6,765,717   

Citigroup Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class AMFX

     5.366% (b)    12/11/49      6,000         6,103,072   

COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4

     5.223%      08/15/48      644         645,551   

Commercial Mortgage Trust, Series 2012-CR5, Class A3

     2.540%      12/10/45      1,000         1,030,749   

Commercial Mortgage Trust, Series 2013-CR7, Class A3

     2.929%      03/10/46      1,700         1,784,975   

Commercial Mortgage Trust, Series 2014-CR15, Class A2

     2.928%      02/10/47      2,700         2,791,003   

Commercial Mortgage Trust, Series 2014-CR18, Class A4

     3.550%      07/15/47      2,800         3,028,415   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A76


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Commercial Mortgage Trust, Series 2014-CR20, Class A3

     3.326%      11/10/47      5,000       $ 5,349,960   

Commercial Mortgage Trust, Series 2014-UBS3, Class A2

     2.844%      06/10/47      2,300         2,382,934   

Commercial Mortgage Trust, Series 2015-CR27, Class A3

     3.349%      10/10/48      6,100         6,481,843   

CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3

     3.544%      11/15/48      3,000         3,194,511   

Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A

     3.673% (b)    09/10/35      1,100         1,195,358   

Fannie Mae-Aces, Series 2014-M2, Class A2

     3.513% (b)    12/25/23      2,515         2,792,227   

Fannie Mae-Aces, Series 2015-M10, Class A2

     3.092% (b)    04/25/27      6,500         7,057,895   

Fannie Mae-Aces, Series 2015-M17, Class A2

     3.038% (b)    11/25/25      3,900         4,159,991   

FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2

     2.873%      12/25/21      3,500         3,710,179   

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2

     2.373%      05/25/22      2,000         2,073,885   

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

     1.584% (b)    05/25/22      24,733         1,745,328   

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

     1.620% (b)    06/25/22      7,001         502,488   

FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2

     3.320% (b)    02/25/23      5,800         6,360,036   

FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2

     3.531% (b)    07/25/23      2,400         2,665,095   

FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2

     3.171%      10/25/24      7,520         8,191,762   

FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2

     3.329%      05/25/25      5,615         6,186,685   

FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO

     1.369% (b)    03/25/26      28,045         2,939,113   

FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO

     1.610% (b)    08/25/16      3,248         710   

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

     1.894% (b)    05/25/19      18,791         792,576   

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

     1.818% (b)    07/25/19      20,159         869,386   

FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4

     3.161% (b)    05/25/25      2,500         2,704,039   

GS Mortgage Securities Trust, Series 2015-GC28, Class A4

     3.136%      02/10/48      4,000         4,198,510   

GS Mortgage Securities Trust, Series 2015-GC32, Class A3

     3.498%      07/10/48      5,800         6,272,592   

JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1

     3.408%      11/15/47      1,400         1,498,731   

JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1

     2.920%      02/15/48      6,000         6,205,759   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3

     3.139%      06/15/45      1,385         1,415,906   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4

     2.611%      12/15/47      1,700         1,754,587   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4

     2.875%      12/15/47      3,900         4,075,331   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2

     3.070%      12/15/46      2,012         2,081,055   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4

     2.694%      04/15/46      1,400         1,445,859   

Merrill Lynch-Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2

     5.331%      03/12/51      1,453         1,463,477   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3

     2.863%      12/15/48      1,500         1,572,009   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3

     3.451%      07/15/50      5,000         5,387,282   

Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31

     5.439%      02/12/44      133         132,994   

Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB

     5.444%      02/12/44      118         117,937   

UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4

     2.792%      12/10/45      1,700         1,769,745   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3

     2.920%      03/10/46      3,900         4,079,440   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3

     2.971%      04/10/46      1,800         1,884,119   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A77


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4

     5.509%      04/15/47      3,703       $ 3,756,853   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A

     5.608% (b)    05/15/46      1,209         1,238,811   

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3

     3.354%      09/15/57      6,000         6,392,386   
                          


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $172,499,967)

   

     178,381,114   
                          


CORPORATE BONDS — 10.3%                               

Agriculture — 0.1%

                              

Altria Group, Inc., Gtd. Notes

     4.000%      01/31/24      1,500         1,678,110   

Altria Group, Inc., Gtd. Notes

     9.950%      11/10/38      46         82,751   

Altria Group, Inc., Gtd. Notes

     10.200%      02/06/39      84         155,667   

Bunge Ltd. Finance Corp., Gtd. Notes

     8.500%      06/15/19      930         1,087,425   

Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A

     2.050%      02/11/18      2,050         2,067,777   

Reynolds American, Inc., Gtd. Notes

     3.500%      08/04/16      465         465,962   

Reynolds American, Inc., Gtd. Notes

     8.125%      06/23/19      325         385,321   
                          


                             5,923,013   
                          


Airlines — 0.2%

                              

American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A

     3.375%      05/01/27      3,112         3,130,987   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A

     6.648%      09/15/17      38         38,461   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A

     7.250%      11/10/19      547         624,921   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A

     4.750%      01/12/21      628         669,090   

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A

     4.000%      10/29/24      615         645,561   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A

     6.821%      08/10/22      288         335,016   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A

     4.950%      05/23/19      408         431,323   

Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A

     5.300%      04/15/19      828         882,197   
                          


                             6,757,556   
                          


Auto Manufacturers — 0.3%

                              

Ford Motor Co., Sr. Unsec’d. Notes

     4.750%      01/15/43      1,355         1,434,244   

Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes

     4.134%      08/04/25      295         316,285   

Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN

     4.389%      01/08/26      1,345         1,468,267   

General Motors Co., Sr. Unsec’d. Notes

     6.250%      10/02/43      1,395         1,549,640   

General Motors Co., Sr. Unsec’d. Notes

     6.600%      04/01/36      760         871,498   

Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A

     2.850%      01/15/21      4,705         4,915,365   

Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A

     2.700%      03/15/17      450         454,516   

Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A

     4.250%      11/15/19      715         729,300   
                          


                             11,739,115   
                          


Banks — 3.0%

                              

Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A

     2.375%      03/16/26      2,310         2,423,952   

Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A

     2.625%      04/28/21      2,570         2,719,099   

Bank of America Corp., Jr. Sub. Notes

     6.300% (b)    12/31/49      445         472,813   

Bank of America Corp., Series K, Jr. Sub. Notes

     8.000% (b)    07/29/49      2,200         2,186,250   

Bank of America Corp., Sr. Unsec’d. Notes

     5.700%      01/24/22      2,330         2,697,716   

Bank of America Corp., Sr. Unsec’d. Notes

     6.000%      09/01/17      1,075         1,130,155   

Bank of America Corp., Sr. Unsec’d. Notes, GMTN

     3.300%      01/11/23      780         802,735   

Bank of America Corp., Sr. Unsec’d. Notes, MTN

     4.000%      04/01/24      975         1,040,611   

Bank of America Corp., Sr. Unsec’d. Notes, MTN

     4.125%      01/22/24      3,820         4,108,712   

Bank of America Corp., Sr. Unsec’d. Notes, Series 1

     3.750%      07/12/16      870         870,418   

Bank of America Corp., Sub. Notes

     5.750%      08/15/16      1,775         1,783,431   

Bank of America Corp., Sub. Notes, GMTN

     4.450%      03/03/26      3,880         4,058,232   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A78


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Banks (continued)

                                  

Bank of America Corp., Sub. Notes, MTN

     4.000%        01/22/25         2,000       $ 2,038,622   

Bank of America NA, Sub. Notes

     5.300%        03/15/17         930         955,079   

Bank of America NA, Sub. Notes

     6.000%        10/15/36         410         523,192   

Barclays PLC (United Kingdom), Sr. Unsec’d. Notes

     4.375%        01/12/26         1,590         1,605,423   

Capital One Financial Corp., Sr. Unsec’d. Notes

     3.750%        04/24/24         4,560         4,757,384   

Citigroup, Inc., Jr. Sub. Notes

     5.950% (b)      12/29/49         2,205         2,148,276   

Citigroup, Inc., Jr. Sub. Notes

     6.125% (b)      12/29/49         1,375         1,395,625   

Citigroup, Inc., Jr. Sub. Notes

     6.250% (b)      12/29/49         625         642,187   

Citigroup, Inc., Sr. Unsec’d. Notes

     3.700%        01/12/26         2,440         2,568,559   

Citigroup, Inc., Sr. Unsec’d. Notes

     4.500%        01/14/22         2,450         2,708,093   

Citigroup, Inc., Sr. Unsec’d. Notes

     8.125%        07/15/39         710         1,107,339   

Citigroup, Inc., Sub. Notes

     4.450%        09/29/27         1,965         2,024,168   

Compass Bank, Sr. Unsec’d. Notes

     1.850%        09/29/17         1,270         1,266,283   

Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN

     3.375%        05/12/21         4,040         4,053,906   

Discover Bank, Sr. Unsec’d. Notes

     4.250%        03/13/26         970         1,014,563   

Discover Bank, Sub. Notes

     7.000%        04/15/20         570         649,174   

Goldman Sachs Group, Inc. (The), Jr. Sub. Notes

     5.375% (b)      12/29/49         2,215         2,190,458   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)

     3.500%        01/23/25         4,100         4,212,783   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     3.750%        02/25/26         1,010         1,063,026   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     5.250%        07/27/21         2,055         2,319,031   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     5.750%        01/24/22         3,620         4,202,675   

Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes

     6.250%        02/01/41         270         349,408   

Goldman Sachs Group, Inc. (The), Sub. Notes

     6.750%        10/01/37         104         128,288   

HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes

     4.875%        01/14/22         1,910         2,095,872   

HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes

     5.100%        04/05/21         1,025         1,130,989   

JPMorgan Chase & Co., Jr. Sub. Notes(a)

     6.100% (b)      12/29/49         1,275         1,314,844   

JPMorgan Chase & Co., Jr. Sub. Notes

     7.900% (b)      04/29/49         2,000         2,040,000   

JPMorgan Chase & Co., Sr. Unsec’d. Notes

     4.250%        10/15/20         2,930         3,193,553   

JPMorgan Chase & Co., Sub. Notes

     3.875%        09/10/24         3,775         3,908,397   

JPMorgan Chase & Co., Sub. Notes

     4.950%        06/01/45         515         565,459   

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)

     6.875%        02/06/12         1,715         115,763   

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)

     6.875%        05/02/18         700         49,000   

Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A

     5.800%        01/13/20         1,870         2,091,920   

Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes

     2.900%        02/06/25         3,080         3,156,852   

Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, GMTN

     6.400%        08/28/17         20         21,103   

Morgan Stanley, Jr. Sub. Notes

     5.450% (b)      07/29/49         840         806,400   

Morgan Stanley, Sr. Unsec’d. Notes

     5.750%        01/25/21         1,400         1,596,203   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     3.750%        02/25/23         940         995,624   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     5.450%        01/09/17         1,345         1,373,753   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     5.500%        07/28/21         1,290         1,473,019   

Morgan Stanley, Sr. Unsec’d. Notes, GMTN

     6.625%        04/01/18         105         113,796   

Morgan Stanley, Sr. Unsec’d. Notes, MTN

     5.625%        09/23/19         1,415         1,569,954   

Morgan Stanley, Sr. Unsec’d. Notes, MTN

     6.375%        07/24/42         780         1,056,293   

Morgan Stanley, Sub. Notes, GMTN

     4.350%        09/08/26         3,825         4,001,398   

MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes

     6.346% (b)      07/29/49         800         800,000   

National City Corp., Sub. Notes

     6.875%        05/15/19         3,370         3,798,509   

Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A

     1.875%        09/17/18         2,110         2,131,488   

North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes

     2.400%        10/26/22         1,095         1,118,161   

North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes

     4.375%        02/11/20         800         873,346   

People’s United Bank, Sub. Notes

     4.000%        07/15/24         465         474,641   

PNC Bank NA, Sr. Unsec’d. Notes

     1.950%        03/04/19         515         522,751   

PNC Bank NA, Sub. Notes

     3.800%        07/25/23         270         291,119   

Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes

     2.450%        01/10/19         1,210         1,235,807   

US Bancorp, Sub. Notes, MTN

     2.950%        07/15/22         1,120         1,165,512   
                              


                                 113,299,192   
                              


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A79


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Beverages — 0.1%

                               

Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes

     4.700%       02/01/36      855       $ 960,787   

Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes

     4.900%       02/01/46      225         263,664   

Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes

     8.000%       11/15/39      1,285         2,008,088   

Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes

     8.200%       01/15/39      250         398,437   

Constellation Brands, Inc., Gtd. Notes

     4.250%       05/01/23      1,400         1,456,000   
                           


                              5,086,976   
                           


Biotechnology — 0.1%

                               

Amgen, Inc., Sr. Unsec’d. Notes, 144A

     4.663%       06/15/51      1,834         1,916,187   

Gilead Sciences, Inc., Sr. Unsec’d. Notes

     3.500%       02/01/25      1,460         1,556,477   

Gilead Sciences, Inc., Sr. Unsec’d. Notes

     5.650%       12/01/41      185         231,529   
                           


                              3,704,193   
                           


Building Materials — 0.1%

                               

Owens Corning, Inc., Gtd. Notes

     4.200%       12/15/22      775         826,410   

Standard Industries, Inc., Sr. Unsec’d. Notes, 144A
(original cost $1,423,250; purchased 10/27/14-02/11/15)(c)(g)

     5.375%       11/15/24      1,400         1,424,500   
                           


                              2,250,910   
                           


Chemicals — 0.2%

                               

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

     3.150%       10/01/22      780         794,471   

Celanese US Holdings LLC, Gtd. Notes(a)

     5.875%       06/15/21      1,500         1,676,250   

CF Industries, Inc., Gtd. Notes

     5.375%       03/15/44      585         551,687   

Dow Chemical Co. (The), Sr. Unsec’d. Notes

     4.625%       10/01/44      45         47,654   

Dow Chemical Co. (The), Sr. Unsec’d. Notes

     9.400%       05/15/39      347         542,594   

LyondellBasell Industries NV, Sr. Unsec’d. Notes

     4.625%       02/26/55      1,185         1,156,509   

LyondellBasell Industries NV, Sr. Unsec’d. Notes

     5.000%       04/15/19      1,000         1,082,384   

Monsanto Co., Sr. Unsec’d. Notes

     4.400%       07/15/44      55         53,930   

Mosaic Co. (The), Sr. Unsec’d. Notes

     5.450%       11/15/33      345         381,547   

Mosaic Co. (The), Sr. Unsec’d. Notes

     5.625%       11/15/43      1,135         1,258,856   

Union Carbide Corp., Sr. Unsec’d. Notes

     7.500%       06/01/25      460         575,990   
                           


                              8,121,872   
                           


Commercial Services — 0.1%

                               

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,299,722; purchased 10/10/07)(c)(g)

     6.375%       10/15/17      1,302         1,380,116   

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $501,539; purchased 05/30/13)(c)(g)

     6.700%       06/01/34      420         556,458   

ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $376,709; purchased 10/10/07)(c)(g)

     7.000%       10/15/37      380         517,702   

United Rentals North America, Inc., Gtd. Notes

     5.875%       09/15/26      485         481,363   

United Rentals North America, Inc., Gtd. Notes

     7.375%       05/15/20      168         174,720   
                           


                              3,110,359   
                           


Computers — 0.2%

                               

Apple, Inc., Sr. Unsec’d. Notes

     3.450%       02/09/45      890         836,290   

Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A

     3.480%       06/01/19      1,085         1,111,485   

Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A

     4.420%       06/15/21      920         946,930   

Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A

     2.450%       10/05/17      3,925         3,975,868   

Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A

     2.850%       10/05/18      735         752,684   

Seagate HDD Cayman, Gtd. Notes

     3.750%       11/15/18      605         605,381   
                           


                              8,228,638   
                           


Diversified Financial Services — 0.4%

                               

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes

     3.750%       05/15/19      775         780,813   

American Express Co., Sr. Unsec’d. Notes

     2.650%       12/02/22      1,060         1,073,856   

Bear Stearns Cos. LLC, Sr. Unsec’d. Notes

     6.400%       10/02/17      330         350,605   

Bear Stearns Cos. LLC, Sr. Unsec’d. Notes

     7.250%       02/01/18      1,175         1,280,862   

Capital One Bank USA NA, Sub. Notes

     3.375%       02/15/23      1,560         1,593,386   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A80


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Diversified Financial Services (continued)

                               

Discover Financial Services, Sr. Unsec’d. Notes

     3.850%       11/21/22      900       $ 914,035   

GE Capital International Funding Co., Gtd. Notes, 144A

     2.342%       11/15/20      766         789,103   

GE Capital International Funding Co., Gtd. Notes, 144A

     4.418%       11/15/35      3,270         3,667,586   

Jefferies Group LLC, Sr. Unsec’d. Notes

     6.500%       01/20/43      560         556,043   

Navient Corp., Sr. Unsec’d. Notes, MTN

     8.450%       06/15/18      240         259,500   

Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN

     2.000%       09/13/16      820         821,415   

Private Export Funding Corp., U.S. Gov’t. Gtd. Notes

     2.450%       07/15/24      475         496,029   

Private Export Funding Corp., U.S. Gov’t. Gtd. Notes

     3.250%       06/15/25      1,155         1,279,939   

Synchrony Financial, Sr. Unsec’d. Notes

     2.700%       02/03/20      2,700         2,707,390   
                           


                              16,570,562   
                           


Electric — 0.5%

                               

Arizona Public Service Co., Sr. Unsec’d. Notes

     6.250%       08/01/16      175         175,664   

Baltimore Gas & Electric Co., Sr. Unsec’d. Notes

     6.350%       10/01/36      550         751,034   

Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes

     6.125%       04/01/36      310         411,070   

Black Hills Corp., Sr. Unsec’d. Notes

     2.500%       01/11/19      1,245         1,270,973   

CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.

     6.950%       03/15/33      590         842,015   

Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes

     5.500%       12/01/39      220         277,359   

Dominion Resources, Inc., Jr. Sub. Notes

     4.104%       04/01/21      3,210         3,396,931   

Duke Energy Carolinas LLC, First Mortgage

     6.050%       04/15/38      550         749,489   

Duke Energy Carolinas LLC, First Ref. Mortgage

     4.000%       09/30/42      570         613,870   

Dynegy, Inc., Gtd. Notes

     6.750%       11/01/19      455         455,569   

Dynegy, Inc., Gtd. Notes

     7.375%       11/01/22      345         332,925   

El Paso Electric Co., Sr. Unsec’d. Notes

     6.000%       05/15/35      670         820,347   

Emera US Finance LP (Canada), Gtd. Notes, 144A

     3.550%       06/15/26      990         1,013,007   

Eversource Energy, Sr. Unsec’d. Notes

     4.500%       11/15/19      615         674,028   

Exelon Generation Co. LLC, Sr. Unsec’d. Notes

     6.250%       10/01/39      1,425         1,565,293   

FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A

     5.450%       07/15/44      355         386,782   

Florida Power & Light Co., First Mortgage

     5.950%       10/01/33      295         388,528   

Iberdrola International BV (Spain), Gtd. Notes

     6.750%       09/15/33      145         169,709   

Nevada Power Co., Gen. Ref. Mtge.

     6.500%       05/15/18      1,260         1,382,881   

Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A

     4.881%       08/15/19      610         667,822   

NiSource Finance Corp., Gtd. Notes

     5.450%       09/15/20      350         396,184   

NRG Energy, Inc., Gtd. Notes, 144A

     7.250%       05/15/26      895         890,525   

Public Service Co. of New Mexico, Sr. Unsec’d. Notes

     7.950%       05/15/18      140         155,906   

Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN

     5.800%       05/01/37      535         709,085   

Southern California Edison Co., First Mortgage

     3.600%       02/01/45      860         893,252   

Xcel Energy, Inc., Sr. Unsec’d. Notes

     4.800%       09/15/41      480         551,656   

Xcel Energy, Inc., Sr. Unsec’d. Notes

     5.613%       04/01/17      199         205,697   
                           


                              20,147,601   
                           


Engineering & Construction

                               

Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A
(original cost $740,000; purchased 06/19/14)(c)(g)

     5.250%       06/27/29      740         294,520   
                           


Entertainment

                               

GLP Capital LP/GLP Financing II, Inc., Gtd. Notes

     4.375%       11/01/18      1,000         1,026,250   
                           


Food — 0.1%

                               

Kraft Heinz Foods Co., Gtd. Notes, 144A

     3.000%       06/01/26      1,630         1,643,330   

Kraft Heinz Foods Co., Gtd. Notes, 144A

     4.375%       06/01/46      475         502,323   

Kraft Heinz Foods Co., Gtd. Notes, 144A

     5.000%       07/15/35      815         934,741   
                           


                              3,080,394   
                           


Food Service

                               

Aramark Services, Inc., Gtd. Notes

     5.125%       01/15/24      275         280,500   
                           


Forest Products & Paper — 0.1%

                               

Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $288,298; purchased 10/27/10)(c)(g)

     5.400%       11/01/20      290         328,458   

International Paper Co., Sr. Unsec’d. Notes

     6.000%       11/15/41      1,595         1,890,532   

International Paper Co., Sr. Unsec’d. Notes

     7.950%       06/15/18      510         574,866   
                           


                              2,793,856   
                           


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A81


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Gas

                              

Dominion Gas Holdings LLC, Sr. Unsec’d. Notes

     4.800%      11/01/43      65       $ 70,425   
                          


Healthcare – Products — 0.3%

                              

Becton Dickinson and Co., Sr. Unsec’d. Notes

     3.734%      12/15/24      1,025         1,104,070   

Medtronic, Inc., Gtd. Notes

     3.500%      03/15/25      3,205         3,493,851   

Medtronic, Inc., Gtd. Notes

     4.375%      03/15/35      1,269         1,435,417   

St Jude Medical, Inc., Sr. Unsec’d. Notes

     2.000%      09/15/18      4,910         4,966,097   
                          


                             10,999,435   
                          


Healthcare – Services — 0.4%

                              

Aetna, Inc., Sr. Unsec’d. Notes

     6.625%      06/15/36      515         686,621   

Aetna, Inc., Sr. Unsec’d. Notes

     6.750%      12/15/37      1,380         1,871,719   

Anthem, Inc., Sr. Unsec’d. Notes

     4.625%      05/15/42      390         409,092   

Anthem, Inc., Sr. Unsec’d. Notes

     4.650%      01/15/43      360         375,705   

CHS/Community Health Systems, Inc., Sr. Sec’d. Notes

     5.125%      08/15/18      221         224,178   

Cigna Corp., Sr. Unsec’d. Notes

     5.875%      03/15/41      650         797,581   

Cigna Corp., Sr. Unsec’d. Notes

     6.150%      11/15/36      670         829,944   

Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A

     4.125%      10/15/20      1,665         1,710,787   

HCA, Inc., Sr. Sec’d. Notes

     4.250%      10/15/19      555         578,587   

HCA, Inc., Sr. Sec’d. Notes

     5.000%      03/15/24      1,100         1,138,500   

HCA, Inc., Sr. Sec’d. Notes

     5.250%      04/15/25      400         418,000   

Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes

     3.200%      02/01/22      190         196,532   

New York & Presbyterian Hospital (The), Unsec’d. Notes

     4.024%      08/01/45      445         484,838   

Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A

     2.875%      09/29/21      5,305         5,642,663   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     3.950%      10/15/42      720         753,299   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     6.000%      06/15/17      195         204,175   

UnitedHealth Group, Inc., Sr. Unsec’d. Notes

     6.625%      11/15/37      420         593,730   
                          


                             16,915,951   
                          


Home Builders

                              

D.R. Horton, Inc., Gtd. Notes

     3.625%      02/15/18      450         457,177   
                          


Housewares — 0.1%

                              

Newell Rubbermaid, Inc., Sr. Unsec’d. Notes

     4.200%      04/01/26      795         861,821   

Newell Rubbermaid, Inc., Sr. Unsec’d. Notes

     6.250%      04/15/18      1,700         1,822,456   
                          


                             2,684,277   
                          


Insurance — 0.7%

                              

Allied World Assurance Co. Holdings Ltd., Gtd. Notes

     5.500%      11/15/20      525         584,543   

American International Group, Inc., Sr. Unsec’d. Notes

     4.500%      07/16/44      1,980         1,915,539   

Axis Specialty Finance LLC, Gtd. Notes

     5.875%      06/01/20      1,030         1,151,328   

Berkshire Hathaway, Inc., Sr. Unsec’d. Notes

     3.125%      03/15/26      2,455         2,574,176   

Chubb Corp. (The), Gtd. Notes

     6.375% (b)    04/15/37      1,300         1,131,000   

Chubb INA Holdings, Inc., Gtd. Notes

     3.350%      05/03/26      945         1,007,275   

Chubb INA Holdings, Inc., Gtd. Notes

     4.350%      11/03/45      130         149,555   

Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes

     5.125%      04/15/22      755         858,658   

Liberty Mutual Group, Inc., Gtd. Notes, 144A

     6.500%      05/01/42      365         442,062   

Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A

     7.000%      03/15/34      850         1,063,358   

Lincoln National Corp., Sr. Unsec’d. Notes

     6.300%      10/09/37      1,272         1,499,956   

Lincoln National Corp., Sr. Unsec’d. Notes

     7.000%      06/15/40      705         907,886   

Lincoln National Corp., Sr. Unsec’d. Notes

     8.750%      07/01/19      605         715,666   

Markel Corp., Sr. Unsec’d. Notes

     5.000%      03/30/43      200         213,285   

New York Life Global Funding, Sec’d. Notes, 144A

     1.950%      02/11/20      3,030         3,067,814   

New York Life Insurance Co., Sub. Notes, 144A

     6.750%      11/15/39      660         901,802   

Nippon Life Insurance Co. (Japan), Sub. Notes, 144A

     5.100% (b)    10/16/44      1,925         2,071,523   

Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A

     6.063%      03/30/40      370         473,280   

Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A

     6.375%      04/30/20      680         768,290   

Pacific Life Insurance Co., Sub. Notes, 144A

     9.250%      06/15/39      910         1,379,747   

Principal Financial Group, Inc., Gtd. Notes

     4.625%      09/15/42      130         137,507   

Progressive Corp. (The), Jr. Sub. Notes

     6.700% (b)    06/15/37      735         674,362   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A82


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Insurance (continued)

                              

Progressive Corp. (The), Sr. Unsec’d. Notes

     3.700%      01/26/45      710       $ 730,776   

Teachers Insurance & Annuity Association of America, Sub. Notes, 144A

     6.850%      12/16/39      1,450         1,969,761   

Travelers Cos., Inc. (The), Sr. Unsec’d. Notes

     4.300%      08/25/45      885         1,007,697   

Unum Group, Sr. Unsec’d. Notes

     5.625%      09/15/20      350         392,955   

W.R. Berkley Corp., Sr. Unsec’d. Notes

     6.150%      08/15/19      460         512,710   
                          


                             28,302,511   
                          


Lodging — 0.2%

                              

Choice Hotels International, Inc., Gtd. Notes

     5.750%      07/01/22      1,000         1,071,900   

Marriott International, Inc., Sr. Unsec’d. Notes

     3.000%      03/01/19      580         598,554   

Marriott International, Inc., Sr. Unsec’d. Notes

     3.250%      09/15/22      980         1,017,940   

Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes

     6.750%      05/15/18      2,800         3,054,422   

Wyndham Worldwide Corp., Sr. Unsec’d. Notes

     2.500%      03/01/18      490         495,109   
                          


                             6,237,925   
                          


Machinery – Diversified — 0.1%

                              

Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes

     7.875%      12/01/17      1,255         1,349,125   

SPX FLOW, Inc., Gtd. Notes

     6.875%      09/01/17      625         650,781   

Xylem, Inc., Sr. Unsec’d. Notes

     4.875%      10/01/21      1,260         1,373,801   
                          


                             3,373,707   
                          


Media — 0.4%

                              

21st Century Fox America, Inc., Gtd. Notes

     6.150%      03/01/37      515         639,236   

21st Century Fox America, Inc., Gtd. Notes

     6.900%      08/15/39      90         120,394   

AMC Networks, Inc., Gtd. Notes

     5.000%      04/01/24      1,520         1,504,610   

Cablevision Systems Corp., Sr. Unsec’d. Notes

     8.625%      09/15/17      1,000         1,056,250   

CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A

     5.375%      05/01/25      880         893,200   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A(a)

     6.384%      10/23/35      875         1,036,162   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.484%      10/23/45      1,050         1,253,722   

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A

     6.834%      10/23/55      280         332,924   

Comcast Cable Communications Holdings, Inc., Gtd. Notes

     9.455%      11/15/22      255         363,669   

Comcast Corp., Gtd. Notes

     6.400%      05/15/38      530         729,534   

Historic TW, Inc., Gtd. Notes

     9.150%      02/01/23      505         678,813   

Myriad International Holdings BV (South Africa), Gtd. Notes, RegS

     6.375%      07/28/17      1,300         1,349,998   

Time Warner Cable, Inc., Gtd. Notes

     5.850%      05/01/17      1,710         1,770,149   

Time Warner, Inc., Gtd. Notes

     6.200%      03/15/40      210         257,920   

Time Warner, Inc., Gtd. Notes

     6.250%      03/29/41      1,465         1,843,640   

Time Warner, Inc., Gtd. Notes

     7.625%      04/15/31      90         123,447   

Viacom, Inc., Sr. Unsec’d. Notes

     4.500%      02/27/42      50         41,484   

Viacom, Inc., Sr. Unsec’d. Notes

     4.875%      06/15/43      200         176,562   

Viacom, Inc., Sr. Unsec’d. Notes

     5.850%      09/01/43      425         426,120   

Videotron Ltd. (Canada), Gtd. Notes

     5.000%      07/15/22      1,040         1,076,400   
                          


                             15,674,234   
                          


Mining — 0.1%

                              

BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes

     5.000%      09/30/43      920         1,069,014   

BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A

     6.250% (b)    10/19/75      1,135         1,195,155   

Southern Copper Corp. (Peru), Sr. Unsec’d. Notes

     5.875%      04/23/45      530         499,299   

Southern Copper Corp. (Peru), Sr. Unsec’d. Notes

     7.500%      07/27/35      425         469,455   
                          


                             3,232,923   
                          


Miscellaneous Manufacturing — 0.1%

                              

Actuant Corp., Gtd. Notes

     5.625%      06/15/22      1,205         1,229,100   

General Electric Co., Sr. Unsec’d. Notes

     4.125%      10/09/42      190         208,986   

General Electric Co., Sr. Unsec’d. Notes

     4.500%      03/11/44      280         323,114   

General Electric Co., Sr. Unsec’d. Notes, GMTN

     6.000%      08/07/19      264         302,418   

General Electric Co., Sr. Unsec’d. Notes, GMTN

     6.875%      01/10/39      650         981,142   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A83


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Miscellaneous Manufacturing (continued)

                              

General Electric Co., Sr. Unsec’d. Notes, MTN

     5.875%      01/14/38      298       $ 403,036   

Koppers, Inc., Gtd. Notes

     7.875%      12/01/19      1,300         1,326,000   
                          


                             4,773,796   
                          


Oil & Gas — 0.5%

                              

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     4.677% (h)    10/10/36      2,000         755,580   

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     6.450%      09/15/36      325         374,437   

Anadarko Petroleum Corp., Sr. Unsec’d. Notes

     6.600%      03/15/46      885         1,068,642   

ConocoPhillips Co., Gtd. Notes(a)

     4.950%      03/15/26      2,250         2,551,324   

Devon Energy Corp., Sr. Unsec’d. Notes

     5.000%      06/15/45      275         256,540   

Devon Energy Corp., Sr. Unsec’d. Notes(a)

     5.600%      07/15/41      125         120,773   

Devon Energy Corp., Sr. Unsec’d. Notes

     5.850%      12/15/25      550         606,697   

Devon Financing Corp. LLC, Gtd. Notes

     7.875%      09/30/31      1,700         1,978,246   

EOG Resources, Inc., Sr. Unsec’d. Notes

     3.900%      04/01/35      1,020         1,022,638   

Helmerich & Payne International Drilling Co., Gtd. Notes

     4.650%      03/15/25      1,995         2,128,649   

Nabors Industries, Inc., Gtd. Notes

     4.625%      09/15/21      1,070         981,867   

Phillips 66, Gtd. Notes

     2.950%      05/01/17      490         497,172   

Pioneer Natural Resources Co., Sr. Unsec’d. Notes

     6.875%      05/01/18      1,500         1,621,572   

Reliance Holding USA, Inc. (India), Gtd. Notes, 144A

     5.400%      02/14/22      550         615,843   

Shell International Finance BV (Netherlands), Gtd. Notes

     3.250%      05/11/25      2,880         3,021,370   
                          


                             17,601,350   
                          


Oil & Gas Services — 0.1%

                              

Cameron International Corp., Sr. Unsec’d. Notes

     4.500%      06/01/21      2,200         2,367,772   

Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A

     4.000%      12/21/25      2,845         3,061,886   
                          


                             5,429,658   
                          


Packaging & Containers — 0.1%

                              

Ball Corp., Gtd. Notes

     4.375%      12/15/20      630         662,681   

Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes

     4.500%      01/15/23      1,100         1,122,000   

WestRock RKT Co., Gtd. Notes

     4.900%      03/01/22      800         888,050   
                          


                             2,672,731   
                          


Pharmaceuticals — 0.3%

                              

AbbVie, Inc., Sr. Unsec’d. Notes

     3.600%      05/14/25      1,175         1,231,200   

AbbVie, Inc., Sr. Unsec’d. Notes

     4.500%      05/14/35      1,910         1,996,261   

Actavis Funding SCS, Gtd. Notes

     3.800%      03/15/25      1,000         1,041,828   

Actavis Funding SCS, Gtd. Notes

     4.550%      03/15/35      1,810         1,860,175   

Actavis Funding SCS, Gtd. Notes

     4.750%      03/15/45      435         456,782   

Actavis, Inc., Gtd. Notes

     6.125%      08/15/19      445         499,392   

Johnson & Johnson, Sr. Unsec’d. Notes

     3.550%      03/01/36      320         353,537   

Merck & Co., Inc., Sr. Unsec’d. Notes

     2.750%      02/10/25      420         439,160   

Merck & Co., Inc., Sr. Unsec’d. Notes

     3.700%      02/10/45      1,380         1,462,339   

Novartis Capital Corp. (Switzerland), Gtd. Notes

     4.400%      05/06/44      1,325         1,596,936   

Wyeth LLC, Gtd. Notes

     6.450%      02/01/24      60         77,072   

Zoetis, Inc., Sr. Unsec’d. Notes

     4.700%      02/01/43      120         118,903   
                          


                             11,133,585   
                          


Pipelines — 0.2%

                              

DCP Midstream LLC, Sr. Unsec’d. Notes, 144A

     5.350%      03/15/20      717         702,660   

Energy Transfer Partners LP, Sr. Unsec’d. Notes

     4.650%      06/01/21      675         696,926   

Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)

     4.900%      03/15/35      250         220,867   

EnLink Midstream Partners LP, Sr. Unsec’d. Notes

     4.150%      06/01/25      820         755,722   

Enterprise Products Operating LLC, Gtd. Notes

     3.750%      02/15/25      1,345         1,402,813   

Enterprise Products Operating LLC, Gtd. Notes

     3.950%      02/15/27      1,705         1,808,369   

Kinder Morgan Energy Partners LP, Gtd. Notes

     5.950%      02/15/18      510         538,317   

MPLX LP, Sr. Unsec’d. Notes

     4.000%      02/15/25      1,430         1,298,949   

ONEOK Partners LP, Gtd. Notes

     6.650%      10/01/36      145         151,762   
                          


                             7,576,385   
                          


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A84


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

CORPORATE BONDS
(continued)
   Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Real Estate

                               

ProLogis LP, Gtd. Notes

     6.875%       03/15/20      72       $ 84,758   
                           


Real Estate Investment Trusts (REITs) — 0.1%

                               

Mack-Cali Realty LP, Sr. Unsec’d. Notes

     7.750%       08/15/19      765         863,494   

Select Income REIT, Sr. Unsec’d. Notes

     2.850%       02/01/18      715         720,601   

Simon Property Group LP, Sr. Unsec’d. Notes

     2.800%       01/30/17      295         296,901   

Simon Property Group LP, Sr. Unsec’d. Notes

     3.375%       03/15/22      230         246,193   
                           


                              2,127,189   
                           


Retail — 0.3%

                               

CVS Health Corp., Sr. Unsec’d. Notes

     5.125%       07/20/45      820         1,017,272   

CVS Health Corp., Sr. Unsec’d. Notes

     5.300%       12/05/43      225         280,875   

Home Depot, Inc. (The), Sr. Unsec’d. Notes

     3.000%       04/01/26      730         775,824   

Home Depot, Inc. (The), Sr. Unsec’d. Notes

     4.400%       03/15/45      755         874,882   

L Brands, Inc., Gtd. Notes

     5.625%       02/15/22      1,450         1,560,200   

Lowe’s Cos., Inc., Sr. Unsec’d. Notes

     6.500%       03/15/29      385         528,241   

Macy’s Retail Holdings, Inc., Gtd. Notes

     3.875%       01/15/22      360         370,116   

McDonald’s Corp., Sr. Unsec’d. Notes, MTN

     3.700%       01/30/26      2,620         2,830,763   

Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)

     5.625%       12/01/25      1,375         1,440,313   

Target Corp., Sr. Unsec’d. Notes

     3.500%       07/01/24      345         382,281   
                           


                              10,060,767   
                           


Savings & Loans

                               

People’s United Financial, Inc., Sr. Unsec’d. Notes

     3.650%       12/06/22      1,455         1,497,647   
                           


Semiconductors

                               

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

     5.750%       03/15/23      1,500         1,567,500   
                           


Software — 0.2%

                               

Fidelity National Information Services, Inc., Gtd. Notes

     3.625%       10/15/20      2,210         2,336,235   

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

     2.850%       10/15/18      1,650         1,693,374   

Microsoft Corp., Sr. Unsec’d. Notes

     2.375%       02/12/22      3,085         3,183,834   

Microsoft Corp., Sr. Unsec’d. Notes

     3.125%       11/03/25      1,380         1,478,016   

Oracle Corp., Sr. Unsec’d. Notes

     4.300%       07/08/34      920         978,442   
                           


                              9,669,901   
                           


Telecommunications — 0.5%

                               

America Movil SAB de CV (Mexico), Gtd. Notes

     6.125%       03/30/40      280         343,309   

AT&T Corp., Gtd. Notes

     8.250%       11/15/31      7         10,068   

AT&T, Inc., Sr. Unsec’d. Notes

     3.400%       05/15/25      3,460         3,539,258   

AT&T, Inc., Sr. Unsec’d. Notes

     4.500%       05/15/35      430         439,887   

AT&T, Inc., Sr. Unsec’d. Notes

     4.750%       05/15/46      875         896,764   

AT&T, Inc., Sr. Unsec’d. Notes

     4.800%       06/15/44      1,000         1,026,611   

AT&T, Inc., Sr. Unsec’d. Notes

     5.150%       03/15/42      860         927,907   

AT&T, Inc., Sr. Unsec’d. Notes

     5.350%       09/01/40      815         891,522   

British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes

     9.375%       12/15/30      400         616,272   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.522%       09/15/48      2,025         2,108,633   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     4.672%       03/15/55      2,056         2,079,521   

Verizon Communications, Inc., Sr. Unsec’d. Notes(a)

     4.862%       08/21/46      1,256         1,372,917   

Verizon Communications, Inc., Sr. Unsec’d. Notes

     5.012%       08/21/54      3,127         3,306,965   
                           


                              17,559,634   
                           


Transportation — 0.1%

                               

Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes

     6.700%       08/01/28      670         916,794   

CSX Corp., Sr. Unsec’d. Notes

     6.150%       05/01/37      715         931,923   

Norfolk Southern Corp., Sr. Unsec’d. Notes

     5.590%       05/17/25      100         121,208   
                           


                              1,969,925   
                           


TOTAL CORPORATE BONDS
(cost $372,137,268)

   

     394,088,898   
                           


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A85


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

FOREIGN AGENCIES — 0.6%    Interest
Rate


     Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A

     3.150%       07/24/24      800       $ 859,762   

Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A

     4.875%       01/15/24      645         674,831   

Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes

     2.000%       05/10/19      1,410         1,425,750   

Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes

     5.125%       06/29/20      400         450,133   

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

     4.950%       07/19/22      350         362,516   

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

     6.510%       03/07/22      580         633,766   

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A

     2.125%       04/13/21      800         813,236   

KFW (Germany), Gov’t. Gtd. Notes, GMTN

     2.750%       10/01/20      3,525         3,754,946   

Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A

     1.125%       05/23/18      3,158         3,170,042   

Petroleos Mexicanos (Mexico), Gtd. Notes

     5.500%       01/21/21      1,110         1,175,379   

Petroleos Mexicanos (Mexico), Gtd. Notes

     8.625%       12/01/23      350         412,125   

Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A

     6.299%       05/15/17      1,030         1,058,531   

Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A

     1.750%       04/10/17      1,620         1,625,284   

Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A

     2.500%       04/28/20      1,250         1,263,484   

State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A

     2.750%       05/07/19      665         684,874   

Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN

     1.750%       03/10/21      3,100         3,158,826   
                           


TOTAL FOREIGN AGENCIES
(cost $21,069,565)

   

     21,523,485   
                           


MUNICIPAL BONDS — 0.4%                                

California — 0.2%

                               

Bay Area Toll Authority, Revenue Bonds, BABs

     6.263%       04/01/49      1,325         2,023,580   

State of California, GO, BABs

     7.300%       10/01/39      1,270         1,921,866   

State of California, GO, BABs(a)

     7.500%       04/01/34      475         720,499   

State of California, GO, BABs

     7.550%       04/01/39      245         387,663   

State of California, GO, BABs

     7.625%       03/01/40      215         339,167   
                           


                              5,392,775   
                           


Colorado

                               

Regional Transportation District, Revenue Bonds, Series 2010-B, BABs

     5.844%       11/01/50      680         991,141   
                           


Illinois

                               

Chicago O’Hare International Airport, Revenue Bonds, BABs

     6.395%       01/01/40      1,030         1,464,310   
                           


New Jersey — 0.1%

                               

New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs

     7.414%       01/01/40      1,070         1,674,914   
                           


New York — 0.1%

                               

New York City Transitional Finance Authority, Revenue Bonds, BABs

     5.767%       08/01/36      1,130         1,480,752   
                           


Ohio

                               

Ohio State University (The), Revenue Bonds, BABs

     4.910%       06/01/40      455         576,385   

Ohio State Water Development Authority, Revenue Bonds, BABs

     4.879%       12/01/34      300         361,920   
                           


                              938,305   
                           


Oregon

                               

Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs

     5.834%       11/15/34      445         608,399   
                           


Pennsylvania

                               

Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs

     5.511%       12/01/45      550         722,639   
                           


Tennessee

                               

Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs

     6.731%       07/01/43      1,000         1,385,900   
                           


TOTAL MUNICIPAL BONDS
(cost $10,338,080)

   

     14,659,135   
                           


SOVEREIGN BONDS — 0.5%                                

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

     4.000%       02/26/24      1,475         1,540,637   

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

     4.375%       07/12/21      500         536,750   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     4.000%       03/25/19      580         601,750   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A86


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

SOVEREIGN BONDS
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     6.375%      03/29/21      2,280       $ 2,595,488   

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

     7.625%      03/29/41      1,500         2,175,000   

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS

     4.875%      05/05/21      1,120         1,216,027   

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A

     5.875%      03/13/20      1,135         1,262,215   

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A

     5.875%      01/15/24      950         1,098,645   

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes

     3.625%      03/15/22      700         737,800   

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN

     4.750%      03/08/44      1,006         1,083,965   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     3.750%      03/16/25      600         633,000   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     4.000%      09/22/24      515         552,337   

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

     5.200%      01/30/20      620         686,650   

Province of Manitoba (Canada), Sr. Unsec’d. Notes

     2.125%      06/22/26      1,395         1,386,760   

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A

     4.875%      01/22/24      190         209,494   

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS

     6.125%      01/22/44      400         498,880   

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

     7.000%      06/05/20      1,710         1,939,431   
                          


TOTAL SOVEREIGN BONDS
(cost $18,136,512)

   

     18,754,829   
                          


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.6%                               

Alternative Loan Trust, Series 2004-18CB, Class 3A1

     5.250%      09/25/19      154         154,551   

Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1

     6.000%      01/25/36      1,346         1,127,042   

Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A

     3.500% (b)    07/26/36      2,037         2,035,306   

Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A

     0.608% (b)    08/26/36      1,287         1,186,841   

Bank of America Mortgage Trust, Series 2005-A, Class 2A1

     2.953% (b)    02/25/35      686         659,213   

Bank of America Mortgage Trust, Series 2005-B, Class 2A1

     3.051% (b)    03/25/35      247         227,457   

Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5

     2.888% (b)    02/25/37      578         551,908   

Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A(d)

     2.434% (b)    10/30/47      903         900,168   

Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1(i)

     2.403% (b)    11/25/24      2,049         2,057,380   

Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(i)

     1.953% (b)    02/25/25      478         478,178   

Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(i)

     1.603% (b)    05/25/25      3,418         3,413,748   

Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(i)

     2.603% (b)    09/25/28      1,454         1,471,269   

Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(i)

     2.653% (b)    10/25/28      1,926         1,946,066   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(i)

     1.353% (b)    10/25/27      8,040         8,037,766   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(i)

     1.803% (b)    04/25/28      2,331         2,335,391   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(i)

     1.903% (b)    07/25/28      3,658         3,669,854   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(i)

     2.446% (b)    12/25/28      1,725         1,736,489   

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(i)

     2.703% (b)    11/25/28      1,600         1,609,276   

JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1

     2.948% (b)    07/25/35      323         322,146   

LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A(d)

     3.539% (b)    09/01/21      3,860         3,821,758   

LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(d)

     2.457% (b)    12/01/21      781         766,919   

LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A

     2.457% (b)    03/01/20      3,342         3,273,537   

LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A(d)

     2.457% (b)    04/01/20      1,075         1,053,013   

LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A(d)

     2.457% (b)    04/01/20      1,842         1,807,601   

LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d)

     2.457% (b)    05/01/20      5,353         5,232,725   

LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A

     2.978% (b)    07/01/20      1,759         1,728,559   

LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A

     2.457% (b)    08/01/20      1,807         1,773,528   

LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A

     2.457% (b)    10/01/20      1,894         1,859,462   

LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d)

     2.457% (b)    11/01/20      947         926,090   

LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A

     2.439% (b)    01/01/21      3,777         3,665,345   

MASTR Alternative Loan Trust, Series 2004-4, Class 4A1

     5.000%      04/25/19      47         47,040   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A87


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

RESIDENTIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

     2.830% (b)    02/25/34      279       $ 276,431   

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A

     5.000%      03/25/20      66         66,044   
                          


TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $60,557,556)

   

     60,218,101   
                          


U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.3%                               

Federal Home Loan Banks

     5.500%      07/15/36      1,080         1,558,186   

Federal Home Loan Mortgage Corp.

     2.500%      TBA      7,500         7,751,130   

Federal Home Loan Mortgage Corp.

     2.500%      03/01/30      864         896,759   

Federal Home Loan Mortgage Corp.

     2.598% (b)    12/01/35      281         295,096   

Federal Home Loan Mortgage Corp.

     2.710% (b)    06/01/36      425         448,967   

Federal Home Loan Mortgage Corp.

     3.000%      TBA      6,000         6,222,918   

Federal Home Loan Mortgage Corp.

     3.000%      10/01/28-06/01/45      14,383         15,014,661   

Federal Home Loan Mortgage Corp.(j)

     3.500%      TBA      24,500         25,805,860   

Federal Home Loan Mortgage Corp.

     3.500%      12/01/25-06/01/42      2,797         2,977,620   

Federal Home Loan Mortgage Corp.(j)

     4.000%      TBA      25,000         26,744,218   

Federal Home Loan Mortgage Corp.

     4.000%      06/01/26-01/01/42      5,268         5,641,640   

Federal Home Loan Mortgage Corp.

     4.500%      02/01/19-10/01/41      10,448         11,421,259   

Federal Home Loan Mortgage Corp.

     5.000%      07/01/18-06/01/39      2,745         3,004,019   

Federal Home Loan Mortgage Corp.

     5.500%      12/01/33-07/01/38      2,976         3,343,068   

Federal Home Loan Mortgage Corp.

     6.000%      03/01/32-08/01/39      1,528         1,755,564   

Federal Home Loan Mortgage Corp.

     7.000%      01/01/31-10/01/32      197         219,972   

Federal National Mortgage Assoc.

     2.322% (b)    06/01/37      138         138,381   

Federal National Mortgage Assoc.

     2.432% (b)    07/01/33      265         278,039   

Federal National Mortgage Assoc.

     2.500%      TBA      17,750         18,363,958   

Federal National Mortgage Assoc.

     2.500%      01/01/28-10/01/43      3,454         3,549,753   

Federal National Mortgage Assoc.

     3.000%      TBA      50,000         51,794,910   

Federal National Mortgage Assoc.

     3.000%      02/01/27-07/01/43      31,819         33,234,489   

Federal National Mortgage Assoc.

     3.500%      TBA      29,000         30,563,280   

Federal National Mortgage Assoc.

     3.500%      07/01/27-07/01/43      38,352         40,662,629   

Federal National Mortgage Assoc.

     4.000%      TBA      13,250         14,193,682   

Federal National Mortgage Assoc.

     4.000%      10/01/41-09/01/44      11,101         11,914,438   

Federal National Mortgage Assoc.

     4.500%      TBA      500         545,779   

Federal National Mortgage Assoc.

     4.500%      11/01/18-07/01/42      8,152         8,958,355   

Federal National Mortgage Assoc.(j)

     5.000%      TBA      7,000         7,777,120   

Federal National Mortgage Assoc.

     5.000%      10/01/18-02/01/36      3,008         3,344,195   

Federal National Mortgage Assoc.

     5.500%      12/01/16-08/01/37      4,438         5,008,139   

Federal National Mortgage Assoc.

     6.000%      09/01/17-05/01/38      4,081         4,696,283   

Federal National Mortgage Assoc.

     6.250%      05/15/29      1,415         2,060,735   

Federal National Mortgage Assoc.

     6.500%      07/01/17-09/01/37      1,525         1,785,013   

Federal National Mortgage Assoc.

     7.000%      02/01/32-07/01/32      171         200,282   

Federal National Mortgage Assoc.(k)

     7.125%      01/15/30      3,270         5,130,254   

Federal National Mortgage Assoc.

     7.500%      05/01/32      18         18,468   

Financing Corp., Strips Principal, Series A-P

     1.282% (h)    10/06/17      906         897,933   

Government National Mortgage Assoc.(j)

     3.000%      TBA      24,500         25,600,127   

Government National Mortgage Assoc.

     3.000%      03/15/45      2,314         2,418,988   

Government National Mortgage Assoc.(j)

     3.500%      TBA      42,000         44,554,220   

Government National Mortgage Assoc.

     3.500%      05/20/43      743         791,352   

Government National Mortgage Assoc.

     4.000%      TBA      5,000         5,344,531   

Government National Mortgage Assoc.

     4.000%      06/15/40-05/20/41      982         1,057,187   

Government National Mortgage Assoc.

     4.500%      TBA      2,000         2,200,927   

Government National Mortgage Assoc.

     4.500%      04/15/40-02/20/41      6,240         6,833,346   

Government National Mortgage Assoc.

     5.000%      10/20/37      289         321,787   

Government National Mortgage Assoc.

     5.500%      11/15/32-02/15/36      1,952         2,228,887   

Government National Mortgage Assoc.

     6.000%      02/15/33-10/15/34      1,026         1,196,137   

Government National Mortgage Assoc.

     6.500%      10/15/23-07/15/35      1,180         1,376,200   

Government National Mortgage Assoc.

     8.000%      01/15/24-04/15/25      33         37,027   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A88


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

U.S. GOVERNMENT AGENCY OBLIGATIONS
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Hashemite Kingdom of Jordan Government AID Bond, U.S. Gov’t. Gtd. Notes

     2.578%        06/30/22         5,450       $ 5,806,615   

Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes

     5.500%        12/04/23-04/26/24         1,340         1,695,216   

Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes

     2.633% (h)      11/01/24         100         84,127   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     1.657% (h)      10/15/20         1,105         1,051,599   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     1.725% (h)      10/15/19         1,882         1,821,637   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     2.804% (h)      01/15/30         950         683,394   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     2.967% (h)      04/15/30         2,100         1,513,336   

Tennessee Valley Authority, Sr. Unsec’d. Notes

     7.125%        05/01/30         2,375         3,636,849   

Ukraine Government AID Bond, U.S. Gov’t. Gtd. Notes

     1.847%        05/29/20         1,245         1,274,445   
                              


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $460,033,233)

   

     469,744,986   
                              


U.S. TREASURY OBLIGATIONS — 1.5%                                   

U.S. Treasury Bonds(k)

     2.500%        02/15/45         4,500         4,685,099   

U.S. Treasury Bonds

     2.750%        11/15/42         710         781,055   

U.S. Treasury Bonds

     2.875%        05/15/43         2,245         2,524,485   

U.S. Treasury Bonds(l)

     3.000%        11/15/44         1,535         1,764,891   

U.S. Treasury Inflation Indexed Bonds, TIPS

     0.125%        04/15/21         10,512         10,771,079   

U.S. Treasury Inflation Indexed Bonds, TIPS

     1.000%        02/15/46         1,797         1,940,144   

U.S. Treasury Inflation Indexed Bonds, TIPS

     2.375%        01/15/25         5,648         6,743,145   

U.S. Treasury Notes

     1.125%        06/30/21         30         30,149   

U.S. Treasury Notes

     1.375%        06/30/23         60         60,309   

U.S. Treasury Notes(l)

     2.125%        12/31/22         1,260         1,328,463   

U.S. Treasury Strips Coupon(l)

     2.184% (h)      02/15/28         5,465         4,444,362   

U.S. Treasury Strips Coupon

     2.241% (h)      05/15/28         2,735         2,210,244   

U.S. Treasury Strips Coupon

     2.280% (h)      02/15/29         2,735         2,173,548   

U.S. Treasury Strips Coupon

     2.384% (h)      05/15/29         5,640         4,449,644   

U.S. Treasury Strips Coupon

     2.752% (h)      08/15/30         5,005         3,825,607   

U.S. Treasury Strips Coupon

     2.972% (h)      02/15/37         5,955         3,793,716   

U.S. Treasury Strips Principal(l)

     2.474% (h)      05/15/43         2,210         1,158,794   

U.S. Treasury Strips Principal

     2.543% (h)      02/15/45         1,905         946,454   

U.S. Treasury Strips Principal

     2.873% (h)      05/15/45         2,185         1,077,544   

U.S. Treasury Strips Principal

     3.628% (h)      05/15/44         2,525         1,290,641   
                              


TOTAL U.S. TREASURY OBLIGATIONS
(cost $52,742,257)

   

     55,999,373   
                              


TOTAL LONG-TERM INVESTMENTS
(cost $3,184,903,011)

   

     3,638,428,566   
                              


SHORT-TERM INVESTMENTS — 11.9%                 Shares

        

AFFILIATED MUTUAL FUNDS — 11.9%

                                  

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $136,308,483)(m)(Note 4)

   

     13,877,669         128,923,548   

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $323,594,897; includes $38,995,211 of cash collateral for securities on loan)(m)(n)(Note 4)

   

     323,594,897         323,594,897   
                              


TOTAL AFFILIATED MUTUAL FUNDS
(cost $459,903,380)

   

     452,518,445   
                              


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A89


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

U.S. TREASURY OBLIGATION    Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

U.S. Treasury Bill
(cost $149,925)(k)

     0.242% (o)    09/15/16      150       $ 149,936   
                          


TOTAL SHORT-TERM INVESTMENTS
(cost $460,053,305)

   

     452,668,381   
                          


TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 107.4%
(cost $3,644,956,316)

   

     4,091,096,947   
                          


U.S. GOVERNMENT AGENCY OBLIGATION — SHORT — (0.1)%

                              

Federal National Mortgage Assoc.(j) (proceeds received $2,098,907)

     3.500%      TBA      2,000,000         (2,110,313
                          


TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.3%
(cost $3,642,857,409)

   

     4,088,986,634   

LIABILITIES IN EXCESS OF OTHER ASSETS(p) — (7.3)%

  

     (281,363,759
                          


NET ASSETS — 100.0%

  

   $ 3,807,622,875   
                          


See the Glossary for abbreviations used in the semiannual report.

 

# Principal amount is shown in U.S. dollars unless otherwise stated.

 

* Non-income producing security.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $38,042,457; cash collateral of $38,995,211 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

 

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016.

 

(c) Indicates a security or securities that have been deemed illiquid.

 

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $15,090,274 and 0.4% of net assets.

 

(e) Interest rate not available as of June 30, 2016.

 

(f) Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity.

 

(g) Indicates a restricted security; the aggregate original cost of the restricted securities is $4,629,518. The aggregate value of $4,501,754 is approximately 0.1% of net assets.

 

(h) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

 

(i) Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac.

 

(j) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $63,000,000 is approximately 1.7% of net assets.

 

(k) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(l) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(m) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

 

(n) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

 

(o) Rate quoted represents yield-to-maturity as of purchase date.

 

(p) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at June 30, 2016:

 

Number of
Contracts


  Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 
Long Positions:                                        
330     2 Year U.S. Treasury Notes        Sep. 2016      $   71,878,765      $   72,378,281      $    499,516   
893     5 Year U.S. Treasury Notes        Sep. 2016        107,890,812        109,092,508        1,201,696   
406     10 Year U.S. Treasury Notes        Sep. 2016        52,899,397        53,991,656        1,092,259   
580     30 Year U.S. Ultra Treasury Bonds        Sep. 2016        101,451,525        108,097,500        6,645,975   
2     ASX SPI 200 Index        Sep. 2016        192,511        193,013        502   
21     Mini MSCI EAFE Index        Sep. 2016        1,699,749        1,695,960        (3,789
                                   


                                      9,436,159   
                                   


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A90


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Futures contracts outstanding at June 30, 2016 (continued):

 

Number of
Contracts


  Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 
Short Position:                                        
611     20 Year U.S. Treasury Bonds        Sep. 2016      $ 99,263,674      $ 105,302,031      $ (6,038,357
                                   


                                    $   3,397,802   
                                   



  A U.S. Treasury Obligation with a market value of $149,936 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $2,823,483 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Interest rate swap agreements outstanding at June 30, 2016:

 

Notional
Amount
(000)#


       Termination
Date


       Fixed
Rate


    

Floating Rate


     Value at
Trade Date


       Value at
June 30, 2016


       Unrealized
Appreciation
(Depreciation)


 

 

Centrally cleared swap agreements:

  

          
  2,720           07/11/18           0.947%      

3 Month LIBOR(1)

     $ 157         $ (11,397      $ (11,554
  30,050           01/06/21           1.750%      

3 Month LIBOR(2)

       228           1,081,282           1,081,054   
  24,740           05/31/22           2.200%      

3 Month LIBOR(1)

       (50,182        (1,631,373        (1,581,191
  9,730           05/31/22           2.217%      

3 Month LIBOR(1)

       202           (651,138        (651,340
  26,415           11/30/22           1.850%      

3 Month LIBOR(1)

       292           (1,227,270        (1,227,562
  8,160           11/30/22           1.982%      

3 Month LIBOR(1)

       194           (447,020        (447,214
  2,300           12/31/22           1.405%      

3 Month LIBOR(1)

       163           (42,411        (42,574
  1,600           12/31/22           1.406%      

3 Month LIBOR(1)

       159           (29,653        (29,812
  3,400           12/31/22           1.409%      

3 Month LIBOR(1)

       168           (63,550        (63,718
  900           12/31/22           1.412%      

3 Month LIBOR(1)

       155           (16,977        (17,132
  1,350           12/31/22           1.495%      

3 Month LIBOR(1)

       158           (32,647        (32,805
  7,420           09/04/25           2.214%      

3 Month LIBOR(1)

       203           (586,398        (586,601
  34,470           01/08/26           2.210%      

3 Month LIBOR(1)

       349           (2,728,390        (2,728,739
                                     


    


    


                                      $ (47,754      $ (6,386,942      $ (6,339,188
                                     


    


    



(1) Portfolio pays the fixed rate and receives the floating rate.

 

(2) Portfolio pays the floating rate and receives the fixed rate.

Credit default swap agreements outstanding at June 30, 2016:

 

Reference Entity/
Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Implied
Credit
Spread at
June 30,
2016(3)


    Value at
Trade
Date


     Value at
June 30,
2016


     Unrealized
Appreciation
(Depreciation)


 

Centrally cleared credit default swaps on corporate issues—Sell Protection (2):

  

General Motors Co.

     06/20/19         5.000%         4,370         1.179   $ 491,932       $ 483,750       $ (8,182

General Motors Co.

     06/20/21         5.000%         1,560         1.819     234,836         230,289         (4,547
                                       


  


  


                                        $ 726,768       $ 714,039       $ (12,729
                                       


  


  


 

Reference Entity/Obligation


   Termination
Date


     Fixed
Rate


     Notional
Amount
(000)#(4)


     Value at
Trade
Date


    Value at
June 30,
2016(5)


    Unrealized
Appreciation
(Depreciation)


 

Centrally cleared credit default swap on credit indices—Buy Protection(1):

  

CDX.NA.IG.24.V1

     06/20/20         1.000%         51,500       $ (969,274   $ (459,366   $ 509,908   
                               


 


 


U.S Treasury Obligations with a combined market value of $10,502,503 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A91


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

 

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(3) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

 

(4) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(5) The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Total return swap agreements outstanding at June 30, 2016:

 

Counterparty


   Termination
Date


     Long (Short)
Notional
Amount
(000)#


    

Description


   Fair
Value


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)(1)


 

OTC total return swap agreements:

                          
Deutsche Bank AG      09/08/16         2,800      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

   $ 157,069       $   —       $ 157,069   
Deutsche Bank AG      09/08/16         2,800      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     198,192                 198,192   
Deutsche Bank AG      09/08/16         1,400      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     62,160                 62,160   
Deutsche Bank AG      09/08/16         1,400      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     44,826                 44,826   
                           


  


  


                            $ 462,247       $       $ 462,247   
                           


  


  



(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A92


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

    

Level 1


    

Level 2


   

Level 3


 

Investments in Securities

                         

Common Stocks

   $ 2,172,536,514       $ 89,294,475      $   

Exchange Traded Fund

     1,565,470                  

Preferred Stocks

     573,540         790,135          

Asset-Backed Securities

                         

Collateralized Loan Obligations

             57,408,720          

Non-Residential Mortgage-Backed Securities

             77,370,272          

Residential Mortgage-Backed Securities

             16,108,568          

Bank Loans

             8,827,860        582,000   

Commercial Mortgage-Backed Securities

             178,381,114          

Corporate Bonds

             394,088,898          

Foreign Agencies

             21,523,485          

Municipal Bonds

             14,659,135          

Sovereign Bonds

             18,754,829          

Residential Mortgage-Backed Securities

             45,709,827        14,508,274   

U.S. Government Agency Obligations

             469,744,986          

U.S. Treasury Obligations

             56,149,309          

Rights – Spain

     1,091                  

Affiliated Mutual Funds

     452,518,445                  

U.S. Government Agency Obligation — Short

             (2,110,313       

Other Financial Instruments*

                         

Futures Contracts

     3,397,802                  

Centrally Cleared Interest Rate Swap Agreements

             (6,339,188       

Centrally Cleared Credit Default Swap Agreements

             497,179          

OTC Total Return Swap Agreements

             462,247          
    


  


 


Total

   $ 2,630,592,862       $ 1,441,321,538      $ 15,090,274   
    


  


 



* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

 

U.S. Government Agency Obligations

     12.3

Affiliated Mutual Funds (including 1.0% of collateral for securities on loan)

     11.9   

Banks

     6.6   

Commercial Mortgage-Backed Securities

     4.7   

Oil, Gas & Consumable Fuels

     3.7   

Pharmaceuticals

     3.6   

Software

     3.0   

Internet Software & Services

     2.8   

Biotechnology

     2.2   

Diversified Telecommunication Services

     2.2   

Insurance

     2.1   

Non-Residential Mortgage-Backed Securities

     2.1   

Residential Mortgage-Backed Securities

     2.0   

Technology Hardware, Storage & Peripherals

     2.0   

Health Care Providers & Services

     2.0   

Food & Staples Retailing

     1.7   

Electric Utilities

     1.7   

IT Services

     1.7   

Health Care Equipment & Supplies

     1.7   

Media

     1.6   

Household Products

     1.6   

Semiconductors & Semiconductor Equipment

     1.6   

Collateralized Loan Obligations

     1.5   

U.S. Treasury Obligations

     1.5

Real Estate Investment Trusts (REITs)

     1.5   

Aerospace & Defense

     1.4   

Hotels, Restaurants & Leisure

     1.4   

Tobacco

     1.3   

Capital Markets

     1.3   

Chemicals

     1.3   

Diversified Financial Services

     1.2   

Beverages

     1.1   

Industrial Conglomerates

     1.1   

Food Products

     1.1   

Specialty Retail

     1.1   

Internet & Catalog Retail

     0.8   

Automobiles

     0.8   

Communications Equipment

     0.8   

Electrical Equipment

     0.8   

Multiline Retail

     0.7   

Airlines

     0.7   

Foreign Agencies

     0.6   

Electric

     0.5   

Sovereign Bonds

     0.5   

Telecommunications

     0.5   

Textiles, Apparel & Luxury Goods

     0.5   

Oil & Gas

     0.5   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A93


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Industry table (cont.)


      

Building Products

     0.5

Healthcare – Services

     0.4   

Air Freight & Logistics

     0.4   

Metals & Mining

     0.4   

Household Durables

     0.4   

Municipal Bonds

     0.4   

Machinery

     0.4   

Independent Power & Renewable Electricity Producers

     0.3   

Auto Manufacturers

     0.3   

Healthcare – Products

     0.3   

Multi-Utilities

     0.3   

Retail

     0.3   

Real Estate Management & Development

     0.2   

Consumer Finance

     0.2   

Computers

     0.2   

Professional Services

     0.2   

Pipelines

     0.2   

Energy Equipment & Services

     0.2   

Lodging

     0.2   

Technology

     0.2   

Agriculture

     0.1   

Oil & Gas Services

     0.1   

Gas Utilities

     0.1

Miscellaneous Manufacturing

     0.1   

Trading Companies & Distributors

     0.1   

Construction & Engineering

     0.1   

Food

     0.1   

Commercial Services & Supplies

     0.1   

Machinery – Diversified

     0.1   

Mining

     0.1   

Commercial Services

     0.1   

Forest Products & Paper

     0.1   

Housewares

     0.1   

Packaging & Containers

     0.1   

Electronic Equipment, Instruments & Components

     0.1   

Building Materials

     0.1   

Life Sciences Tools & Services

     0.1   

Transportation

     0.1   

Wireless Telecommunication Services

     0.1   

Road & Rail

     0.1   

Containers & Packaging

     0.1   

U.S. Government Agency Obligation – Short

     (0.1
    


       107.3   

Liabilities in excess of other assets

     (7.3
    


       100.0
    


 

 

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value


  

Asset Derivatives


   

Liability Derivatives


 
  

Balance Sheet Location


   Fair Value

   

Balance Sheet Location


   Fair Value

 

Credit contracts

   Due from/to broker — variation margin swaps    $ 509,908   Due from/to broker — variation margin swaps    $ 12,729

Equity contracts

   Unaffiliated investments      1,091             

Equity contracts

   Due from/to broker — variation margin futures      502   Due from/to broker — variation margin futures      3,789

Interest rate contracts

   Unrealized appreciation on OTC swap agreements      462,247             

Interest rate contracts

   Due from/to broker — variation margin swaps      1,081,054   Due from/to broker — variation margin swaps      7,420,242

Interest rate contracts

   Due from/to broker — variation margin futures      9,439,446   Due from/to broker — variation margin futures      6,038,357
         


      


Total

        $ 11,494,248           $ 13,475,117   
         


      



* Includes cumulative appreciation/depreciation as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income


    
 

Derivatives not accounted for as hedging
instruments, carried at fair value


     Rights*

     Options
Purchased*


     Options
Written


     Futures

       Swaps

     Total

 

Credit contracts

     $       $       $       $         $ (373,764    $ (373,764

Equity contracts

       (135                      4,474                   4,339   

Interest rate contracts

               (843,772      (576,573      5,080,812           (508,158      3,152,309   
      


  


  


  


    


  


       $ (135    $ (843,772    $ (576,573    $ 5,085,286         $ (881,922    $ 2,782,884   
      


  


  


  


    


  



* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A94


     FLEXIBLE MANAGED PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging
instruments, carried at fair value


     Rights**

     Options
Purchased**


       Options
Written


     Futures

     Swaps

     Total

 

Credit contracts

     $       $         $       $       $ (30,033    $ (30,033 )

Equity contracts

       (150                        (38,560              (38,710

Interest rate contracts

               409,545           (241,909 )      2,933,446        (4,167,294      (1,066,212 )
      


  


    


  


  


  


       $ (150    $ 409,545         $ (241,909    $ 2,894,886       $ (4,197,327    $ (1,134,955
      


  


    


  


  


  



** Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:

 

Options Purchased(1)


 

Options Written(2)


 

Futures—
Long Positions(3)


 

Futures—
Short Positions(3)


$199,106   $432,733   $379,076,060   $118,975,047

 

Interest Rate Swap
Agreements(2)


 

Credit Default
Swap Agreements—
Buy Protection(2)


 

Credit Default
Swap Agreements—
Sell Protection(2)


 

Total Return
Swap Agreements(2)


$206,585   $51,500   $5,350   $5,600

(1) Cost.

 

(2) Notional Amount in USD (000)

 

(3) Value at Trade Date.

Offsetting of OTC derivative assets and liabilities:

The Fund invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

 

Counterparty


     Gross amounts of
recognized assets(1)


       Gross amounts
available for offset


       Collateral
Received


       Net Amount

 

Deutsche Bank AG

     $ 462,247         $   —         $   —         $ 462,247   
      


    


    


    


 

Counterparty


     Gross amounts of
recognized liabilities(2)


       Gross amounts
available for offset


       Collateral
Pledged


       Net Amount

 

Deutsche Bank AG

     $   —         $   —         $   —         $   —   
      


    


    


    



(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

 

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A95


     FLEXIBLE MANAGED PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS        

Investments at value, including securities on loan of $38,042,457:

       

Unaffiliated investments (cost $3,185,052,936)

  $ 3,638,578,502   

Affiliated investments (cost $459,903,380)

    452,518,445   

Cash

    35,294   

Foreign currency, at value (cost $863,359)

    858,238   

Receivable for investments sold

    200,384,137   

Dividends and interest receivable

    10,368,569   

Tax reclaim receivable

    624,183   

Unrealized appreciation on OTC swap agreements

    462,247   

Due from broker—variation margin swaps

    12,434   

Receivable for Series shares sold

    688   

Prepaid expenses

    4,297   
   


Total Assets

    4,303,847,034   
   


LIABILITIES        

Payable for investments purchased

    452,328,866   

Payable to broker for collateral for securities on loan

    38,995,211   

Securities sold short, at value (proceeds received $2,098,907)

    2,110,313   

Management fee payable

    1,864,761   

Payable for Series shares repurchased

    604,187   

Accrued expenses and other liabilities

    310,954   

Due to broker—variation margin futures

    8,887   

Affiliated transfer agent fee payable

    980   
   


Total Liabilities

    496,224,159   
   


NET ASSETS   $ 3,807,622,875   
   


Net assets were comprised of:

       

Paid-in capital

  $ 2,149,028,387   

Retained earnings

    1,658,594,488   
   


Net assets, June 30, 2016

  $ 3,807,622,875   
   


Net asset value and redemption price per share $3,807,622,875 / 153,615,191 outstanding shares of beneficial interest

  $ 24.79   
   


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

NET INVESTMENT INCOME (LOSS)        
INCOME        

Unaffiliated dividend income (net) (foreign withholding tax $403,330, of which $6,800 is reimbursable by an affiliate)

  $ 27,826,868   

Interest income

    17,698,547   

Affiliated dividend income

    1,521,050   

Affiliated income from securities lending, net

    259,120   
   


Total income

    47,305,585   
   


EXPENSES        

Management fee

    11,125,575   

Custodian and accounting fees

    283,000   

Shareholders’ reports

    111,000   

Insurance expenses

    25,000   

Trustees’ fees

    22,000   

Audit fee

    21,000   

Legal fees and expenses

    8,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

    6,000   

Miscellaneous

    29,397   
   


Total expenses

    11,630,972   
   


NET INVESTMENT INCOME (LOSS)     35,674,613   
   


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS        

Net realized gain (loss) on:

       

Investment transactions

    41,948,264   

Futures transactions

    5,085,286   

Short sales transactions

    (347,838

Options written transactions

    (576,573

Swap agreement transactions

    (881,922

Foreign currency transactions

    3,111   
   


      45,230,328   
   


Net change in unrealized appreciation (depreciation) on:

       

Investments (including affiliated: $276,325)

    46,367,723   

Futures

    2,894,886   

Options written

    (241,909

Swap agreements

    (4,197,327

Foreign currencies

    (5,898
   


      44,817,475   
   


NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     90,047,803   
   


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 125,722,416   
   


 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 35,674,613      $ 67,622,207   

Net realized gain (loss) on investment and foreign currency transactions

     45,230,328        227,213,152   

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     44,817,475        (255,176,199
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     125,722,416        39,659,160   
    


 


SERIES SHARE TRANSACTIONS                 

Series shares sold [789,107 and 441,580 shares, respectively]

     19,305,594        10,576,788   

Series shares repurchased [4,554,681 and 9,397,959 shares, respectively]

     (109,422,998     (225,231,619
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (90,117,404     (214,654,831
    


 


Capital Contributions (Note 4)

     3,201,924          
    


 


TOTAL INCREASE (DECREASE)      38,806,936        (174,995,671
NET ASSETS:                 

Beginning of period

     3,768,815,939        3,943,811,610   
    


 


End of period

   $ 3,807,622,875      $ 3,768,815,939   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A96


     GLOBAL PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 91.9%  
COMMON STOCKS — 91.9%    Shares

     Value
(Note 2)


 

Australia — 1.2%

  

AGL Energy Ltd.

     60,000       $ 871,388   

Arrium Ltd.*(a)

     894,400         14,577   

Asaleo Care Ltd.

     733,400         1,160,412   

Ausdrill Ltd.*

     123,200         66,685   

Bendigo & Adelaide Bank Ltd.

     93,400         676,262   

Bradken Ltd.*

     98,900         74,523   

Challenger Ltd.

     102,500         669,658   

CSR Ltd.

     452,900         1,245,094   

Downer EDI Ltd.

     182,200         523,247   

Lend Lease Group

     96,000         911,921   

Macquarie Group Ltd.

     45,228         2,354,323   

Metcash Ltd.

     276,300         396,011   

Mineral Resources Ltd.

     49,900         314,168   

Myer Holdings Ltd.

     567,600         479,017   

National Australia Bank Ltd.

     33,588         644,871   

Primary Health Care Ltd.

     139,400         415,198   

Qantas Airways Ltd.*

     387,619         821,103   
             


                11,638,458   
             


Austria — 0.2%

                 

OMV AG

     36,200         1,017,611   

Voestalpine AG

     21,800         733,688   
             


                1,751,299   
             


Belgium — 0.2%

  

AGFA-Gevaert NV*

     86,100         279,507   

Delhaize Group

     15,200         1,605,649   
             


                1,885,156   
             


Canada — 1.6%

  

Alimentation Couche-Tard, Inc. (Class B Stock)

     57,058         2,450,232   

Brookfield Asset Management, Inc. (Class A Stock)

     110,643         3,658,964   

Canadian Natural Resources Ltd.

     125,900         3,881,497   

Canadian Pacific Railway Ltd.

     23,150         2,981,489   

Suncor Energy, Inc.

     70,416         1,953,411   
             


                14,925,593   
             


China — 1.2%

  

Baidu, Inc., ADR*

     16,003         2,642,895   

China Overseas Land & Investment Ltd.

     954,000         3,041,210   

NetEase, Inc., ADR

     15,587         3,011,720   

Shougang Fushan Resources Group Ltd.

     956,000         171,157   

Tencent Holdings Ltd.

     113,100         2,594,477   

Universal Health International Group Holding Ltd.

     2,473,000         142,700   
             


                11,604,159   
             


Denmark — 0.4%

  

Novo Nordisk A/S (Class B Stock)

     59,113         3,183,406   

TDC A/S

     39,500         193,569   

Vestas Wind Systems A/S

     5,725         389,125   
             


                3,766,100   
             


Finland — 0.6%

  

Kone OYJ (Class B Stock)

     44,752         2,065,329   

Sampo OYJ (Class A Stock)

     58,134         2,377,477   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Finland (continued)

  

Tieto OYJ

     20,400       $ 558,705   

UPM-Kymmene OYJ

     57,300         1,052,650   
             


                6,054,161   
             


France — 3.9%

  

Alstom SA*

     26,800         618,776   

Arkema SA

     6,400         489,300   

Atos SE

     5,500         453,471   

AXA SA

     46,300         915,476   

BNP Paribas SA

     16,000         701,691   

Cap Gemini SA

     43,346         3,740,464   

Cie Generale des Etablissements Michelin

     12,000         1,130,892   

CNP Assurances

     46,700         689,004   

Credit Agricole SA

     78,500         659,947   

Electricite de France SA

     61,800         749,342   

Engie SA

     35,200         565,197   

JCDecaux SA

     55,951         1,886,499   

Orange SA

     59,200         962,626   

Renault SA

     12,300         928,624   

Safran SA

     31,984         2,153,870   

Sanofi

     36,100         2,999,299   

SCOR SE

     22,000         650,434   

Societe Generale SA

     21,300         666,393   

Thales SA

     5,600         465,050   

Total SA

     105,298         5,049,695   

Total SA, ADR

     90,450         4,350,645   

Valeo SA

     75,203         3,338,583   

Vinci SA

     38,305         2,703,075   
             


                36,868,353   
             


Germany — 2.0%

  

Allianz SE

     9,800         1,398,049   

Aurubis AG

     14,200         645,716   

BASF SE

     13,500         1,035,168   

Bayer AG

     19,100         1,918,315   

Bayerische Motoren Werke AG

     12,200         887,860   

Continental AG

     8,079         1,528,769   

Daimler AG

     27,600         1,651,545   

Deutsche Bank AG

     27,100         374,608   

Deutsche Lufthansa AG*

     54,200         637,260   

E.ON SE

     46,000         464,364   

Evonik Industries AG

     36,500         1,088,017   

Hannover Rueck SE

     4,500         471,501   

Metro AG

     39,500         1,214,872   

Muenchener Rueckversicherungs AG

     6,800         1,140,331   

Rational AG

     2,182         1,009,811   

Rheinmetall AG

     13,300         791,071   

Stada Arzneimittel AG

     15,300         792,959   

Volkswagen AG

     7,400         980,969   

Wincor Nixdorf AG*

     13,000         694,651   
             


                18,725,836   
             


Hong Kong — 0.9%

  

AIA Group Ltd.

     564,800         3,396,552   

China Resources Cement Holdings Ltd.

     1,046,000         337,217   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A97


     GLOBAL PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Hong Kong (continued)

  

Huabao International Holdings Ltd.*

     1,045,000       $ 373,146   

Kingboard Chemical Holdings Ltd.

     216,000         430,604   

Lee & Man Paper Manufacturing Ltd.

     1,244,000         929,362   

PCCW Ltd.

     870,000         584,597   

Singamas Container Holdings Ltd.

     2,676,000         256,739   

Skyworth Digital Holdings Ltd.

     1,072,000         884,552   

WH Group Ltd., 144A

     681,500         539,745   

Yue Yuen Industrial Holdings Ltd.

     220,500         873,912   
             


                8,606,426   
             


India — 0.8%

  

HDFC Bank Ltd., ADR

     70,637         4,686,765   

Tata Motors Ltd., ADR*

     69,213         2,399,615   
             


                7,086,380   
             


Ireland — 1.3%

  

Experian PLC

     166,388         3,156,740   

Paddy Power Betfair PLC

     18,617         1,956,588   

Ryanair Holdings PLC, ADR

     41,506         2,886,327   

Smurfit Kappa Group PLC

     35,200         775,050   

XL Group PLC

     99,302         3,307,750   
             


                12,082,455   
             


Israel — 0.5%

  

Bank Hapoalim BM

     200,200         1,008,585   

Elbit Systems Ltd.

     7,700         697,283   

Teva Pharmaceutical Industries Ltd.

     16,300         824,947   

Teva Pharmaceutical Industries Ltd., ADR

     35,257         1,770,959   
             


                4,301,774   
             


Italy — 0.2%

  

Astaldi SpA

     62,200         251,979   

Enel SpA

     302,800         1,344,271   

Mediobanca SpA

     87,600         504,735   
             


                2,100,985   
             


Japan — 6.9%

  

Aisan Industry Co. Ltd.

     68,400         442,581   

Alpine Electronics, Inc.

     51,500         504,712   

Aoyama Trading Co. Ltd.

     9,900         365,076   

Aozora Bank Ltd.

     156,000         541,162   

Asahi Kasei Corp.

     76,000         528,887   

Astellas Pharma, Inc.

     75,600         1,185,585   

Calsonic Kansei Corp.

     105,000         797,972   

Concordia Financial Group Ltd.

     121,000         467,291   

Daihatsu Motor Co. Ltd.

     60,500         788,074   

Daikin Industries Ltd.

     36,400         3,059,230   

Enplas Corp.

     18,500         487,718   

Fuji Heavy Industries Ltd.

     59,874         2,058,072   

Fujikura Ltd.

     254,000         1,173,160   

Fujitec Co. Ltd.

     77,100         665,759   

Heiwa Corp.

     34,800         705,853   

Isuzu Motors Ltd.

     64,500         794,445   

ITOCHU Corp.

     37,100         453,852   

Japan Airlines Co. Ltd.

     28,000         900,833   

Kaneka Corp.

     74,000         493,747   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Japan (continued)

  

Kao Corp.

     52,300       $ 3,046,065   

KDDI Corp.

     27,100         824,104   

Keihin Corp.

     54,300         837,841   

Keyence Corp.

     4,400         3,002,246   

Komori Corp.

     40,000         447,732   

Konica Minolta, Inc.

     129,600         944,079   

Kureha Corp.

     255,000         894,999   

KYORIN Holdings, Inc.

     37,400         733,373   

Kyowa Exeo Corp.

     66,900         836,969   

Makita Corp.

     35,300         2,343,817   

Marubeni Corp.

     109,700         495,596   

Mitsubishi Corp.

     39,200         690,208   

Mitsubishi Gas Chemical Co., Inc.

     234,000         1,220,758   

Mitsubishi UFJ Financial Group, Inc.

     202,800         909,123   

Mizuho Financial Group, Inc.

     597,700         860,126   

Murata Manufacturing Co. Ltd.

     16,200         1,816,257   

Nippon Prologis REIT, Inc.

     837         2,044,770   

Nippon Telegraph & Telephone Corp.

     51,200         2,401,020   

Nishi-Nippon City Bank Ltd. (The)

     243,000         426,916   

Nissan Motor Co. Ltd.

     140,100         1,250,297   

Nisshinbo Holdings, Inc.

     81,000         733,887   

Nitori Holdings Co. Ltd.

     20,900         2,534,837   

NTT DOCOMO, Inc.

     39,300         1,059,864   

ORIX Corp.

     197,800         2,559,624   

Resona Holdings, Inc.

     416,800         1,523,368   

Ricoh Co. Ltd.

     66,500         576,454   

Sankyu, Inc.

     126,000         676,339   

Sawai Pharmaceutical Co. Ltd.

     6,000         465,114   

Seino Holdings Co. Ltd.

     52,600         482,201   

Shimachu Co. Ltd.

     30,700         668,848   

Shimano, Inc.

     13,100         2,002,958   

SKY Perfect JSAT Holdings, Inc.

     151,000         698,466   

SMC Corp.

     4,900         1,205,528   

Sumitomo Corp.

     67,100         676,361   

Sumitomo Mitsui Financial Group, Inc.

     33,900         978,865   

Sumitomo Osaka Cement Co. Ltd.

     184,500         791,696   

Toagosei Co. Ltd.

     73,500         678,086   

Toho Holdings Co. Ltd.

     36,900         889,185   

Towa Pharmaceutical Co. Ltd.

     9,400         490,843   

Toyo Tire & Rubber Co. Ltd.

     35,200         383,726   

Toyoda Gosei Co. Ltd.

     33,200         591,270   

Tsubakimoto Chain Co.

     85,000         525,390   

Tsumura & Co.

     21,600         585,872   

Yokohama Rubber Co. Ltd. (The)

     45,000         564,390   
             


                64,783,477   
             


Liechtenstein

  

VP Bank AG

     1,765         161,756   
             


Mexico — 0.3%

  

Wal-Mart de Mexico SAB de CV

     1,137,700         2,736,820   
             


Netherlands — 3.0%

  

Aegon NV

     95,000         376,422   

ING Groep NV, CVA

     58,400         604,204   

Koninklijke Ahold NV

     54,100         1,194,672   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A98


     GLOBAL PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Netherlands (continued)

  

NN Group NV

     46,800       $ 1,288,336   

NXP Semiconductors NV*

     161,796         12,675,099   

Royal Dutch Shell PLC (Class A Stock), ADR

     117,600         6,493,872   

Royal Dutch Shell PLC (Class A Stock)

     88,916         2,439,014   

Royal Dutch Shell PLC (Class B Stock)

     94,000         2,597,100   
             


                27,668,719   
             


New Zealand — 0.2%

  

Air New Zealand Ltd.

     606,600         909,132   

Fletcher Building Ltd.

     88,500         544,368   

Spark New Zealand Ltd.

     185,600         471,730   
             


                1,925,230   
             


Norway — 0.3%

  

DNB ASA

     50,500         604,475   

Fred Olsen Energy ASA*

     12,600         38,248   

Salmar ASA

     34,100         1,014,758   

Statoil ASA

     37,300         644,486   

Yara International ASA

     23,200         736,990   
             


                3,038,957   
             


Singapore — 0.2%

  

DBS Group Holdings Ltd.

     81,200         957,423   

Wilmar International Ltd.

     222,100         540,659   
             


                1,498,082   
             


South Africa — 0.4%

  

Bid Corp. Ltd.*

     74,286         1,392,106   

Bidvest Group Ltd. (The)

     74,286         700,818   

Discovery Ltd.

     95,264         795,802   

Mondi PLC

     30,200         565,421   
             


                3,454,147   
             


South Korea — 0.3%

  

Samsung Electronics Co. Ltd.

     1,988         2,475,758   
             


Spain — 1.0%

  

Amadeus IT Holding SA (Class A Stock)

     44,216         1,948,110   

Banco Santander SA

     94,600         367,114   

Distribuidora Internacional de Alimentacion SA

     100,600         587,194   

Gas Natural SDG SA

     47,300         940,216   

Iberdrola SA

     150,200         1,024,604   

Industria de Diseno Textil SA

     91,439         3,071,811   

Mapfre SA

     219,300         481,621   

Repsol SA

     57,200         733,243   
             


                9,153,913   
             


Sweden — 0.9%

  

Atlas Copco AB (Class A Stock)

     76,590         1,989,207   

Boliden AB

     42,300         826,715   

Hexagon AB (Class B Stock)

     56,508         2,067,964   

Nordea Bank AB

     83,600         709,233   

Swedbank AB (Class A Stock)

     29,700         623,792   

Telefonaktiebolaget LM Ericsson (Class B Stock)

     127,200         977,221   

TeliaSonera AB

     196,000         928,154   
             


                8,122,286   
             


COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

Switzerland — 3.2%

  

Actelion Ltd.*

     24,281       $ 4,088,862   

Aryzta AG

     18,700         691,075   

Baloise Holding AG

     10,300         1,147,218   

Bucher Industries AG

     4,680         1,095,608   

Cembra Money Bank AG

     18,100         1,265,937   

Credit Suisse Group AG*

     113,100         1,204,789   

Geberit AG

     4,475         1,694,962   

Georg Fischer AG

     1,100         879,349   

Helvetia Holding AG

     1,400         728,348   

Partners Group Holding AG

     7,878         3,376,239   

SGS SA

     1,001         2,293,042   

Swiss Life Holding AG*

     7,200         1,663,905   

Swiss Re AG

     25,500         2,227,181   

TE Connectivity Ltd.

     39,450         2,252,989   

UBS Group AG

     47,400         615,043   

Wolseley PLC

     54,334         2,813,626   

Zurich Insurance Group AG*

     6,700         1,657,464   
             


                29,695,637   
             


Taiwan — 0.5%

  

Taiwan Semiconductor Manufacturing Co. Ltd.

     853,000         4,298,862   
             


United Kingdom — 5.2%

  

3i Group PLC

     120,600         884,859   

ARM Holdings PLC

     70,231         1,066,795   

AstraZeneca PLC

     15,900         950,563   

Aviva PLC

     129,800         684,217   

BAE Systems PLC

     344,400         2,411,006   

Barclays PLC

     266,300         495,290   

Barratt Developments PLC

     109,300         593,942   

Beazley PLC

     129,500         629,598   

Bellway PLC

     25,400         644,339   

Berkeley Group Holdings PLC

     20,500         692,241   

Bovis Homes Group PLC

     66,300         647,000   

BP PLC

     317,500         1,858,501   

BT Group PLC

     100,400         551,861   

Carillion PLC

     145,900         455,626   

Centrica PLC

     220,400         666,491   

Compass Group PLC

     235,623         4,482,843   

Crest Nicholson Holdings PLC

     143,814         686,663   

Debenhams PLC

     301,400         222,734   

easyJet PLC

     25,500         370,558   

GlaxoSmithKline PLC

     52,400         1,125,296   

Go-Ahead Group PLC

     15,200         396,721   

Home Retail Group PLC

     16,300         33,380   

HSBC Holdings PLC

     196,000         1,214,335   

IG Group Holdings PLC

     163,312         1,768,397   

Imperial Brands PLC

     10,600         574,870   

Intermediate Capital Group PLC

     59,800         391,804   

Interserve PLC

     82,200         284,790   

J. Sainsbury PLC

     536,900         1,672,554   

Johnson Matthey PLC

     63,440         2,379,471   

Keller Group PLC

     48,200         582,355   

Lloyds Banking Group PLC

     1,133,000         820,625   

Man Group PLC

     308,300         479,004   

Meggitt PLC

     155,200         843,584   

Micro Focus International PLC

     70,434         1,519,555   

Mitie Group PLC

     247,100         818,833   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A99


     GLOBAL PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

United Kingdom (continued)

  

National Express Group PLC

     197,400       $ 779,102   

Old Mutual PLC

     194,100         524,357   

Premier Foods PLC*

     357,756         196,459   

QinetiQ Group PLC

     214,000         635,268   

Reckitt Benckiser Group PLC

     31,134         3,121,873   

Relx PLC

     185,568         3,417,145   

Royal Mail PLC

     85,300         573,095   

Smiths Group PLC

     32,000         494,505   

St. James’s Place PLC

     142,152         1,499,111   

Vesuvius PLC

     81,100         309,890   

WM Morrison Supermarkets PLC

     344,100         863,835   

WPP PLC

     129,577         2,700,581   
             


                49,015,922   
             


United States — 54.5%

  

AbbVie, Inc.

     3,700         229,067   

Adobe Systems, Inc.*

     68,005         6,514,199   

AES Corp.

     374,000         4,667,520   

Aetna, Inc.

     36,300         4,433,319   

Akamai Technologies, Inc.*

     112,637         6,299,787   

Alexion Pharmaceuticals, Inc.*

     54,869         6,406,504   

Alphabet, Inc. (Class A Stock)*

     7,994         5,624,019   

Alphabet, Inc. (Class C Stock)*

     11,244         7,781,972   

Amazon.com, Inc.*

     18,829         13,474,409   

American Express Co.

     61,250         3,721,550   

Ameriprise Financial, Inc.

     42,350         3,805,147   

Amgen, Inc.

     7,300         1,110,695   

Amphenol Corp. (Class A Stock)

     156,780         8,988,197   

ANSYS, Inc.*

     58,229         5,284,282   

Apache Corp.(b)

     47,500         2,644,325   

Apple, Inc.

     25,700         2,456,920   

Applied Materials, Inc.

     102,750         2,462,918   

Bank of America Corp.

     186,650         2,476,846   

Bank of New York Mellon Corp. (The)

     132,600         5,151,510   

Boeing Co. (The)

     28,900         3,753,243   

Bristol-Myers Squibb Co.

     141,806         10,429,831   

Bunge Ltd.

     30,900         1,827,735   

Carnival Corp.

     64,900         2,868,580   

CenterPoint Energy, Inc.

     38,450         922,800   

Charles Schwab Corp. (The)

     110,680         2,801,311   

Cisco Systems, Inc.

     160,650         4,609,048   

Citigroup, Inc.

     83,050         3,520,489   

Cognizant Technology Solutions Corp. (Class A Stock)*

     111,352         6,373,788   

Comcast Corp. (Class A Stock)

     76,550         4,990,294   

Costco Wholesale Corp.

     68,205         10,710,913   

Cummins, Inc.

     15,200         1,709,088   

Danaher Corp.

     113,479         11,461,379   

DaVita HealthCare Partners, Inc.*

     84,519         6,535,009   

E.I. du Pont de Nemours & Co.

     48,650         3,152,520   

Ecolab, Inc.

     82,464         9,780,230   

Entergy Corp.

     25,300         2,058,155   

EQT Corp.

     25,450         1,970,594   

Estee Lauder Cos., Inc. (The) (Class A Stock)

     110,428         10,051,157   

Exelon Corp.

     110,350         4,012,326   

Express Scripts Holding Co.*

     112,167         8,502,259   
COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

United States (continued)

  

Exxon Mobil Corp.

     62,250       $ 5,835,315   

Facebook, Inc. (Class A Stock)*

     107,613         12,298,014   

Fastenal Co.

     131,884         5,854,331   

Fifth Third Bancorp

     180,600         3,176,754   

FirstEnergy Corp.

     77,500         2,705,525   

FleetCor Technologies, Inc.*

     44,369         6,350,535   

General Electric Co.

     297,700         9,371,596   

General Motors Co.

     56,450         1,597,535   

Genpact Ltd.*

     279,339         7,497,459   

Gilead Sciences, Inc.

     20,550         1,714,281   

Hess Corp.

     25,700         1,544,570   

Hologic, Inc.*

     66,650         2,306,090   

Illinois Tool Works, Inc.

     28,150         2,932,104   

International Paper Co.

     56,450         2,392,351   

Intuitive Surgical, Inc.*

     15,236         10,077,243   

Invesco Ltd.

     64,950         1,658,823   

Johnson & Johnson

     50,600         6,137,780   

Johnson Controls, Inc.

     69,850         3,091,561   

JPMorgan Chase & Co.

     136,400         8,475,896   

Juniper Networks, Inc.

     43,450         977,191   

Kohl’s Corp.(b)

     43,250         1,640,040   

Las Vegas Sands Corp.

     37,800         1,643,922   

Loews Corp.

     70,100         2,880,409   

Lowe’s Cos., Inc.

     45,100         3,570,567   

Marsh & McLennan Cos., Inc.

     78,500         5,374,110   

Mattel, Inc.

     96,950         3,033,566   

Mead Johnson Nutrition Co.

     99,538         9,033,073   

Medtronic PLC

     72,121         6,257,939   

Merck & Co., Inc.

     79,650         4,588,636   

MetLife, Inc.

     124,350         4,952,860   

Microsoft Corp.

     135,650         6,941,210   

Morgan Stanley

     207,300         5,385,654   

National Instruments Corp.

     70,391         1,928,713   

NetSuite, Inc.*(b)

     77,675         5,654,740   

News Corp. (Class A Stock)

     155,300         1,762,655   

Occidental Petroleum Corp.

     42,800         3,233,968   

PayPal Holdings, Inc.

     64,030         2,337,735   

PepsiCo, Inc.

     41,500         4,396,510   

Pfizer, Inc.

     274,200         9,654,582   

PG&E Corp.

     134,400         8,590,848   

Philip Morris International, Inc.

     55,050         5,599,686   

Procter & Gamble Co. (The)

     51,050         4,322,403   

QUALCOMM, Inc.

     51,300         2,748,141   

Raytheon Co.

     17,950         2,440,303   

salesforce.com, inc.*

     121,374         9,638,309   

SBA Communications Corp. (Class A Stock)*

     64,146         6,923,919   

Southwest Airlines Co.

     52,050         2,040,881   

Starbucks Corp.

     201,384         11,503,054   

T-Mobile U.S., Inc.*

     34,050         1,473,344   

Texas Instruments, Inc.

     50,750         3,179,488   

Thermo Fisher Scientific, Inc.

     28,500         4,211,160   

TripAdvisor, Inc.*

     133,939         8,612,278   

Twenty-First Century Fox (Class B Stock)

     154,400         4,207,400   

Tyco International PLC

     75,650         3,222,690   

Tyson Foods, Inc. (Class A Stock)

     52,450         3,503,135   

U.S. Bancorp

     32,850         1,324,841   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A100


     GLOBAL PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS
(continued)
   Shares

     Value
(Note 2)


 

United States (continued)

  

Under Armour, Inc. (Class A Stock)*(b)

     75,384       $ 3,025,160   

Under Armour, Inc. (Class C Stock)*(b)

     117,639         4,282,060   

United Technologies Corp.

     33,650         3,450,807   

Vereit, Inc.

     117,500         1,191,450   

Visa, Inc. (Class A Stock)(b)

     168,033         12,463,008   

Vulcan Materials Co.

     14,650         1,763,274   

Wabtec Corp.

     85,168         5,981,349   

Wal-Mart Stores, Inc.

     39,100         2,855,082   

Wells Fargo & Co.

     56,150         2,657,580   

Weyerhaeuser Co.

     81,250         2,418,813   
             


                509,470,241   
             


TOTAL COMMON STOCKS
(cost $743,908,021)

   

     858,896,942   
             


RIGHTS*   
     Units

        

Spain

  

Repsol SA, expiring 07/01/16 (cost $18,773)

     57,200         18,599   
             


TOTAL LONG-TERM INVESTMENTS
(cost $743,926,794)

   

     858,915,541   
             


SHORT-TERM INVESTMENT — 3.5%   
     Shares

        

AFFILIATED MUTUAL FUND

  

Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund
(cost $32,578,587; includes $11,288,864 of cash collateral for securities on loan)(c)(d)(Note 4)

     32,578,587         32,578,587   
             


TOTAL INVESTMENTS — 95.4%
(cost $776,505,381)

   

     891,494,128   

OTHER ASSETS IN EXCESS OF
LIABILITIES — 4.6%

   

     42,916,686   
             


NET ASSETS — 100.0%

  

   $ 934,410,814   
             


See Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

(a) Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,577 and 0.0% of net assets.

 

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $11,076,589; cash collateral of $11,288,864 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

 

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund.

 

(d) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
 

 

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

    

Level 1


    

Level 2


    

Level 3


 

Investments in Securities

                          

Common Stocks

                          

Australia

   $       $ 11,623,881       $ 14,577   

Austria

             1,751,299           

Belgium

             1,885,156           

Canada

     14,925,593                   

China

     5,654,615         5,949,544           

Denmark

             3,766,100           

Finland

             6,054,161           

France

     4,350,645         32,517,708           

Germany

     694,651         18,031,185           

Hong Kong

             8,606,426           

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A101


     GLOBAL PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

    

Level 1


    

Level 2


    

Level 3


 

Investments in Securities (continued)

                          

Common Stocks (continued)

                          

India

   $ 7,086,380       $       $   

Ireland

     6,194,077         5,888,378           

Israel

     1,770,959         2,530,815           

Italy

             2,100,985           

Japan

     467,291         64,316,186           

Liechtenstein

             161,756           

Mexico

     2,736,820                   

Netherlands

     19,168,971         8,499,748           

New Zealand

             1,925,230           

Norway

             3,038,957           

Singapore

             1,498,082           

South Africa

     1,392,106         2,062,041           

South Korea

             2,475,758           

Spain

             9,153,913           

Sweden

             8,122,286           

Switzerland

     2,252,989         27,442,648           

Taiwan

             4,298,862           

United Kingdom

     481,249         48,534,673           

United States

     509,470,241                   

Rights – Spain

     18,599                   

Affiliated Mutual Fund

     32,578,587                   
    


  


  


Total

   $ 609,243,773       $ 282,235,778       $ 14,577   
    


  


  


The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2016 were as follows:

 

Pharmaceuticals

     5.1

Oil, Gas & Consumable Fuels

     4.9   

Banks

     4.7   

Insurance

     4.5   

IT Services

     4.4   

Internet Software & Services

     4.3   

Software

     3.7   

Affiliated Mutual Fund (including 1.2% of collateral for securities on loan)

     3.5   

Capital Markets

     3.2   

Semiconductors & Semiconductor Equipment

     2.9   

Food & Staples Retailing

     2.8   

Industrial Conglomerates

     2.6   

Machinery

     2.4   

Chemicals

     2.4   

Hotels, Restaurants & Leisure

     2.4   

Internet & Catalog Retail

     2.3   

Health Care Providers & Services

     2.2   

Electronic Equipment, Instruments & Components

     2.1   

Media

     2.1   

Health Care Equipment & Supplies

     2.0   

Food Products

     2.0   

Aerospace & Defense

     1.8   

Personal Products

     1.5   

Automobiles

     1.5   

Biotechnology

     1.4   

Diversified Telecommunication Services

     1.3   

Auto Components

     1.3   

Multi-Utilities

     1.3   

Electric Utilities

     1.2   

Trading Companies & Distributors

     1.2   

Specialty Retail

     1.0   

Airlines

     0.9   

Textiles, Apparel & Luxury Goods

     0.9

Technology Hardware, Storage & Peripherals

     0.9   

Real Estate Management & Development

     0.8   

Household Products

     0.8   

Communications Equipment

     0.7   

Tobacco

     0.7   

Household Durables

     0.7   

Leisure Products

     0.6   

Real Estate Investment Trusts (REITs)

     0.6   

Professional Services

     0.6   

Road & Rail

     0.6   

Construction & Engineering

     0.5   

Diversified Financial Services

     0.5   

Consumer Finance

     0.5   

Commercial Services & Supplies

     0.5   

Building Products

     0.5   

Construction Materials

     0.5   

Independent Power & Renewable Electricity Producers

     0.5   

Beverages

     0.5   

Life Sciences Tools & Services

     0.5   

Wireless Telecommunication Services

     0.4   

Containers & Packaging

     0.4   

Paper & Forest Products

     0.3   

Metals & Mining

     0.3   

Multiline Retail

     0.3   

Electrical Equipment

     0.2   

Gas Utilities

     0.1   

Air Freight & Logistics

     0.1   
    


       95.4   

Other assets in excess of liabilities

     4.6   
    


       100.0
    


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A102


     GLOBAL PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

 

Derivatives not designated for as hedging
instruments, carried at fair value


  

Asset Derivatives


    

Liability Derivatives


 
  

Balance Sheet Location


  

Fair Value


    

Balance Sheet Location


  

Fair Value


 

Equity contracts

   Unaffiliated investments    $ 18,599          $   —   
         


       


The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

For the six months ended June 30,2016, the Portfolio did not have any realized gain (loss) on derivatives recognized in income.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging instruments, carried at fair value


     Rights*

 

Equity contracts

     $ 403   
      



* Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A103


     GLOBAL PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS        

Investments at value, including securities on loan of $11,076,589:

       

Unaffiliated investments (cost $743,926,794)

  $ 858,915,541   

Affiliated investments (cost $32,578,587)

    32,578,587   

Foreign currency, at value (cost $3,327,786)

    3,319,084   

Receivable for investments sold

    52,543,507   

Tax reclaim receivable

    1,681,535   

Dividends receivable

    1,508,076   

Receivable for Series shares sold

    293   

Prepaid expenses

    812   
   


Total Assets

    950,547,435   
   


LIABILITIES        

Payable to broker for collateral for securities on loan

    11,288,864   

Payable for investments purchased

    4,000,357   

Management fee payable

    571,874   

Accrued expenses and other liabilities

    181,071   

Payable for Series shares repurchased

    91,643   

Payable to custodian

    1,832   

Affiliated transfer agent fee payable

    980   
   


Total Liabilities

    16,136,621   
   


NET ASSETS   $ 934,410,814   
   


Net assets were comprised of:

       

Paid-in capital

  $ 734,032,754   

Retained earnings

    200,378,060   
   


Net assets, June 30, 2016

  $ 934,410,814   
   


Net asset value and redemption price per share $934,410,814 / 35,738,109 outstanding shares of beneficial interest

  $ 26.15   
   


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

NET INVESTMENT INCOME (LOSS)        
INCOME        

Unaffiliated dividend income (net) (foreign withholding tax $948,739, of which $8,165 is reimbursable by an affiliate)

  $ 11,412,294   

Affiliated income from securities lending, net

    275,063   

Affiliated dividend income

    67,225   
   


Total income

    11,754,582   
   


EXPENSES        

Management fee

    3,447,550   

Custodian and accounting fees

    163,000   

Shareholders’ reports

    57,000   

Audit fee

    14,000   

Trustees’ fees

    9,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

    6,000   

Legal fees and expenses

    5,000   

Insurance expenses

    5,000   

Miscellaneous

    25,838   
   


Total expenses

    3,732,388   

Less: Management fee waiver

    (50,556
   


Net expenses

    3,681,832   
   


NET INVESTMENT INCOME (LOSS)     8,072,750   
   


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS        

Net realized gain (loss) on:

       

Investment transactions

    (5,621,973

Foreign currency transactions

    38,555   
   


      (5,583,418
   


Net change in unrealized appreciation (depreciation) on:

       

Investments

    (10,586,906

Foreign currencies

    (18,591
   


      (10,605,497
   


NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     (16,188,915
   


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ (8,116,165
   


 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 8,072,750      $ 10,401,170   

Net realized gain (loss) on investment and foreign currency transactions

     (5,583,418     30,378,029   

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     (10,605,497     (12,947,986
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     (8,116,165     27,831,213   
    


 


SERIES SHARE TRANSACTIONS                 

Series shares sold [81,893 and 10,575,719 shares, respectively]

     2,099,436        267,851,761   

Series shares repurchased [1,005,053 and 1,878,916 shares, respectively]

     (25,667,548     (49,569,010
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (23,568,112     218,282,751   
    


 


Capital Contributions (Note 4)

     808,056          
    


 


TOTAL INCREASE (DECREASE)      (30,876,221     246,113,964   
NET ASSETS:                 

Beginning of period

     965,287,035        719,173,071   
    


 


End of period

   $ 934,410,814      $ 965,287,035   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A104


     GOVERNMENT INCOME PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 100.8%

ASSET-BACKED SECURITIES — 5.9%

   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

Collateralized Loan Obligations — 5.8%

                                  

Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A

     2.228% (a)      10/15/26         750       $ 745,938   

Babson CLO Ltd., Series 2013-IA, Class A, 144A

     1.734% (a)      04/20/25         1,750         1,732,736   

Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A

     2.233% (a)      10/17/26         750         746,247   

Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A

     2.163% (a)      04/18/27         500         495,385   

Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A

     2.108% (a)      01/15/26         600         595,008   

Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A

     2.033% (a)      01/17/26         250         247,685   

Galaxy CLO Ltd., Series 2014-18A, Class A, 144A

     2.098% (a)      10/15/26         3,250         3,228,960   

Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A

     2.098% (a)      04/15/26         250         249,422   

OZLM Funding Ltd., Series 2012-1A, Class A1R, 144A

     2.155% (a)      07/22/27         500         497,070   

Regatta IV Funding Ltd., Series 2014-1A, Class A1, 144A

     2.048% (a)      07/25/26         250         246,967   

Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A

     2.044% (a)      10/20/23         500         498,899   

Shackleton V CLO Ltd., Series 2014-5A, Class A, 144A

     2.132% (a)      05/07/26         750         748,781   

Silver Spring CLO Ltd., Series 2014-1A, Class A, 144A

     2.078% (a)      10/15/26         1,489         1,466,705   

Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A

     2.154% (a)      07/20/27         750         744,806   

Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A

     2.264% (a)      04/20/26         1,500         1,492,076   
                              


                                 13,736,685   
                              


Non-Residential Mortgage-Backed Securities — 0.1%

                                  

Small Business Administration Participation Certificates, Series 1996-20J, Class 1

     7.200%        10/01/16         47         47,809   

Small Business Administration Participation Certificates, Series 1997-20A, Class 1

     7.150%        01/01/17         60         61,288   

Small Business Administration Participation Certificates, Series 1997-20G, Class 1

     6.850%        07/01/17         44         44,737   

Small Business Administration Participation Certificates, Series 1998-20I, Class 1

     6.000%        09/01/18         156         163,117   
                              


                                 316,951   
                              


TOTAL ASSET-BACKED SECURITIES
(cost $14,083,409)

   

     14,053,636   
                              


COMMERCIAL MORTGAGE-BACKED SECURITIES — 27.5%                                   

Banc of America Commercial Mortgage Trust, Series 2006-4, Class AM

     5.675%        07/10/46         1,034         1,032,544   

Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3

     3.515%        09/10/58         700         756,768   

COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4

     5.223%        08/15/48         1,047         1,049,677   

Commercial Mortgage Trust, Series 2012-CR5, Class A3

     2.540%        12/10/45         1,000         1,030,749   

Commercial Mortgage Trust, Series 2015-CR24, Class A3

     3.214%        08/10/55         1,600         1,691,979   

Commercial Mortgage Trust, Series 2015-CR25, Class A3

     3.505%        08/10/48         1,000         1,077,830   

Fannie Mae-Aces, Series 2012-M2, Class A2

     2.717%        02/25/22         200         211,168   

Fannie Mae-Aces, Series 2012-M13, Class A2

     2.377%        05/25/22         1,850         1,926,507   

Fannie Mae-Aces, Series 2014-M2, Class A2

     3.513% (a)      12/25/23         2,650         2,942,108   

Fannie Mae-Aces, Series 2015-M1, Class AB2

     2.465%        09/25/24         550         568,923   

Fannie Mae-Aces, Series 2015-M3, Class AB2

     2.625%        10/25/24         2,730         2,831,909   

Fannie Mae-Aces, Series 2015-M8, Class AB2

     2.829%        01/25/25         1,600         1,701,081   

Fannie Mae-Aces, Series 2015-M10, Class A2

     3.092% (a)      04/25/27         1,600         1,737,328   

Fannie Mae-Aces, Series 2015-M17, Class A2

     3.038% (a)      11/25/25         1,500         1,599,997   

FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5

     5.085%        03/25/19         250         272,893   

FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2

     4.317%        11/25/19         1,100         1,203,951   

FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO

     1.795% (a)      06/25/20         17,978         863,829   

FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO

     1.840% (a)      03/25/22         17,741         1,406,820   

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

     1.584% (a)      05/25/22         9,037         637,716   

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

     1.620% (a)      06/25/22         9,590         688,339   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A105


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued)
   Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2

     2.573%        09/25/22         2,000       $ 2,101,486   

FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO

     1.013% (a)      10/25/22         27,169         1,221,216   

FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2

     3.310% (a)      05/25/23         2,730         2,997,211   

FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2

     3.060% (a)      07/25/23         3,600         3,894,207   

FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2

     3.389%        03/25/24         3,200         3,536,893   

FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2

     3.171%        10/25/24         4,000         4,357,320   

FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2

     2.811%        01/25/25         3,200         3,395,126   

FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2

     3.023%        01/25/25         4,000         4,316,618   

FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3

     3.511%        04/25/30         400         442,994   

FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO

     1.610% (a)      08/25/16         1,768         387   

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

     1.894% (a)      05/25/19         7,986         336,845   

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

     1.818% (a)      07/25/19         7,680         331,194   

FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4

     3.161%        05/25/25         2,600         2,812,201   

JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2

     3.003%        01/15/47         1,700         1,763,278   

JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3

     3.322%        07/15/48         1,600         1,692,645   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A3

     5.927% (a)      06/15/49         156         158,179   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4

     2.694%        04/15/46         1,700         1,755,686   

ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM

     5.456% (a)      07/12/46         1,200         1,201,004   

ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM

     5.204%        12/12/49         1,500         1,513,905   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3

     3.451%        07/15/50         1,600         1,723,930   

Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AM

     5.795% (a)      07/15/45         1,000         999,111   
                              


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $63,230,743)

   

     65,783,552   
                              


CORPORATE BOND — 1.0%                                   

Diversified Financial Services

                                  

Private Export Funding Corp., U.S. Gov’t. Gtd. Notes
(cost $2,438,660)

     4.300%        12/15/21         2,160         2,469,517   
                              


FOREIGN AGENCY — 0.4%                                   

CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A
(cost $816,933)

     3.150%        07/24/24         820         881,256   
                              


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2%                                   

Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM

     5.500%        09/15/17         87         89,062   

Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC

     5.500%        09/15/17         16         15,733   

Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC

     5.000%        10/15/17         180         182,299   

Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND

     5.500%        09/25/17         18         18,324   

Merrill Lynch Mortgage Investors Trust Series, Series 2003-E, Class A1

     1.073% (a)      10/25/28         35         33,473   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

     2.830% (a)      02/25/34         161         158,948   
                              


TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $495,783)

   

     497,839   
                              


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A106


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 55.0%    Interest
Rate


    Maturity
Date


   Principal
Amount
(000)#


     Value
(Note 2)


 

Federal Home Loan Mortgage Corp.

     2.500%      TBA      1,000       $ 1,034,109   

Federal Home Loan Mortgage Corp.

     2.500%      03/01/30      864         896,759   

Federal Home Loan Mortgage Corp.

     2.743% (a)    05/01/34      284         299,245   

Federal Home Loan Mortgage Corp.

     3.000%      TBA      3,000         3,104,337   

Federal Home Loan Mortgage Corp.

     3.000%      06/01/29-06/01/45      1,733         1,814,807   

Federal Home Loan Mortgage Corp.(b)

     3.500%      TBA      2,000         2,105,938   

Federal Home Loan Mortgage Corp.

     3.500%      TBA      2,000         2,108,438   

Federal Home Loan Mortgage Corp.

     3.500%      08/01/26-08/01/43      4,633         4,898,571   

Federal Home Loan Mortgage Corp.(b)

     4.000%      TBA      3,750         4,013,672   

Federal Home Loan Mortgage Corp.

     4.000%      TBA      3,000         3,208,125   

Federal Home Loan Mortgage Corp.

     4.000%      06/01/26-12/01/40      2,641         2,833,496   

Federal Home Loan Mortgage Corp.

     4.500%      09/01/39      2,505         2,745,115   

Federal Home Loan Mortgage Corp.

     5.000%      06/01/33-05/01/34      1,094         1,219,360   

Federal Home Loan Mortgage Corp.

     5.500%      05/01/37-05/01/38      656         737,840   

Federal Home Loan Mortgage Corp.

     6.000%      09/01/34-08/01/39      490         559,974   

Federal Home Loan Mortgage Corp.

     6.500%      09/01/32      80         91,969   

Federal National Mortgage Assoc.

     2.289% (a)    07/01/33      807         854,176   

Federal National Mortgage Assoc.

     2.456% (a)    06/01/34      265         281,369   

Federal National Mortgage Assoc.

     2.500%      TBA      6,000         6,207,535   

Federal National Mortgage Assoc.

     2.518% (a)    08/01/33      539         569,586   

Federal National Mortgage Assoc.

     2.547% (a)    04/01/34      238         250,350   

Federal National Mortgage Assoc.

     2.617% (a)    04/01/34      128         133,827   

Federal National Mortgage Assoc.

     3.000%      TBA      13,750         14,243,600   

Federal National Mortgage Assoc.

     3.000%      08/01/28-02/01/31      3,640         3,820,391   

Federal National Mortgage Assoc.

     3.500%      TBA      14,750         15,545,116   

Federal National Mortgage Assoc.

     3.500%      03/01/27-06/01/39      1,217         1,289,361   

Federal National Mortgage Assoc.

     4.000%      TBA      2,000         2,142,443   

Federal National Mortgage Assoc.

     4.000%      09/01/40-09/01/44      4,106         4,412,008   

Federal National Mortgage Assoc.

     4.500%      05/01/40      3,362         3,717,661   

Federal National Mortgage Assoc.

     5.000%      07/01/18-05/01/36      1,718         1,878,740   

Federal National Mortgage Assoc.

     5.500%      01/01/17-11/01/35      4,749         5,387,687   

Federal National Mortgage Assoc.

     6.000%      05/01/21-05/01/38      776         886,981   

Federal National Mortgage Assoc.

     6.500%      07/01/32-10/01/37      1,258         1,511,816   

Federal National Mortgage Assoc.

     7.000%      12/01/31-01/01/36      153         176,521   

Federal National Mortgage Assoc.

     8.000%      10/01/23-02/01/26      7         7,154   

Federal National Mortgage Assoc.

     9.000%      02/01/25-04/01/25      25         29,088   

Financing Corp. Strips Principal, Series 4-P, PO

     1.390% (c)    10/06/17      2,700         2,677,774   

Government National Mortgage Assoc.(b)

     3.000%      TBA      2,500         2,613,916   

Government National Mortgage Assoc.

     3.000%      TBA      3,500         3,652,373   

Government National Mortgage Assoc.

     3.000%      03/15/45      2,776         2,902,786   

Government National Mortgage Assoc.(b)

     3.500%      TBA      7,500         7,960,254   

Government National Mortgage Assoc.

     3.500%      TBA      3,500         3,709,863   

Government National Mortgage Assoc.

     4.000%      06/15/40      363         389,780   

Government National Mortgage Assoc.

     4.500%      02/20/41-03/20/41      1,909         2,084,383   

Government National Mortgage Assoc.

     5.000%      07/15/33-04/15/34      673         759,221   

Government National Mortgage Assoc.

     5.500%      03/15/34-03/15/36      583         669,026   

Government National Mortgage Assoc.

     6.500%      07/15/32-08/15/32      193         230,087   

Government National Mortgage Assoc.

     7.000%      03/15/23-08/15/28      374         411,848   

Government National Mortgage Assoc.

     7.500%      12/15/25-02/15/26      63         69,762   

Government National Mortgage Assoc.

     8.500%      09/15/24-04/15/25      127         144,124   

Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes

     2.578%      06/30/22      1,520         1,619,460   

Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes

     3.000%      06/30/25      1,040         1,133,912   

Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO

     1.220% (c)    07/15/20      740         706,454   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     1.734% (c)    10/15/19      3,300         3,194,156   

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

     3.001% (c)    04/15/30      635         457,604   

Tennessee Valley Authority, Sr. Unsec’d. Notes

     6.750%      11/01/25      510         704,997   

Tennessee Valley Authority, Sr. Unsec’d. Notes

     7.125%      05/01/30      400         612,522   
                          


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $128,372,461)

   

     131,721,467   
                          


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A107


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

U.S. TREASURY OBLIGATIONS — 10.8%    Interest
Rate


    Maturity
Date


     Principal
Amount
(000)#


     Value
(Note 2)


 

U.S. Treasury Bonds(d)

     2.500%        02/15/45-02/15/46         2,115       $ 2,202,206   

U.S. Treasury Bonds

     2.500%        05/15/46         605         630,452   

U.S. Treasury Bonds

     3.000%        05/15/45         950         1,091,943   

U.S. Treasury Inflation Indexed Bonds, TIPS

     0.125%        04/15/21         3,694         3,785,132   

U.S. Treasury Inflation Indexed Bonds, TIPS

     1.000%        02/15/46         631         681,230   

U.S. Treasury Notes(d)

     1.000%        03/15/18         655         659,503   

U.S. Treasury Notes

     1.125%        06/30/21         290         291,439   

U.S. Treasury Notes

     1.625%        04/30/23         2,710         2,770,869   

U.S. Treasury Notes

     2.000%        02/15/25         1,030         1,077,638   

U.S. Treasury Notes

     2.125%        09/30/21-05/15/25         4,365         4,602,743   

U.S. Treasury Strips Coupon

     2.037% (c)      02/15/22         1,690         1,576,767   

U.S. Treasury Strips Coupon

     2.184% (c)      02/15/28         550         447,283   

U.S. Treasury Strips Coupon

     2.384% (c)      05/15/29         565         445,753   

U.S. Treasury Strips Coupon(e)

     2.404% (c)      08/15/21         2,525         2,384,373   

U.S. Treasury Strips Coupon

     4.138% (c)      02/15/42         3,725         2,003,983   

U.S. Treasury Strips Principal, PO

     2.351% (c)      05/15/43         595         311,983   

U.S. Treasury Strips Principal, PO

     2.543% (c)      02/15/45         515         255,865   

U.S. Treasury Strips Principal, PO

     2.952% (c)      05/15/45         800         394,524   

U.S. Treasury Strips Principal, PO

     3.005% (c)      11/15/44         715         358,031   
                              


TOTAL U.S. TREASURY OBLIGATIONS
(cost $24,454,754)

   

     25,971,717   
                              


TOTAL LONG-TERM INVESTMENTS
(cost $233,892,743)

   

     241,378,984   
                              


SHORT-TERM INVESTMENTS — 27.2%                                   
                  Shares

        

AFFILIATED MUTUAL FUNDS

                                  

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $39,533,160)(f)(Note 4)

   

     4,050,491         37,629,057   

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $27,573,669)(f)(Note 4)

   

     27,573,669         27,573,669   
                              


TOTAL SHORT-TERM INVESTMENTS
(cost $67,106,829)

   

     65,202,726   
                              


TOTAL INVESTMENTS 128.0%
(cost $300,999,572)

   

     306,581,710   

LIABILITIES IN EXCESS OF OTHER ASSETS(g) — (28.0)%

  

     (67,072,460
                              


NET ASSETS — 100.0%

  

   $ 239,509,250   
                              


See the Glossary for abbreviations used in the semiannual report.

 

# Principal or notional amount shown in U.S. dollars unless otherwise stated.

 

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016.

 

(b) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar principal amount of $15,750,000 is approximately 6.6% of net assets.

 

(c) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

 

(d) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(e) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(f) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A108


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

 

(g) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at June 30, 2016:

 

Number of
Contracts


  Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)


 

Long Positions:

  

                               
59     2 Year U.S. Treasury Notes        Sep. 2016      $ 12,849,174      $ 12,940,359      $ 91,185   
151     5 Year U.S. Treasury Notes        Sep. 2016        18,391,698        18,446,773        55,075   
132     10 Year U.S. Treasury Notes        Sep. 2016        17,155,369        17,553,938        398,569   
151     30 Year U.S. Ultra Treasury Bonds        Sep. 2016        26,397,325        28,142,625        1,745,300   
                                   


                                      2,290,129   
                                   


Short Position:                                        
176     20 Year U.S. Treasury Bonds        Sep. 2016        28,595,035        30,332,500        (1,737,465
                                   


                                    $ 552,664   
                                   



  Cash of $100,000 and a U.S. Treasury Obligation with a market value of $844,210 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Interest rate swap agreements outstanding at June 30, 2016:

 

Notional
Amount
(000)#


     Termination
Date


       Fixed
Rate


    

Floating Rate


     Value at
Trade Date


       Value at
June 30, 2016


       Unrealized
Appreciation
(Depreciation)


 

Centrally cleared swap agreements:

  

19,280        01/06/21           1.750%      

3 Month LIBOR(2)

     $ 200         $ 693,748         $ 693,548   
5,100        01/13/22           2.351%      

3 Month LIBOR(1)

       180           (359,517        (359,697
4,850        01/13/22           2.480%      

3 Month LIBOR(1)

       179           (375,994        (376,173
1,710        01/22/22           2.467%      

3 Month LIBOR(1)

       161           (131,800        (131,961
5,470        05/31/22           2.217%      

3 Month LIBOR(1)

       179           (366,056        (366,235
11,780        11/30/22           1.850%      

3 Month LIBOR(1)

       213           (547,312        (547,525
3,600        11/30/22           1.982%      

3 Month LIBOR(1)

       169           (197,215        (197,384
8,720        12/20/23           2.932%      

3 Month LIBOR(1)

       220           (1,082,802        (1,083,022
5,290        09/17/24           2.732%      

3 Month LIBOR(1)

       111           (609,672        (609,783
1,860        09/04/25           2.214%      

3 Month LIBOR(1)

       163           (146,995        (147,158
1,630        01/08/26           2.210%      

3 Month LIBOR(1)

       23           (129,019        (129,042
                                 


    


    


                                  $ 1,798         $ (3,252,634      $ (3,254,432
                                 


    


    


U.S. Treasury Obligations with a combined market value of $1,443,880 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2016.

 

(1) The Portfolio pays the fixed rate and receives the floating rate.

 

(2) The Portfolio pays the floating rate and receives the fixed rate.

Total return swap agreements outstanding at June 30, 2016:

 

Counterparty


   Termination
Date


     Long (Short)
Notional
Amount
(000)#


    

Description


   Fair
Value


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)(1)


 

OTC total return swap agreements:

  

Deutsche Bank AG      09/08/16         1,000      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

   $ 56,096       $   —       $ 56,096   
Deutsche Bank AG      09/08/16         1,000      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     70,783                 70,783   
Deutsche Bank AG      09/08/16         500      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

     16,009                 16,009   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A109


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Total return swap agreements outstanding at June 30, 2016 (continued):

 

Counterparty


   Termination
Date


     Long (Short)
Notional
Amount
(000)#


    

Description


   Fair
Value


     Upfront
Premiums
Paid
(Received)


     Unrealized
Appreciation
(Depreciation)(1)


 

OTC total return swap agreements (continued):

  

Deutsche Bank AG      09/08/16         500      

Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip

   $ 22,200       $   —       $ 22,200   
                           


  


  


                            $ 165,088       $       $ 165,088   
                           


  


  



(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

    

Level 1


    

Level 2


   

Level 3


 

Investments in Securities

                         

Asset-Backed Securities

                         

Collateralized Loan Obligations

   $       $ 13,736,685      $   

Non-Residential Mortgage-Backed Securities

             316,951          

Commercial Mortgage-Backed Securities

             65,783,552          

Corporate Bond

             2,469,517          

Foreign Agency

             881,256          

Residential Mortgage-Backed Securities

             497,839          

U.S. Government Agency Obligations

             131,721,467          

U.S. Treasury Obligations

             25,971,717          

Affiliated Mutual Funds

     65,202,726                  

Other Financial Instruments*

                         

Futures Contracts

     552,664                  

Centrally Cleared Interest Rate Swap Agreements

             (3,254,432       

OTC Total Return Swap Agreements

             165,088          
    


  


 


Total

   $ 65,755,390       $ 238,289,640      $   —   
    


  


 



* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

 

U.S. Government Agency Obligations

     55.0

Commercial Mortgage-Backed Securities

     27.5   

Affiliated Mutual Funds

     27.2   

U.S. Treasury Obligations

     10.8   

Collateralized Loan Obligations

     5.8   

Diversified Financial Services

     1.0   

Foreign Agency

     0.4   

Residential Mortgage-Backed Securities

     0.2

Non-Residential Mortgage-Backed Securities

     0.1   
    


       128.0   

Liabilities in excess of other assets

     (28.0
    


       100.0
    


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A110


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value


  

Asset Derivatives


   

Liability Derivatives


 
  

Balance Sheet Location


   Fair Value

   

Balance Sheet Location


   Fair Value

 

Interest rate contracts

   Due from/to broker — variation margin futures    $ 2,290,129   Due from/to broker — variation margin futures    $ 1,737,465

Interest rate contracts

   Due from/to broker — variation margin swaps      693,548   Due from/to broker — variation margin swaps      3,947,980

Interest rate contracts

   Unrealized appreciation on OTC swap agreements      165,088             
         


      


Total

        $ 3,148,765           $ 5,685,445   
         


      



* Includes cumulative appreciation/depreciation as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging
instruments, carried at fair value


     Options
Purchased*


     Options
Written


     Futures

       Forward Rate
Agreements


       Swaps

       Total

 

Interest rate contracts

     $ (384,680    $ (157,665    $ 2,071,033         $ 2,325         $ 565,809         $ 2,096,822   
      


  


  


    


    


    



* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging
instruments, carried at fair value


     Options
Purchased*


       Options
Written


     Futures

       Swaps

     Total

 

Interest rate contracts

     $ 214,775         $ (127,080    $ 383,621         $ (2,256,576    $ (1,785,260
      


    


  


    


  



* Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:

 

Options
Purchased(1)


 

Options
Written(2)


 

Futures
Contracts—
Long Positions(3)


 

Futures
Contracts—
Short Position(3)


 

Interest Rate
Swap Agreements(2)


$104,646   $220,320   $95,916,078   $41,084,922   $99,165

 

Total Return
Swap Agreements(2)


$2,000

(1) Cost.

 

(2) Notional Amount in USD (000).

 

(3) Value at Trade Date.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A111


     GOVERNMENT INCOME PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

Offsetting of OTC derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

 

Counterparty


     Gross amounts of
recognized assets(1)


       Gross amounts
available for offset


       Collateral
Received


       Net Amount

 

Deutsche Bank AG

     $ 165,088         $   —         $   —         $ 165,088   
      


                                
                                             

Counterparty


     Gross amounts of
recognized liabilities(2)


       Gross amounts
available for offset


       Collateral
Pledged


       Net Amount

 

Deutsche Bank AG

     $         $   —         $   —         $   —   
      


                                

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

 

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A112


     GOVERNMENT INCOME PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS   

Investments at value:

       

Unaffiliated investments (cost $233,892,743)

  $ 241,378,984   

Affiliated investments (cost $67,106,829)

    65,202,726   

Deposit with broker for futures

    100,000   

Receivable for investments sold

    71,092,476   

Dividends and interest receivable

    739,109   

Unrealized appreciation on OTC swap agreements

    165,088   

Due from broker—variation margin swaps

    33,256   

Receivable for Series shares sold

    748   

Prepaid expenses

    367   
   


Total Assets

    378,712,754   
   


LIABILITIES        

Payable for investments purchased

    138,968,452   

Accrued expenses and other liabilities

    104,117   

Management fee payable

    78,099   

Payable for Series shares repurchased

    42,394   

Due to broker—variation margin futures

    8,941   

Affiliated transfer agent fee payable

    980   

Deferred trustees’ fees

    521   
   


Total Liabilities

    139,203,504   
   


NET ASSETS   $ 239,509,250   
   


Net assets were comprised of:

       

Paid-in capital

  $ 212,553,096   

Retained earnings

    26,956,154   
   


Net assets, June 30, 2016

  $ 239,509,250   
   


Net asset value and redemption price per share $239,509,250 / 19,008,235 outstanding shares of beneficial interest

  $ 12.60   
   


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

NET INVESTMENT INCOME (LOSS)   
INCOME        

Interest income

  $ 2,249,176   

Affiliated dividend income

    320,326   

Affiliated income from securities lending, net

    4,702   
   


Total income

    2,574,204   
   


EXPENSES        

Management fee

    469,670   

Shareholders’ reports

    52,000   

Custodian and accounting fees

    40,000   

Audit fee

    17,000   

Trustees’ fees

    6,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

    6,000   

Legal fees and expenses

    5,000   

Insurance expenses

    2,000   

Loan interest expense

    38   

Miscellaneous

    8,643   
   


Total expenses

    606,351   
   


NET INVESTMENT INCOME (LOSS)     1,967,853   
   


REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
   

Net realized gain (loss) on:

       

Investment transactions

    2,973,434   

Futures transactions

    2,071,033   

Options written transactions

    (157,665

Forward rate agreement transactions

    2,325   

Swap agreement transactions

    565,809   
   


      5,454,936   
   


Net change in unrealized appreciation (depreciation) on:

       

Investments (including affiliated: $80,652)

    6,050,073   

Futures

    383,621   

Options written

    (127,080

Swap agreements

    (2,256,576
   


      4,050,038   
   


NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS     9,504,974   
   


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 11,472,827   
   


 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 1,967,853      $ 4,806,869   

Net realized gain (loss) on investment transactions

     5,454,936        1,519,137   

Net change in unrealized appreciation (depreciation) on investments

     4,050,038        (3,732,049
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     11,472,827        2,593,957   
    


 


SERIES SHARE TRANSACTIONS                 

Series shares sold [439,515 and 446,808 shares, respectively]

     5,402,445        5,381,539   

Series shares repurchased [746,818 and 9,585,972 shares, respectively]

     (9,192,690     (115,358,336
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (3,790,245     (109,976,797
    


 


Capital Contributions (Note 4)      28,977          
    


 


TOTAL INCREASE (DECREASE)      7,711,559        (107,382,840
NET ASSETS:                 

Beginning of period

     231,797,691        339,180,531   
    


 


End of period

   $ 239,509,250      $ 231,797,691   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A113


     STOCK INDEX PORTFOLIO    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

LONG-TERM INVESTMENTS — 96.8%         
COMMON STOCKS    Shares

     Value
(Note 2)


 

Aerospace & Defense — 2.6%

                 

Boeing Co. (The)

     101,536       $ 13,186,480   

General Dynamics Corp.

     49,000         6,822,760   

Honeywell International, Inc.

     128,250         14,918,040   

L-3 Communications Holdings, Inc.

     13,000         1,906,970   

Lockheed Martin Corp.

     43,898         10,894,167   

Northrop Grumman Corp.

     30,326         6,740,863   

Raytheon Co.

     50,118         6,813,542   

Rockwell Collins, Inc.(a)

     22,100         1,881,594   

Textron, Inc.

     45,400         1,659,824   

TransDigm Group, Inc.*(a)

     8,300         2,188,627   

United Technologies Corp.

     129,900         13,321,245   
             


                80,334,112   
             


Air Freight & Logistics — 0.7%

                 

C.H. Robinson Worldwide, Inc.

     24,100         1,789,425   

Expeditors International of Washington, Inc.

     30,300         1,485,912   

FedEx Corp.

     43,040         6,532,611   

United Parcel Service, Inc. (Class B Stock)

     115,600         12,452,432   
             


                22,260,380   
             


Airlines — 0.5%

                 

Alaska Air Group, Inc.

     18,800         1,095,852   

American Airlines Group, Inc.

     97,700         2,765,887   

Delta Air Lines, Inc.

     130,200         4,743,186   

Southwest Airlines Co.

     106,837         4,189,079   

United Continental Holdings, Inc.*

     57,700         2,368,008   
             


                15,162,012   
             


Auto Components — 0.3%

                 

BorgWarner, Inc.

     36,500         1,077,480   

Delphi Automotive PLC (United Kingdom)

     46,300         2,898,380   

Goodyear Tire & Rubber Co. (The)

     44,300         1,136,738   

Johnson Controls, Inc.

     108,300         4,793,358   
             


                9,905,956   
             


Automobiles — 0.5%

                 

Ford Motor Co.

     649,559         8,164,957   

General Motors Co.

     235,300         6,658,990   

Harley-Davidson, Inc.(a)

     30,800         1,395,240   
             


                16,219,187   
             


Banks — 5.1%

                 

Bank of America Corp.

     1,727,082         22,918,378   

BB&T Corp.

     136,100         4,846,521   

Citigroup, Inc.

     493,822         20,933,115   

Citizens Financial Group, Inc.

     88,500         1,768,230   

Comerica, Inc.

     29,150         1,198,939   

Fifth Third Bancorp

     130,749         2,299,875   

Huntington Bancshares, Inc.

     128,975         1,153,037   

JPMorgan Chase & Co.

     613,545         38,125,686   

KeyCorp

     135,800         1,500,590   

M&T Bank Corp.

     26,900         3,180,387   

People’s United Financial, Inc.(a)

     50,700         743,262   

PNC Financial Services Group, Inc. (The)

     83,893         6,828,051   

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Banks (continued)

                 

Regions Financial Corp.

     214,512       $ 1,825,497   

SunTrust Banks, Inc.

     84,600         3,475,368   

U.S. Bancorp

     273,381         11,025,456   

Wells Fargo & Co.

     770,736         36,478,935   

Zions Bancorporation

     33,800         849,394   
             


                159,150,721   
             


Beverages — 2.3%

                 

Brown-Forman Corp. (Class B Stock)

     17,050         1,700,908   

Coca-Cola Co. (The)

     650,450         29,484,899   

Constellation Brands, Inc. (Class A Stock)

     29,100         4,813,140   

Dr. Pepper Snapple Group, Inc.

     31,800         3,072,834   

Molson Coors Brewing Co. (Class B Stock)

     30,500         3,084,465   

Monster Beverage Corp.*

     23,800         3,824,898   

PepsiCo, Inc.

     242,014         25,638,963   
             


                71,620,107   
             


Biotechnology — 2.8%

                 

AbbVie, Inc.

     269,000         16,653,790   

Alexion Pharmaceuticals, Inc.*

     37,800         4,413,528   

Amgen, Inc.

     125,994         19,169,987   

Biogen, Inc.*

     36,775         8,892,931   

Celgene Corp.*

     130,900         12,910,667   

Gilead Sciences, Inc.

     225,000         18,769,500   

Regeneron Pharmaceuticals, Inc.*

     13,100         4,574,913   

Vertex Pharmaceuticals, Inc.*

     41,200         3,544,024   
             


                88,929,340   
             


Building Products — 0.1%

                 

Allegion PLC

     16,633         1,154,829   

Fortune Brands Home & Security, Inc.

     19,700         1,142,009   

Masco Corp.

     55,400         1,714,076   
             


                4,010,914   
             


Capital Markets — 1.7%

                 

Affiliated Managers Group, Inc.*

     9,300         1,309,161   

Ameriprise Financial, Inc.

     28,300         2,542,755   

Bank of New York Mellon Corp. (The)

     179,989         6,992,573   

BlackRock, Inc.

     21,050         7,210,256   

Charles Schwab Corp. (The)

     200,900         5,084,779   

E*TRADE Financial Corp.*

     47,310         1,111,312   

Franklin Resources, Inc.

     63,400         2,115,658   

Goldman Sachs Group, Inc. (The)

     65,800         9,776,564   

Invesco Ltd.

     70,600         1,803,124   

Legg Mason, Inc.

     18,300         539,667   

Morgan Stanley

     253,210         6,578,396   

Northern Trust Corp.

     36,100         2,391,986   

State Street Corp.

     66,825         3,603,204   

T. Rowe Price Group, Inc.

     41,500         3,028,255   
             


                54,087,690   
             


Chemicals — 1.9%

                 

Air Products & Chemicals, Inc.

     32,500         4,616,300   

CF Industries Holdings, Inc.

     39,100         942,310   

Dow Chemical Co. (The)

     187,011         9,296,317   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A114


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Chemicals (continued)

                 

E.I. du Pont de Nemours & Co.

     145,991       $ 9,460,217   

Eastman Chemical Co.

     24,700         1,677,130   

Ecolab, Inc.

     44,600         5,289,560   

FMC Corp.

     22,500         1,041,975   

International Flavors & Fragrances, Inc.(a)

     13,300         1,676,731   

LyondellBasell Industries NV (Class A Stock)

     58,000         4,316,360   

Monsanto Co.

     72,496         7,496,811   

Mosaic Co. (The)

     56,200         1,471,316   

PPG Industries, Inc.

     44,700         4,655,505   

Praxair, Inc.

     47,800         5,372,242   

Sherwin-Williams Co. (The)

     13,300         3,905,811   
             


                61,218,585   
             


Commercial Services & Supplies — 0.4%

  

Cintas Corp.

     15,000         1,471,950   

Pitney Bowes, Inc.

     32,200         573,160   

Republic Services, Inc.

     40,535         2,079,851   

Stericycle, Inc.*

     14,500         1,509,740   

Tyco International PLC

     70,900         3,020,340   

Waste Management, Inc.

     69,630         4,614,380   
             


                13,269,421   
             


Communications Equipment — 1.0%

                 

Cisco Systems, Inc.

     841,575         24,144,787   

F5 Networks, Inc.*

     11,800         1,343,312   

Harris Corp.

     20,900         1,743,896   

Juniper Networks, Inc.

     60,000         1,349,400   

Motorola Solutions, Inc.

     26,527         1,749,986   
             


                30,331,381   
             


Construction & Engineering — 0.1%

                 

Fluor Corp.

     23,700         1,167,936   

Jacobs Engineering Group, Inc.*

     20,900         1,041,029   

Quanta Services, Inc.*

     26,200         605,744   
             


                2,814,709   
             


Construction Materials — 0.2%

                 

Martin Marietta Materials, Inc.

     10,800         2,073,600   

Vulcan Materials Co.

     22,400         2,696,064   
             


                4,769,664   
             


Consumer Finance — 0.7%

                 

American Express Co.

     136,500         8,293,740   

Capital One Financial Corp.

     88,369         5,612,315   

Discover Financial Services

     69,405         3,719,414   

Navient Corp.

     57,400         685,930   

Synchrony Financial*

     139,830         3,534,903   
             


                21,846,302   
             


Containers & Packaging — 0.3%

                 

Avery Dennison Corp.

     15,000         1,121,250   

Ball Corp.(a)

     22,600         1,633,754   

International Paper Co.

     69,667         2,952,488   

Owens-Illinois, Inc.*

     26,500         477,265   

Sealed Air Corp.

     33,420         1,536,317   

WestRock Co.

     42,761         1,662,120   
             


                9,383,194   
             


COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Distributors — 0.1%

                 

Genuine Parts Co.

     25,025       $ 2,533,781   

LKQ Corp.*

     46,000         1,458,200   
             


                3,991,981   
             


Diversified Consumer Services

                 

H&R Block, Inc.(a)

     39,700         913,100   
             


Diversified Financial Services — 2.1%

  

Berkshire Hathaway, Inc. (Class B Stock)*

     312,500         45,246,875   

CME Group, Inc.

     56,700         5,522,580   

Intercontinental Exchange, Inc.

     19,998         5,118,688   

Leucadia National Corp.

     54,500         944,485   

Moody’s Corp.

     28,420         2,663,238   

Nasdaq, Inc.

     19,600         1,267,532   

S&P Global, Inc.

     44,300         4,751,618   
             


                65,515,016   
             


Diversified Telecommunication Services — 2.8%

  

AT&T, Inc.

     1,026,635         44,360,898   

CenturyLink, Inc.

     92,085         2,671,386   

Frontier Communications Corp.

     191,916         948,065   

Level 3 Communications, Inc.*

     48,400         2,492,116   

Verizon Communications, Inc.

     681,038         38,029,162   
             


                88,501,627   
             


Electric Utilities — 2.1%

                 

American Electric Power Co., Inc.

     82,340         5,771,211   

Duke Energy Corp.

     115,048         9,869,968   

Edison International

     54,700         4,248,549   

Entergy Corp.

     30,200         2,456,770   

Eversource Energy

     53,200         3,186,680   

Exelon Corp.

     154,173         5,605,730   

FirstEnergy Corp.

     70,980         2,477,912   

NextEra Energy, Inc.

     76,775         10,011,460   

PG&E Corp.

     82,300         5,260,616   

Pinnacle West Capital Corp.

     19,000         1,540,140   

PPL Corp.

     112,600         4,250,650   

Southern Co. (The)

     152,400         8,173,212   

Xcel Energy, Inc.

     85,095         3,810,554   
             


                66,663,452   
             


Electrical Equipment — 0.5%

                 

Acuity Brands, Inc.

     6,600         1,636,536   

AMETEK, Inc.

     39,500         1,826,085   

Eaton Corp. PLC

     76,861         4,590,908   

Emerson Electric Co.(a)

     107,700         5,617,632   

Rockwell Automation, Inc.

     22,100         2,537,522   
             


                16,208,683   
             


Electronic Equipment, Instruments & Components — 0.3%

  

Amphenol Corp. (Class A Stock)

     51,800         2,969,694   

Corning, Inc.

     183,400         3,756,032   

FLIR Systems, Inc.

     23,000         711,850   

TE Connectivity Ltd. (Switzerland)

     61,000         3,483,710   
             


                10,921,286   
             


Energy Equipment & Services — 1.1%

  

Baker Hughes, Inc.

     73,148         3,301,169   

Diamond Offshore Drilling, Inc.

     11,900         289,527   

FMC Technologies, Inc.*

     37,900         1,010,793   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A115


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Energy Equipment & Services (continued)

  

Halliburton Co.

     143,500       $ 6,499,115   

Helmerich & Payne, Inc.

     18,100         1,215,053   

National Oilwell Varco, Inc.

     63,100         2,123,315   

Schlumberger Ltd.

     232,098         18,354,310   

Transocean Ltd.

     56,000         665,840   
             


                33,459,122   
             


Food & Staples Retailing — 2.3%

                 

Costco Wholesale Corp.

     73,322         11,514,487   

CVS Health Corp.

     181,638         17,390,022   

Kroger Co. (The)

     159,500         5,868,005   

Sysco Corp.

     88,000         4,465,120   

Wal-Mart Stores, Inc.

     257,800         18,824,556   

Walgreens Boots Alliance, Inc.

     144,500         12,032,515   

Whole Foods Market, Inc.

     54,400         1,741,888   
             


         71,836,593   
             


Food Products — 1.8%

                 

Archer-Daniels-Midland Co.

     99,538         4,269,185   

Campbell Soup Co.

     30,100         2,002,553   

ConAgra Foods, Inc.

     72,600         3,471,006   

General Mills, Inc.

     99,400         7,089,208   

Hershey Co. (The)

     24,100         2,735,109   

Hormel Foods Corp.

     45,400         1,661,640   

J.M. Smucker Co. (The)

     20,100         3,063,441   

Kellogg Co.

     42,300         3,453,795   

Kraft Heinz Co. (The)

     99,337         8,789,338   

McCormick & Co., Inc. (Non-Voting Shares)

     19,500         2,080,065   

Mead Johnson Nutrition Co.

     31,193         2,830,765   

Mondelez International, Inc. (Class A Stock)

     262,211         11,933,222   

Tyson Foods, Inc. (Class A Stock)

     49,600         3,312,784   
             


         56,692,111   
             


Gas Utilities

                 

AGL Resources, Inc.

     20,337         1,341,632   
             


Health Care Equipment & Supplies — 2.4%

  

Abbott Laboratories

     246,950         9,707,604   

Baxter International, Inc.

     91,700         4,146,674   

Becton, Dickinson & Co.

     35,354         5,995,685   

Boston Scientific Corp.*

     225,499         5,269,912   

C.R. Bard, Inc.

     12,500         2,939,500   

DENTSPLY SIRONA, Inc.

     38,500         2,388,540   

Edwards Lifesciences Corp.*

     36,200         3,610,226   

Hologic, Inc.*

     41,400         1,432,440   

Intuitive Surgical, Inc.*

     6,290         4,160,269   

Medtronic PLC

     235,228         20,410,733   

St. Jude Medical, Inc.

     47,400         3,697,200   

Stryker Corp.

     52,500         6,291,075   

Varian Medical Systems, Inc.*

     15,800         1,299,234   

Zimmer Biomet Holdings, Inc.

     31,386         3,778,247   
             


         75,127,339   
             


Health Care Providers & Services — 2.7%

  

Aetna, Inc.

     58,457         7,139,353   

AmerisourceBergen Corp.

     32,100         2,546,172   

Anthem, Inc.

     43,800         5,752,692   

Cardinal Health, Inc.

     55,175         4,304,202   

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Health Care Providers & Services (continued)

  

Centene Corp.*

     28,600       $ 2,041,182   

Cigna Corp.

     42,800         5,477,972   

DaVita HealthCare Partners, Inc.*

     28,200         2,180,424   

Express Scripts Holding Co.*

     106,626         8,082,251   

HCA Holdings, Inc.*

     51,200         3,942,912   

Henry Schein, Inc.*

     13,800         2,439,840   

Humana, Inc.

     24,900         4,479,012   

Laboratory Corp. of America Holdings*

     17,000         2,214,590   

McKesson Corp.

     38,307         7,150,001   

Patterson Cos., Inc.

     14,200         680,038   

Quest Diagnostics, Inc.

     23,800         1,937,558   

UnitedHealth Group, Inc.

     159,300         22,493,160   

Universal Health Services, Inc. (Class B Stock)

     15,100         2,024,910   
             


                84,886,269   
             


Health Care Technology — 0.1%

                 

Cerner Corp.*

     51,200         3,000,320   
             


Hotels, Restaurants & Leisure — 1.7%

  

Carnival Corp.

     75,500         3,337,100   

Chipotle Mexican Grill, Inc.*

     5,120         2,062,131   

Darden Restaurants, Inc.

     19,250         1,219,295   

Marriott International, Inc. (Class A Stock)(a)

     31,603         2,100,335   

McDonald’s Corp.

     148,000         17,810,320   

Royal Caribbean Cruises Ltd.(a)

     28,800         1,933,920   

Starbucks Corp.

     246,500         14,080,080   

Starwood Hotels & Resorts Worldwide, Inc.

     28,400         2,100,180   

Wyndham Worldwide Corp.

     19,463         1,386,350   

Wynn Resorts Ltd.

     12,900         1,169,256   

Yum! Brands, Inc.

     68,200         5,655,144   
             


                52,854,111   
             


Household Durables — 0.5%

                 

D.R. Horton, Inc.

     55,000         1,731,400   

Garmin Ltd. (Switzerland)

     19,300         818,706   

Harman International Industries, Inc.

     11,700         840,294   

Leggett & Platt, Inc.

     22,700         1,160,197   

Lennar Corp. (Class A Stock)

     30,100         1,387,610   

Mohawk Industries, Inc.*

     10,700         2,030,432   

Newell Rubbermaid, Inc.

     74,249         3,606,274   

PulteGroup, Inc.

     52,585         1,024,882   

Whirlpool Corp.

     13,007         2,167,486   
             


                14,767,281   
             


Household Products — 2.0%

                 

Church & Dwight Co., Inc.

     22,000         2,263,580   

Clorox Co. (The)

     21,700         3,003,063   

Colgate-Palmolive Co.

     149,500         10,943,400   

Kimberly-Clark Corp.

     60,488         8,315,890   

Procter & Gamble Co. (The)

     443,406         37,543,186   
             


                62,069,119   
             


Independent Power & Renewable Electricity Producers — 0.1%

  

AES Corp.

     110,400         1,377,792   

NRG Energy, Inc.

     51,300         768,987   
             


                2,146,779   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A116


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Industrial Conglomerates — 2.5%

                 

3M Co.

     101,200       $ 17,722,144   

Danaher Corp.

     100,000         10,100,000   

General Electric Co.

     1,540,047         48,480,680   

Roper Technologies, Inc.

     16,900         2,882,464   
             


                79,185,288   
             


Insurance — 2.4%

                 

Aflac, Inc.

     70,300         5,072,848   

Allstate Corp. (The)

     63,888         4,468,966   

American International Group, Inc.

     187,829         9,934,276   

Aon PLC

     45,225         4,939,927   

Arthur J. Gallagher & Co.

     25,600         1,218,560   

Assurant, Inc.

     10,800         932,148   

Chubb Ltd.

     77,090         10,076,434   

Cincinnati Financial Corp.

     25,228         1,889,325   

Hartford Financial Services Group, Inc. (The)

     66,400         2,946,832   

Lincoln National Corp.

     40,163         1,557,119   

Loews Corp.

     44,626         1,833,682   

Marsh & McLennan Cos., Inc.

     87,500         5,990,250   

MetLife, Inc.

     183,600         7,312,788   

Principal Financial Group, Inc.

     46,000         1,891,060   

Progressive Corp. (The)

     98,000         3,283,000   

Torchmark Corp.

     18,875         1,166,852   

Travelers Cos., Inc. (The)

     49,398         5,880,338   

Unum Group

     40,956         1,301,991   

Willis Towers Watson PLC

     22,000         2,734,820   

XL Group PLC (Ireland)

     48,900         1,628,859   
             


         76,060,075   
             


Internet & Catalog Retail — 2.1%

                 

Amazon.com, Inc.*

     64,500         46,157,490   

Expedia, Inc.

     19,800         2,104,740   

Netflix, Inc.*

     71,690         6,558,201   

Priceline Group, Inc. (The)*

     8,360         10,436,708   

TripAdvisor, Inc.*

     19,400         1,247,420   
             


         66,504,559   
             


Internet Software & Services — 4.0%

                 

Akamai Technologies, Inc.*

     29,400         1,644,342   

Alphabet, Inc. (Class A Stock)*

     48,965         34,448,346   

Alphabet, Inc. (Class C Stock)*

     49,570         34,307,397   

eBay, Inc.*

     183,500         4,295,735   

Facebook, Inc. (Class A Stock)*

     385,000         43,997,800   

VeriSign, Inc.*

     16,400         1,417,944   

Yahoo!, Inc.*

     145,700         5,472,492   
             


         125,584,056   
             


IT Services — 3.6%

                 

Accenture PLC (Class A Stock)

     104,800         11,872,792   

Alliance Data Systems Corp.*

     9,900         1,939,608   

Automatic Data Processing, Inc.

     76,600         7,037,242   

Cognizant Technology Solutions Corp. (Class A Stock)*

     102,000         5,838,480   

CSRA, Inc.

     22,600         529,518   

Fidelity National Information Services, Inc.

     46,500         3,426,120   

Fiserv, Inc.*

     37,300         4,055,629   

Global Payments, Inc.

     23,700         1,691,706   

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

IT Services (continued)

                 

International Business Machines Corp.

     147,725       $ 22,421,701   

MasterCard, Inc. (Class A Stock)

     163,700         14,415,422   

Paychex, Inc.

     53,850         3,204,075   

PayPal Holdings, Inc.*

     183,400         6,695,934   

Teradata Corp.*

     23,000         576,610   

Total System Services, Inc.

     28,293         1,502,641   

Visa, Inc. (Class A Stock)(a)

     318,500         23,623,145   

Western Union Co. (The)

     83,504         1,601,607   

Xerox Corp.

     158,711         1,506,167   
             


         111,938,397   
             


Leisure Products — 0.1%

                 

Hasbro, Inc.

     19,150         1,608,409   

Mattel, Inc.

     57,181         1,789,193   
             


         3,397,602   
             


Life Sciences Tools & Services — 0.6%

  

Agilent Technologies, Inc.

     54,782         2,430,129   

Illumina, Inc.*

     23,800         3,341,044   

PerkinElmer, Inc.

     18,600         975,012   

Thermo Fisher Scientific, Inc.

     66,400         9,811,264   

Waters Corp.*

     13,700         1,926,905   
             


         18,484,354   
             


Machinery — 1.2%

                 

Caterpillar, Inc.(a)

     97,600         7,399,056   

Cummins, Inc.

     27,200         3,058,368   

Deere & Co.(a)

     50,150         4,064,156   

Dover Corp.

     26,400         1,830,048   

Flowserve Corp.

     21,800         984,706   

Illinois Tool Works, Inc.

     54,875         5,715,780   

Ingersoll-Rand PLC

     43,100         2,744,608   

PACCAR, Inc.

     59,328         3,077,343   

Parker-Hannifin Corp.

     22,787         2,462,135   

Pentair PLC (United Kingdom)(a)

     30,707         1,789,911   

Snap-on, Inc.

     10,000         1,578,200   

Stanley Black & Decker, Inc.

     25,135         2,795,515   

Xylem, Inc.(a)

     30,400         1,357,360   
             


         38,857,186   
             


Media — 2.6%

                 

CBS Corp. (Class B Non-Voting Stock)

     70,768         3,852,610   

Comcast Corp. (Class A Stock)

     405,846         26,457,101   

Discovery Communications, Inc. (Class A Stock)*

     24,500         618,135   

Discovery Communications, Inc. (Class C Stock)*(a)

     39,900         951,615   

Interpublic Group of Cos., Inc. (The)

     67,762         1,565,302   

News Corp. (Class A Stock)

     63,025         715,334   

News Corp. (Class B Stock)(a)

     18,100         211,227   

Omnicom Group, Inc.

     40,100         3,267,749   

Scripps Networks Interactive, Inc. (Class A Stock)

     16,400         1,021,228   

TEGNA, Inc.

     37,000         857,290   

Time Warner, Inc.

     132,315         9,730,445   

Twenty-First Century Fox, Inc. (Class A Stock)

     186,700         5,050,235   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A117


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Media (continued)

                 

Twenty-First Century Fox, Inc. (Class B Stock)

     72,300       $ 1,970,175   

Viacom, Inc. (Class B Stock)

     57,843         2,398,749   

Walt Disney Co. (The)

     249,976         24,452,652   
             


         83,119,847   
             


Metals & Mining — 0.3%

                 

Alcoa, Inc.

     219,576         2,035,470   

Freeport-McMoRan, Inc.

     203,812         2,270,466   

Newmont Mining Corp.

     88,803         3,473,973   

Nucor Corp.

     53,600         2,648,376   
             


         10,428,285   
             


Multi-Utilities — 1.2%

                 

Ameren Corp.

     40,900         2,191,422   

CenterPoint Energy, Inc.

     70,910         1,701,840   

CMS Energy Corp.

     46,600         2,137,076   

Consolidated Edison, Inc.

     49,200         3,957,648   

Dominion Resources, Inc.(a)

     99,884         7,783,960   

DTE Energy Co.

     30,100         2,983,512   

NiSource, Inc.

     52,900         1,402,908   

Public Service Enterprise Group, Inc.

     84,900         3,957,189   

SCANA Corp.

     24,300         1,838,538   

Sempra Energy

     39,554         4,509,947   

TECO Energy, Inc.

     39,400         1,089,016   

WEC Energy Group, Inc.

     52,976         3,459,333   
             


         37,012,389   
             


Multiline Retail — 0.6%

                 

Dollar General Corp.

     49,100         4,615,400   

Dollar Tree, Inc.*

     39,447         3,717,485   

Kohl’s Corp.(a)

     32,200         1,221,024   

Macy’s, Inc.

     52,920         1,778,641   

Nordstrom, Inc.(a)

     21,500         818,075   

Target Corp.

     99,568         6,951,838   
             


         19,102,463   
             


Oil, Gas & Consumable Fuels — 6.1%

  

Anadarko Petroleum Corp.

     85,226         4,538,284   

Apache Corp.(a)

     63,350         3,526,695   

Cabot Oil & Gas Corp.

     72,400         1,863,576   

Chesapeake Energy Corp.*

     77,600         332,128   

Chevron Corp.

     314,142         32,931,506   

Cimarex Energy Co.

     16,000         1,909,120   

Columbia Pipeline Group, Inc.

     65,200         1,661,948   

Concho Resources, Inc.*

     20,900         2,492,743   

ConocoPhillips

     207,029         9,026,464   

Devon Energy Corp.

     81,500         2,954,375   

EOG Resources, Inc.

     92,200         7,691,324   

EQT Corp.

     28,400         2,199,012   

Exxon Mobil Corp.

     692,904         64,952,821   

Hess Corp.

     43,875         2,636,888   

Kinder Morgan, Inc.

     306,743         5,742,229   

Marathon Oil Corp.

     134,694         2,021,757   

Marathon Petroleum Corp.

     89,394         3,393,396   

Murphy Oil Corp.(a)

     27,700         879,475   

Newfield Exploration Co.*

     30,100         1,329,818   

Noble Energy, Inc.

     71,400         2,561,118   

Occidental Petroleum Corp.

     127,700         9,649,012   

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Oil, Gas & Consumable Fuels (continued)

  

ONEOK, Inc.(a)

     35,340       $ 1,676,883   

Phillips 66

     78,364         6,217,400   

Pioneer Natural Resources Co.

     27,100         4,097,791   

Range Resources Corp.

     27,300         1,177,722   

Southwestern Energy Co.*(a)

     63,200         795,056   

Spectra Energy Corp.

     112,542         4,122,413   

Tesoro Corp.

     20,000         1,498,400   

Valero Energy Corp.

     79,800         4,069,800   

Williams Cos., Inc. (The)

     114,400         2,474,472   
             


         190,423,626   
             


Personal Products — 0.1%

                 

Estee Lauder Cos., Inc. (The) (Class A Stock)

     37,400         3,404,148   
             


Pharmaceuticals — 5.6%

                 

Allergan PLC*

     65,906         15,230,217   

Bristol-Myers Squibb Co.

     279,740         20,574,877   

Eli Lilly & Co.

     163,000         12,836,250   

Endo International PLC*

     34,900         544,091   

Johnson & Johnson

     460,996         55,918,815   

Mallinckrodt PLC*

     19,700         1,197,366   

Merck & Co., Inc.

     464,003         26,731,213   

Mylan NV*

     69,300         2,996,532   

Perrigo Co. PLC

     24,600         2,230,482   

Pfizer, Inc.

     1,010,423         35,576,994   

Zoetis, Inc.

     76,100         3,611,706   
             


         177,448,543   
             


Professional Services — 0.3%

                 

Dun & Bradstreet Corp. (The)

     6,200         755,408   

Equifax, Inc.

     20,200         2,593,680   

Nielsen Holdings PLC

     60,300         3,133,791   

Robert Half International, Inc.

     22,000         839,520   

Verisk Analytics, Inc.*

     24,200         1,962,136   
             


         9,284,535   
             


Real Estate Investment Trusts (REITs) — 3.1%

  

American Tower Corp.

     71,000         8,066,310   

Apartment Investment & Management Co. (Class A Stock)

     26,274         1,160,260   

AvalonBay Communities, Inc.

     23,018         4,152,217   

Boston Properties, Inc.

     25,800         3,403,020   

Crown Castle International Corp.

     56,000         5,680,080   

Digital Realty Trust, Inc.

     22,800         2,484,972   

Equinix, Inc.

     11,555         4,480,220   

Equity Residential

     61,100         4,208,568   

Essex Property Trust, Inc.

     11,100         2,531,799   

Extra Space Storage, Inc.

     20,700         1,915,578   

Federal Realty Investment Trust

     10,700         1,771,385   

General Growth Properties, Inc.

     97,600         2,910,432   

HCP, Inc.

     78,000         2,759,640   

Host Hotels & Resorts, Inc.

     124,626         2,020,188   

Iron Mountain, Inc.

     37,230         1,482,871   

Kimco Realty Corp.

     69,600         2,184,048   

Macerich Co. (The)

     21,200         1,810,268   

Prologis, Inc.

     87,928         4,311,989   

Public Storage

     24,700         6,313,073   

Realty Income Corp.

     41,900         2,906,184   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A118


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Real Estate Investment Trusts (REITs) (continued)

  

Simon Property Group, Inc.

     51,761       $ 11,226,961   

SL Green Realty Corp.

     17,100         1,820,637   

UDR, Inc.

     40,900         1,510,028   

Ventas, Inc.

     55,904         4,070,929   

Vornado Realty Trust(a)

     29,757         2,979,271   

Welltower, Inc.

     59,400         4,524,498   

Weyerhaeuser Co.

     124,630         3,710,235   
             


         96,395,661   
             


Real Estate Management & Development

  

CBRE Group, Inc. (Class A Stock)*

     48,800         1,292,224   
             


Road & Rail — 0.8%

                 

CSX Corp.

     161,272         4,205,974   

J.B. Hunt Transport Services, Inc.

     14,900         1,205,857   

Kansas City Southern

     18,500         1,666,665   

Norfolk Southern Corp.

     50,100         4,265,013   

Ryder System, Inc.

     9,100         556,374   

Union Pacific Corp.

     141,300         12,328,425   
             


         24,228,308   
             


Semiconductors & Semiconductor Equipment — 2.8%

  

Analog Devices, Inc.

     51,500         2,916,960   

Applied Materials, Inc.

     184,800         4,429,656   

Broadcom Ltd. (Singapore)

     61,860         9,613,044   

First Solar, Inc.*

     13,200         639,936   

Intel Corp.

     787,900         25,843,120   

KLA-Tencor Corp.

     26,300         1,926,475   

Lam Research Corp.

     26,750         2,248,605   

Linear Technology Corp.

     40,600         1,889,118   

Microchip Technology, Inc.(a)

     34,300         1,741,068   

Micron Technology, Inc.*

     169,300         2,329,568   

NVIDIA Corp.

     85,850         4,035,809   

Qorvo, Inc.*

     22,286         1,231,524   

QUALCOMM, Inc.

     247,550         13,261,253   

Skyworks Solutions, Inc.

     32,300         2,043,944   

Texas Instruments, Inc.

     168,600         10,562,790   

Xilinx, Inc.

     42,300         1,951,299   
             


         86,664,169   
             


Software — 4.1%

                 

Activision Blizzard, Inc.

     84,600         3,352,698   

Adobe Systems, Inc.*

     83,675         8,015,228   

Autodesk, Inc.*

     38,100         2,062,734   

CA, Inc.

     49,273         1,617,633   

Citrix Systems, Inc.*

     26,300         2,106,367   

Electronic Arts, Inc.*

     52,100         3,947,096   

Intuit, Inc.

     43,000         4,799,230   

Microsoft Corp.

     1,317,900         67,436,943   

Oracle Corp.

     523,595         21,430,743   

Red Hat, Inc.*

     30,900         2,243,340   

salesforce.com, inc.*

     104,700         8,314,227   

Symantec Corp.

     103,711         2,130,224   
             


         127,456,463   
             


Specialty Retail — 2.5%

                 

Advance Auto Parts, Inc.

     12,400         2,004,212   

AutoNation, Inc.*(a)

     12,989         610,223   

AutoZone, Inc.*

     5,080         4,032,707   

COMMON STOCKS

(continued)

   Shares

     Value
(Note 2)


 

Specialty Retail (continued)

                 

Bed Bath & Beyond, Inc.

     28,100       $ 1,214,482   

Best Buy Co., Inc.

     47,225         1,445,085   

CarMax, Inc.*(a)

     32,800         1,608,184   

Foot Locker, Inc.

     21,100         1,157,546   

Gap, Inc. (The)(a)

     37,187         789,108   

Home Depot, Inc. (The)

     208,969         26,683,252   

L. Brands, Inc.

     42,696         2,866,183   

Lowe’s Cos., Inc.

     148,225         11,734,973   

O’Reilly Automotive, Inc.*

     16,300         4,418,930   

Ross Stores, Inc.

     68,400         3,877,596   

Signet Jewelers Ltd.

     13,500         1,112,535   

Staples, Inc.

     105,000         905,100   

Tiffany & Co.

     19,000         1,152,160   

TJX Cos., Inc. (The)

     112,000         8,649,760   

Tractor Supply Co.

     22,700         2,069,786   

Ulta Salon Cosmetics & Fragrance, Inc.*

     10,300         2,509,492   

Urban Outfitters, Inc.*

     15,600         429,000   
             


         79,270,314   
             


Technology Hardware, Storage & Peripherals — 3.5%

  

Apple, Inc.

     916,705         87,636,998   

EMC Corp.

     323,074         8,777,920   

Hewlett Packard Enterprise Co.

     284,966         5,206,329   

HP, Inc.

     289,966         3,639,073   

NetApp, Inc.

     49,000         1,204,910   

Seagate Technology PLC(a)

     50,400         1,227,744   

Western Digital Corp.

     46,968         2,219,708   
             


         109,912,682   
             


Textiles, Apparel & Luxury Goods — 0.8%

  

Coach, Inc.

     46,800         1,906,632   

Hanesbrands, Inc.

     65,700         1,651,041   

Michael Kors Holdings Ltd.*

     30,100         1,489,348   

NIKE, Inc. (Class B Stock)

     223,600         12,342,720   

PVH Corp.

     13,900         1,309,797   

Ralph Lauren Corp.

     10,100         905,162   

Under Armour, Inc. (Class A Stock)*(a)

     28,800         1,155,744   

Under Armour, Inc. (Class C Stock)*(a)

     29,003         1,055,709   

VF Corp.

     57,244         3,519,934   
             


         25,336,087   
             


Tobacco — 1.8%

                 

Altria Group, Inc.

     327,900         22,611,984   

Philip Morris International, Inc.

     258,600         26,304,792   

Reynolds American, Inc.

     138,984         7,495,407   
             


         56,412,183   
             


Trading Companies & Distributors — 0.2%

  

Fastenal Co.

     48,600         2,157,354   

United Rentals, Inc.*

     15,100         1,013,210   

W.W. Grainger, Inc.(a)

     9,700         2,204,325   
             


         5,374,889   
             


Water Utilities — 0.1%

                 

American Water Works Co., Inc.

     28,900         2,442,339   
             


TOTAL LONG-TERM INVESTMENTS
(cost $1,113,405,037)

   

     3,041,230,168   
             


 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A119


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

SHORT-TERM
INVESTMENTS — 5.3%
   Shares

     Value
(Note 2)


 
AFFILIATED MUTUAL FUND — 5.2%   

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $162,702,676; includes $69,544,664 of cash collateral for securities on loan)(b)(c)(Note 4)

     162,702,676       $ 162,702,676   
             


     Principal
Amount
(000)#


        
U.S. TREASURY OBLIGATION — 0.1%   

U.S. Treasury Bills,
0.267%, 09/15/16
(cost $4,997,233)(d)(e)

     5,000         4,997,850   
             


TOTAL SHORT-TERM INVESTMENTS
(cost $167,699,909)

   

     167,700,526   
             


TOTAL INVESTMENTS — 102.1%
(cost $1,281,104,946)

   

     3,208,930,694   

LIABILITIES IN EXCESS OF OTHER
ASSETS(f) — (2.1)%

   

     (65,676,438
             


NET ASSETS — 100.0%

  

   $ 3,143,254,256   
             


See the Glossary for abbreviations used in the semiannual report.

 

# Principal amount shown in U.S. dollars unless otherwise stated.

 

* Non-income producing security.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $67,708,803; cash collateral of $69,544,664 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

 

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

 

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund.

 

(d) Rate quoted represents yield-to-maturity as of purchase date.

 

(e) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(f) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:
 

 

Futures contracts outstanding at June 30, 2016:

 

Number of
Contracts


  Type

    Expiration
Date


    Value at
Trade Date


    Value at
June 30, 2016


    Unrealized
Appreciation
(Depreciation)

 
Long Positions:                                        
40     S&P 500 E-Mini        Sep. 2016      $ 4,132,110      $ 4,180,400      $ 48,290   
178     S&P 500 Index        Sep. 2016        92,742,677        93,013,900        271,223   
                                   


              $ 319,513   
                                   



  A U.S. Treasury Obligation with a market value of $4,997,850 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2016.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

 

Level 1— quoted prices generally in active markets for identical securities.
Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

 

      

Level 1


      

Level 2


      

Level 3


 

Investments in Securities

                                

Common Stocks

                                

Aerospace & Defense

     $ 80,334,112         $   —         $   —   

Air Freight & Logistics

       22,260,380                       

Airlines

       15,162,012                       

Auto Components

       9,905,956                       

Automobiles

       16,219,187                       

Banks

       159,150,721                       

Beverages

       71,620,107                       

Biotechnology

       88,929,340                       

Building Products

       4,010,914                       

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A120


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

      

Level 1


      

Level 2


      

Level 3


 

Investments in Securities (continued)

                                

Common Stocks (continued)

                                

Capital Markets

     $ 54,087,690         $         $   —   

Chemicals

       61,218,585                       

Commercial Services & Supplies

       13,269,421                       

Communications Equipment

       30,331,381                       

Construction & Engineering

       2,814,709                       

Construction Materials

       4,769,664                       

Consumer Finance

       21,846,302                       

Containers & Packaging

       9,383,194                       

Distributors

       3,991,981                       

Diversified Consumer Services

       913,100                       

Diversified Financial Services

       65,515,016                       

Diversified Telecommunication Services

       88,501,627                       

Electric Utilities

       66,663,452                       

Electrical Equipment

       16,208,683                       

Electronic Equipment, Instruments & Components

       10,921,286                       

Energy Equipment & Services

       33,459,122                       

Food & Staples Retailing

       71,836,593                       

Food Products

       56,692,111                       

Gas Utilities

       1,341,632                       

Health Care Equipment & Supplies

       75,127,339                       

Health Care Providers & Services

       84,886,269                       

Health Care Technology

       3,000,320                       

Hotels, Restaurants & Leisure

       52,854,111                       

Household Durables

       14,767,281                       

Household Products

       62,069,119                       

Independent Power & Renewable Electricity Producers

       2,146,779                       

Industrial Conglomerates

       79,185,288                       

Insurance

       76,060,075                       

Internet & Catalog Retail

       66,504,559                       

Internet Software & Services

       125,584,056                       

IT Services

       111,938,397                       

Leisure Products

       3,397,602                       

Life Sciences Tools & Services

       18,484,354                       

Machinery

       38,857,186                       

Media

       83,119,847                       

Metals & Mining

       10,428,285                       

Multi-Utilities

       37,012,389                       

Multiline Retail

       19,102,463                       

Oil, Gas & Consumable Fuels

       190,423,626                       

Personal Products

       3,404,148                       

Pharmaceuticals

       177,448,543                       

Professional Services

       9,284,535                       

Real Estate Investment Trusts (REITs)

       96,395,661                       

Real Estate Management & Development

       1,292,224                       

Road & Rail

       24,228,308                       

Semiconductors & Semiconductor Equipment

       86,664,169                       

Software

       127,456,463                       

Specialty Retail

       79,270,314                       

Technology Hardware, Storage & Peripherals

       109,912,682                       

Textiles, Apparel & Luxury Goods

       25,336,087                       

Tobacco

       56,412,183                       

Trading Companies & Distributors

       5,374,889                       

Water Utilities

       2,442,339                       

Affiliated Mutual Fund

       162,702,676                       

U.S. Treasury Obligation

                 4,997,850             

Other Financial Instruments*

                                

Futures Contracts

       319,513                       
      


    


    


Total

     $ 3,204,252,357         $ 4,997,850         $   —   
      


    


    



* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A121


     STOCK INDEX PORTFOLIO (continued)    
SCHEDULE OF INVESTMENTS    as of June 30, 2016 (unaudited)

 

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

 

Oil, Gas & Consumable Fuels

     6.1

Pharmaceuticals

     5.6   

Affiliated Mutual Fund (including 2.2% of collateral for securities on loan)

     5.2   

Banks

     5.1   

Software

     4.1   

Internet Software & Services

     4.0   

IT Services

     3.6   

Technology Hardware, Storage & Peripherals

     3.5   

Real Estate Investment Trusts (REITs)

     3.1   

Biotechnology

     2.8   

Diversified Telecommunication Services

     2.8   

Semiconductors & Semiconductor Equipment

     2.8   

Health Care Providers & Services

     2.7   

Media

     2.6   

Aerospace & Defense

     2.6   

Specialty Retail

     2.5   

Industrial Conglomerates

     2.5   

Insurance

     2.4   

Health Care Equipment & Supplies

     2.4   

Food & Staples Retailing

     2.3   

Beverages

     2.3   

Electric Utilities

     2.1   

Internet & Catalog Retail

     2.1   

Diversified Financial Services

     2.1   

Household Products

     2.0   

Chemicals

     1.9   

Food Products

     1.8   

Tobacco

     1.8   

Capital Markets

     1.7   

Hotels, Restaurants & Leisure

     1.7   

Machinery

     1.2   

Multi-Utilities

     1.2   

Energy Equipment & Services

     1.1

Communications Equipment

     1.0   

Textiles, Apparel & Luxury Goods

     0.8   

Road & Rail

     0.8   

Air Freight & Logistics

     0.7   

Consumer Finance

     0.7   

Multiline Retail

     0.6   

Life Sciences Tools & Services

     0.6   

Automobiles

     0.5   

Electrical Equipment

     0.5   

Airlines

     0.5   

Household Durables

     0.5   

Commercial Services & Supplies

     0.4   

Electronic Equipment, Instruments & Components

     0.3   

Metals & Mining

     0.3   

Auto Components

     0.3   

Containers & Packaging

     0.3   

Professional Services

     0.3   

Trading Companies & Distributors

     0.2   

Construction Materials

     0.2   

Building Products

     0.1   

Distributors

     0.1   

Personal Products

     0.1   

Leisure Products

     0.1   

Health Care Technology

     0.1   

Construction & Engineering

     0.1   

U.S. Treasury Obligation

     0.1   

Water Utilities

     0.1   

Independent Power & Renewable Electricity Producers

     0.1   
    


       102.1   

Liabilities in excess of other assets

     (2.1
    


       100.0
    


 

 

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging

instruments, carried at fair value


  

Asset Derivatives


   

Liability Derivatives


 
  

Balance Sheet Location


   Fair Value

   

Balance Sheet Location


   Fair Value

 

Equity contracts

   Due from/to broker — variation margin futures    $ 319,513      $   —   
         


      



* Includes cumulative appreciation/depreciation as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging instruments, carried at fair value


     Futures

 

Equity contracts

     $ 4,273,918   
      


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income


 

Derivatives not accounted for as hedging instruments, carried at fair value


     Futures

 

Equity contracts

     $ (76,900
      


For the six months ended June 30, 2016, the Fund’s average value at trade date for futures long postions was $91,226,177.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A122


     STOCK INDEX PORTFOLIO (continued)    

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

 

ASSETS   

Investments at value, including securities on loan of $67,708,803:

        

Unaffiliated investments (cost $1,118,402,270)

   $ 3,046,228,018   

Affiliated investments (cost $162,702,676)

     162,702,676   

Cash

     1,996   

Dividends and interest receivable

     3,538,570   

Receivable for investments sold

     1,483,879   

Due from broker—variation margin futures

     1,088,100   

Receivable for Series shares sold

     12,844   

Tax reclaim receivable

     494   

Prepaid expenses

     3,845   
    


Total Assets

     3,215,060,422   
    


LIABILITIES         

Payable to broker for collateral for securities on loan

     69,544,664   

Management fee payable

     761,736   

Payable for Series shares repurchased

     747,069   

Payable for investments purchased

     558,608   

Accrued expenses and other liabilities

     193,109   

Affiliated transfer agent fee payable

     980   
    


Total Liabilities

     71,806,166   
    


NET ASSETS    $ 3,143,254,256   
    


Net assets were comprised of:

        

Paid-in capital

   $ 1,202,478,656   

Retained earnings

     1,940,775,600   
    


Net assets, June 30, 2016

   $ 3,143,254,256   
    


Net asset value and redemption price per share $3,143,254,256 / 66,720,325 outstanding shares of beneficial interest

   $ 47.11   
    


STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

 

NET INVESTMENT INCOME (LOSS)         
INCOME         

Unaffiliated dividend income (net of foreign withholding taxes of $1,848)

   $ 32,766,665   

Affiliated income from securities lending, net

     336,437   

Affiliated dividend income

     216,062   

Interest income

     7,574   
    


Total income

     33,326,738   
    


EXPENSES         

Management fee

     5,240,960   

Custodian and accounting fees

     151,000   

Shareholders’ reports

     56,000   

Insurance expenses

     23,000   

Trustees’ fees

     20,000   

Audit fee

     13,000   

Legal fees and expenses

     12,000   

Commitment fee on syndicated credit agreement

     8,000   

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

     6,000   

Miscellaneous

     9,344   
    


Total expenses

     5,539,304   

Less: Management fee waiver

     (748,698
    


Net expenses

     4,790,606   
    


NET INVESTMENT INCOME (LOSS)      28,536,132   
    


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS         

Net realized gain (loss) on:

        

Investment transactions

     29,563,530   

Futures transactions

     4,273,918   
    


       33,837,448   
    


Net change in unrealized appreciation (depreciation) on:

        

Investments

     59,419,913   

Futures

     (76,900
    


       59,343,013   
    


NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      93,180,461   
    


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 121,716,593   
    


 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2016


    Year Ended
December 31, 2015


 
INCREASE (DECREASE) IN NET ASSETS                 
OPERATIONS                 

Net investment income (loss)

   $ 28,536,132      $ 57,514,806   

Net realized gain (loss) on investment transactions

     33,837,448        152,884,259   

Net change in unrealized appreciation (depreciation) on investments

     59,343,013        (187,558,369
    


 


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     121,716,593        22,840,696   
    


 


DISTRIBUTIONS      (210,338,581     (93,414,310
    


 


SERIES SHARE TRANSACTIONS                 

Series shares sold [2,475,449 and 4,544,250 shares, respectively]

     111,612,058        225,562,519   

Series shares issued in reinvestment of distributions [4,481,009 and 1,896,737 shares, respectively]

     210,338,581        93,414,310   

Series shares repurchased [2,183,862 and 11,644,330 shares, respectively]

     (104,612,110     (550,998,022
    


 


NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     217,338,529        (232,021,193
    


 


CAPTIAL CONTRIBUTIONS (Note 4)      4,458,724          
    


 


TOTAL INCREASE (DECREASE)      133,175,265        (302,594,807
NET ASSETS:                 

Beginning of period

     3,010,078,991        3,312,673,798   
    


 


End of period

   $ 3,143,254,256      $ 3,010,078,991   
    


 


 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A123


     GLOSSARY    
SCHEDULE OF INVESTMENTS    as of June 30, 2016

 

The following abbreviations are used in the preceding Portfolios’ descriptions:

Currency

 

AUD   Australian Dollar
CAD   Canadian Dollar
EUR   Euro
GBP   British Pound
HUF   Hungarian Forint
JPY   Japanese Yen
MXN   Mexican Peso
PLN   Polish Zloty
ZAR   South African Rand

Index

 

CDX   Credit Derivative Index

Other

 

144A   Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
RegS   Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
ABS   Asset-Backed Security
Aces   Alternative Credit Enhancements Securities
ADR   American Depositary Receipt
BABs   Build America Bonds
bps   Basis Points
CLO   Collateralized Loan Obligation
CMBS   Collateralized Mortgage-Backed Security
CVA   Certificate Van Aandelen (Bearer)
EAFE   Europe, Australasia and Far East
ETF   Exchange Traded Fund
EMTN   Euro Medium Term Note
EURIBOR   Euro Interbank Offered Rate
EUROIS   Euro Overnight Index Swap
FHLMC   Federal Home Loan Mortgage Corp.
GMTN   Global Medium Term Note
GO   General Obligation
IO   Interest Only
JIBAR   Johannesburg Interbank Agreed Rate
LIBOR   London Interbank Offered Rate
MSCI   Morgan Stanley Capital International
MTN   Medium Term Note
OIS   Overnight Index Swap
OTC   Over-the-counter
PIK   Payment-in-Kind
PO   Principal Only
PRFC   Preference Shares
REIT   Real Estate Investment Trust
REMICS   Real Estate Mortgage Investmemt Conduit Security
RSP   Non-Voting Shares
SDR   Sweden Depositary Receipt
STRIPS   Separate Trading of Registered Interest and Principle of Securities
TBA   To Be Announced
TIPS   Treasury Inflation-Protected Securities
USAID   United States Agency for International Development
USOIS   United States Overnight Index Swap

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A124


NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(unaudited)

 

Note 1:   General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the seven Portfolios which are listed below along with each Portfolio’s investment objective.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

 

Note 2:   Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

Securities Valuation:    Each Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

 

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Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

Bank loans traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy.

OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule

 

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144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

The Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called Connecticut Avenue Securities by Fannie Mae and Structured Agency Credit Risk by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current daily rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Participatory notes/Warrants:    The Series Fund may gain exposure to securities in certain foreign markets through investments in participatory notes (“P-notes”). The Series Fund may purchase P-notes pending ability to invest directly in a foreign market due to restrictions applicable to foreign investors or other market factors. P-notes are generally issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to the equity securities. An investment in a P-note may involve risks, including counterparty risk, beyond those normally associated with a direct investment in the underlying security. The Series Fund must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of the P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.

 

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Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

Cross Currency Exchange Contracts:    A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Short Sales:    Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

Loan Participations:    Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower, the Selling Participant and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Portfolios may also use futures to gain additional market exposure. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns

 

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or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option.

If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on written options transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. OTC options also involve the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Swap Agreements:    Certain Portfolios may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on the daily changes in valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains (losses) upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.

Credit Default Swaps:    Credit default swaps (“CDS”) involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios entered into CDS contracts to provide a measure of protection

 

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against defaults or take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value based on a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency Swaps:    Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.

Total Return Swaps:    In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Portfolio’s favor, from the point of entering into the contract.

Master Netting Arrangements:    Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

 

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Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2016, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights:    Certain Portfolios may hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. The Portfolio holds such warrants and rights as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment in kind securities:    Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay in kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Securities Lending:    The Portfolios may lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid ultra short-term bond fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The borrower

 

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receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls:    Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

Concentration of Risk:    The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of the governmental supervision and regulation of foreign securities markets.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

REITs:    Certain Portfolios invest in real estate investment trusts, (“REITs”), which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. These estimates are adjusted periodically when the actual source of distributions is disclosed by the REITs.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends and interest and foreign capital gains tax are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded.

Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

 

Note 3:   Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into subadvisory agreements with Prudential Fixed Income (“PFI”), a business unit of PGIM, Inc., Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”),

 

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Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.

 

Portfolio


   Management Fee
through June 30, 2016


   Management Fee
effective July 1, 2016


   Effective
Management Fee


 

Conservative Balanced Portfolio

      0.55%       0.55%      0.55 %

Diversified Bond Portfolio

   0.40    0.40      0.40  

Equity Portfolio

   0.45    0.45      0.45  

Flexible Managed Portfolio

   0.60    0.60      0.60  

Global Portfolio

   0.75    0.75      0.74 **

Government Income Portfolio

   0.40    0.40      0.40  

Stock Index Portfolio

   0.35% up to $4 billion

0.30% over $4 billion

   0.30% up to $4 billion

0.25% over $4 billion

     0.30 %*

 

  * PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.
  ** PI has contractually agreed, through June 30, 2017, to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio.

At June 30, 2016, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:

 

Portfolio


   Subadviser(s)

Conservative Balanced Portfolio

   PFI, QMA

Diversified Bond Portfolio

   PFI

Equity Portfolio

   Jennison

Flexible Managed Portfolio

   PFI, QMA

Global Portfolio

   Brown, LSV, QMA, T. Rowe & William Blair

Government Income Portfolio

   PFI

Stock Index Portfolio

   QMA

The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PIMS, PI, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain (loss) on investment

 

B9


transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was as follows:

 

Portfolio


   Amount

 

Equity Portfolio

   $ 120,710   

Global Portfolio

     18,351   

 

Note 4:   Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

PGIM, Inc. also serves as the Series Fund’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. was compensated as follows for these services:

 

Portfolio


   Amount

 

Conservative Balanced Portfolio

   $ 1,586   

Diversified Bond Portfolio

     974   

Equity Portfolio

     19,858   

Flexible Managed Portfolio

     3,536   

Global Portfolio

     2,073   

In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

The SEC Staff and other regulators are currently reviewing the matter.

The Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission, and in the Prudential Core Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the Investment Company Act of 1940, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as “Affiliated dividend income”.

The following Portfolios are reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.

 

Portfolio


   2015 Withholding Tax

    2016 Withholding Tax

 

Conservative Balanced Portfolio

   $ 44,001 *   $ 4,550   

Flexible Managed Portfolio

     53,512 *     6,800   

Global Portfolio

     118,399 *     8,165   

 

  * Includes amounts from December 2015 reimbursed in 2016.

 

B10


Note 5:   Portfolio Securities

The aggregate cost of purchases and the proceeds from sales of portfolio securities (excluding government securities and short-term issues) for the six months ended June 30, 2016 were as follows:

 

Portfolio


   Cost of Purchases

     Proceeds from Sales

 

Conservative Balanced Portfolio

   $ 2,085,212,904       $ 2,009,702,455   

Diversified Bond Portfolio

     199,073,469         137,903,650   

Equity Portfolio

     522,126,365         586,471,005   

Flexible Managed Portfolio

     3,634,022,230         3,489,797,192   

Global Portfolio

     147,488,325         205,541,829   

Government Income Portfolio

     952,455,030         926,645,390   

Stock Index Portfolio

     120,343,633         87,695,625   

Options written transactions, during the six months ended June 30, 2016, were as follows:

 


  Conservative Balanced Portfolio

    Diversified Bond Portfolio

 

  Notional
Amount
(000)

    Premiums

    Notional
Amount
(000)

    Premiums

 

Balance at beginning of period

    736,300     $ 178,078       362,120     $ 818,728  

Written options

    276,000       279,253       867,390       1,015,393  

Expired options

    (856,400 )     (150,037 )     (608,295 )     (1,154,594 )

Closed options

    (155,900 )     (307,294 )     (621,215 )     (679,527 )
   


 


 


 


Balance at end of period

                         
   


 


 


 


    Flexible Managed Portfolio

    Government Income Portfolio

 

  Notional
Amount
(000)

    Premiums

    Notional
Amount
(000)

    Premiums

 

Balance at beginning of period

    994,900     $ 242,423       507,660     $ 127,340  

Written options

    360,980       365,290       126,020       127,213  

Expired options

    (204,000 )     (196,287 )     (562,680 )     (186,220 )

Closed options

    (1,151,880 )     (411,426 )     (71,000 )     (68,333 )
   


 


 


 


Balance at end of period

                       
   


 


 


 


 

Note 6:   Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

 

Note 7:   Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life

 

B11


insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2016, the Equity Portfolio has Class II shares outstanding.

Transactions in shares of beneficial interest of the Equity Portfolio were as follows:

Equity Portfolio:

 

Class I


   Shares

    Amount

 

Six months ended June 30, 2016:

                

Series shares sold

     126,139      $ 4,586,024   

Series shares repurchased

     (3,186,730     (118,032,709
    


 


Net increase (decrease) in shares outstanding

     (3,060,591   $ (113,446,685
    


 


Year ended December 31, 2015:

                

Series shares sold

     293,271      $ 11,456,660   

Series shares repurchased

     (7,053,688     (276,805,403
    


 


Net increase (decrease) in shares outstanding

     (6,760,417   $ (265,348,743
    


 


Class II


            

Six months ended June 30, 2016:

                

Series shares sold

     385      $ 13,000   

Series shares repurchased

     (2,185     (79,248
    


 


Net increase (decrease) in shares outstanding

     (1,800   $ (66,248
    


 


Year ended December 31, 2015:

                

Series shares sold

     3,613      $ 143,295   

Series shares repurchased

     (11,130     (429,755
    


 


Net increase (decrease) in shares outstanding

     (7,517   $ (286,460
    


 


 

Note 8:   Borrowings

The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of .11% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. Each Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the six months ended June 30, 2016. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.

 

Portfolio


  Average
Balance
Outstanding


    Number of
Days
Outstanding


    Weighted
Average
Interest
Rates


    Maximum
Balance
Outstanding


    Balance
Outstanding at
June 30,
2016


 

Government Income Portfolio

  $ 275,000        3        1.67 %   $ 275,000          

 

Note 9:   Ownership and Affiliates

As of June 30, 2016, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

 

B12


Note 10:   New Accounting Pronouncement

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.

 

B13


Financial Highlights

(unaudited)

 

     Conservative Balanced Portfolio

 
     Six Months Ended
June 30, 2016(a)


    Year Ended December 31,

 
       2015(a)

    2014(a)

    2013(a)

    2012

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 22.54      $ 22.45      $ 20.63      $ 17.77      $ 16.32      $ 15.96   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .21        .39        .36        .35        .38        .36   

Net realized and unrealized gain (loss) on investments

     .72        (.30     1.46        2.51        1.43        .37   
    


 


 


 


 


 


Total from investment operations

     .93        .09        1.82        2.86        1.81        .73   
    


 


 


 


 


 


Less Distributions

                                 (.36     (.37

Capital Contributions(f)(Note 4)

     .02                                      
    


 


 


 


 


 


Net Asset Value, end of period

   $ 23.49      $ 22.54      $ 22.45      $ 20.63      $ 17.77      $ 16.32   
    


 


 


 


 


 


Total Return(b)

     4.21     .40     8.82     16.09     11.23     4.60

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 2,474.8      $ 2,554.3      $ 2,574.4      $ 2,504.4      $ 2,287.0      $ 2,191.6   

Ratios to average net assets(c):

                                                

Expenses after waivers and/or expense reimbursement

     .58 %(g)      .58     .58     .58     .58     .59

Expenses before waivers and/or expense reimbursement

     .58 %(g)      .58     .58     .58     .58     .59

Net investment income (loss)

     1.86 %(g)      1.70     1.66     1.84     2.11     2.12

Portfolio turnover rate(d)

     103 %(h)      208     134     196     188     215
     Diversified Bond Portfolio

 
     Six Months Ended
June 30, 2016(a)


    Year Ended December 31,

 
       2015(a)

    2014(a)

    2013

    2012(a)

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 11.64      $ 11.66      $ 11.01      $ 11.88      $ 11.74      $ 11.67   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .21        .41        .43        .48        .54        .56   

Net realized and unrealized gain (loss) on investments

     .58        (.43     .34        (.56     .66        .30   
    


 


 


 


 


 


Total from investment operations

     .79        (.02     .77        (.08     1.20        .86   
    


 


 


 


 


 


Less Distributions

                   (.12     (.79     (1.06     (.79

Capital Contributions(f)(Note 4)

     (e)                                    
    


 


 


 


 


 


Net Asset Value, end of period

   $ 12.43      $ 11.64      $ 11.66      $ 11.01      $ 11.88      $ 11.74   
    


 


 


 


 


 


Total Return(b)

     6.79     (.17 )%      7.09     (.71 )%      10.68     7.51

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 1,135.0      $ 1,084.9      $ 1,067.9      $ 1,197.5      $ 1,305.9      $ 1,556.9   

Ratios to average net assets(c):

                                                

Expenses after waivers and/or expense reimbursement

     .46 %(g)      .46     .44     .44     .44     .42

Expenses before waivers and/or expense reimbursement

     .46 %(g)      .46     .44     .44     .44     .42

Net investment income (loss)

     3.57 %(g)      3.48     3.73     4.10     4.57     4.76

Portfolio turnover rate

     28 %(h)      81     50     111     144     167

 

(a) Calculated based on average shares outstanding during the period.

 

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(d) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover.

 

(e) Less than $.005 per share.

 

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

 

(g) Annualized.

 

(h) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1


Financial Highlights

(unaudited)

 

     Equity Portfolio

 
     Class I

 
     Six Months Ended
June 30, 2016(c)


    Year Ended December 31,

 
       2015(c)

    2014(c)

    2013

    2012(c)

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 39.47      $ 38.56      $ 35.81      $ 26.81      $ 23.73      $ 24.75   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .19        .34        .19        .27        .27        .13   

Net realized and unrealized gain (loss) on investments

     (2.20     .57        2.56        8.73        2.96        (.98
    


 


 


 


 


 


Total from investment operations

     (2.01     .91        2.75        9.00        3.23        (.85
    


 


 


 


 


 


Less Distributions:

                                 (.15     (.17

Capital Contributions(f)(Note 4)

     .03                                      
    


 


 


 


 


 


Net Asset Value, end of period

   $ 37.49      $ 39.47      $ 38.56      $ 35.81      $ 26.81      $ 23.73   
    


 


 


 


 


 


Total Return(a)

     (5.02 )%      2.36     7.68     33.57     13.69     (3.47 )% 

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 3,538.4      $ 3,846.2      $ 4,017.6      $ 3,970.9      $ 3,167.0      $ 2,997.5   

Ratios to average net assets(b):

                                                

Expenses after waivers and/or expense reimbursement

     .47 %(d)      .47     .47     .47     .47     .48

Expenses before waivers and/or expense reimbursement

     .47 %(d)      .47     .47     .47     .47     .48

Net investment income (loss)

     1.03 %(d)      .86     .52     .86     1.04     .58

Portfolio turnover rate

     15 %(e)      37     51     45     48     49
     Equity Portfolio

 
     Class II

 
     Six Months Ended
June 30, 2016(c)


    Year Ended December 31,

 
       2015(c)

    2014(c)

    2013

    2012(c)

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 39.42      $ 38.66      $ 36.05      $ 27.10      $ 23.99      $ 25.00   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .11        .18        .04        .13        .17        .06   

Net realized and unrealized gain (loss) on investments

     (2.19     .58        2.57        8.82        3.00        (1.03
    


 


 


 


 


 


Total from investment operations

     (2.08     .76        2.61        8.95        3.17        (.97
    


 


 


 


 


 


Less Distributions:

                                 (.06     (.04

Capital Contributions(f)(Note 4)

     .03                                      
    


 


 


 


 


 


Net Asset Value, end of period

   $ 37.37      $ 39.42      $ 38.66      $ 36.05      $ 27.10      $ 23.99   
    


 


 


 


 


 


Total Return(a)

     (5.20 )%      1.97     7.24     33.03     13.23     (3.87 )% 

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 1.8      $ 2.0      $ 2.2      $ 2.3      $ 1.8      $ 2.0   

Ratios to average net assets(b):

                                                

Expenses after waivers and/or expense reimbursement

     .87 %(d)      .87     .87     .87     .87     .88

Expenses before waivers and/or expense reimbursement

     .87 %(d)      .87     .87     .87     .87     .88

Net investment income (loss)

     .62 %(d)      .46     .11     .47     .63     .19

Portfolio turnover rate

     15 %(e)      37     51     45     48     49

 

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one year are not annualized.

 

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

 

(c) Calculated based on average shares outstanding during the period.

 

(d) Annualized.

 

(e) Not annualized.

 

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2


Financial Highlights

(unaudited)

 

     Flexible Managed Portfolio

 
     Six Months Ended
June 30, 2016(a)


    Year Ended December 31,

 
       2015(a)

    2014(a)

    2013(a)

    2012

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 23.95      $ 23.71      $ 21.35      $ 17.77      $ 15.99      $ 15.63   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .23        .42        .37        .36        .37        .33   

Net realized and unrealized gain (loss) on investments

     .59        (.18     1.99        3.22        1.74        .34   
    


 


 


 


 


 


Total from investment operations

     .82        .24        2.36        3.58        2.11        .67   
    


 


 


 


 


 


Less Distributions

                                 (.33     (.31

Capital Contributions(g)(Note 4)

     .02                                      
    


 


 


 


 


 


Net Asset Value, end of period

   $ 24.79      $ 23.95      $ 23.71      $ 21.35      $ 17.77      $ 15.99   
    


 


 


 


 


 


Total Return(b)

     3.51     1.01     11.05     20.15     13.37     4.34

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 3,807.6      $ 3,768.8      $ 3,943.8      $ 3,730.6      $ 3,265.8      $ 3,036.8   

Ratios to average net assets(c):

                                                

Expenses after waivers and/or expense reimbursement

     .63 %(e)      .63     .63     .63     .63     .63

Expenses before waivers and/or expense reimbursement

     .63 %(e)      .63     .63     .63     .63     .63

Net investment income (loss)

     1.92 %(e)      1.74     1.66     1.86     2.05     2.01

Portfolio turnover rate(d)

     109 %(f)      213     161     210     214     246
     Global Portfolio

 
     Six Months Ended
June 30, 2016(a)


    Year Ended December 31,

 
       2015(a)

    2014(a)

    2013

    2012

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 26.33      $ 25.72      $ 24.91      $ 19.57      $ 16.94      $ 18.49   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .22        .34        .37        .31        .36        .29   

Net realized and unrealized gain (loss) on investments

     (.42     .27        .44        5.03        2.57        (1.56
    


 


 


 


 


 


Total from investment operations

     (.20     .61        .81        5.34        2.93        (1.27
    


 


 


 


 


 


Less Distributions

                                 (.30     (.28

Capital Contributions(g)(Note 4)

     .02                                      
    


 


 


 


 


 


Net Asset Value, end of period

   $ 26.15      $ 26.33      $ 25.72      $ 24.91      $ 19.57      $ 16.94   
    


 


 


 


 


 


Total Return(b)

     (.68 )%      2.37     3.25     27.29     17.52     (6.97 )% 

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 934.4      $ 965.3      $ 719.2      $ 744.5      $ 611.2      $ 564.2   

Ratios to average net assets(c):

                                                

Expenses after waivers and/or expense reimbursements

     .80 %(e)      .81     .81     .84     .84     .84

Expenses before waivers and/or expense reimbursements

     .81 %(e)      .82     .82     .84     .84     .84

Net investment income (loss)

     1.76 %(e)      1.28     1.45     1.29     1.82     1.54

Portfolio turnover rate

     16 %(f)      33     37     70     57     69

 

(a) Calculated based on average shares outstanding during the period.

 

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(d) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(e) Annualized.

 

(f) Not annualized.

 

(g) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C3


Financial Highlights

(unaudited)

 

     Government Income Portfolio

 
     Six Months Ended
June 30, 2016(d)


    Year Ended December 31,

 
       2015(d)

    2014

    2013

    2012

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 12.00      $ 11.92      $ 11.30      $ 12.15      $ 12.37      $ 12.03   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .10        .18        .21        .21        .25        .30   

Net realized and unrealized gain (loss) on investments

     .50        (.10     .45        (.49     .19        .60   
    


 


 


 


 


 


Total from investment operations

     .60        .08        .66        (.28     .44        .90   
    


 


 


 


 


 


Less Distributions

                   (.04     (.57     (.66     (.56

Capital Contributions(e)(Note 4)

     (f)                                    
    


 


 


 


 


 


Net Asset Value, end of period

   $ 12.60      $ 12.00      $ 11.92      $ 11.30      $ 12.15      $ 12.37   
    


 


 


 


 


 


Total Return(a)

     5.00     .67     5.86     (2.34 )%      3.63     7.63

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 239.5      $ 231.8      $ 339.2      $ 341.1      $ 382.9      $ 416.7   

Ratios to average net assets(b):

                                                

Expenses after waivers and/or expense reimbursements

     .52 %(g)      .48     .47     .49     .48     .46

Expenses before waivers and/or expense reimbursement

     .52 %(g)      .48     .47     .49     .48     .46

Net investment income (loss)

     1.68 %(g)      1.48     1.73     1.78     1.96     2.48

Portfolio turnover rate(c)

     398 %(h)      746     830     1135     1154     1554
     Stock Index Portfolio

 
     Six Months Ended
June 30, 2016(d)


    Year Ended December 31,

 
       2015(d)

    2014(d)

    2013(d)

    2012

    2011

 

Per Share Operating Performance:

                                                

Net Asset Value, beginning of period

   $ 48.59      $ 49.33      $ 47.02      $ 35.65      $ 31.47      $ 31.37   
    


 


 


 


 


 


Income (Loss) From Investment Operations:

                                                

Net investment income (loss)

     .45        .86        .79        .73        .68        .54   

Net realized and unrealized gain (loss) on investments

     1.37        (.26     5.20        10.64        4.19        .07   
    


 


 


 


 


 


Total from investment operations

     1.82        .60        5.99        11.37        4.87        .61   
    


 


 


 


 


 


Less Distributions

     (3.37     (1.34     (3.68            (.69     (.51

Capital Contributions(e)(Note 4)

     .07                                      
    


 


 


 


 


 


Net Asset Value, end of period

   $ 47.11      $ 48.59      $ 49.33      $ 47.02      $ 35.65      $ 31.47   
    


 


 


 


 


 


Total Return(a)

     3.91     1.18     13.31     31.89     15.68     1.95

Ratios/Supplemental Data:

                                                

Net assets, end of period (in millions)

   $ 3,143.3      $ 3,010.1      $ 3,312.7      $ 2,890.5      $ 2,340.3      $ 2,162.4   

Ratios to average net assets(b):

                                                

Expenses after waivers and/or expense reimbursement

     .32 %(g)      .32     .32     .32     .32     .33

Expenses before waivers and/or expense reimbursement

     .37 %(g)      .37     .37     .37     .37     .38

Net investment income (loss)

     1.91 %(g)      1.74     1.67     1.77     1.97     1.74

Portfolio turnover rate

     3 %(h)      9     5     3     2     2

 

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(c) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(d) Calculated based upon average shares outstanding during the period.

 

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

 

(f) Less than $0.005 per share.

 

(g) Annualized.

 

(h) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C4


The Prudential Variable Contract Account — 10

Approval of Advisory Agreements

 

The VCA-10 Committee

The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with Prudential Investments LLC (“PI”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 7-9, 2016 and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-10, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 7-9, 2016.

The Committee determined that the overall arrangements between VCA-10 and PI, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PI and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PI and Jennison. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.


The Committee considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-10 and Jennison, and also considered the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PI’s and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PI and Jennison. The Committee noted that Jennison is affiliated with PI.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PI and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.

Economies of Scale

PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.

The Committee received and discussed information concerning economies of scale that PI may realize as VCA-10’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PI’s investment in VCA-10 over time. The Committee noted that economies of scale, if any, may be shared with VCA-10 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PI and Jennison

The Committee considered potential ancillary benefits that might be received by PI and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-10 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2015. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2015. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PI to other funds and the fee charged by other advisers


to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.

The mutual funds included in the Peer Universe (the Lipper VA Large-Cap Core Funds Performance Universe)1 and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. To the extent that PI deemed appropriate, and for reasons addressed in detail with the Committee, PI may have provided supplemental data compiled by Broadridge for the Committee’s consideration. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

 

Performance

  

1 Year

   3 Years    5 Years    10 Years
   3rd Quartile    4th Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 4th Quartile

 

 

The Committee noted that VCA-10 underperformed its benchmark index over all periods.

 

 

The Committee noted PI’s explanation that the underperformance was attributable to VCA-10’s greater value tilt as compared to many of its peers, especially in light of the fact that growth has outperformed value for much of the past three years; in this regard the Committee also considered PI’s explanation that they expect performance will improve upon a prolonged period of value stock outperformance.

 

 

The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its investors to continue to monitor performance and to renew the agreements.

 

 

The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

* * *

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.

 


1  Although VCA-10 is classified in the Lipper VA Multi-Cap Core Funds Performance Universe, the Lipper VA Large-Cap Core Funds Performance Universe was utilized because PI believes that the funds included in this Universe are more consistent with VCA-10’s investment approach, and therefore, provide a more appropriate basis for VCA-10 performance comparisons.


The Prudential Variable Contract Account — 11

Approval of Advisory Agreements

The VCA-11 Committee

The Committee of the Prudential Variable Contract Account-11 (“VCA-11”) (the “Committee”) consists of ten individuals, seven of whom are not “interested persons” of VCA-11, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-11 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-11’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-11’s management agreement with Prudential Investments LLC (“PI”) and VCA-11’s subadvisory agreement with PGIM, Inc. (“PGIM”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 7-9, 2016 and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of VCA-11 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and PGIM. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-11, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-11 and its investors. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-11. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 7-9, 2016.

The Committee determined that the overall arrangements between VCA-11 and PI, which serves as VCA-11’s investment manager pursuant to a management agreement, and between PI and PGIM, which serves as VCA-11’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-11 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-11 by PI and PGIM. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-11, as well as the provision of recordkeeping, compliance, and other services to VCA-11. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and interested Committee Members. The Committee also considered the investment subadvisory services provided by PGIM, as well as adherence to VCA-11’s investment restrictions and compliance with applicable VCA-11 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-11 and PGIM, and also considered the qualifications, backgrounds and responsibilities of PGIM portfolio managers who are responsible for the day-to-day management of VCA-11’s portfolio. The Committee was provided with information pertaining to PI’s and


PGIM’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and PGIM. The Committee also noted that it received favorable compliance reports from VCA-11’s Chief Compliance Officer (“CCO”) as to both PI and PGIM. The Committee noted that PGIM is affiliated with PI.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-11 by PGIM, and that there was a reasonable basis on which to conclude that VCA-11 benefits from the services provided by PI and PGIM under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-11’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.

Economies of Scale

PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.

The Committee received and discussed information concerning economies of scale that PI may realize as VCA-11’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-11, the management fees of VCA-11 compared to those of similarly managed funds and PI’s investment in VCA-11 over time. The Committee noted that economies of scale, if any, may be shared with VCA-11 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-11 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PI and PGIM

The Committee considered potential ancillary benefits that might be received by PI and PGIM and their affiliates as a result of their relationship with VCA-11. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-11. The Committee concluded that the potential benefits to be derived by PGIM included those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and PGIM were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-11 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-11 for the one-, three-, five- and ten-year periods ended December 31, 2015. The Committee also considered VCA-11’s actual management fee, as well as VCA-11’s net total expense ratio, for the fiscal year ended December 31, 2015. The Committee considered the management fee for VCA-11 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-11 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-11 represents the actual expense ratio incurred by VCA-11 investors.


The mutual funds included in the Peer Universe (the Lipper VA Money Market Funds Performance Universe) and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed VCA-11 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-11’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

 

Performance

  

1 Year

   3 Years    5 Years    10 Years
   2nd Quartile    2nd Quartile    3rd Quartile    3rd Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

 

 

The Committee noted that VCA-11 outperformed its Peer Universe for the one-year period, performed in-line with its Peer Universe over the three-year period, and underperformed for the five- and ten-year periods.

 

 

The Committee noted the challenging money market and interest rate environment since the financial crisis.

 

 

The Committee concluded that, in light of the above, it would be in the best interests of investors to renew the agreements.

 

 

The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

* * *

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-11 and its investors.


The Prudential Series Fund

Approval of Advisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.

The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio


managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and each subadviser. The Board noted that the Prudential Fixed Income (PFI) unit of PGIM, Inc., PGIM, Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PI and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PFI, Jennison and QMA, each of which are affiliates of PI, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that it had accepted PI’s recommendation to discontinue the existing voluntary waiver of 0.05% of the management fee at each breakpoint level, and to replace it with an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee at each breakpoint level by 0.05%.

Other Benefits to PI and the Subadvisers

The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2015, except as otherwise


noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2015. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.

The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.

 

Conservative Balanced Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 1st Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Diversified Bond Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   3rd Quartile    2nd Quartile    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, although it underperformed over the one-year period.

 

 

The Board noted that the Portfolio’s recent performance had improved, with the Portfolio outperforming its benchmark index and ranking in the 1st quartile of its Peer Universe during the first quarter of 2016.

 

 

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Equity Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    3rd Quartile    4th Quartile    3rd Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile


 

The Board noted that the Portfolio outperformed its benchmark index over the one-year period, although it underperformed its benchmark index over the three-, five- and ten-year periods.

 

 

The Board considered that the Portfolio’s performance had improved over the one-year period.

 

 

The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Flexible Managed Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 2nd Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Global Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    2nd Quartile    1st Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 2nd Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board noted that PI had contractually agreed to waive 0.011% of its management fee through June 30, 2017.

 

 

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Government Income Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Stock Index Portfolio

Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 3rd Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016.


 

The Board accepted PI’s recommendation to incorporate the existing 0.05% contractual management fee waiver into an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee by 0.05% at each breakpoint.

 

 

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.


The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, VCA-11, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-24.

This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

A description of each Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call 800-458-6333 to obtain a description of the Account’s proxy voting policies and procedures. Information regarding how the Account’s voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on the Account’s website.

The Account’s Statement of Additional Information contains additional information about the Accounts’ Committee Members and is available without charge upon request by calling 800-458-6333.

Each Account files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call 1-800-732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling 800-458-6333.


LOGO

 

The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3777

 

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Prudential

 


 

 

 

©2016 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0228795-00006-00    MD.RS.011


Item 2     Code of Ethics – Not required, as this is not an annual filing.
Item 3     Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4     Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5     Audit Committee of Listed Registrants – Not applicable.
Item 6     Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7     Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8     Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9     Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10     Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11     Controls and Procedures
  (a)  

It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

  (b)  

There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12     Exhibits
  (a)   (1)  Code of Ethics – Not required, as this is not an annual filing.
    (2)  Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit        EX-99.CERT.
    (3)  Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
  (b)   Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: The Prudential Variable Contract Account-10

 

By:    /s/ Deborah A. Docs
   Deborah A. Docs
   Secretary
Date:    August 24, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:    /s/ Stuart S. Parker
   Stuart S. Parker
   President and Principal Executive Officer
Date:    August 24, 2016
By:    /s/ M. Sadiq Peshimam
   M. Sadiq Peshimam
   Treasurer and Principal Financial and Accounting Officer
Date:    August 24, 2016