N-CSRS 1 d380885dncsrs.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:    12/31/2018
Date of reporting period:    06/30/2018


Item 1 – Reports to Stockholders

 


The MEDLEY Program

 

 

SEMIANNUAL REPORT    June 30, 2018

 

 

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, 2018 were not audited, and, accordingly, no auditor’s opinion is expressed on them.

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, 2018

 

  LETTER TO PARTICIPANTS

 

  VCA-10

Financial Statements

 

  VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

 

  APPROVAL OF ADVISORY AGREEMENTS


The Prudential MEDLEY Program

Letter to Participants

  June 30, 2018

 

  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 Account 10

 

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2018


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

 

Presentation of Portfolio Holdings — unaudited

  June 30, 2018

 

VCA-10

 

Five Largest Holdings     (% of Net Assets
JPMorgan Chase & Co.     3.2%  
Boeing Co. (The)     3.0%  
Microsoft Corp.     2.7%  
Alphabet, Inc. (Class A Stock)     2.5%  
Broadcom Ltd.     2.3%  

 

For a complete listing of holdings, refer to the Statement of Net Assets 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, 2018

 

LONG-TERM INVESTMENTS — 97.2%  
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 4.2%

     

Boeing Co. (The)

     14,707      $ 4,934,346  

United Technologies Corp.

     15,677        1,960,095  
     

 

 

 
        6,894,441  
     

 

 

 

Air Freight & Logistics — 0.9%

     

Fedex Corp.

     6,146        1,395,511  
     

 

 

 

Automobiles — 0.6%

     

Tesla Inc. *

     3,021        1,036,052  
     

 

 

 

Banks — 10.7%

     

Bank of America Corp.

     114,344        3,223,357  

BB&T Corp.

     42,168        2,126,954  

Citigroup, Inc.

     31,646        2,117,750  

JPMorgan Chase & Co.

     49,528        5,160,818  

PNC Financial Services Group, Inc. (The)

     18,019        2,434,367  

SunTrust Banks Inc.

     12,537        827,693  

Wells Fargo & Co.

     27,623        1,531,419  
     

 

 

 
        17,422,358  
     

 

 

 

Building Products — 0.6%

     

Johnson Controls International PLC

     30,719        1,027,551  
     

 

 

 

Capital Markets — 1.5%

     

Goldman Sachs Group, Inc. (The)

     10,873        2,398,258  
     

 

 

 

Chemicals — 2.1%

     

DowDuPont, Inc.

     27,461        1,810,229  

FMC Corp.

     18,681        1,666,532  
     

 

 

 
        3,476,761  
     

 

 

 

Communication Equipment — 1.3%

     

Cisco Systems, Inc.

     48,356        2,080,759  
     

 

 

 

Consumer Finance — 2.2%

     

Capital One Financial Corp.

     21,436        1,969,968  

SLM Corp.*

     140,035        1,603,401  
     

 

 

 
        3,573,369  
     

 

 

 

Containers & Packaging — 0.8%

     

Sealed Air Corp.

     30,256        1,284,367  
     

 

 

 

Electric Utilities — 2.9%

     

American Electric Power Co., Inc.

     34,610        2,396,743  

Exelon Corp.

     54,900        2,338,740  
     

 

 

 
        4,735,483  
     

 

 

 

Electrical Equipment — 1.3%

     

Eaton Corp. PLC

     13,544        1,012,279  

Emerson Electric Co.

     16,208        1,120,621  
     

 

 

 
        2,132,900  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.9%

 

Flex Ltd.*

     101,156        1,427,311  
     

 

 

 

Energy Equipment & Services — 0.8%

     

Halliburton Co.

     29,899        1,347,249  
     

 

 

 

Equity Real Estate Investment Trust (REITs) — 1.4%

 

American Campus Communities Inc.

     20,200        866,176  

American Tower Corp.

     10,411        1,500,954  
     

 

 

 
        2,367,130  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Food & Staples Retailing — 1.3%

     

Wal-Mart Stores, Inc.

     24,826      $ 2,126,347  
     

 

 

 

Food Products — 2.1%

     

Conagra Brands, Inc.

     47,284        1,689,457  

Mondelez International, Inc. (Class A Stock)

     41,122        1,686,002  
     

 

 

 
        3,375,459  
     

 

 

 

Health Care Equipment & Supplies — 1.0%

 

Zimmer Biomet Holdings, Inc.

     14,737        1,642,291  
     

 

 

 

Health Care Providers & Service — 3.2%

 

Cigna Corp.

     5,929        1,007,634  

Laboratory Corp. of America Holdings*

     10,556        1,895,119  

UnitedHealth Group, Inc.

     9,474        2,324,351  
     

 

 

 
        5,227,104  
     

 

 

 

Hotels, Restaurants & Leisure — 3.5%

 

Carnival Corp.

     19,503        1,117,717  

Hyatt Hotels Corp. (Class A Stock)

     15,684        1,210,021  

Marriott International, Inc. (Class A Stock)

     16,492        2,087,887  

McDonald’s Corp.

     8,465        1,326,381  
     

 

 

 
        5,742,006  
     

 

 

 

Household Products — 1.1%

     

Procter & Gamble Co. (The)

     22,280        1,739,177  
     

 

 

 

insurance — 2.5%

     

Brighthouse Financial, Inc.*

     19,126        766,379  

Chubb Ltd. (Switzerland)

     14,619        1,856,905  

MetLife, Inc.

     32,867        1,433,001  
     

 

 

 
        4,056,285  
     

 

 

 

Internet & Direct Marketing Retail — 3.3%

 

Amazon.com, Inc.*

     1,777        3,020,545  

Netflix, Inc.*

     6,019        2,356,017  
     

 

 

 
        5,376,562  
     

 

 

 

Internet Software & Services — 7.8%

 

  

Alibaba Group Holding Ltd. (China), ADR*

     14,436        2,678,311  

Alphabet, Inc. (Class A Stock)*

     3,587        4,050,405  

eBay, Inc.*

     35,385        1,283,060  

Facebook, Inc. (Class A Stock)*

     11,651        2,264,022  

Tencent Holdings Ltd. (China), ADR

     49,125        2,468,531  
     

 

 

 
        12,744,329  
     

 

 

 

IT Services — 3.9%

     

DXC Technology Co.

     16,528        1,332,322  

Mastercard Inc.

     15,487        3,043,505  

PayPal Holdings, Inc.*

     24,372        2,029,456  
     

 

 

 
        6,405,283  
     

 

 

 

Life Sciences Tools & Services — 0.9%

 

  

Illumina Inc.*

     5,028        1,404,270  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (Unaudited)  

June 30, 2018

 

COMMON STOCKS
(continued)
   Shares      Value  

Media — 2.6%

     

Comcast Corp. (Class A Stock)

     37,826      $ 1,241,071  

Liberty Global PLC (United Kingdom) (Class C Stock)*

     47,732        1,270,149  

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

     36,118        1,794,703  
     

 

 

 
        4,305,923  
     

 

 

 

Multi-Utilities — 0.7%

     

Ameren Corp.

     18,683        1,136,861  
     

 

 

 

Oil, Gas & Consumable Fuels — 6.4%

 

  

Anadarko Petroleum Corp.

     21,398        1,567,403  

Chevron Corp.

     24,054        3,041,147  

Noble Energy, Inc.

     35,630        1,257,026  

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

     39,105        2,707,239  

Suncor Energy, Inc. (Canada)

     48,738        1,982,662  
     

 

 

 
        10,555,477  
     

 

 

 

Pharmaceuticals — 6.4%

     

Allergan PLC

     6,706        1,118,024  

AstraZeneca PLC (United Kingdom), ADR

     39,092        1,372,520  

Bristol-Myers Squibb Co.

     49,048        2,714,316  

Eli Lilly & Co.

     22,306        1,903,371  

Merck & Co., Inc.

     20,851        1,265,656  

Pfizer, Inc.

     60,445        2,192,945  
     

 

 

 
        10,566,832  
     

 

 

 

Road & Rail — 1.2%

     

Union Pacific Corp.

     13,349        1,891,286  
     

 

 

 

Semiconductors & Semiconductor Equipment — 4.7%

 

Broadcom Ltd.

     15,583        3,781,059  

NVIDIA Corp.

     9,973        2,362,604  

Texas Instruments, Inc.

     14,408        1,588,482  
     

 

 

 
        7,732,145  
     

 

 

 

Software — 6.8%

     

Adobe Systems, Inc.*

     10,936        2,666,306  

Microsoft Corp.

     44,824        4,420,095  

PTC, Inc.*

     14,770        1,385,574  

salesforce.com, Inc.*

     19,609        2,674,668  
     

 

 

 
        11,146,643  
     

 

 

 

Specialty Retail — 1.7%

     

Home Depot, Inc.

     8,040        1,568,604  

Ross Stores Inc.

     13,367        1,132,853  
     

 

 

 
        2,701,457  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Technology Hardware, Storage & Peripheral — 2.0%

 

Apple, Inc.

     17,282      $ 3,199,071  
     

 

 

 

Textiles, Apparel & Luxury Goods — 1.0%

 

Tapestry, Inc.

     35,219        1,645,079  
     

 

 

 

Wireless Telecommunication Services — 0.9%

 

Vodafone Group PLC (United Kingdom), ADR

     62,298        1,514,464  
     

 

 

 

TOTAL COMMON STOCKS
(cost $108,327,343)

 

     158,833,851  
     

 

 

 
SHORT-TERM INVESTMENT — 2.6%

 

AFFILIATED MUTUAL FUND

     

PGIM Core Ultra Short Bond Fund
(cost $4,328,676)(a)

     4,328,676        4,328,676  
     

 

 

 

TOTAL INVESTMENTS — 99.8%
(cost $112,656,019)

 

     163,162,527  
     

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

     

Cash

 

     876,142  

Receivable for Securities Sold

 

     1,149,526  

Dividends and Interests Receivable

 

     155,935  

Tax Reclaim Receivable

 

     21,296  

Payable for Pending Capital Transactions

 

     (1,857

Payable for Securities Purchased

 

     (1,909,725
     

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES

 

     291,317  
     

 

 

 

NET ASSETS — 100%

 

   $ 163,453,844  
     

 

 

 

NET ASSETS, representing:

     

Equity of Participants —

 

   $ 163,477,470  

Equity of The Prudential Insurance Company of America

 

     (23,626
     

 

 

 
      $ 163,453,844  
     

 

 

 

The following abbreviation is used in the semiannual report:

 

ADR   American Depositary Receipt

 

*

Non-income producing security.

 

(a)

PGIM Investments LLC, the manager of the Account, also serves as manager of the PGIM Core Ultra Short Bond Fund.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (Unaudited)  

June 30, 2018

 

Fair Value Measurements:

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—unadjusted 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, 2018 in valuing such portfolio securities:

 

      

Level 1

      

Level 2

      

Level 3

 

Investments in Securities

              

Common Stocks

              

Aerospace & Defense

     $ 6,894,441        $        $  

Air Freight & Logistics

       1,395,511                    

Automobiles

       1,036,052                    

Banks

       17,422,358                    

Building Products

       1,027,551                    

Capital Markets

       2,398,258                    

Chemicals

       3,476,761                    

Communications Equipment

       2,080,759                    

Consumer Finance

       3,573,369                    

Containers & Packaging

       1,284,367                    

Electric Utilities

       4,735,483                    

Electrical Equipment

       2,132,900                    

Electronic Equipment, Instruments & Components

       1,427,311                    

Energy Equipment & Services

       1,347,249                    

Equity Real Estate Investment Trusts (REITs)

       2,367,130                    

Food & Staples Retailing

       2,126,347                    

Food Products

       3,375,459                    

Health Care Equipment & Supplies

       1,642,291                    

Health Care Providers & Services

       5,227,104                    

Hotels Restaurants & Leisure

       5,742,006                    

Household Products

       1,739,177                    

Insurance

       4,056,285                    

Internet & Direct Marketing Retail

       5,376,562                    

Internet Software & Services

       12,744,329                    

IT Services

       6,405,283                    

Life Sciences Tools & Services

       1,404,270                    

Media

       4,305,923                    

Multi-Utilities

       1,136,861                    

Oil, Gas & Consumable Fuels

       10,555,477                    

Pharmaceuticals

       10,566,832                    

Road & Rail

       1,891,286                    

Semiconductors & Semiconductor Equipment

       7,732,145                    

Software

       11,146,643                    

Specialty Retail

       2,701,457                    

Technology Hardware, Storage & Peripherals

       3,199,071                    

Textiles, Apparel & Luxury Goods

       1,645,079                    

Wireless Telecommunication Services

       1,514,464                    

Affiliated Mutual Fund

       4,328,676                    
    

 

 

      

 

 

      

 

 

 

Total

     $ 163,162,527        $   —        $   —  
    

 

 

      

 

 

      

 

 

 

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (Unaudited)  

June 30, 2018

 

Industry Classification:

The industry classification of investments and other assets in excess of other liabilities shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Banks

     10.7

Internet Software & Services

     7.8  

Software

     6.8  

Pharmaceuticals

     6.5  

Oil, Gas & Consumable Fuels

     6.5  

Semiconductors & Semiconductor Equipment

     4.7  

Aerospace & Defense

     4.2  

IT Services

     3.9  

Hotels Restaurants & Leisure

     3.5  

Internet & Direct Marketing Retail

     3.3  

Health Care Providers & Services

     3.2  

Electric Utilities

     2.9  

Affiliated Mutual Fund

     2.6  

Media

     2.6  

Insurance

     2.5  

Consumer Finance

     2.2  

Chemicals

     2.1  

Food Products

     2.1  

Technology Hardware, Storage & Peripherals

     2.0  

Specialty Retail

     1.7  

Capital Markets

     1.5  

Equity Real Estate Investment Trusts (REITs)

     1.4  

Electrical Equipment

     1.3

Food & Staples Retailing

     1.3  

Communications Equipment

     1.3  

Road & Rail

     1.2  

Household Products

     1.1  

Textiles, Apparel & Luxury Goods

     1.0  

Health Care Equipment & Supplies

     1.0  

Wireless Telecommunication Services

     0.9  

Electronic Equipment, Instruments & Components

     0.9  

Life Sciences Tools & Services

     0.9  

Air Freight & Logistics

     0.9  

Energy Equipment & Services

     0.8  

Containers & Packaging

     0.8  

Multi-Utilities

     0.7  

Automobiles

     0.6  

Building Products

     0.6  
  

 

 

 
     99.8  

Other assets in excess of liabilities

     0.2  
  

 

 

 
     100.0
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF OPERATIONS (Unaudited)  

Six Months Ended June 30, 2018

 

          
INVESTMENT INCOME   

Unaffiliated Dividend Income (net of $26,243 foreign withholding tax)

   $ 1,458,856  

Affiliated Dividend Income

     31,892  

Total Income

     1,490,748  

EXPENSES

  

Fees Charged to Participants for Investment Management Services

     (208,579

Fees Charged to Participants for Administrative Expenses:

  

Standard Contract

     (562,949

0.50% Contract

     (5,184

0.45% Contract

     (10,277

Total Expenses

     (786,989

NET INVESTMENT INCOME

     703,759  

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

  

Net Realized Gain (Loss) on:

  

Investment Transactions

     6,008,899  

Foreign Currency Transactions

     (19
       6,008,880  

Net Change in Unrealized Appreciation (Depreciation) on:

  

Investments

     (2,479,474

Foreign Currencies

     (290
       (2,479,764

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS

     3,529,116  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 4,232,875  

 

   STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)  

 

      Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 

OPERATIONS

    

Net Investment Income

   $ 703,759     $ 1,087,378  

Net Realized Gain on Investment and Foreign Currency Transactions

     6,008,880       14,830,963  

Net Change In Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies

     (2,479,764     15,923,733  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

     4,232,875       31,842,074  

CAPITAL TRANSACTIONS

    

Purchase Payments and Transfers In

     976,459       1,305,515  

Withdrawals and Transfers Out

     (7,247,306     (17,682,984

NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS

     (6,270,847     (16,377,469

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

     (1,559     1,137  

TOTAL INCREASE (DECREASE) IN NET ASSETS

     (2,039,531     15,465,742  

NET ASSETS

    

Beginning of period

     165,493,375       150,027,633  

End of period

   $ 163,453,844     $ 165,493,375  

Accumulation Unit Values and Equity of Participants as of June 30, 2018

 

Standard Contract:

  

Accumulation Unit Value and Equity of Participants, $149,267,056 / 7,474,365 Accumulation Units

   $ 19.9705  
  

 

 

 

0.50% Contract:

  

Accumulation Unit Value and Equity of Participants, $4,082,558 / 183,178 Accumulation Units

   $ 22.2874  
  

 

 

 

0.45% Contract:

  

Accumulation Unit Value and Equity of Participants, $10,127,856 / 452,744 Accumulation Units

   $ 22.3699  
  

 

 

 

 

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 Month Ended June 30, 2018     Year Ended December 31, 2017  
        Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
     0.50%
Contract
     0.45%
Contract
 

Investment Income

     $ 0.1791     $ 0.1995     $ 0.2002     $ 0.2909      $ 0.3229      $ 0.3239  

Expenses

                

Investment management fee

       (0.0248     (0.0277     (0.0278     (0.0440      (0.0489      (0.0491

Administrative expenses

       (0.0743     (0.0277     (0.0222     (0.1318      (0.0489      (0.0392

Net Investment Income

       0.0800       0.1441       0.1502       0.1151        0.2251        0.2356  

Capital Changes

                

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

       0.4088       0.4547       0.4562       3.4389        3.8193        3.8316  

Net Increase (Decrease) in Accumulation Unit Value

       0.4888       0.5988       0.6064       3.5540        4.0444        4.0672  

Accumulation Unit Value

                

Beginning of period

       19.4818       21.6886       21.7635       15.9278        17.6442        17.6963  

End of period

     $ 19.9705     $ 22.2874     $ 22.3699     $ 19.4818      $ 21.6886      $ 21.7635  

Total Return**

       2.51 %     2.76 %     2.79 %     22.31 %      22.92 %      22.98 %

Ratio of Expenses To Average Net Assets***

       1.00 %†     0.50 %†     0.45 %†     1.00 %      0.50 %      0.45 %

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

       0.81 %†     1.31 %†     1.36 %†     0.65 %      1.15 %      1.20 %

Portfolio Turnover Rate

       19 %††      19 %††      19 %††      49 %      49 %      49 %

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

       7,474       183       453       7,755        190        474  

 

*

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 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, 2016     Year Ended December 31, 2015  
      Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
 

Investment Income

   $ 0.2736     $ 0.3019     $ 0.3027     $ 0.2397     $ 0.2631     $ 0.2637  

Expenses

            

Investment management fee

     (0.0369     (0.0407     (0.0408     (0.0384     (0.0422     (0.0423

Administrative expenses

     (0.1103     (0.0407     (0.0327     (0.1149     (0.0422     (0.0339

Net Investment Income

     0.1264       0.2205       0.2292       0.0864       0.1787       0.1875  

Capital Changes

            

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

     0.8068       0.8955       0.8983       (0.3479     (0.3837     (0.3847

Net Increase (Decrease) in Accumulation Unit Value

     0.9332       1.1160       1.1275       (0.2615     (0.2050     (0.1972

Accumulation Unit Value

            

Beginning of year

     14.9946       16.5282       16.5688       15.2561       16.7332       16.7660  

End of year

   $ 15.9278     $ 17.6442     $ 17.6963     $ 14.9946     $ 16.5282     $ 16.5688  

Total Return**

     6.22     6.75     6.80     (1.71 )%      (1.23 )%      (1.18 )% 

Ratio of Expenses To Average Net Assets***

     1.00     0.50     0.45     1.00     0.50     0.45

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

     0.85     1.34     1.39     0.57     1.06     1.11

Portfolio Turnover Rate

     42     42     42     47     47     47

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

     8,606       219       609       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 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 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

   $ 0.1871     $ 0.2046     $ 0.2049     $ 0.1792     $ 0.1950     $ 0.1952  

Expenses

            

Investment management fee

     (0.0362     (0.0397     (0.0398     (0.0303     (0.0330     (0.0330

Administrative expenses

     (0.1086     (0.0397     (0.0318     (0.0906     (0.0330     (0.0264

Net Investment Income

     0.0423       0.1252       0.1333       0.0583       0.1290       0.1358  

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     0.50     0.45     1.00     0.50 %     0.45 %

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

     0.29     0.78     0.83     0.48     0.98 %     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.


NOTES TO 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. Variable annuity payments differ according to the investment performance of the Account.

PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% contracts”), and contracts with annual expenses of 0.45%, as a percentage of net asset, (the “0.45% contracts”). The financial statements 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 and liabilities 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 PGIM Investments LLC (“PGIM Investments” or “the Manager”). Pursuant to the Committee’s delegation, a Valuation Committee has been established as two persons, being one or more officers of the Account, including: the Account’s Treasurer (or the Treasurer’s direct reports); and the Account’s Chief or Deputy Chief Compliance Officer (or Vice-President-level direct reports of the Chief or Deputy Chief Compliance Officer). Under the current valuation procedures, the Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets and liabilities. 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.

For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Account’s foreign investments may change on days when investors cannot purchase or redeem Account shares.

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.

Foreign equities 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 is 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 for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

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.

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 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 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.

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.


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 PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments 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. PGIM Investments 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 PICA 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 PGIM Investments, 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 PGIM Investments, 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 PGIM Investments, for investment management services.

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 on the last business day of each calendar year such amounts are reflected as a withdrawal on the Statements of Changes in Net Assets.

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

 

Note 4:   Other Transactions with Affiliates

The Account may enter into certain securities purchase or sale transactions under Committee 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 Committee. For the period ended June 30, 2018 no such transactions were entered into by the Account.

During the six months ended June 30, 2018, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. 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, 2018, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $30,910,953 and $40,351,409, respectively.


Note 6:   Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2018 and the year ended December 31, 2017, respectively, are as follows:

 

Standard Contracts

   Units     Amount  

Six months ended June 30, 2018:

    

Account units issued

     48,638     $ 976,459  

Account units redeemed

     (329,659     (6,628,381
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (281,021   $ (5,651,922 )
  

 

 

   

 

 

 

Year ended December 31, 2017:

    

Account units issued

     74,595     $ 1,305,515  

Account units redeemed

     (924,776     (16,317,915
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (850,181   $ (15,012,400 )
  

 

 

   

 

 

 

0.50% Contracts

   Units     Amount  

Six months ended June 30, 2018:

    

Account units issued

         $  

Account units redeemed

     (6,426     (144,066
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (6,426   $ (144,066 )
  

 

 

   

 

 

 

Year ended December 31, 2017:

    

Account units issued

         $  

Account units redeemed

     (22,834     (433,904
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (22,834   $ (433,904 )
  

 

 

   

 

 

 

0.45% Contracts

   Units     Amount  

Six months ended June 30, 2018:

    

Account units issued

         $  

Account units redeemed

     (21,167     (474,859
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (21,167   $ (474,859 )
  

 

 

   

 

 

 

Year ended December 31, 2017:

    

Account units issued

         $  

Account units redeemed

     (47,660     (931,165
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (47,660   $ (931,165 )
  

 

 

   

 

 

 

 

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.

 

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, 2018, $35,877 in participant loans were withdrawn from VCA-10 and $34,253 of principal and interest was repaid to VCA-10. For the year ended December 31, 2017, $75,791 in participant loans were withdrawn from VCA-10 and $66,116 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, 2018, PICA has advised the Account that it received $438 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:   Other Risks

The Account’s risks include, but are not limited to, the following:

Foreign Securities Risk:    The Account’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Account may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Account’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Liquidity Risk:    The Account may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk includes the risk that the Account may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. When there is no willing buyer and investments cannot be readily sold at the desired time or price, the Account may have to accept a lower price or may not be able to sell the instrument at all. An inability to sell a portfolio position can adversely affect the Account’s value or prevent the Account from being able to take advantage of other investment opportunities.

Market and Credit Risks:    Securities markets may be volatile and the market prices of the Account’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Account fall, the value of an investment in the Account will decline. Additionally, the Account may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Account has unsettled or open transactions defaults.


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-11 and VCA-24 will invest in the corresponding Portfolio of the Prudential Series Fund (the “Fund”). Of the Portfolios comprising the Fund, eight Portfolios are presently available to The MEDLEY Program. The Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Equity Subaccount invests in the Equity Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Global Subaccount in the Global Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Government Money Market Subaccount in the Government Money Market Portfolio, and the Stock Index Subaccount in the Stock Index 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 eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 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 each corresponding 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 each 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

 

Presentation of Portfolio Holdings — unaudited

  June 30, 2018

 

Conservative Balanced  
Five Largest Holdings     (% of Net Assets
Apple, Inc.     1.9%  
Microsoft Corp.     1.6%  

Amazon.com, Inc.

    1.5%  
U.S. Treasury Inflation Indexed Bonds, TIPS     1.4%  

Facebook, Inc. (Class A Stock)

1.0%

 

 

Diversified Bond  
Fund Composition     (% of Net Assets
Corporate Bonds     37.4%  
Asset-Backed Securities     27.0%  
Commercial Mortgage-Backed Securities     14.5%  

Sovereign Bonds

    5.5%  
Residential Mortgage-Backed Securities     3.3%  
Equity  
Five Largest Holdings     (% of Net Assets
JPMorgan Chase & Co.     3.9%  
Microsoft Corp.     3.5%  
Amazon.com, Inc.     3.1%  
Boeing Co. (The)     2.9%  
Alibaba Group Holding Ltd.     2.4%  
 
Flexible Managed Portfolio

 

Five Largest Holdings     (% of Net Assets

Microsoft Corp.

    2.0%  
Apple, Inc.     1.9%  

Facebook, Inc. (Class A Stock)

    1.6%  
JPMorgan Chase & Co.     1.4%  
Alphabet, Inc. (Class C Stock)     1.3%  
Global  
Top Five Countries     (% of Net Assets

United States

    55.9%  
Japan     6.7%  

France

    5.3%  
United Kingdom     4.9%  
Canada     3.3%  
Government Income  
Fund Composition     (% of Net Assets
U.S. Government Agency Obligations     40.5%  
U.S. Treasury Obligations     28.0%  
Commercial Mortgage-Backed Securities     17.2%  
Asset-Backed Securities     9.5%  
Corporate Bonds     1.8%  
 
Stock Index  
Five Largest Holdings     (% of Net Assets
Apple, Inc.     3.9%  
Microsoft Corp.     3.2%  
Amazon.com, Inc.     2.9%  
Facebook, Inc. (Class A Stock)     2.0%  
Berkshire Hathaway, Inc. (Class B Stock)     1.5%  

    

    

 

 

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


The Prudential Series Fund

Fees and Expenses — unaudited

  June 30, 2018

 

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, 2018 through June 30, 2018.

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 the Six-Month 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, 2018
     Ending
Account Value
June 30, 2018
     Annualized Expense
Ratio based on the
Six-Month period
    Expenses Paid
During the
Six-Month period*
 
Conservative Balanced (Class I)    Actual    $ 1,000.00      $ 1,005.20        0.58   $ 2.88  
     Hypothetical    $ 1,000.00      $ 1,021.92        0.58   $ 2.91  
Diversified Bond (Class I)    Actual    $ 1,000.00      $ 983.30        0.44   $ 2.16  
     Hypothetical    $ 1,000.00      $ 1,022.61        0.44   $ 2.21  
Equity (Class I)    Actual    $ 1,000.00      $ 1,059.60        0.47   $ 2.40  
     Hypothetical    $ 1,000.00      $ 1,022.46        0.47   $ 2.36  
Equity (Class II)    Actual    $ 1,000.00      $ 1,057.60        0.87   $ 4.44  
     Hypothetical    $ 1,000.00      $ 1,020.48        0.87   $ 4.36  
Flexible Managed (Class I)    Actual    $ 1,000.00      $ 1,007.40        0.62   $ 3.09  
     Hypothetical    $ 1,000.00      $ 1,021.72        0.62   $ 3.11  
Global (Class I)    Actual    $ 1,000.00      $ 1,029.70        0.78   $ 3.93  
     Hypothetical    $ 1,000.00      $ 1,020.93        0.78   $ 3.91  
Government Income (Class I)    Actual    $ 1,000.00      $ 989.70        0.52   $ 2.57  
     Hypothetical    $ 1,000.00      $ 1,022.22        0.52   $ 2.61  
Government Money Market (Class I)    Actual    $ 1,000.00      $ 1,006.20        0.35   $ 1.74  
     Hypothetical    $ 1,000.00      $ 1,023.06        0.35   $ 1.76  
Stock Index (Class I)    Actual    $ 1,000.00      $ 1,025.40        0.31   $ 1.56  
     Hypothetical    $ 1,000.00      $ 1,023.26        0.31   $ 1.56  

* 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 181 days in the six-month period ended June 30, 2018, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2018 (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, 2018 (unaudited)

 

LONG-TERM INVESTMENTS — 87.7%         
COMMON STOCKS — 50.1%    Shares      Value  

Aerospace & Defense — 1.3%

 

Arconic, Inc.

     21,480      $ 365,375  

Boeing Co. (The)

     29,250        9,813,668  

Dassault Aviation SA (France)

     83        157,822  

General Dynamics Corp.

     14,800        2,758,868  

Harris Corp.

     6,300        910,602  

Huntington Ingalls Industries, Inc.

     2,500        541,975  

L3 Technologies, Inc.

     4,200        807,744  

Lockheed Martin Corp.

     13,280        3,923,310  

Northrop Grumman Corp.

     9,362        2,880,687  

Raytheon Co.

     15,400        2,974,972  

Rockwell Collins, Inc.

     8,800        1,185,184  

Safran SA (France)

     882        106,815  

Textron, Inc.

     13,600        896,376  

TransDigm Group, Inc.(a)

     2,700        931,878  

United Technologies Corp.

     39,700        4,963,691  
     

 

 

 
        33,218,967  
     

 

 

 

Air Freight & Logistics — 0.3%

 

C.H. Robinson Worldwide, Inc.

     7,300        610,718  

Expeditors International of Washington, Inc.

     9,300        679,830  

FedEx Corp.

     13,180        2,992,651  

Royal Mail PLC (United Kingdom)

     3,322        22,101  

United Parcel Service, Inc.
(Class B Stock)

     36,800        3,909,264  
     

 

 

 
        8,214,564  
     

 

 

 

Airlines — 0.2%

     

Alaska Air Group, Inc.

     6,500        392,535  

American Airlines Group, Inc.

     21,600        819,936  

Delta Air Lines, Inc.

     34,400        1,704,176  

Deutsche Lufthansa AG (Germany)

     4,331        103,761  

easyJet PLC (United Kingdom)

     1,993        43,846  

International Consolidated Airlines Group SA (United Kingdom)

     1,614        14,124  

Japan Airlines Co. Ltd. (Japan)

     400        14,172  

Southwest Airlines Co.

     28,500        1,450,080  

United Continental Holdings, Inc.*

     12,600        878,598  
     

 

 

 
        5,421,228  
     

 

 

 

Auto Components — 0.1%

     

Aptiv PLC

     14,100        1,291,983  

BorgWarner, Inc.

     10,800        466,128  

Faurecia SA (France)

     205        14,573  

Goodyear Tire & Rubber Co. (The)

     11,500        267,835  

Koito Manufacturing Co. Ltd. (Japan)

     400        26,421  

NGK Spark Plug Co. Ltd. (Japan)

     400        11,372  

Toyota Industries Corp. (Japan)

     400        22,390  
     

 

 

 
        2,100,702  
     

 

 

 

Automobiles — 0.3%

     

Bayerische Motoren Werke AG (Germany)

     892        80,630  

Ferrari NV (Italy)

     326        44,065  

Fiat Chrysler Automobiles NV (United Kingdom)*

     2,943        55,518  

Ford Motor Co.

     207,885        2,301,287  
COMMON STOCKS
(continued)
   Shares      Value  

Automobiles (continued)

     

General Motors Co.

     67,600      $ 2,663,440  

Harley-Davidson, Inc.

     9,100        382,928  

Honda Motor Co. Ltd. (Japan)

     4,300        126,080  

Mitsubishi Motors Corp. (Japan)

     2,500        19,928  

Peugeot SA (France)

     10,136        230,952  

Suzuki Motor Corp. (Japan)

     5,700        314,116  

Toyota Motor Corp. (Japan)

     6,000        388,014  

Volkswagen AG (Germany)

     123        20,221  
     

 

 

 
        6,627,179  
     

 

 

 

Banks — 3.1%

     

ABN AMRO Group NV (Netherlands), CVA, 144A

     12,197        315,437  

Banco Santander SA (Spain)

     1,943        10,384  

Bank Leumi Le-Israel BM (Israel)

     46,795        276,890  

Bank of America Corp.

     502,921        14,177,343  

Bank of East Asia Ltd. (The) (Hong Kong)

     74,800        298,127  

Bank of Ireland Group PLC (Ireland)

     2,536        19,680  

Bankinter SA (Spain)

     2,509        24,345  

BB&T Corp.

     41,600        2,098,304  

BNP Paribas SA (France)

     2,967        183,530  

CaixaBank SA (Spain)

     9,581        41,239  

Citigroup, Inc.

     136,035        9,103,462  

Citizens Financial Group, Inc.

     25,800        1,003,620  

Comerica, Inc.

     9,600        872,832  

Commonwealth Bank of Australia (Australia)

     189        10,193  

Danske Bank A/S (Denmark)

     1,988        61,934  

DBS Group Holdings Ltd. (Singapore)

     11,800        229,475  

DNB ASA (Norway)

     14,924        290,616  

Fifth Third Bancorp

     36,321        1,042,413  

Fukuoka Financial Group, Inc. (Japan)

     3,000        15,055  

Hang Seng Bank Ltd. (Hong Kong)

     4,700        117,361  

HSBC Holdings PLC (United Kingdom)

     29,378        274,518  

Huntington Bancshares, Inc.

     58,036        856,611  

Intesa Sanpaolo SpA (Italy)

     131,406        380,194  

JPMorgan Chase & Co.

     181,645        18,927,409  

KBC Group NV (Belgium)

     663        50,918  

KeyCorp

     54,200        1,059,068  

Lloyds Banking Group PLC (United Kingdom)

     301,253        249,955  

M&T Bank Corp.

     7,900        1,344,185  

Mebuki Financial Group, Inc. (Japan)

     3,700        12,411  

Mediobanca Banca di Credito Finanziario SpA (Italy)

     1,637        15,142  

Mitsubishi UFJ Financial Group, Inc. (Japan)

     44,800        253,787  

Mizuho Financial Group, Inc. (Japan)

     63,900        107,639  

Oversea-Chinese Banking Corp. Ltd. (Singapore)

     8,300        70,697  

People’s United Financial, Inc.(a)

     16,500        298,485  

PNC Financial Services Group, Inc. (The)

     25,033        3,381,958  

Raiffeisen Bank International AG (Austria)

     519        15,902  

Regions Financial Corp.

     58,903        1,047,295  

Resona Holdings, Inc. (Japan)

     58,400        311,259  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Banks (continued)

     

Sumitomo Mitsui Financial Group, Inc. (Japan)

     3,600      $ 140,422  

SunTrust Banks, Inc.

     24,800        1,637,296  

SVB Financial Group*

     2,900        837,404  

Swedbank AB (Sweden) (Class A Stock)

     2,402        51,178  

U.S. Bancorp

     83,185        4,160,914  

UniCredit SpA (Italy)

     5,426        89,933  

United Overseas Bank Ltd. (Singapore)

     3,500        68,595  

Wells Fargo & Co.

     233,864        12,965,420  

Zions Bancorporation(a)

     10,550        555,879  
     

 

 

 
        79,356,714  
     

 

 

 

Beverages — 0.9%

     

Asahi Group Holdings Ltd. (Japan)

     900        46,159  

Brown-Forman Corp. (Class B Stock)(a)

     14,275        699,618  

Coca-Cola Amatil Ltd. (Australia)

     1,978        13,453  

Coca-Cola Co. (The)

     204,301        8,960,642  

Coca-Cola European Partners PLC (United Kingdom)

     7,800        316,992  

Constellation Brands, Inc. (Class A Stock)

     9,000        1,969,830  

Diageo PLC (United Kingdom)

     6,440        231,362  

Heineken Holding NV (Netherlands)

     303        28,978  

Kirin Holdings Co. Ltd. (Japan)

     6,900        184,954  

Molson Coors Brewing Co. (Class B Stock)

     9,700        659,988  

Monster Beverage Corp.*

     21,900        1,254,870  

PepsiCo, Inc.

     75,607        8,231,334  
     

 

 

 
        22,598,180  
     

 

 

 

Biotechnology — 1.2%

     

AbbVie, Inc.

     80,900        7,495,385  

Alexion Pharmaceuticals, Inc.*

     11,900        1,477,385  

Amgen, Inc.

     35,537        6,559,775  

Biogen, Inc.*

     11,260        3,268,102  

Celgene Corp.*

     37,700        2,994,134  

CSL Ltd. (Australia)

     1,654        235,435  

Gilead Sciences, Inc.

     69,400        4,916,296  

Incyte Corp.*

     9,700        649,900  

Regeneron Pharmaceuticals, Inc.*

     4,140        1,428,259  

Vertex Pharmaceuticals, Inc.*

     13,600        2,311,456  
     

 

 

 
        31,336,127  
     

 

 

 

Building Products — 0.1%

     

A.O. Smith Corp.

     7,800        461,370  

AGC, Inc. (Japan)

     6,300        245,045  

Allegion PLC

     5,133        397,089  

Fortune Brands Home & Security, Inc.

     7,800        418,782  

Johnson Controls International PLC

     48,622        1,626,406  

Masco Corp.

     15,800        591,236  
     

 

 

 
        3,739,928  
     

 

 

 

Capital Markets — 1.5%

     

Affiliated Managers Group, Inc.

     3,100        460,877  

Ameriprise Financial, Inc.

     7,720        1,079,874  

ASX Ltd. (Australia)

     708        33,749  
COMMON STOCKS
(continued)
   Shares      Value  

Capital Markets (continued)

     

Bank of New York Mellon Corp. (The)

     53,958      $ 2,909,955  

BlackRock, Inc.

     6,600        3,293,664  

Cboe Global Markets, Inc.

     5,900        614,013  

Charles Schwab Corp. (The)

     64,050        3,272,955  

CME Group, Inc.

     18,200        2,983,344  

Daiwa Securities Group, Inc. (Japan)

     6,000        34,775  

E*TRADE Financial Corp.*

     13,820        845,231  

Franklin Resources, Inc.

     16,700        535,235  

Goldman Sachs Group, Inc. (The)

     18,800        4,146,716  

Intercontinental Exchange, Inc.

     30,955        2,276,740  

Invesco Ltd.

     20,600        547,136  

Macquarie Group Ltd. (Australia)

     3,976        362,358  

Moody’s Corp.

     8,850        1,509,456  

Morgan Stanley

     72,680        3,445,032  

MSCI, Inc.

     5,000        827,150  

Nasdaq, Inc.

     6,200        565,874  

Nomura Holdings, Inc. (Japan)

     9,200        44,519  

Northern Trust Corp.

     11,200        1,152,368  

Partners Group Holding AG (Switzerland)

     437        319,467  

Quilter PLC (United Kingdom), 144A*

     4,346        8,312  

Raymond James Financial, Inc.

     7,200        643,320  

S&P Global, Inc.

     13,400        2,732,126  

SBI Holdings, Inc. (Japan)

     600        15,384  

State Street Corp.

     19,500        1,815,255  

T. Rowe Price Group, Inc.

     12,900        1,497,561  
     

 

 

 
        37,972,446  
     

 

 

 

Chemicals — 1.0%

     

Air Products & Chemicals, Inc.

     11,700        1,822,041  

Albemarle Corp.(a)

     6,100        575,413  

Asahi Kasei Corp. (Japan)

     4,800        60,871  

BASF SE (Germany)

     2,451        233,994  

CF Industries Holdings, Inc.

     12,000        532,800  

Covestro AG (Germany), 144A

     3,882        345,047  

DowDuPont, Inc.

     123,841        8,163,599  

Eastman Chemical Co.

     7,900        789,684  

Ecolab, Inc.

     13,900        1,950,587  

FMC Corp.

     7,500        669,075  

International Flavors & Fragrances, Inc.

     4,500        557,820  

Koninklijke DSM NV (Netherlands)

     470        47,018  

Kuraray Co. Ltd. (Japan)

     1,200        16,504  

Linde AG (Germany)

     482        114,513  

LyondellBasell Industries NV (Class A Stock)

     17,200        1,889,420  

Mitsubishi Chemical Holdings Corp. (Japan)

     37,800        315,660  

Mitsubishi Gas Chemical Co., Inc. (Japan)

     400        9,039  

Mitsui Chemicals, Inc. (Japan)

     1,200        31,894  

Mosaic Co. (The)

     15,900        445,995  

PPG Industries, Inc.

     13,300        1,379,609  

Praxair, Inc.

     15,400        2,435,510  

Sherwin-Williams Co. (The)

     4,450        1,813,687  

Shin-Etsu Chemical Co. Ltd. (Japan)

     1,000        88,868  

Sumitomo Chemical Co. Ltd. (Japan)

     4,000        22,623  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Chemicals (continued)

     

Teijin Ltd. (Japan)

     700      $ 12,822  

Tosoh Corp. (Japan)

     1,100        17,008  
     

 

 

 
        24,341,101  
     

 

 

 

Commercial Services & Supplies — 0.2%

 

Babcock International Group PLC (United Kingdom)

     940        10,100  

Cintas Corp.

     4,800        888,336  

Republic Services, Inc.

     12,365        845,271  

Securitas AB (Sweden) (Class B Stock)

     1,145        18,776  

Stericycle, Inc.*

     4,900        319,921  

Waste Management, Inc.

     21,042        1,711,556  
     

 

 

 
        3,793,960  
     

 

 

 

Communications Equipment — 0.5%

     

Cisco Systems, Inc.

     251,500        10,822,045  

F5 Networks, Inc.*

     3,500        603,575  

Juniper Networks, Inc.

     18,400        504,528  

Motorola Solutions, Inc.

     8,889        1,034,413  
     

 

 

 
        12,964,561  
     

 

 

 

Construction & Engineering — 0.1%

     

ACS Actividades de Construccion y Servicios SA (Spain)

     685        27,637  

CIMIC Group Ltd. (Australia)

     357        11,160  

Eiffage SA (France)

     269        29,225  

Fluor Corp.

     7,800        380,484  

HOCHTIEF AG (Germany)

     1,441        259,860  

Jacobs Engineering Group, Inc.

     6,700        425,383  

Quanta Services, Inc.*

     6,900        230,460  

Shimizu Corp. (Japan)

     1,400        14,490  

Taisei Corp. (Japan)

     3,700        203,757  

Vinci SA (France)

     1,340        128,628  
     

 

 

 
        1,711,084  
     

 

 

 

Construction Materials — 0.1%

     

CRH PLC (Ireland)

     2,231        78,474  

Martin Marietta Materials, Inc.

     3,400        759,322  

Vulcan Materials Co.

     7,100        916,326  
     

 

 

 
        1,754,122  
     

 

 

 

Consumer Finance — 0.3%

     

American Express Co.

     38,100        3,733,800  

Capital One Financial Corp.

     25,961        2,385,816  

Discover Financial Services

     18,640        1,312,443  

Synchrony Financial

     37,672        1,257,491  
     

 

 

 
        8,689,550  
     

 

 

 

Containers & Packaging — 0.2%

     

Avery Dennison Corp.

     4,900        500,290  

Ball Corp.

     18,600        661,230  

International Paper Co.

     22,573        1,175,602  

Packaging Corp. of America

     5,100        570,129  

Sealed Air Corp.

     8,000        339,600  

WestRock Co.

     13,444        766,577  
     

 

 

 
        4,013,428  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Distributors — 0.1%

     

Genuine Parts Co.

     7,800      $ 715,962  

LKQ Corp.*

     16,600        529,540  
     

 

 

 
        1,245,502  
     

 

 

 

Diversified Consumer Services — 0.0%

     

H&R Block, Inc.

     10,500        239,190  
     

 

 

 

Diversified Financial Services — 0.8%

     

Berkshire Hathaway, Inc.
(Class B Stock)*

     102,740        19,176,421  

Jefferies Financial Group, Inc.

     14,400        327,456  

Kinnevik AB (Sweden) (Class B Stock)

     860        29,306  

ORIX Corp. (Japan)

     17,500        275,837  
     

 

 

 
        19,809,020  
     

 

 

 

Diversified Telecommunication Services — 1.0%

 

AT&T, Inc.

     387,236        12,434,148  

CenturyLink, Inc.

     49,679        926,017  

Deutsche Telekom AG (Germany)*

     8,774        135,597  

Elisa OYJ (Finland)

     511        23,607  

HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock)

     13,000        16,583  

Nippon Telegraph & Telephone Corp. (Japan)

     7,800        354,338  

Orange SA (France)

     5,256        87,734  

Spark New Zealand Ltd. (New Zealand)

     6,667        16,826  

Telecom Italia SpA (Italy)*

     42,538        31,516  

Telecom Italia SpA (Italy), RSP

     22,010        14,324  

Verizon Communications, Inc.

     220,376        11,087,116  
     

 

 

 
        25,127,806  
     

 

 

 

Electric Utilities — 0.9%

     

Alliant Energy Corp.

     12,400        524,768  

American Electric Power Co., Inc.

     26,260        1,818,505  

CK Infrastructure Holdings Ltd. (Hong Kong)

     2,000        14,805  

CLP Holdings Ltd. (Hong Kong)

     5,000        53,857  

Duke Energy Corp.

     37,361        2,954,508  

Edison International

     17,700        1,119,879  

Endesa SA (Spain)

     1,155        25,400  

Enel SpA (Italy)

     26,613        147,468  

Entergy Corp.(a)

     9,600        775,584  

Evergy, Inc.

     13,900        780,485  

Eversource Energy

     17,100        1,002,231  

Exelon Corp.

     51,213        2,181,674  

FirstEnergy Corp.

     24,206        869,237  

Iberdrola SA (Spain)

     15,506        119,579  

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

     2,700        39,377  

Kyushu Electric Power Co., Inc. (Japan)

     1,500        16,748  

NextEra Energy, Inc.

     25,200        4,209,156  

Orsted A/S (Denmark), 144A

     5,340        322,649  

PG&E Corp.

     26,900        1,144,864  

Pinnacle West Capital Corp.

     5,900        475,304  

PPL Corp.

     37,300        1,064,915  

Southern Co. (The)

     53,900        2,496,109  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Electric Utilities (continued)

     

SSE PLC (United Kingdom)

     11,577      $ 206,656  

Xcel Energy, Inc.

     26,510        1,210,977  
     

 

 

 
        23,574,735  
     

 

 

 

Electrical Equipment — 0.3%

     

ABB Ltd. (Switzerland)

     4,107        89,590  

AMETEK, Inc.

     12,200        880,352  

Eaton Corp. PLC

     23,337        1,744,207  

Emerson Electric Co.

     33,600        2,323,104  

Fuji Electric Co. Ltd. (Japan)

     2,000        15,192  

Rockwell Automation, Inc.

     6,700        1,113,741  

Schneider Electric SE (France)

     3,348        278,443  
     

 

 

 
        6,444,629  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.2%

 

Amphenol Corp. (Class A Stock)

     16,100        1,403,115  

Corning, Inc.

     44,200        1,215,942  

FLIR Systems, Inc.

     7,100        368,987  

Hamamatsu Photonics KK (Japan)

     500        21,464  

Hitachi Ltd. (Japan)

     52,000        366,339  

IPG Photonics Corp.*

     2,100        463,323  

Keyence Corp. (Japan)

     300        169,204  

Shimadzu Corp. (Japan)

     800        24,137  

TE Connectivity Ltd.

     18,700        1,684,122  

Venture Corp. Ltd. (Singapore)

     1,000        13,065  
     

 

 

 
        5,729,698  
     

 

 

 

Energy Equipment & Services — 0.4%

     

Baker Hughes a GE Co.

     21,198        700,170  

Halliburton Co.

     46,700        2,104,302  

Helmerich & Payne, Inc.(a)

     6,200        395,312  

National Oilwell Varco, Inc.

     19,100        828,940  

Schlumberger Ltd.

     73,924        4,955,126  

TechnipFMC PLC (United Kingdom)

     22,700        720,498  
     

 

 

 
        9,704,348  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 1.4%

 

Alexandria Real Estate Equities, Inc.(a)

     5,600        706,552  

American Tower Corp.

     23,600        3,402,412  

Apartment Investment & Management Co. (Class A Stock)

     8,233        348,256  

AvalonBay Communities, Inc.

     7,375        1,267,689  

Boston Properties, Inc.

     8,300        1,040,986  

Crown Castle International Corp.

     22,100        2,382,822  

Dexus (Australia)

     3,736        26,853  

Digital Realty Trust, Inc.

     11,300        1,260,854  

Duke Realty Corp.

     18,800        545,764  

Equinix, Inc.

     4,254        1,828,752  

Equity Residential

     19,900        1,267,431  

Essex Property Trust, Inc.

     3,750        896,512  

Extra Space Storage, Inc.

     7,000        698,670  

Federal Realty Investment Trust

     4,100        518,855  

GGP, Inc.

     33,100        676,233  

Goodman Group (Australia)

     14,411        102,734  

HCP, Inc.

     23,400        604,188  

Host Hotels & Resorts, Inc.

     39,182        825,565  

Iron Mountain, Inc.

     14,702        514,717  

Kimco Realty Corp.

     21,800        370,382  
COMMON STOCKS
(continued)
   Shares      Value  

Equity Real Estate Investment Trusts (REITs) (continued)

     

Klepierre SA (France)

     4,094      $ 153,825  

Land Securities Group PLC (United Kingdom)

     24,704        311,229  

Link REIT (Hong Kong)

     6,000        54,716  

Macerich Co. (The)

     5,500        312,565  

Mid-America Apartment Communities, Inc.

     6,000        604,020  

Mirvac Group (Australia)

     13,628        21,873  

Nippon Building Fund, Inc. (Japan)

     3        17,305  

Prologis, Inc.

     28,477        1,870,654  

Public Storage

     8,000        1,814,880  

Realty Income Corp.

     15,500        833,745  

Regency Centers Corp.

     8,000        496,640  

SBA Communications Corp.*(a)

     6,200        1,023,744  

Simon Property Group, Inc.

     16,593        2,823,963  

SL Green Realty Corp.

     4,900        492,597  

Stockland (Australia)

     9,072        26,655  

UDR, Inc.

     14,500        544,330  

Ventas, Inc.

     19,018        1,083,075  

Vornado Realty Trust

     9,225        681,912  

Welltower, Inc.

     19,800        1,241,262  

Weyerhaeuser Co.

     39,718        1,448,118  
     

 

 

 
        35,143,335  
     

 

 

 

Food & Staples Retailing — 0.7%

     

Costco Wholesale Corp.

     23,400        4,890,132  

ICA Gruppen AB (Sweden)

     295        9,025  

Koninklijke Ahold Delhaize NV (Netherlands)

     3,237        77,292  

Kroger Co. (The)

     43,292        1,231,657  

Sysco Corp.

     25,600        1,748,224  

Tesco PLC (United Kingdom)

     109,449        370,331  

Walgreens Boots Alliance, Inc.

     45,500        2,730,682  

Walmart, Inc.

     77,200        6,612,180  

Wesfarmers Ltd. (Australia)

     4,162        151,856  

WM Morrison Supermarkets PLC (United Kingdom)

     41,283        136,936  

Woolworths Group Ltd. (Australia)

     5,929        133,899  
     

 

 

 
        18,092,214  
     

 

 

 

Food Products — 0.6%

     

Archer-Daniels-Midland Co.

     29,826        1,366,926  

Barry Callebaut AG (Switzerland)

     9        16,127  

Campbell Soup Co.(a)

     9,400        381,076  

Conagra Brands, Inc.(a)

     20,300        725,319  

General Mills, Inc.

     31,700        1,403,042  

Hershey Co. (The)

     7,400        688,644  

Hormel Foods Corp.(a)

     14,600        543,266  

J.M. Smucker Co. (The)

     6,100        655,628  

Kellogg Co.

     13,500        943,245  

Kraft Heinz Co. (The)

     31,917        2,005,026  

Marine Harvest ASA (Norway)

     13,840        275,179  

McCormick & Co., Inc.(a)

     6,700        777,803  

MEIJI Holdings Co. Ltd. (Japan)

     300        25,336  

Mondelez International, Inc. (Class A Stock)

     78,653        3,224,773  

Nestle SA (Switzerland)

     8,198        635,352  

Tate & Lyle PLC (United Kingdom)

     34,361        292,424  

Tyson Foods, Inc. (Class A Stock)

     15,600        1,074,060  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS

(continued)

   Shares      Value  

Food Products (continued)

     

WH Group Ltd. (Hong Kong), 144A

     23,500      $ 19,016  

Wilmar International Ltd. (Singapore)

     96,900        217,291  
     

 

 

 
        15,269,533  
     

 

 

 

Health Care Equipment & Supplies — 1.5%

 

Abbott Laboratories

     93,500        5,702,565  

ABIOMED, Inc.*

     2,340        957,177  

Align Technology, Inc.*

     4,000        1,368,560  

Baxter International, Inc.

     26,300        1,941,992  

Becton, Dickinson & Co.

     14,310        3,428,104  

Boston Scientific Corp.*

     73,567        2,405,641  

Coloplast A/S (Denmark) (Class B Stock)

     312        31,151  

ConvaTec Group PLC (United Kingdom), 144A

     9,618        26,851  

Cooper Cos., Inc. (The)

     2,840        668,678  

Danaher Corp.

     32,800        3,236,704  

DENTSPLY SIRONA, Inc.

     12,200        533,994  

Edwards Lifesciences Corp.*

     11,500        1,674,055  

Hologic, Inc.*

     14,900        592,275  

Hoya Corp. (Japan)

     1,000        56,729  

IDEXX Laboratories, Inc.*

     4,800        1,046,112  

Intuitive Surgical, Inc.*

     6,060        2,899,589  

Medtronic PLC

     72,290        6,188,747  

ResMed, Inc.

     7,600        787,208  

Smith & Nephew PLC (United Kingdom)

     2,271        41,832  

Sonova Holding AG (Switzerland)

     145        25,938  

Straumann Holding AG (Switzerland)

     38        28,819  

Stryker Corp.

     17,200        2,904,392  

Terumo Corp. (Japan)

     800        45,798  

Varian Medical Systems, Inc.*

     5,000        568,600  

Zimmer Biomet Holdings, Inc.

     10,900        1,214,696  
     

 

 

 
        38,376,207  
     

 

 

 

Health Care Providers & Services — 1.6%

 

  

Aetna, Inc.

     17,469        3,205,561  

Alfresa Holdings Corp. (Japan)

     500        11,741  

AmerisourceBergen Corp.

     8,900        758,903  

Anthem, Inc.

     13,700        3,261,011  

Cardinal Health, Inc.

     16,150        788,605  

Centene Corp.*

     11,100        1,367,631  

Cigna Corp.

     13,000        2,209,350  

CVS Health Corp.

     54,248        3,490,859  

DaVita, Inc.*

     7,200        499,968  

Envision Healthcare Corp.*

     6,500        286,065  

Express Scripts Holding Co.*

     29,949        2,312,362  

Fresenius Medical Care AG & Co. KGaA (Germany)

     564        56,790  

Fresenius SE & Co. KGaA (Germany)

     1,079        86,390  

HCA Healthcare, Inc.

     14,900        1,528,740  

Henry Schein, Inc.*

     8,400        610,176  

Humana, Inc.

     7,350        2,187,580  

Laboratory Corp. of America Holdings*

     5,600        1,005,368  

McKesson Corp.

     10,830        1,444,722  

Medipal Holdings Corp. (Japan)

     11,400        228,995  

Quest Diagnostics, Inc.(a)

     7,400        813,556  

Ryman Healthcare Ltd. (New Zealand)

     1,468        11,891  

Sonic Healthcare Ltd. (Australia)

     1,455        26,394  

 

COMMON STOCKS

(continued)

   Shares      Value  

Health Care Providers & Services (continued)

 

  

UnitedHealth Group, Inc.

     51,300      $ 12,585,942  

Universal Health Services, Inc. (Class B Stock)

     4,700        523,768  
     

 

 

 
        39,302,368  
     

 

 

 

Health Care Technology — 0.0%

     

Cerner Corp.*

     17,300        1,034,367  
     

 

 

 

Hotels, Restaurants & Leisure — 0.8%

     

Accor SA (France)

     502        24,586  

Aristocrat Leisure Ltd. (Australia)

     1,444        32,977  

Carnival Corp.

     21,700        1,243,627  

Chipotle Mexican Grill, Inc.*

     1,400        603,918  

Crown Resorts Ltd. (Australia)

     1,375        13,719  

Darden Restaurants, Inc.

     6,950        744,067  

Flight Centre Travel Group Ltd. (Australia)

     5,620        264,556  

Galaxy Entertainment Group Ltd. (Hong Kong)

     6,000        46,251  

Genting Singapore Ltd. (Singapore)

     250,800        224,570  

GVC Holdings PLC (United Kingdom)

     2,026        28,015  

Hilton Worldwide Holdings, Inc.

     14,800        1,171,568  

Marriott International, Inc. (Class A Stock)

     15,828        2,003,825  

McDonald’s Corp.

     41,900        6,565,311  

McDonald’s Holdings Co. Japan Ltd. (Japan)

     200        10,199  

Melco Resorts & Entertainment Ltd. (Hong Kong), ADR

     900        25,200  

MGM Resorts International

     25,800        748,974  

Norwegian Cruise Line Holdings Ltd.*

     11,300        533,925  

Paddy Power Betfair PLC (Ireland)

     288        31,932  

Royal Caribbean Cruises Ltd.

     9,000        932,400  

Sands China Ltd. (Macau)

     6,400        34,121  

Starbucks Corp.

     73,600        3,595,360  

TUI AG (Germany)

     1,169        25,568  

Wynn Macau Ltd. (Macau)

     6,000        19,228  

Wynn Resorts Ltd.

     4,700        786,498  

Yum! Brands, Inc.

     17,300        1,353,206  
     

 

 

 
        21,063,601  
     

 

 

 

Household Durables — 0.2%

     

Berkeley Group Holdings PLC (United Kingdom)

     6,015        299,625  

D.R. Horton, Inc.

     18,700        766,700  

Garmin Ltd.

     6,000        366,000  

Leggett & Platt, Inc.(a)

     7,400        330,336  

Lennar Corp. (Class A Stock)

     13,600        714,000  

Mohawk Industries, Inc.*

     3,640        779,943  

Newell Brands, Inc.

     23,514        606,426  

Persimmon PLC (United Kingdom)

     6,624        220,643  

PulteGroup, Inc.

     12,922        371,508  

Sony Corp. (Japan)

     3,300        169,007  

Taylor Wimpey PLC (United Kingdom)

     11,606        27,321  

Whirlpool Corp.(a)

     3,426        500,984  
     

 

 

 
        5,152,493  
     

 

 

 

Household Products — 0.7%

     

Church & Dwight Co., Inc.

     12,600        669,816  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS

(continued)

   Shares      Value  

Household Products (continued)

     

Clorox Co. (The)

     6,900      $ 933,225  

Colgate-Palmolive Co.

     46,500        3,013,665  

Essity AB (Sweden) (Class B Stock)

     2,232        54,911  

Henkel AG & Co. KGaA (Germany)

     272        30,201  

Kimberly-Clark Corp.

     18,700        1,969,858  

Procter & Gamble Co. (The)

     134,125        10,469,797  

Reckitt Benckiser Group PLC (United Kingdom)

     1,759        144,528  

Unicharm Corp. (Japan)

     1,100        33,070  
     

 

 

 
        17,319,071  
     

 

 

 

Independent Power & Renewable Electricity Producers — 0.0%

 

AES Corp.

     34,000        455,940  

Electric Power Development Co. Ltd. (Japan)

     500        12,905  

NRG Energy, Inc.

     16,200        497,340  
     

 

 

 
        966,185  
     

 

 

 

Industrial Conglomerates — 0.8%

     

3M Co.

     31,700        6,236,024  

CK Hutchison Holdings Ltd. (Hong Kong)

     7,416        78,506  

General Electric Co.

     463,230        6,304,560  

Honeywell International, Inc.

     39,912        5,749,324  

Jardine Matheson Holdings Ltd. (Hong Kong)

     5,100        321,810  

Jardine Strategic Holdings Ltd. (Hong Kong)

     600        21,888  

Keihan Holdings Co. Ltd. (Japan)

     400        14,342  

Keppel Corp. Ltd. (Singapore)

     5,400        28,248  

NWS Holdings Ltd. (Hong Kong)

     6,000        10,354  

Roper Technologies, Inc.

     5,500        1,517,505  

Siemens AG (Germany)

     258        33,993  
     

 

 

 
        20,316,554  
     

 

 

 

Insurance — 1.2%

     

Aegon NV (Netherlands)

     51,542        307,738  

Aflac, Inc.

     41,300        1,776,726  

Ageas (Belgium)

     681        34,284  

AIA Group Ltd. (Hong Kong)

     15,400        134,156  

Allianz SE (Germany)

     1,168        240,672  

Allstate Corp. (The)

     18,800        1,715,876  

American International Group, Inc.

     47,839        2,536,424  

Aon PLC

     13,100        1,796,927  

Arthur J. Gallagher & Co.

     9,100        594,048  

Assurant, Inc.

     3,000        310,470  

Aviva PLC (United Kingdom)

     25,553        169,546  

AXA SA (France)

     16,617        406,016  

Brighthouse Financial, Inc.*

     5,254        210,528  

Chubb Ltd.

     24,886        3,161,020  

Cincinnati Financial Corp.

     8,437        564,098  

CNP Assurances (France)

     3,294        74,838  

Dai-ichi Life Holdings, Inc. (Japan)

     3,900        69,411  

Direct Line Insurance Group PLC (United Kingdom)

     1,523        6,873  

Everest Re Group Ltd.

     2,200        507,056  

Hartford Financial Services Group, Inc. (The)

     18,900        966,357  

 

COMMON STOCKS

(continued)

   Shares      Value  

Insurance (continued)

     

Insurance Australia Group Ltd. (Australia)

     6,061      $ 38,237  

Legal & General Group PLC (United Kingdom)

     96,470        337,436  

Lincoln National Corp.

     12,118        754,345  

Loews Corp.

     13,675        660,229  

Marsh & McLennan Cos., Inc.

     27,100        2,221,387  

MetLife, Inc.

     54,200        2,363,120  

NN Group NV (Netherlands)

     808        32,770  

Old Mutual Ltd. (United Kingdom)*

     13,038        25,776  

Poste Italiane SpA (Italy), 144A

     1,928        16,092  

Principal Financial Group, Inc.

     14,200        751,890  

Progressive Corp. (The)

     31,100        1,839,565  

Sompo Holdings, Inc. (Japan)

     1,200        48,420  

Swiss Life Holding AG (Switzerland)*

     315        109,227  

Tokio Marine Holdings, Inc. (Japan)

     2,500        116,958  

Torchmark Corp.

     5,625        457,931  

Travelers Cos., Inc. (The)

     14,435        1,765,978  

Unum Group

     11,310        418,357  

Willis Towers Watson PLC

     7,040        1,067,264  

XL Group Ltd. (Bermuda)

     13,200        738,540  

Zurich Insurance Group AG (Switzerland)

     399        117,996  
     

 

 

 
        29,464,582  
     

 

 

 

Internet & Direct Marketing Retail — 2.1%

 

  

Amazon.com, Inc.*

     21,590        36,698,682  

Booking Holdings, Inc.*

     2,660        5,392,059  

Expedia Group, Inc.(a)

     6,450        775,226  

Netflix, Inc.*

     23,250        9,100,747  

Start Today Co. Ltd. (Japan)

     500        18,090  

TripAdvisor, Inc.*(a)

     6,150        342,617  
     

 

 

 
        52,327,421  
     

 

 

 

Internet Software & Services — 2.6%

     

Akamai Technologies, Inc.*

     9,400        688,362  

Alphabet, Inc. (Class A Stock)*

     16,000        18,067,040  

Alphabet, Inc. (Class C Stock)*

     16,293        18,177,285  

eBay, Inc.*

     49,300        1,787,618  

Facebook, Inc. (Class A Stock)*

     127,920        24,857,414  

Kakaku.com, Inc. (Japan)

     500        11,259  

REA Group Ltd. (Australia)

     194        13,020  

Twitter, Inc.*

     34,100        1,489,147  

VeriSign, Inc.*

     5,300        728,326  
     

 

 

 
        65,819,471  
     

 

 

 

IT Services — 2.2%

     

Accenture PLC (Class A Stock)

     34,500        5,643,855  

Alliance Data Systems Corp.

     2,540        592,328  

Amadeus IT Group SA (Spain)

     1,167        91,764  

Automatic Data Processing, Inc.

     23,500        3,152,290  

Broadridge Financial Solutions, Inc.

     5,000        575,500  

Capgemini SE (France)

     425        56,954  

Cognizant Technology Solutions Corp. (Class A Stock)

     31,300        2,472,387  

Computershare Ltd. (Australia)

     1,667        22,709  

DXC Technology Co.

     15,128        1,219,468  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A6


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS

(continued)

   Shares      Value  

IT Services (continued)

     

Fidelity National Information Services, Inc.

     17,700      $ 1,876,731  

Fiserv, Inc.*

     21,900        1,622,571  

FleetCor Technologies, Inc.*

     2,700        568,755  

Gartner, Inc.*(a)

     4,900        651,210  

Global Payments, Inc.

     8,400        936,516  

International Business Machines Corp.

     45,600        6,370,320  

Mastercard, Inc. (Class A Stock)

     48,900        9,609,828  

Obic Co. Ltd. (Japan)

     200        16,524  

Paychex, Inc.

     17,100        1,168,785  

PayPal Holdings, Inc.*

     59,600        4,962,892  

Total System Services, Inc.

     9,096        768,794  

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

     95,300        12,622,485  

Western Union Co. (The)

     24,210        492,189  

Wirecard AG (Germany)

     927        148,339  
     

 

 

 
        55,643,194  
     

 

 

 

Leisure Products — 0.0%

     

Hasbro, Inc.

     6,300        581,553  

Mattel, Inc.(a)

     16,051        263,557  

Sankyo Co. Ltd. (Japan)

     300        11,732  
     

 

 

 
        856,842  
     

 

 

 

Life Sciences Tools & Services — 0.4%

     

Agilent Technologies, Inc.

     17,514        1,083,066  

Illumina, Inc.*

     7,900        2,206,391  

IQVIA Holdings, Inc.*

     8,000        798,560  

Mettler-Toledo International, Inc.*

     1,350        781,150  

PerkinElmer, Inc.(a)

     5,900        432,057  

QIAGEN NV*

     770        27,912  

Thermo Fisher Scientific, Inc.

     21,480        4,449,367  

Waters Corp.*

     4,300        832,437  
     

 

 

 
        10,610,940  
     

 

 

 

Machinery — 0.8%

     

Alfa Laval AB (Sweden)

     497        11,733  

Atlas Copco AB (Sweden) (Class A Stock)

     5,928        171,678  

Atlas Copco AB (Sweden) (Class B Stock)

     1,040        27,094  

Caterpillar, Inc.

     31,900        4,327,873  

CNH Industrial NV (United Kingdom)

     2,689        28,405  

Cummins, Inc.

     8,300        1,103,900  

Daifuku Co. Ltd. (Japan)

     300        13,108  

Deere & Co.

     17,280        2,415,744  

Dover Corp.

     8,400        614,880  

Flowserve Corp.(a)

     7,200        290,880  

Fortive Corp.

     16,350        1,260,748  

Hitachi Construction Machinery Co. Ltd. (Japan)

     400        12,968  

Illinois Tool Works, Inc.

     16,300        2,258,202  

Ingersoll-Rand PLC

     13,200        1,184,436  

JTEKT Corp. (Japan)

     800        10,859  

Komatsu Ltd. (Japan)

     2,400        68,325  

Minebea Mitsumi, Inc. (Japan)

     1,400        23,592  

NSK Ltd. (Japan)

     1,400        14,410  

PACCAR, Inc.

     18,443        1,142,728  

Parker-Hannifin Corp.

     7,265        1,132,250  

 

COMMON STOCKS

(continued)

   Shares      Value  

Machinery (continued)

     

Pentair PLC (United Kingdom)

     8,877      $ 373,544  

Sandvik AB (Sweden)

     19,578        345,767  

Schindler Holding AG (Switzerland)

     71        14,915  

SKF AB (Sweden) (Class B Stock)

     1,367        25,306  

Snap-on, Inc.(a)

     3,100        498,232  

Stanley Black & Decker, Inc.

     8,297        1,101,925  

THK Co. Ltd. (Japan)

     1,600        45,683  

Volvo AB (Sweden) (Class B Stock)

     21,985        349,410  

Xylem, Inc.

     9,700        653,586  

Yangzijiang Shipbuilding Holdings Ltd. (China)

     6,200        4,104  
     

 

 

 
        19,526,285  
     

 

 

 

Marine — 0.0%

     

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

     14        16,545  
     

 

 

 

Media — 1.1%

     

CBS Corp. (Class B Stock)

     18,034        1,013,871  

Charter Communications, Inc. (Class A Stock)*(a)

     9,880        2,896,915  

Comcast Corp. (Class A Stock)

     244,880        8,034,513  

CyberAgent, Inc. (Japan)

     400        23,989  

Discovery, Inc. (Class A Stock)*(a)

     6,600        181,500  

Discovery, Inc. (Class C Stock)*

     16,600        423,300  

DISH Network Corp. (Class A Stock)*

     11,100        373,071  

Hakuhodo DY Holdings, Inc. (Japan)

     900        14,431  

I-CABLE Communications Ltd. (Hong Kong)*

     3,831        60  

Interpublic Group of Cos., Inc. (The)

     18,831        441,399  

News Corp. (Class A Stock)

     20,175        312,712  

News Corp. (Class B Stock)

     4,800        76,080  

Omnicom Group, Inc.(a)

     12,500        953,375  

Pearson PLC (United Kingdom)

     4,981        58,007  

Publicis Groupe SA (France)

     217        14,891  

RTL Group SA (Luxembourg)

     138        9,352  

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

     56,200        2,792,578  

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

     23,100        1,138,137  

Viacom, Inc. (Class B Stock)

     18,634        562,001  

Walt Disney Co. (The)

     79,300        8,311,433  
     

 

 

 
        27,631,615  
     

 

 

 

Metals & Mining — 0.2%

     

Anglo American PLC (South Africa)

     15,779        350,308  

ArcelorMittal (Luxembourg)

     10,807        315,303  

BHP Billiton Ltd. (Australia)

     8,220        205,681  

BHP Billiton PLC (Australia)

     5,524        123,972  

BlueScope Steel Ltd. (Australia)

     1,995        25,461  

Boliden AB (Sweden)

     986        31,822  

Freeport-McMoRan, Inc.

     71,288        1,230,431  

Glencore PLC (Switzerland)*

     30,333        144,015  

Kobe Steel Ltd. (Japan)

     1,200        10,966  

Newmont Mining Corp.

     28,800        1,086,048  

Nippon Steel & Sumitomo Metal Corp. (Japan)

     2,000        39,214  

Nucor Corp.

     17,300        1,081,250  

Rio Tinto Ltd. (Australia)

     1,077        66,543  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A7


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS

(continued)

   Shares      Value  

Metals & Mining (continued)

     

Rio Tinto PLC (Australia)

     3,149      $ 173,568  

South32 Ltd. (Australia)

     18,712        49,967  

voestalpine AG (Austria)

     432        19,865  
     

 

 

 
        4,954,414  
     

 

 

 

Multiline Retail — 0.3%

     

Dollar General Corp.

     13,500        1,331,100  

Dollar Tree, Inc.*

     12,965        1,102,025  

Kohl’s Corp.(a)

     9,100        663,390  

Macy’s, Inc.

     16,174        605,393  

Next PLC (United Kingdom)

     1,370        109,050  

Nordstrom, Inc.

     6,100        315,858  

Ryohin Keikaku Co. Ltd. (Japan)

     100        35,132  

Target Corp.

     28,500        2,169,420  
     

 

 

 
        6,331,368  
     

 

 

 

Multi-Utilities — 0.5%

     

AGL Energy Ltd. (Australia)

     19,355        322,044  

Ameren Corp.

     13,000        791,050  

CenterPoint Energy, Inc.

     21,700        601,307  

CMS Energy Corp.

     14,800        699,744  

Consolidated Edison, Inc.

     16,600        1,294,468  

Dominion Energy, Inc.(a)

     34,832        2,374,846  

DTE Energy Co.

     9,600        994,848  

NiSource, Inc.

     17,300        454,644  

Public Service Enterprise Group, Inc.

     27,300        1,478,022  

RWE AG (Germany)

     4,015        91,239  

SCANA Corp.

     7,000        269,640  

Sempra Energy

     13,719        1,592,913  

WEC Energy Group, Inc.(a)

     17,113        1,106,355  
     

 

 

 
        12,071,120  
     

 

 

 

Oil, Gas & Consumable Fuels — 2.8%

     

Aker BP ASA (Norway)

     288        10,594  

Anadarko Petroleum Corp.

     27,454        2,011,005  

Andeavor

     7,400        970,732  

Apache Corp.

     20,514        959,029  

BP PLC (United Kingdom)

     21,775        165,675  

Cabot Oil & Gas Corp.

     23,500        559,300  

Chevron Corp.

     101,922        12,885,998  

Cimarex Energy Co.

     5,200        529,048  

Concho Resources, Inc.*(a)

     8,000        1,106,800  

ConocoPhillips

     62,377        4,342,687  

Devon Energy Corp.

     28,400        1,248,464  

Eni SpA (Italy)

     6,774        125,599  

EOG Resources, Inc.

     30,900        3,844,887  

EQT Corp.

     13,100        722,858  

Equinor ASA (Norway)

     3,104        82,078  

Exxon Mobil Corp.

     225,799        18,680,351  

Hess Corp.

     14,000        936,460  

HollyFrontier Corp.

     7,800        533,754  

Idemitsu Kosan Co. Ltd. (Japan)

     500        17,781  

JXTG Holdings, Inc. (Japan)

     50,400        349,664  

Kinder Morgan, Inc.

     100,098        1,768,732  

Lundin Petroleum AB (Sweden)

     684        21,710  

Marathon Oil Corp.

     43,382        904,949  

Marathon Petroleum Corp.

     24,682        1,731,689  

Neste OYJ (Finland)

     4,067        318,198  

 

COMMON STOCKS

(continued)

   Shares      Value  

Oil, Gas & Consumable Fuels (continued)

 

Newfield Exploration Co.*

     9,800      $ 296,450  

Noble Energy, Inc.

     25,800        910,224  

Occidental Petroleum Corp.

     40,900        3,422,512  

Oil Search Ltd. (Australia)

     3,603        23,672  

OMV AG (Austria)

     545        30,824  

ONEOK, Inc.

     21,900        1,529,277  

Phillips 66

     22,438        2,520,012  

Pioneer Natural Resources Co.

     9,050        1,712,622  

Repsol SA (Spain)

     18,633        363,700  

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

     12,065        417,556  

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

     5,928        212,299  

TOTAL SA (France)

     2,591        157,341  

Valero Energy Corp.

     23,000        2,549,090  

Williams Cos., Inc. (The)

     43,200        1,171,152  
     

 

 

 
        70,144,773  
     

 

 

 

Paper & Forest Products — 0.0%

     

Mondi PLC (United Kingdom)

     970        26,169  

Stora Enso OYJ (Finland) (Class R Stock)

     1,476        28,755  

UPM-Kymmene OYJ (Finland)

     1,439        51,236  
     

 

 

 
        106,160  
     

 

 

 

Personal Products — 0.1%

     

Coty, Inc. (Class A Stock)(a)

     24,000        338,400  

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

     11,900        1,698,011  

Pola Orbis Holdings, Inc. (Japan)

     2,700        118,653  

Shiseido Co. Ltd. (Japan)

     1,000        79,356  

Unilever NV (United Kingdom), CVA

     1,393        77,614  

Unilever PLC (United Kingdom)

     3,211        177,377  
     

 

 

 
        2,489,411  
     

 

 

 

Pharmaceuticals — 2.2%

     

Allergan PLC

     18,075        3,013,464  

Astellas Pharma, Inc. (Japan)

     7,500        114,139  

Bayer AG (Germany)

     4,900        538,136  

Bristol-Myers Squibb Co.

     87,170        4,823,988  

Eli Lilly & Co.

     51,000        4,351,830  

GlaxoSmithKline PLC (United Kingdom)

     1,635        32,963  

H. Lundbeck A/S (Denmark)

     4,059        284,481  

Johnson & Johnson

     143,078        17,361,084  

Merck & Co., Inc.

     143,533        8,712,453  

Mylan NV*

     26,700        964,938  

Nektar Therapeutics*(a)

     9,000        439,470  

Novartis AG (Switzerland)

     4,027        305,049  

Perrigo Co. PLC

     6,700        488,497  

Pfizer, Inc.

     311,970        11,318,272  

Recordati SpA (Italy)

     385        15,256  

Roche Holding AG (Switzerland)

     3,151        699,075  

Sanofi (France)

     6,590        528,911  

Shionogi & Co. Ltd. (Japan)

     6,200        318,146  

Takeda Pharmaceutical Co. Ltd. (Japan)

     1,800        75,723  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A8


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS

(continued)

   Shares      Value  

Pharmaceuticals (continued)

     

UCB SA (Belgium)

     458      $ 35,903  

Zoetis, Inc.

     25,800        2,197,902  
     

 

 

 
        56,619,680  
     

 

 

 

Professional Services — 0.2%

     

Equifax, Inc.

     6,400        800,704  

IHS Markit Ltd.*

     18,800        969,892  

Intertek Group PLC (United Kingdom)

     423        31,805  

Nielsen Holdings PLC(a)

     17,000        525,810  

Randstad NV (Netherlands)

     4,562        267,768  

Robert Half International, Inc.

     6,600        429,660  

SGS SA (Switzerland)

     20        53,144  

Verisk Analytics, Inc.*

     8,200        882,648  
     

 

 

 
        3,961,431  
     

 

 

 

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc. (Class A Stock)*

     16,200        773,388  

CK Asset Holdings Ltd. (Hong Kong)

     11,500        91,037  

Daiwa House Industry Co. Ltd. (Japan)

     2,100        71,446  

Henderson Land Development Co. Ltd. (Hong Kong)

     4,840        25,523  

Hysan Development Co. Ltd. (Hong Kong)

     2,000        11,163  

Kerry Properties Ltd. (Hong Kong)

     53,500        255,673  

Mitsubishi Estate Co. Ltd. (Japan)

     3,000        52,371  

Sumitomo Realty & Development Co. Ltd. (Japan)

     1,000        36,825  

Swire Pacific Ltd. (Hong Kong) (Class A Stock)

     2,000        21,140  

Swire Properties Ltd. (Hong Kong)

     4,400        16,227  

Swiss Prime Site AG (Switzerland)*

     187        17,181  

Vonovia SE (Germany)

     1,273        60,505  

Wharf Real Estate Investment Co. Ltd. (Hong Kong)

     4,000        28,403  

Wheelock & Co. Ltd. (Hong Kong)

     3,000        20,848  
     

 

 

 
        1,481,730  
     

 

 

 

Road & Rail — 0.5%

     

Central Japan Railway Co. (Japan)

     400        82,812  

ComfortDelGro Corp. Ltd. (Singapore)

     8,000        13,768  

CSX Corp.

     46,700        2,978,526  

DSV A/S (Denmark)

     498        40,090  

Hankyu Hanshin Holdings, Inc. (Japan)

     600        24,101  

J.B. Hunt Transport Services, Inc.

     4,800        583,440  

Kansas City Southern

     5,700        603,972  

Kyushu Railway Co. (Japan)

     600        18,345  

MTR Corp. Ltd. (Hong Kong)

     4,000        22,095  

Norfolk Southern Corp.

     15,100        2,278,137  

Union Pacific Corp.

     41,400        5,865,552  
     

 

 

 
        12,510,838  
     

 

 

 

Semiconductors & Semiconductor Equipment — 2.0%

 

Advanced Micro Devices, Inc.*(a)

     42,700        640,073  

Analog Devices, Inc.

     19,758        1,895,187  

Applied Materials, Inc.

     53,800        2,485,022  

ASM Pacific Technology Ltd. (Hong Kong)

     1,000        12,604  

Broadcom, Inc.

     21,980        5,333,227  

 

COMMON STOCKS

(continued)

   Shares      Value  

Semiconductors & Semiconductor Equipment (continued)

 

Infineon Technologies AG (Germany)

     10,677      $ 271,210  

Intel Corp.

     248,500        12,352,935  

KLA-Tencor Corp.

     8,200        840,746  

Lam Research Corp.(a)

     8,750        1,512,438  

Microchip Technology, Inc.(a)

     12,500        1,136,875  

Micron Technology, Inc.*

     61,900        3,246,036  

NVIDIA Corp.

     32,450        7,687,405  

Qorvo, Inc.*

     6,807        545,717  

QUALCOMM, Inc.

     79,100        4,439,092  

Skyworks Solutions, Inc.

     9,900        956,835  

STMicroelectronics NV (Switzerland)

     1,831        40,654  

SUMCO Corp. (Japan)

     900        18,076  

Texas Instruments, Inc.

     52,200        5,755,050  

Tokyo Electron Ltd. (Japan)

     2,100        360,472  

Xilinx, Inc.

     13,300        867,958  
     

 

 

 
        50,397,612  
     

 

 

 

Software — 3.0%

     

Activision Blizzard, Inc.

     40,600        3,098,592  

Adobe Systems, Inc.*

     26,300        6,412,203  

ANSYS, Inc.*

     4,500        783,810  

Autodesk, Inc.*

     11,700        1,533,753  

CA, Inc.

     15,864        565,552  

Cadence Design Systems, Inc.*

     15,500        671,305  

Citrix Systems, Inc.*

     7,100        744,364  

Dassault Systemes SE (France)

     469        65,634  

Electronic Arts, Inc.*

     16,400        2,312,728  

Intuit, Inc.

     13,000        2,655,965  

Microsoft Corp.

     409,800        40,410,378  

Nexon Co. Ltd. (Japan)*

     1,600        23,215  

Nice Ltd. (Israel)

     2,766        286,270  

Oracle Corp.

     158,900        7,001,134  

Red Hat, Inc.*

     9,700        1,303,389  

salesforce.com, Inc.*

     37,700        5,142,280  

SAP SE (Germany)

     276        31,855  

Symantec Corp.

     32,878        678,931  

Synopsys, Inc.*

     8,100        693,117  

Take-Two Interactive Software, Inc.*

     5,900        698,324  

Ubisoft Entertainment SA (France)*

     296        32,355  
     

 

 

 
        75,145,154  
     

 

 

 

Specialty Retail — 1.2%

     

Advance Auto Parts, Inc.

     3,900        529,230  

AutoZone, Inc.*

     1,500        1,006,395  

Best Buy Co., Inc.

     13,125        978,862  

CarMax, Inc.*(a)

     9,700        706,839  

Dufry AG (Switzerland)*

     129        16,407  

Fast Retailing Co. Ltd. (Japan)

     700        320,835  

Foot Locker, Inc.

     6,400        336,960  

Gap, Inc. (The)

     11,300        366,007  

Home Depot, Inc. (The)

     61,550        12,008,405  

L Brands, Inc.

     12,406        457,533  

Lowe’s Cos., Inc.

     43,900        4,195,523  

O’Reilly Automotive, Inc.*

     4,400        1,203,708  

Ross Stores, Inc.

     20,200        1,711,950  

Tiffany & Co.

     5,720        752,752  

TJX Cos., Inc. (The)

     33,500        3,188,530  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A9


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares     Value  

Specialty Retail (continued)

 

Tractor Supply Co.

     6,500     $ 497,185  

Ulta Beauty, Inc.*

     3,300       770,418  
    

 

 

 
       29,047,539  
    

 

 

 

Technology Hardware, Storage & Peripherals — 2.2%

 

Apple, Inc.

     262,190       48,533,991  

Brother Industries Ltd. (Japan)

     1,600       31,522  

Canon, Inc. (Japan)(a)

     2,600       85,258  

FUJIFILM Holdings Corp. (Japan)

     8,300       323,722  

Hewlett Packard Enterprise Co.

     81,348       1,188,495  

HP, Inc.

     87,448       1,984,195  

NetApp, Inc.

     14,300       1,122,979  

Seagate Technology PLC

     15,700       886,579  

Western Digital Corp.

     15,803       1,223,310  

Xerox Corp.

     10,390       249,360  
    

 

 

 
       55,629,411  
    

 

 

 

Textiles, Apparel & Luxury Goods — 0.4%

 

adidas AG (Germany)

     489       106,464  

Hanesbrands, Inc.(a)

     18,500       407,370  

Hermes International (France)

     83       50,701  

Hugo Boss AG (Germany)

     166 (r)      15,055  

Kering SA (France)

     278       156,598  

LVMH Moet Hennessy Louis Vuitton SE (France)

     1,384       459,515  

Michael Kors Holdings Ltd.*

     8,300       552,780  

Moncler SpA (Italy)

     659       29,902  

NIKE, Inc. (Class B Stock)

     68,400       5,450,112  

Puma SE (Germany)

     11       6,426  

PVH Corp.

     4,200       628,824  

Ralph Lauren Corp.

     3,000       377,160  

Swatch Group AG (The) (Switzerland)

     247       116,925  

Swatch Group AG (The) (Switzerland) Reg

     200       17,269  

Tapestry, Inc.

     15,000       700,650  

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

     9,600       215,808  

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

     9,474       199,712  

VF Corp.

     17,500       1,426,600  
    

 

 

 
       10,917,871  
    

 

 

 

Tobacco — 0.5%

 

Altria Group, Inc.

     101,000       5,735,790  

British American Tobacco PLC (United Kingdom)

     1,423       71,681  

Imperial Brands PLC (United Kingdom)

     3,545       131,655  

Japan Tobacco, Inc. (Japan)(a)

     2,800       78,250  

Philip Morris International, Inc.

     82,900       6,693,346  

Swedish Match AB (Sweden)

     671       33,162  
    

 

 

 
       12,743,884  
    

 

 

 

Trading Companies & Distributors — 0.1%

 

Ashtead Group PLC (United Kingdom)

     1,328       39,547  

Fastenal Co.(a)

     15,500       746,015  

Ferguson PLC (Switzerland)

     621       50,244  

ITOCHU Corp. (Japan)

     8,600       155,538  

Marubeni Corp. (Japan)

     25,800       196,425  

Mitsubishi Corp. (Japan)

     10,000       277,291  

Mitsui & Co. Ltd. (Japan)

     6,700       111,570  
COMMON STOCKS
(continued)
   Shares      Value  

Trading Companies & Distributors (continued)

 

Sumitomo Corp. (Japan)

     3,000      $ 49,199  

Toyota Tsusho Corp. (Japan)

     700        23,392  

United Rentals, Inc.*

     4,600        679,052  

W.W. Grainger, Inc.

     2,900        894,360  
     

 

 

 
        3,222,633  
     

 

 

 

Transportation Infrastructure — 0.0%

 

Aena SME SA (Spain), 144A

     1,738        314,660  

Atlantia SpA (Italy)

     1,302        38,386  

Auckland International Airport Ltd. (New Zealand)

     3,482        15,976  

Kamigumi Co. Ltd. (Japan)

     3,700        76,797  

Sydney Airport (Australia)

     2,886        15,278  
     

 

 

 
        461,097  
     

 

 

 

Water Utilities — 0.0%

 

American Water Works Co., Inc.

     9,700        828,186  

Severn Trent PLC (United Kingdom)

     864        22,528  
     

 

 

 
        850,714  
     

 

 

 

Wireless Telecommunication Services — 0.0%

 

KDDI Corp. (Japan)

     7,500        205,087  

NTT DOCOMO, Inc. (Japan)

     5,000        127,412  

Vodafone Group PLC (United Kingdom)

     177,116        429,026  
     

 

 

 
        761,525  
     

 

 

 

TOTAL COMMON STOCKS
(cost $416,868,756)

 

     1,263,509,957  
     

 

 

 
EXCHANGE TRADED FUNDS — 0.2%

 

iShares Core S&P 500 ETF(a)

     22,300        6,089,015  

iShares MSCI EAFE ETF

     5,159        345,498  
     

 

 

 

TOTAL EXCHANGE TRADED FUNDS
(cost $5,952,210)

 

     6,434,513  
     

 

 

 
PREFERRED STOCKS — 0.1%

 

Auto Components — 0.0%

     

Schaeffler AG (Germany) (PRFC)

     1,725        22,389  
     

 

 

 

Automobiles — 0.0%

 

Bayerische Motoren Werke AG (Germany) (PRFC)

     212        16,864  

Porsche Automobil Holding SE (Germany) (PRFC)

     411        26,097  

Volkswagen AG (Germany) (PRFC)

     501        82,770  
     

 

 

 
        125,731  
     

 

 

 

Banks — 0.1%

 

Citigroup Capital XIII 8.729%, (Capital Security, fixed to floating preferred)

     20,000        542,000  

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

     30,000        783,600  
     

 

 

 
        1,325,600  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A10


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

PREFERRED STOCKS
(continued)
   Shares      Value  

Household Products — 0.0%

     

Henkel AG & Co. KGaA (Germany) (PRFC)

     467      $ 59,589  
     

 

 

 

TOTAL PREFERRED STOCKS
(cost $1,445,244)

        1,533,309  
     

 

 

 
     Units         
RIGHTS* — 0.0%      

Banks

     

Intesa Sanpaolo SpA (Italy), expiring 07/20/18
(cost $0)

     155,699         
     

 

 

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
        
ASSET-BACKED SECURITIES — 6.0%

 

Automobiles — 1.8%

 

AmeriCredit Automobile Receivables Trust,

 

Series 2016-04, Class C

 

2.410%

     07/08/22           800        787,125  

Series 2017-03, Class C

 

2.690%

     06/18/23           750        737,645  

Series 2017-04, Class C

 

2.600%

     09/18/23           1,500        1,472,988  

Series 2018-01, Class C

 

3.500%

     01/18/24           1,200        1,205,340  

Avis Budget Rental Car Funding AESOP LLC,

 

Series 2013-01A, Class A, 144A

 

1.920%

     09/20/19           738        736,791  

Series 2015-01A, Class A, 144A

 

2.500%

     07/20/21           2,800        2,758,450  

Series 2015-02A, Class A, 144A

 

2.630%

     12/20/21           3,200        3,160,380  

Series 2018-01A, Class A, 144A

 

3.700%

     09/20/24           1,300        1,305,782  

Drive Auto Receivables Trust,

 

Series 2018-01, Class B

 

2.880%

     02/15/22           1,300        1,296,537  

Enterprise Fleet Financing LLC,

 

Series 2017-01, Class A2, 144A

 

2.130%

     07/20/22           1,943        1,931,790  

Ford Credit Auto Owner Trust,

 

Series 2017-01, Class A, 144A

 

2.620%

     08/15/28           4,400        4,308,867  

Series 2017-02, Class A, 144A

 

2.360%

     03/15/29           4,200        4,050,943  

Ford Credit Floorplan Master Owner Trust A,

 

Series 2017-03, Class A

 

2.480%

     09/15/24           3,300        3,214,852  

Series 2018-02, Class A

 

3.170%

     03/15/25           9,700        9,671,879  

Hertz Vehicle Financing II LP,

 

Series 2016-01A, Class A, 144A

 

2.320%

     03/25/20           2,400        2,389,654  

OneMain Direct Auto Receivables Trust,

 

Series 2016-01A, Class A, 144A

 

2.040%

     01/15/21           4        3,522  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Automobiles (continued)

 

Series 2017-01A, Class A, 144A

 

2.160%

     10/15/20           3,760      $ 3,745,615  

Series 2017-02A, Class B, 144A

 

2.550%

     11/14/23           2,300        2,269,669  

Series 2017-02A, Class C, 144A

 

2.820%

     07/14/24           600        590,735  

Santander Drive Auto Receivables Trust,

 

Series 2018-01, Class C

 

2.960%

     03/15/24           900        891,165  

Series 2018-02, Class C

 

3.350%

     07/17/23           30        30,007  
           

 

 

 
              46,559,736  
           

 

 

 

Collateralized Loan Obligations — 1.7%

 

Apidos CLO Ltd. (Cayman Islands),

 

Series 2014-17A, Class A1R, 144A, 3 Month LIBOR + 1.310%

 

3.663%(c)

     04/17/26           420        420,239  

ArrowMark Colorado Holdings (Cayman Islands),

 

Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.628%(c)

     07/15/29           500        501,435  

Battalion CLO Ltd. (Cayman Islands),

 

Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%

 

3.695%(c)

     07/18/30           1,000        1,004,362  

Benefit Street Partners CLO Ltd. (Cayman Islands),

 

Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.598%(c)

     07/15/29           1,000        1,002,597  

Brookside Mill CLO Ltd. (Cayman Islands),

 

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%

 

2.524%(c)

     01/17/28           1,000        997,845  

Canyon Capital CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%

 

3.598%(c)

     04/15/29           2,500        2,505,845  

Elevation CLO Ltd. (Cayman Islands),

 

Series 2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%

 

3.905%(c)

     04/18/27           1,000        1,005,224  

Galaxy CLO Ltd. (Cayman Islands),

 

Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790%

 

3.120%(c)

     11/15/26           1,000        995,526  

Greenwood Park CLO Ltd. (Cayman Islands),

 

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%

 

3.035%(c)

     04/15/31           1,000        999,942  

Highbridge Loan Management Ltd. (Cayman Islands),

 

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%

 

3.363%(c)

     02/05/31           250        250,267  

ICG US CLO Ltd. (Cayman Islands),

 

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.642%(c)

     10/23/29           1,250        1,250,443  

Jackson Mill CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830%

 

2.897%(c)

     04/15/27           1,250        1,250,461  

KVK CLO Ltd. (Cayman Islands),

 

Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.200%

 

3.548%(c)

     10/15/26           2,500        2,499,578  

MidOcean Credit CLO (Cayman Islands),

 

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%

 

2.681%(c)

     04/21/31           3,500        3,500,000  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A11


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Collateralized Loan Obligations (continued)

 

Mill Creek CLO Ltd. (Cayman Islands),

 

Series 2016-01A, Class A, 144A, 3 Month LIBOR + 1.750%

 

4.109%(c)

     04/20/28           1,250      $ 1,250,000  

Mountain View CLO Ltd. (Cayman Islands),

 

Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%

 

3.169%(c)

     07/15/31           2,500        2,500,000  

OZLM Ltd. (Cayman Islands),

 

Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080%

 

3.433%(c)

     04/17/31           3,000        2,993,225  

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/30/30           750        750,681  

Palmer Square CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

 

3.631%(c)

     05/21/29           2,000        2,003,034  

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%

 

3.053%(c)

     11/14/29           500        501,587  

Sound Point CLO Ltd. (Cayman Islands),

 

Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%

 

3.239%(c)

     07/20/27           1,000        998,426  

Telos CLO (Cayman Islands),

 

Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%

 

3.653%(c)

     07/17/26           2,500        2,501,029  

TIAA CLO Ltd. (Cayman Islands),

 

Series 2016-01A, Class A, 144A, 3 Month LIBOR + 1.700%

 

4.059%(c)

     07/20/28           1,750        1,750,000  

TICP CLO Ltd. (Cayman Islands),

 

Series 2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%

 

3.578%(c)

     07/15/29           1,000        1,002,070  

Trinitas CLO Ltd. (Cayman Islands),

 

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

 

4.060%(c)

     10/25/28           2,500        2,500,000  

Series 2017-06A, Class A, 144A, 3 Month LIBOR + 1.320%

 

3.680%(c)

     07/25/29           1,000        1,003,928  

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%

 

3.570%(c)

     01/25/31           1,750        1,755,161  

Venture CLO Ltd. (Cayman Islands),

 

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%

 

3.228%(c)

     07/15/27           1,000        999,243  

Wellfleet CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%

 

3.679%(c)

     04/20/29           1,500        1,504,761  

Zais CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%

 

3.718%(c)

     07/15/29           1,250        1,254,752  
           

 

 

 
              43,451,661  
           

 

 

 

Consumer Loans — 0.3%

 

OneMain Financial Issuance Trust,

 

Series 2015-02A, Class A, 144A

 

2.570%

     07/18/25           474        474,207  

Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%

 

2.857%(c)

     09/14/32           2,300        2,306,754  

SpringCastle America Funding LLC,

 

Series 2016-AA, Class A, 144A

 

3.050%

     04/25/29           1,517        1,511,049  

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Consumer Loans (continued)

 

Springleaf Funding Trust,

 

Series 2015-AA, Class A, 144A

 

3.160%

     11/15/24           2,934      $ 2,933,104  
           

 

 

 
              7,225,114  
           

 

 

 

Credit Cards — 0.3%

 

American Express Credit Account Master Trust,

 

Series 2017-05, Class A, 1 Month LIBOR + 0.380%

 

2.453%(c)

     02/18/25           500        502,533  

Citibank Credit Card Issuance Trust,

 

Series 2017-A05, Class A5, 1 Month LIBOR + 0.620%

 

2.704%(c)

     04/22/26           2,700        2,735,585  

Discover Card Execution Note Trust,

 

Series 2017-A04, Class A4

 

2.530%

     10/15/26           2,800        2,704,829  

Series 2017-A05, Class A5, 1 Month LIBOR + 0.600%

 

2.673%(c)

     12/15/26           1,900        1,919,517  
           

 

 

 
              7,862,464  
           

 

 

 

Equipment — 0.3%

 

MMAF Equipment Finance LLC,

 

Series 2017-AA, Class A4, 144A

 

2.410%

     08/16/24           2,500        2,439,783  

Series 2017-B, Class A4, 144A

 

2.410%

     11/15/24           1,300        1,266,846  

Series 2017-B, Class A5, 144A

 

2.720%

     06/15/40           2,100        2,026,523  

Series 2018-A, Class A4, 144A

 

3.390%

     01/10/25           1,200        1,199,827  

Series 2018-A, Class A5, 144A

 

3.610%

     03/10/42           500        499,909  
           

 

 

 
              7,432,888  
           

 

 

 

Home Equity Loans — 0.2%

 

CDC Mortgage Capital Trust,

 

Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%

 

3.741%(c)

     03/25/33           128        128,610  

Morgan Stanley ABS Capital I, Inc. Trust,

 

Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%

 

3.291%(c)

     05/25/33           78        77,105  

Morgan Stanley Dean Witter Capital I, Inc. Trust,

 

Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%

 

2.991%(c)

     07/25/32           135        135,862  

Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%

 

3.366%(c)

     09/25/32           1,973        1,961,914  

New Residential Mortgage Trust,

 

Series 2018-01A, Class A1A, 144A

 

4.000%(cc)

     12/25/57           1,575        1,587,318  
           

 

 

 
              3,890,809  
           

 

 

 

Other — 0.0%

           

Sierra Timeshare Receivables Funding LLC,

 

Series 2013-03A, Class A, 144A

 

2.200%

     10/20/30           587        586,143  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A12


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Other (continued)

 

        

SVO VOI Mortgage LLC,

 

        

Series 2012-AA, Class A, 144A

 

  

2.000%

     09/20/29           310      $ 304,791  
           

 

 

 
              890,934  
           

 

 

 

Residential Mortgage-Backed Securities — 0.7%

 

Credit Suisse Mortgage Trust,

 

        

Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%

 

5.132%(c)

     12/26/46           2,988        3,055,827  

Credit-Based Asset Servicing & Securitization LLC,

 

  

Series 2005-CB06, Class A3

 

3.763%

     07/25/35           286        285,419  

CWABS, Inc.,

           

Series 2004-01, Class M1, 1 Month LIBOR + 0.750%

 

2.841%(c)

     03/25/34           1,098        1,103,670  

Equity One Mortgage Pass-Through Trust,

 

  

Series 2004-03, Class M1

 

4.617%

     07/25/34           282        277,823  

Fremont Home Loan Trust,

 

        

Series 2004-02, Class M1, 1 Month LIBOR + 0.855%

 

2.946%(c)

     07/25/34           506        511,690  

Long Beach Mortgage Loan Trust,

 

  

Series 2004-02, Class M1, 1 Month LIBOR + 0.795%

 

2.886%(c)

     06/25/34           267        264,627  

Mill City Mortgage Loan Trust,

 

        

Series 2017-03, Class A1, 144A

 

2.750%(cc)

     01/25/61           2,413        2,363,774  

Towd Point Mortgage Trust,

 

        

Series 2017-04, Class A1, 144A

 

2.750%(cc)

     06/25/57           1,540        1,502,740  

Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%

 

2.691%(c)

     02/25/57           3,650        3,653,012  

Series 2017-06, Class A1, 144A

 

2.750%(cc)

     10/25/57           3,406        3,319,636  

VOLT LVII LLC,

           

Series 2017-NPL04, Class A1, 144A

 

3.375%

     04/25/47           223        222,331  

VOLT LX LLC,

           

Series 2017-NPL07, Class A1, 144A

 

3.250%

     06/25/47           315        313,594  
           

 

 

 
              16,874,143  
           

 

 

 

Student Loans — 0.7%

 

        

Commonbond Student Loan Trust,

 

  

Series 2017-BGS, Class A1, 144A

 

2.680%

     09/25/42           2,589        2,533,715  

Series 2018-AGS, Class A1, 144A

 

3.210%

     02/25/44           1,734        1,726,553  

Laurel Road Prime Student Loan Trust,

 

  

Series 2017-C, Class A2B, 144A

 

2.810%

     11/25/42           1,500        1,464,944  

Series 2018-B, Class A2FX, 144A

 

3.540%

     05/25/43           2,200        2,210,460  

Navient Private Education Refi Loan Trust,

 

  

Series 2018-A, Class A2, 144A

 

3.190%

     02/18/42           3,300        3,265,010  

Interest

Rate

   Maturity
Date
            Principal
Amount

(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Student Loans (continued)

 

        

SoFi Professional Loan Program Trust,

 

Series 2018-B, Class A1FX, 144A

 

  

2.640%

     08/25/47           2,059      $ 2,050,965  

Series 2018-B, Class A2FX, 144A

 

  

3.340%

     08/25/47           3,200        3,197,725  
           

 

 

 
              16,449,372  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $151,238,243)

 

     150,637,121  
           

 

 

 
BANK LOAN — 0.0%

 

        

Technology

           

Dell International LLC,

 

        

Replacement Term A-3 Loan, 1 Month LIBOR + 1.500%,

 

3.600%(c)

     12/31/18           337        336,489  
           

 

 

 

(cost $334,579)

 

        

COMMERCIAL MORTGAGE-BACKED

SECURITIES — 7.2%

 

 

Assurant Commercial Mortgage Trust,

 

  

Series 2016-01A, Class AS, 144A

 

  

3.172%

     05/15/49           3,100        2,961,702  

Benchmark Mortgage Trust,

 

  

Series 2018-B03, Class A4

 

  

3.761%

     04/10/51           3,600        3,614,176  

CFCRE Commercial Mortgage Trust,

 

  

Series 2016-C04, Class A3

 

  

3.014%

     05/10/58           2,500        2,380,293  

Citigroup Commercial Mortgage Trust,

 

  

Series 2013-GC11, Class A3

 

  

2.815%

     04/10/46           888        868,787  

Series 2014-GC21, Class A4

 

  

3.575%

     05/10/47           1,982        1,991,673  

Series 2016-C01, Class A3

 

  

2.944%

     05/10/49           2,700        2,583,083  

Series 2017-P07, Class A3

 

  

3.442%

     04/14/50           4,000        3,929,623  

Commercial Mortgage Trust,

 

  

Series 2012-CR05, Class A3

 

  

2.540%

     12/10/45           1,000        970,935  

Series 2013-CR07, Class A3

 

  

2.929%

     03/10/46           1,055        1,038,066  

Series 2014-CR15, Class A2

 

  

2.928%

     02/10/47           1,786        1,786,799  

Series 2014-CR18, Class A4

 

  

3.550%

     07/15/47           2,100        2,104,114  

Series 2014-LC17, Class A4

 

  

3.648%

     10/10/47           5,000        5,028,413  

Series 2014-UBS03, Class A2

 

  

2.844%

     06/10/47           1,700        1,699,463  

CSAIL Commercial Mortgage Trust,

 

  

Series 2015-C04, Class A3

 

  

3.544%

     11/15/48           2,500        2,485,396  

Series 2017-C08, Class A3

 

  

3.127%

     06/15/50           3,800        3,619,311  

Fannie Mae-Aces,

 

        

Series 2015-M08, Class AB2

 

  

2.829%(cc)

     01/25/25           4,028        3,940,582  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A13


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2015-M17, Class A2

 

  

3.036%(cc)

     11/25/25           3,000      $ 2,938,285  

Series 2016-M07, Class AB2

 

  

2.385%

     09/25/26           1,800        1,669,573  

Series 2017-M01, Class A2

 

  

2.498%(cc)

     10/25/26           1,600        1,490,290  

Series 2017-M04, Class A2

 

  

2.683%(cc)

     12/25/26           8,600        8,092,072  

Series 2017-M08, Class A2

 

  

3.061%(cc)

     05/25/27           5,900        5,725,345  

Series 2018-M04, Class A2

 

  

3.144%(cc)

     03/25/28           3,075        2,974,632  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K020, Class X1, IO

 

  

1.553%(cc)

     05/25/22           19,570        879,598  

Series K021, Class X1, IO

 

  

1.590%(cc)

     06/25/22           5,419        257,977  

Series K055, Class X1, IO

 

  

1.501%(cc)

     03/25/26           4,631        400,034  

Series K064, Class AM

 

  

3.327%(cc)

     03/25/27           4,200        4,163,069  

Series K068, Class AM

 

  

3.315%

     08/25/27           4,100        4,038,579  

Series K069, Class A2

 

  

3.187%(cc)

     09/25/27           3,500        3,428,253  

Series K069, Class AM

 

  

3.248%(cc)

     09/25/27           750        736,435  

Series K070, Class A2

 

  

3.303%(cc)

     11/25/27           5,200        5,140,022  

Series K070, Class AM

 

  

3.364%(cc)

     12/25/27           1,100        1,089,792  

Series K072, Class A2

 

  

3.444%

     12/25/27           1,400        1,400,377  

Series K074, Class A2

 

  

3.600%

     01/25/28           8,550        8,659,093  

Series K075, Class AM

 

  

3.650%(cc)

     02/25/28           2,550        2,580,538  

Series K076, Class A2

 

  

3.900%

     04/25/28           6,200        6,416,497  

Series K076, Class AM

 

  

3.900%

     04/25/28           1,825        1,881,503  

Series K077, Class A2

 

  

3.850%(cc)

     05/25/28           3,470        3,584,409  

Series K077, Class AM

 

  

3.850%(cc)

     05/25/28           690        708,859  

Series K710, Class X1, IO

 

  

1.859%(cc)

     05/25/19           15,025        151,318  

Series K711, Class X1, IO

 

  

1.800%(cc)

     07/25/19           16,030        166,572  

Series KS03, Class A4

 

  

3.161%(cc)

     05/25/25           1,900        1,884,169  

Series W5FX, Class AFX

 

  

3.214%(cc)

     04/25/28           1,630        1,600,097  

GS Mortgage Securities Trust,

 

Series 2015-GC28, Class A4

 

  

3.136%

     02/10/48           3,000        2,924,203  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2015-GC34, Class A3

 

  

3.244%

     10/10/48           4,800      $ 4,690,476  

Series 2016-GS03, Class A3

 

  

2.592%

     10/10/49           4,200        3,888,221  

Series 2016-GS04, Class A3

 

  

3.178%

     11/10/49           4,000        3,855,453  

JPMBB Commercial Mortgage Securities Trust,

 

Series 2014-C25, Class A4A1

 

  

3.408%

     11/15/47           1,100        1,092,368  

Series 2015-C27, Class A3A1

 

  

2.920%

     02/15/48           5,000        4,824,321  

JPMCC Commercial Mortgage Securities Trust,

 

Series 2017-JP06, Class A3

 

  

3.109%

     07/15/50           5,581        5,453,753  

JPMDB Commercial Mortgage Securities Trust,

 

Series 2016-C02, Class A3A

 

  

2.881%

     06/15/49           2,500        2,369,128  

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2012-CBX, Class A3

 

  

3.139%

     06/15/45           283        282,710  

Series 2012-LC09, Class A4

 

  

2.611%

     12/15/47           1,500        1,475,390  

Series 2013-C10, Class A4

 

  

2.875%

     12/15/47           1,306        1,289,225  

Series 2013-C16, Class A2

 

  

3.070%

     12/15/46           597        596,708  

Series 2013-LC11, Class A4

 

  

2.694%

     04/15/46           794        773,152  

LB-UBS Commercial Mortgage Trust,

 

Series 2007-C06, Class AM

 

  

6.114%(cc)

     07/15/40           148        147,682  

Morgan Stanley Bank of America Merrill Lynch Trust,

 

Series 2013-C08, Class A3

 

  

2.863%

     12/15/48           1,080        1,058,012  

Morgan Stanley Capital I Trust,

 

Series 2015-UBS08, Class A3

 

  

3.540%

     12/15/48           5,000        4,968,149  

Series 2016-UB11, Class A3

 

  

2.531%

     08/15/49           6,300        5,804,800  

UBS Commercial Mortgage Trust,

 

Series 2017-C02, Class ASB

 

  

3.264%

     08/15/50           2,500        2,463,462  

Series 2017-C05, Class A4

 

  

3.212%

     11/15/50           5,000        4,786,213  

Series 2018-C09, Class A3

 

  

3.854%

     03/15/51           1,800        1,806,604  

UBS-Barclays Commercial Mortgage Trust,

 

Series 2012-C04, Class A4

 

  

2.792%

     12/10/45           1,400        1,372,178  

Series 2013-C05, Class A3

 

  

2.920%

     03/10/46           3,050        2,995,735  

Series 2013-C06, Class A3

 

  

2.971%

     04/10/46           1,498        1,472,859  

Wells Fargo Commercial Mortgage Trust,

 

Series 2016-BNK01, Class XB, IO

 

  

1.482%(cc)

     08/15/49           9,000        828,049  

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A14


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2016-NXS06, Class A3

 

  

2.642%

     11/15/49           4,500      $ 4,178,573  

Series 2017-C38, Class A4

 

  

3.190%

     07/15/50           3,300        3,169,983  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $187,428,126)

 

     181,627,211  
           

 

 

 
CORPORATE BONDS — 10.6%

 

  

Aerospace & Defense — 0.1%

 

  

General Dynamics Corp.,

 

  

Gtd. Notes

 

  

3.000%

     05/11/21           1,790        1,784,249  
           

 

 

 

Agriculture — 0.1%

 

  

BAT Capital Corp. (United Kingdom),

 

  

Gtd. Notes, 144A

 

  

3.222%

     08/15/24           2,685        2,543,322  

Bunge Ltd. Finance Corp.,

 

  

Gtd. Notes

 

  

8.500%

     06/15/19           690        724,770  

Reynolds American, Inc. (United Kingdom),

 

  

Gtd. Notes

 

  

8.125%

     06/23/19           290        303,978  
           

 

 

 
              3,572,070  
           

 

 

 

Airlines — 0.2%

 

     

American Airlines 2015-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

3.375%

     11/01/28           2,249        2,168,874  

Continental Airlines 2001-1 Class A-1 Pass-Through Trust,

 

Pass-Through Certificates

 

  

6.703%

     12/15/22           16        17,669  

Continental Airlines 2009-2 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

7.250%

     05/10/21           442        463,054  

Continental Airlines 2010-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

4.750%

     07/12/22           424        432,200  

Continental Airlines 2012-2 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

4.000%

     04/29/26           313        314,120  

Delta Air Lines 2007-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

6.821%

     02/10/24           233        254,085  

Delta Air Lines 2010-2 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

4.950%

     11/23/20           218        219,832  

Delta Air Lines 2011-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

  

5.300%

     10/15/20           464        471,210  

Delta Air Lines, Inc.,

 

Sr. Unsec’d. Notes

 

  

2.875%

     03/13/20           1,300        1,291,438  
           

 

 

 
              5,632,482  
           

 

 

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Auto Manufacturers — 0.5%

 

  

BMW US Capital LLC (Germany),

 

  

Gtd. Notes, 144A, 3 Month LIBOR + 0.410%

 

  

2.749%(c)

     04/12/21           355      $ 356,200  

Gtd. Notes, 144A

 

  

3.100%

     04/12/21           480        477,005  

Daimler Finance North America LLC (Germany),

 

  

Gtd. Notes, 144A

 

  

3.100%

     05/04/20           875        873,222  

3.350%

     05/04/21           1,455        1,449,349  

Ford Motor Co.,

 

  

Sr. Unsec’d. Notes

 

  

4.750%

     01/15/43           1,090        942,101  

5.291%

     12/08/46           950        880,395  

Ford Motor Credit Co. LLC,

 

  

Sr. Unsec’d. Notes

 

  

3.336%

     03/18/21           515        510,382  

General Motors Co.,

 

  

Sr. Unsec’d. Notes

 

  

6.250%

     10/02/43           1,065        1,103,665  

6.600%

     04/01/36           585        633,162  

General Motors Financial Co., Inc.,

 

  

Gtd. Notes, 3 Month LIBOR + 0.850%

 

  

3.187%(c)

     04/09/21           820        824,265  

Gtd. Notes

 

  

3.550%

     04/09/21           620        617,990  

3.950%

     04/13/24           1,700        1,663,631  

Harley-Davidson Financial Services, Inc.,

 

  

Gtd. Notes, 144A, MTN

 

  

2.850%

     01/15/21           2,300        2,264,007  
           

 

 

 
              12,595,374  
           

 

 

 

Auto Parts & Equipment — 0.1%

 

  

Magna International, Inc. (Canada),

 

  

Sr. Unsec’d. Notes

 

  

3.625%

     06/15/24           1,690        1,685,908  
           

 

 

 

Banks — 3.4%

 

        

Banco Santander SA (Spain),

 

  

Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%

 

  

3.459%(c)

     04/12/23           400        399,509  

Sr. Unsec’d. Notes

 

  

3.848%

     04/12/23           800        782,394  

Bank of America Corp.,

 

  

Jr. Sub. Notes, Series DD

 

  

6.300%

     12/31/49           275        290,469  

Jr. Sub. Notes, Series K, 3 Month LIBOR + 3.630%

 

  

5.989%(c)

     12/31/49           672        674,855  

Sr. Unsec’d. Notes, GMTN

 

  

3.300%

     01/11/23           1,520        1,497,702  

Sr. Unsec’d. Notes, MTN

 

  

3.499%

     05/17/22           2,275        2,274,219  

3.824%

     01/20/28           615        599,899  

4.000%

     04/01/24           745        751,527  

Sub. Notes, MTN

 

  

4.000%

     01/22/25           1,700        1,678,159  

4.450%

     03/03/26           4,790        4,801,098  

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A15


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

  

Banks (continued)

 

     

Bank of America NA,

 

  

Sub. Notes

 

  

6.000%

     10/15/36           805      $ 949,578  

Bank of Montreal (Canada),

 

  

Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%

 

2.802%(c)

     04/13/21           400        400,744  

Sr. Unsec’d. Notes, Series D, MTN

 

  

3.100%

     04/13/21           570        567,723  

Barclays PLC (United Kingdom),

 

  

Sr. Unsec’d. Notes

 

  

3.650%

     03/16/25           610        571,346  

3.684%

     01/10/23           320        311,187  

4.375%

     01/12/26           1,205        1,170,374  

Capital One Financial Corp.,

 

  

Sr. Unsec’d. Notes

 

  

2.500%

     05/12/20           1,625        1,601,955  

3.450%

     04/30/21           3,215        3,207,584  

Citibank NA,

 

  

Sr. Unsec’d. Notes

 

  

3.050%

     05/01/20           3,480        3,478,731  

Citigroup, Inc.,

 

  

Jr. Sub. Notes, Series Q

 

  

5.950%

     12/31/49           1,590        1,637,700  

Jr. Sub. Notes, Series R

 

  

6.125%

     12/31/49           945        986,344  

Jr. Sub. Notes, Series T

 

  

6.250%

     12/31/49           640        664,000  

Sr. Unsec’d. Notes

 

  

3.200%

     10/21/26           670        623,053  

3.700%

     01/12/26           1,610        1,560,493  

3.887%

     01/10/28           560        542,380  

8.125%

     07/15/39           365        513,418  

Sub. Notes

 

  

4.450%

     09/29/27           1,485        1,460,694  

4.750%

     05/18/46           440        418,407  

Credit Suisse Group AG (Switzerland),

 

  

Sr. Unsec’d. Notes, 144A

 

  

4.282%

     01/09/28           980        953,291  

Deutsche Bank AG (Germany),

 

  

Sr. Unsec’d. Notes, GMTN

 

  

3.375%

     05/12/21           1,240        1,199,367  

Discover Bank,

 

  

Sr. Unsec’d. Notes

 

  

4.250%

     03/13/26           595        581,600  

Sub. Notes

 

  

7.000%

     04/15/20           485        512,176  

Goldman Sachs Group, Inc. (The),

 

  

Jr. Sub. Notes, Series M

 

  

5.375%

     12/31/49           1,800        1,831,500  

Jr. Sub. Notes, Series O

 

  

5.300%

     12/31/49           560        547,400  

Sr. Unsec’d. Notes

 

  

3.750%

     02/25/26           1,165        1,128,767  

3.814%

     04/23/29           440        418,501  

3.850%

     01/26/27           2,625        2,520,860  

4.223%

     05/01/29           335        329,945  

5.750%

     01/24/22           3,265        3,494,087  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

  

Banks (continued)

 

     

Sub. Notes

 

  

6.750%

     10/01/37           1,100      $ 1,305,526  

HSBC Holdings PLC (United Kingdom),

 

  

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%

 

  

2.926%(c)

     05/18/21           1,530        1,532,229  

Sr. Unsec’d. Notes

 

  

4.875%

     01/14/22           1,230        1,282,343  

5.100%

     04/05/21           920        961,678  

JPMorgan Chase & Co.,

 

  

Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%

 

  

5.829%(c)

     12/31/49           2,000        2,015,000  

Jr. Sub. Notes, Series X

 

  

6.100%

     12/31/49           1,175        1,213,305  

Sr. Unsec’d. Notes

 

  

3.782%

     02/01/28           270        263,427  

3.964%

     11/15/48           2,240        2,014,070  

4.005%

     04/23/29           1,360        1,341,865  

4.250%

     10/15/20           1,660        1,697,014  

Sub. Notes

 

  

3.875%

     09/10/24           3,525        3,492,310  

JPMorgan Chase Bank NA,

 

  

Sr. Unsec’d. Notes

 

  

3.086%

     04/26/21           3,000        2,992,969  

Lloyds Bank PLC (United Kingdom),

 

  

Gtd. Notes

 

  

3.300%

     05/07/21           1,400        1,397,516  

Gtd. Notes, 144A, MTN

 

  

5.800%

     01/13/20           1,770        1,836,991  

Manufacturers & Traders Trust Co.,

 

  

Sr. Unsec’d. Notes

 

  

2.900%

     02/06/25           2,385        2,288,295  

Morgan Stanley,

 

  

Jr. Sub. Notes, Series H

 

  

5.450%

     12/31/49           640        648,403  

Sr. Unsec’d. Notes

 

  

4.375%

     01/22/47           1,170        1,117,312  

Sr. Unsec’d. Notes, GMTN

 

  

3.125%

     01/23/23           625        609,834  

3.772%

     01/24/29           1,295        1,247,510  

Sr. Unsec’d. Notes, MTN

 

  

3.591%

     07/22/28           1,030        978,960  

3.971%

     07/22/38           440        407,694  

6.375%

     07/24/42           205        249,009  

Sub. Notes, GMTN

 

  

4.350%

     09/08/26           3,050        3,008,375  

Nordea Bank AB (Sweden),

 

  

Sr. Unsec’d. Notes, 144A, MTN

 

  

1.875%

     09/17/18           1,590        1,587,934  

PNC Bank NA,

 

  

Sr. Unsec’d. Notes

 

  

1.950%

     03/04/19           455        452,502  

Royal Bank of Canada (Canada),

 

  

Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%

 

2.749%(c)

     04/30/21           1,620        1,619,452  

Sr. Unsec’d. Notes, GMTN

 

  

3.200%

     04/30/21           360        359,845  
           

 

 

 
              85,854,404  
           

 

 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A16


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Beverages — 0.1%

 

  

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

 

  

Gtd. Notes

 

     

4.700%

     02/01/36          2,005      $ 2,032,162  

Maple Escrow Subsidiary, Inc.,

 

  

Gtd. Notes, 144A

 

     

3.551%

     05/25/21          830        830,733  
          

 

 

 
             2,862,895  
          

 

 

 

Biotechnology — 0.0%

 

     

Amgen, Inc.,

 

  

Sr. Unsec’d. Notes

 

     

4.663%

     06/15/51          617        610,085  

Gilead Sciences, Inc.,

 

  

Sr. Unsec’d. Notes

 

     

5.650%

     12/01/41          110        129,000  
          

 

 

 
             739,085  
          

 

 

 

Building Materials — 0.0%

 

     

Standard Industries, Inc.,

 

  

Sr. Unsec’d. Notes, 144A

 

     

5.375%

     11/15/24          1,135        1,120,812  
          

 

 

 

Chemicals — 0.3%

 

     

Celanese US Holdings LLC,

 

  

Gtd. Notes

 

     

5.875%

     06/15/21          1,160        1,225,863  

CF Industries, Inc.,

          

Gtd. Notes

 

     

5.375%

     03/15/44          445        392,712  

CNAC HK Finbridge Co. Ltd. (China),

 

  

Gtd. Notes

 

     

3.500%

     07/19/22          2,675        2,582,953  

Dow Chemical Co. (The),

 

  

Sr. Unsec’d. Notes

 

     

5.250%

     11/15/41          5        5,259  

9.400%

     05/15/39          30        46,051  

LyondellBasell Industries NV,

 

  

Sr. Unsec’d. Notes

 

     

4.625%

     02/26/55          885        818,164  

5.000%

     04/15/19          201        202,987  

Mosaic Co. (The),

 

  

Sr. Unsec’d. Notes

 

     

5.450%

     11/15/33 (a)         265        267,920  

5.625%

     11/15/43          295        297,158  

Union Carbide Corp.,

 

  

Sr. Unsec’d. Notes

 

     

7.500%

     06/01/25          500        586,528  
          

 

 

 
             6,425,595  
          

 

 

 

Commercial Services — 0.1%

 

     

ERAC USA Finance LLC,

 

  

Gtd. Notes, 144A

 

     

4.200%

     11/01/46          875        788,988  

7.000%

     10/15/37          390        487,383  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Commercial Services (continued)

 

  

United Rentals North America, Inc.,

 

  

Gtd. Notes

 

     

4.875%

     01/15/28          735      $ 680,573  

5.875%

     09/15/26          400        404,000  
          

 

 

 
             2,360,944  
          

 

 

 

Computers — 0.2%

 

     

Apple, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.200%

     05/13/25          2,400        2,345,843  

Dell International LLC/EMC Corp.,

 

  

Sr. Sec’d. Notes, 144A

 

     

3.480%

     06/01/19          825        827,077  

Hewlett Packard Enterprise Co.,

 

  

Sr. Unsec’d. Notes

 

     

2.850%

     10/05/18          215        215,312  

Sr. Unsec’d. Notes, 144A

 

     

2.100%

     10/04/19          150        148,112  

Seagate HDD Cayman,

 

  

Gtd. Notes

 

     

3.750%

     11/15/18          455        456,156  
          

 

 

 
             3,992,500  
          

 

 

 

Diversified Financial Services — 0.3%

 

  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),

 

Gtd. Notes

 

     

3.750%

     05/15/19          600        603,577  

CDP Financial, Inc. (Canada),

 

  

Gtd. Notes, 144A

 

     

3.150%

     07/24/24          1,300        1,287,864  

Discover Financial Services,

 

  

Sr. Unsec’d. Notes

 

     

3.850%

     11/21/22          900        896,144  

Jefferies Group LLC,

 

  

Sr. Unsec’d. Notes

 

     

6.500%

     01/20/43          465        482,138  

Lehman Brothers Holdings, Inc.,

 

  

Sr. Unsec’d. Notes

 

     

5.250%

     02/06/12 (d)         1,850        56,425  

6.875%

     05/02/18 (d)         700        21,700  

Private Export Funding Corp.,

 

  

Sr. Unsec’d. Notes, 144A

 

     

2.650%

     02/16/21          1,775        1,765,898  

U.S. Gov’t. Gtd. Notes

 

  

1.875%

     07/15/18          55        54,999  

2.450%

     07/15/24          285        276,324  

3.250%

     06/15/25          255        257,234  

Synchrony Financial,

 

  

Sr. Unsec’d. Notes

 

     

2.700%

     02/03/20          2,175        2,152,067  
          

 

 

 
             7,854,370  
          

 

 

 

Electric — 1.2%

 

     

Avista Corp.,

 

  

First Mortgage

 

     

4.350%

     06/01/48          845        850,057  

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A17


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Electric (continued)

 

  

Baltimore Gas & Electric Co.,

 

  

Sr. Unsec’d. Notes

 

     

6.350%

     10/01/36           530      $ 673,198  

Berkshire Hathaway Energy Co.,

 

  

Sr. Unsec’d. Notes

 

     

6.125%

     04/01/36           332        409,454  

Black Hills Corp.,

 

  

Sr. Unsec’d. Notes

 

     

2.500%

     01/11/19           950        947,733  

CenterPoint Energy Houston Electric LLC,

 

  

General Ref. Mtge.

 

     

6.950%

     03/15/33           300        391,664  

Consolidated Edison Co. of New York, Inc.,

 

  

Sr. Unsec’d. Notes

 

     

5.500%

     12/01/39           145        170,700  

Dominion Energy, Inc.,

 

  

Jr. Sub. Notes

 

     

4.104%

     04/01/21           2,470        2,504,457  

DTE Electric Co.,

 

  

General Ref. Mortgage

 

     

4.050%

     05/15/48           1,075        1,067,542  

Duke Energy Carolinas LLC,

 

  

First Mortgage

 

     

6.050%

     04/15/38           530        658,149  

El Paso Electric Co.,

 

  

Sr. Unsec’d. Notes

 

     

6.000%

     05/15/35           845        960,040  

Eversource Energy,

 

  

Sr. Unsec’d. Notes

 

     

4.500%

     11/15/19           605        616,069  

Exelon Corp.,

 

  

Jr. Sub. Notes

 

     

3.497%

     06/01/22           2,397        2,369,268  

Exelon Generation Co. LLC,

 

  

Sr. Unsec’d. Notes

 

     

5.200%

     10/01/19           400        409,398  

6.250%

     10/01/39           1,375        1,455,597  

FirstEnergy Transmission LLC,

 

  

Sr. Unsec’d. Notes, 144A

 

     

5.450%

     07/15/44           265        296,597  

Florida Power & Light Co.,

 

  

First Mortgage

 

     

5.950%

     10/01/33           380        458,397  

Iberdrola International BV (Spain),

 

  

Gtd. Notes

 

     

6.750%

     09/15/33           140        165,479  

Indiana Michigan Power Co.,

 

  

Sr. Unsec’d. Notes

 

     

3.850%

     05/15/28           2,105        2,110,422  

Israel Electric Corp. Ltd. (Israel),

 

  

Sr. Sec’d. Notes, 144A

 

     

9.375%

     01/28/20           1,000        1,084,890  

Sr. Sec’d. Notes, 144A, GMTN

 

     

4.250%

     08/14/28           575        552,953  

Monongahela Power Co.,

 

  

First Mortgage, 144A

 

     

4.100%

     04/15/24           1,560        1,596,457  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Electric (continued)

 

  

Niagara Mohawk Power Corp.,

 

  

Sr. Unsec’d. Notes, 144A

 

     

4.881%

     08/15/19          545      $ 555,226  

Northern States Power Co.,

 

  

First Mortgage

 

     

3.600%

     09/15/47          1,035        954,110  

PPL Capital Funding, Inc.,

 

  

Gtd. Notes

 

     

4.000%

     09/15/47          980        895,999  

5.000%

     03/15/44          495        514,688  

PSEG Power LLC,

 

  

Gtd. Notes

 

     

3.000%

     06/15/21 (a)         1,260        1,245,931  

Public Service Electric & Gas Co.,

 

  

First Mortgage, MTN

 

     

3.700%

     05/01/28          850        852,124  

Sec’d. Notes, MTN

 

     

3.000%

     05/15/27          675        638,949  

Sr. Sec’d. Notes, MTN

 

     

5.800%

     05/01/37          515        637,075  

San Diego Gas & Electric Co.,

 

  

First Mortgage

 

     

4.150%

     05/15/48          1,010        1,012,911  

Southern California Edison Co.,

 

  

First Ref. Mtge.

 

     

4.000%

     04/01/47          350        326,852  

First Ref. Mtge., Series C

 

     

3.600%

     02/01/45          690        600,780  

State Grid Overseas Investment 2014 Ltd. (China),

 

  

Gtd. Notes, 144A

 

     

2.750%

     05/07/19          500        498,385  

Xcel Energy, Inc.,

 

  

Sr. Unsec’d. Notes

 

     

4.800%

     09/15/41          480        512,254  
          

 

 

 
             28,993,805  
          

 

 

 

Electronics — 0.0%

 

     

FLIR Systems, Inc.,

 

  

Sr. Unsec’d. Notes

 

     

3.125%

     06/15/21          650        642,877  
          

 

 

 

Entertainment — 0.0%

 

     

GLP Capital LP/GLP Financing II, Inc.,

 

  

Gtd. Notes

 

     

4.875%

     11/01/20          400        404,500  
          

 

 

 

Food — 0.1%

 

     

Kraft Heinz Foods Co.,

 

  

Gtd. Notes

 

     

3.000%

     06/01/26          1,510        1,359,791  

4.375%

     06/01/46          360        311,437  

Kroger Co. (The),

 

  

Sr. Unsec’d. Notes

 

     

4.450%

     02/01/47 (a)         240        218,286  

4.650%

     01/15/48 (a)         590        557,118  
          

 

 

 
             2,446,632  
          

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A18


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Forest Products & Paper — 0.1%

 

  

Georgia-Pacific LLC,

 

  

Gtd. Notes, 144A

 

  

5.400%

     11/01/20          275      $ 288,076  

International Paper Co.,

 

  

Sr. Unsec’d. Notes

 

  

6.000%

     11/15/41          1,270        1,402,227  
          

 

 

 
             1,690,303  
          

 

 

 

Gas — 0.1%

          

Dominion Energy Gas Holdings LLC,

 

  

Sr. Unsec’d. Notes

 

  

4.800%

     11/01/43          45        46,152  

NiSource, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.490%

     05/15/27          2,355        2,251,873  
          

 

 

 
             2,298,025  
          

 

 

 

Healthcare-Products — 0.1%

 

     

Becton, Dickinson & Co.,

 

  

Sr. Unsec’d. Notes

 

  

3.734%

     12/15/24          372        363,166  

Medtronic, Inc.,

 

  

Gtd. Notes

 

  

4.375%

     03/15/35          997        1,031,096  
          

 

 

 
             1,394,262  
          

 

 

 

Healthcare-Services — 0.2%

 

     

Aetna, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

6.625%

     06/15/36          480        592,398  

Anthem, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

4.625%

     05/15/42          330        319,881  

4.650%

     01/15/43          260        251,458  

Centene Corp.,

 

  

Sr. Unsec’d. Notes

 

  

5.625%

     02/15/21          750        765,844  

Fresenius Medical Care U.S. Finance II, Inc. (Germany),

 

  

Gtd. Notes, 144A

 

  

4.125%

     10/15/20          435        439,372  

HCA, Inc.,

 

  

Sr. Sec’d. Notes

 

  

4.500%

     02/15/27 (a)         700        658,875  

5.250%

     04/15/25          350        350,000  

Kaiser Foundation Hospitals,

 

  

Gtd. Notes

 

  

4.150%

     05/01/47          670        678,472  

Laboratory Corp. of America Holdings,

 

  

Sr. Unsec’d. Notes

 

  

3.200%

     02/01/22          160        158,277  

New York & Presbyterian Hospital (The),

 

  

Unsec’d. Notes

 

  

4.024%

     08/01/45          340        340,089  
          

 

 

 
             4,554,666  
          

 

 

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Home Builders — 0.0%

 

  

Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,

 

  

Gtd. Notes, 144A

 

  

5.250%

     04/15/21          1,000      $ 1,000,000  
          

 

 

 

Housewares — 0.1%

 

     

Newell Brands, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

4.200%

     04/01/26 (a)         2,010        1,941,771  
          

 

 

 

Insurance — 0.3%

          

AXIS Specialty Finance LLC,

 

  

Gtd. Notes

 

  

5.875%

     06/01/20          990        1,033,165  

Hartford Financial Services Group, Inc. (The),

 

  

Sr. Unsec’d. Notes

 

  

5.125%

     04/15/22          635        670,125  

Liberty Mutual Group, Inc.,

 

  

Gtd. Notes, 144A

 

  

6.500%

     05/01/42          215        262,478  

7.000%

     03/15/34          910        1,116,637  

Lincoln National Corp.,

 

  

Sr. Unsec’d. Notes

 

  

6.300%

     10/09/37          701        833,860  

Markel Corp.,

 

  

Sr. Unsec’d. Notes

 

  

5.000%

     03/30/43          165        168,946  

New York Life Insurance Co.,

 

  

Sub. Notes, 144A

 

  

6.750%

     11/15/39          650        862,009  

Northwestern Mutual Life Insurance Co. (The),

 

  

Sub. Notes, 144A

 

  

6.063%

     03/30/40          100        124,344  

Ohio National Financial Services, Inc.,

 

  

Sr. Unsec’d. Notes, 144A

 

  

6.375%

     04/30/20          640        671,932  

Principal Financial Group, Inc.,

 

  

Gtd. Notes

 

  

4.625%

     09/15/42          105        105,632  

Teachers Insurance & Annuity Association of America,

 

  

Sub. Notes, 144A

 

  

4.270%

     05/15/47          1,430        1,367,555  

6.850%

     12/16/39          122        161,532  

Unum Group,

 

  

Sr. Unsec’d. Notes

 

  

5.625%

     09/15/20          315        329,377  

W.R. Berkley Corp.,

 

  

Sr. Unsec’d. Notes

 

  

6.150%

     08/15/19          575        592,639  
          

 

 

 
             8,300,231  
          

 

 

 

Lodging — 0.1%

 

     

Marriott International, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.000%

     03/01/19          490        490,058  

3.250%

     09/15/22          805        792,774  
          

 

 

 
             1,282,832  
          

 

 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A19


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Machinery-Diversified — 0.0%

 

  

Xylem, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

4.875%

     10/01/21           1,060      $ 1,108,826  
           

 

 

 

Media — 0.4%

           

21st Century Fox America, Inc.,

 

  

Gtd. Notes

 

  

6.150%

     03/01/37           250        293,229  

6.900%

     08/15/39           35        44,562  

7.625%

     11/30/28           1,265        1,570,759  

AMC Networks, Inc.,

 

  

Gtd. Notes

 

  

5.000%

     04/01/24           1,225        1,206,625  

CCO Holdings LLC/CCO Holdings Capital Corp.,

 

  

Sr. Unsec’d. Notes, 144A

 

  

5.375%

     05/01/25           720        696,600  

Charter Communications Operating LLC/Charter Communications Operating Capital,

 

Sr. Sec’d. Notes

 

  

6.384%

     10/23/35           630        658,354  

6.484%

     10/23/45           1,000        1,054,035  

Comcast Cable Holdings LLC,

 

  

Gtd. Notes

 

  

9.875%

     06/15/22           1,440        1,724,096  

Discovery Communications LLC,

 

  

Gtd. Notes

 

  

5.000%

     09/20/37           260        250,341  

5.200%

     09/20/47           340        329,781  

Time Warner Cable LLC,

 

  

Sr. Sec’d. Notes

 

  

5.500%

     09/01/41           270        251,198  

Viacom, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

5.250%

     04/01/44           340        319,323  

Videotron Ltd. (Canada),

 

  

Gtd. Notes

 

  

5.000%

     07/15/22           850        861,688  

Warner Media LLC,

 

  

Gtd. Notes

 

  

3.800%

     02/15/27           585        552,459  
           

 

 

 
              9,813,050  
           

 

 

 

Mining — 0.0%

 

     

BHP Billiton Finance USA Ltd. (Australia),

 

  

Gtd. Notes, 144A

 

  

6.250%

     10/19/75           315        329,273  

Southern Copper Corp. (Peru),

 

  

Sr. Unsec’d. Notes

 

  

5.875%

     04/23/45           400        425,652  

6.750%

     04/16/40           300        344,752  
           

 

 

 
              1,099,677  
           

 

 

 

Miscellaneous Manufacturing — 0.0%

 

  

Actuant Corp.,

 

  

Gtd. Notes

 

  

5.625%

     06/15/22           1,040        1,053,000  
           

 

 

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Multi-National — 0.1%

 

  

Corp. Andina de Fomento (Supranational Bank),

 

  

Sr. Unsec’d. Notes

 

  

2.000%

     05/10/19           485      $ 481,078  

2.125%

     09/27/21           1,195        1,149,996  

2.750%

     01/06/23           385        372,476  

North American Development Bank (Supranational Bank),

 

  

Sr. Unsec’d. Notes

 

  

2.400%

     10/26/22           855        824,935  

4.375%

     02/11/20           800        818,271  
           

 

 

 
              3,646,756  
           

 

 

 

Oil & Gas — 0.7%

 

     

Anadarko Petroleum Corp.,

 

  

Sr. Unsec’d. Notes

 

  

4.677%(s)

     10/10/36           1,000        423,193  

4.850%

     03/15/21           800        823,285  

6.450%

     09/15/36           1,040        1,201,882  

Cenovus Energy, Inc. (Canada),

 

  

Sr. Unsec’d. Notes

 

  

5.400%

     06/15/47           850        832,149  

Concho Resources, Inc.,

 

  

Gtd. Notes

 

  

4.875%

     10/01/47           150        151,220  

Devon Energy Corp.,

 

  

Sr. Unsec’d. Notes

 

  

5.000%

     06/15/45           85        86,469  

5.600%

     07/15/41           225        242,702  

Encana Corp. (Canada),

 

  

Sr. Unsec’d. Notes

 

  

3.900%

     11/15/21           100        100,803  

6.500%

     02/01/38           240        281,900  

EOG Resources, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.900%

     04/01/35           830        805,246  

Gazprom OAO Via Gaz Capital SA (Russia),

 

  

Sr. Unsec’d. Notes, 144A

 

  

4.950%

     07/19/22           255        256,785  

6.510%

     03/07/22           440        466,620  

Helmerich & Payne International Drilling Co.,

 

  

Gtd. Notes

 

  

4.650%

     03/15/25           1,555        1,605,556  

KazMunayGas National Co. JSC (Kazakhstan),

 

  

Sr. Unsec’d. Notes, 144A

 

  

3.875%

     04/19/22           400        393,200  

Noble Energy, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

5.050%

     11/15/44           925        924,412  

Petrobras Global Finance BV (Brazil),

 

  

Gtd. Notes

 

  

5.750%

     02/01/29           610        536,269  

6.250%

     03/17/24           515        510,622  

Gtd. Notes, 144A

 

  

5.299%

     01/27/25           535        494,340  

Petroleos Mexicanos (Mexico),

 

  

Gtd. Notes

 

  

5.375%

     03/13/22           330        338,415  

5.500%

     01/21/21           1,295        1,333,190  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A20


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Oil & Gas (continued)

 

  

6.500%

     06/02/41           955      $ 898,082  

8.625%

     12/01/23           350        396,293  

Gtd. Notes, MTN

 

  

6.750%

     09/21/47           1,590        1,499,211  

6.875%

     08/04/26           1,000        1,051,000  

Sinopec Group Overseas Development 2015 Ltd. (China),

 

Gtd. Notes, 144A

 

  

2.500%

     04/28/20           1,000        985,348  
           

 

 

 
              16,638,192  
           

 

 

 

Oil & Gas Services — 0.1%

 

     

Schlumberger Holdings Corp.,

 

Sr. Unsec’d. Notes, 144A

 

  

3.000%

     12/21/20           559        555,648  

4.000%

     12/21/25           2,170        2,162,755  

Schlumberger Investment SA,

 

Gtd. Notes, 144A

 

  

3.300%

     09/14/21           100        100,060  
           

 

 

 
              2,818,463  
           

 

 

 

Packaging & Containers — 0.0%

 

     

Ball Corp.,

 

Gtd. Notes

 

  

4.375%

     12/15/20           465        468,487  

WestRock RKT Co.,

 

Gtd. Notes

 

  

4.900%

     03/01/22           675        703,114  
           

 

 

 
              1,171,601  
           

 

 

 

Pharmaceuticals — 0.4%

 

     

AbbVie, Inc.,

 

Sr. Unsec’d. Notes

 

  

3.600%

     05/14/25           950        920,083  

4.500%

     05/14/35           1,595        1,552,371  

Allergan Funding SCS,

 

Gtd. Notes

 

  

3.800%

     03/15/25           380        368,997  

4.550%

     03/15/35           1,770        1,674,692  

4.850%

     06/15/44           30        28,977  

Bayer US Finance II LLC (Germany),

 

Gtd. Notes, 144A, 3 Month LIBOR + 0.630%

 

  

2.965%(c)

     06/25/21           805        806,131  

Gtd. Notes, 144A

 

  

3.500%

     06/25/21           350        350,696  

CVS Health Corp.,

 

Sr. Unsec’d. Notes

 

  

4.780%

     03/25/38           230        226,221  

5.050%

     03/25/48           535        544,467  

5.125%

     07/20/45           440        445,843  

5.300%

     12/05/43           170        177,642  

Shire Acquisitions Investments Ireland DAC,

 

Gtd. Notes

 

  

2.400%

     09/23/21           2,570        2,460,426  
           

 

 

 
              9,556,546  
           

 

 

 

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Pipelines — 0.3%

 

  

DCP Midstream Operating LP,

 

Gtd. Notes, 144A

 

  

5.350%

     03/15/20          473      $ 481,869  

Energy Transfer Partners LP,

 

Gtd. Notes

 

  

4.650%

     06/01/21          610        624,640  

4.950%

     06/15/28          795        792,531  

Enterprise Products Operating LLC,

 

Gtd. Notes

 

  

3.700%

     02/15/26          215        210,083  

3.750%

     02/15/25          1,055        1,044,708  

MPLX LP,

 

Sr. Unsec’d. Notes

 

  

4.000%

     02/15/25          1,140        1,114,569  

4.875%

     06/01/25          2,275        2,339,088  

5.200%

     03/01/47          25        24,841  

ONEOK Partners LP,

 

Gtd. Notes

 

  

6.650%

     10/01/36          130        151,475  

ONEOK, Inc.,

 

Gtd. Notes

 

  

4.950%

     07/13/47          640        623,129  

Williams Partners LP,

 

Sr. Unsec’d. Notes

 

  

4.850%

     03/01/48          230        219,125  

4.900%

     01/15/45          1,100        1,050,831  
          

 

 

 
             8,676,889  
          

 

 

 

Real Estate Investment Trusts (REITs) — 0.0%

 

  

Simon Property Group LP,

 

Sr. Unsec’d. Notes

 

  

3.375%

     03/15/22          190        189,352  
          

 

 

 

Retail — 0.3%

 

  

Dollar Tree, Inc.,

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%

 

  

3.055%(c)

     04/17/20          795        796,625  

Sr. Unsec’d. Notes

 

  

4.000%

     05/15/25          3,395        3,317,943  

L Brands, Inc.,

 

Gtd. Notes

 

  

5.625%

     02/15/22          1,000        1,015,000  

Lowe’s Cos., Inc.,

 

Sr. Unsec’d. Notes

 

  

6.500%

     03/15/29          116        139,558  

Macy’s Retail Holdings, Inc.,

 

Gtd. Notes

 

  

3.875%

     01/15/22 (a)         300        297,891  

Sally Holdings LLC/Sally Capital, Inc.,

 

Gtd. Notes

 

  

5.625%

     12/01/25 (a)         1,020        940,950  
          

 

 

 
             6,507,967  
          

 

 

 

Savings & Loans — 0.0%

 

  

People’s United Financial, Inc.,

 

Sr. Unsec’d. Notes

 

  

3.650%

     12/06/22          1,195        1,191,960  
          

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A21


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Semiconductors — 0.1%

 

  

Broadcom Corp./Broadcom Cayman Finance Ltd.,

 

  

Gtd. Notes

 

  

3.875%

     01/15/27           1,555      $ 1,470,800  
           

 

 

 

Software — 0.1%

 

     

Fidelity National Information Services, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.625%

     10/15/20           915        920,770  

Microsoft Corp.,

 

  

Sr. Unsec’d. Notes

 

  

4.000%

     02/12/55           360        357,155  

Oracle Corp.,

 

  

Sr. Unsec’d. Notes

 

  

4.300%

     07/08/34           700        713,556  
           

 

 

 
              1,991,481  
           

 

 

 

Telecommunications — 0.3%

 

  

AT&T Corp.,

 

  

Gtd. Notes

 

  

8.250%

     11/15/31           10        12,826  

AT&T, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.400%

     05/15/25           3,130        2,935,124  

4.500%

     05/15/35           225        208,112  

4.500%

     03/09/48           12        10,345  

4.550%

     03/09/49           4        3,459  

5.350%

     09/01/40           113        110,283  

British Telecommunications PLC (United Kingdom),

 

  

Sr. Unsec’d. Notes

 

  

9.625%(cc)

     12/15/30           350        500,041  

Sprint Communications, Inc.,

 

  

Gtd. Notes, 144A

 

  

7.000%

     03/01/20           600        622,500  

9.000%

     11/15/18           800        816,000  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,

 

Sr. Sec’d. Notes, 144A

 

  

3.360%

     03/20/23           1,138        1,124,703  

Verizon Communications, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

4.500%

     08/10/33           865        837,650  
           

 

 

 
              7,181,043  
           

 

 

 

Transportation — 0.1%

 

     

Burlington Northern Santa Fe LLC,

 

  

Sr. Unsec’d. Notes

 

  

6.700%

     08/01/28           735        892,692  

CSX Corp.,

 

  

Sr. Unsec’d. Notes

 

  

6.150%

     05/01/37           690        828,285  

Norfolk Southern Corp.,

 

  

Sr. Unsec’d. Notes

 

  

5.590%

     05/17/25           120        131,579  
           

 

 

 
              1,852,556  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $269,756,063)

 

        267,398,751  
           

 

 

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
MUNICIPAL BONDS — 0.7%

 

  

Alabama — 0.0%

 

     

Alabama Economic Settlement Authority,

 

  

Revenue Bonds, BABs

 

  

4.263%

     09/15/32           180      $ 185,171  
           

 

 

 

California — 0.2%

 

     

Bay Area Toll Authority,

 

  

Revenue Bonds, BABs

 

  

6.263%

     04/01/49           1,305        1,812,749  

California Educational Facilities Authority,

 

  

Revenue Bonds, Series U-7, BABs

 

  

5.000%

     06/01/46           550        725,708  

State of California,

 

  

GO, BABs

 

  

7.300%

     10/01/39           1,250        1,771,000  

7.500%

     04/01/34           350        491,572  

7.550%

     04/01/39           245        361,287  

7.625%

     03/01/40           205        302,342  
           

 

 

 
              5,464,658  
           

 

 

 

Colorado — 0.0%

 

     

Regional Transportation District,

 

  

Revenue Bonds, Series 2010-B, BABs

 

  

5.844%

     11/01/50           565        740,449  
           

 

 

 

Illinois — 0.2%

 

     

Chicago O’Hare International Airport,

 

  

Revenue Bonds, BABs

 

  

6.395%

     01/01/40           970        1,284,106  

State of Illinois,

 

  

GO, Series D, BABs

 

  

5.000%

     11/01/22           2,305        2,436,938  
           

 

 

 
              3,721,044  
           

 

 

 

New Jersey — 0.1%

 

     

New Jersey Turnpike Authority,

 

  

Revenue Bonds, Series F, BABs

 

  

7.414%

     01/01/40           1,000        1,454,330  
           

 

 

 

New York — 0.1%

 

     

New York City Transitional Finance Authority Future Tax Secured Revenue,

 

Revenue Bonds, BABs

 

  

5.767%

     08/01/36           1,100        1,307,350  
           

 

 

 

Ohio — 0.0%

 

     

Ohio State University (The),

 

  

Revenue Bonds, Series C, BABs

 

  

4.910%

     06/01/40           415        475,615  

Ohio Water Development Authority Water Pollution Control Loan Fund,

 

Revenue Bonds, BABs

 

  

4.879%

     12/01/34           275        302,192  
           

 

 

 
              777,807  
           

 

 

 

Oregon — 0.0%

 

     

State of Oregon Department of Transportation,

 

  

Revenue Bonds, Series A, BABs

 

  

5.834%

     11/15/34           425        523,711  
           

 

 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A22


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
MUNICIPAL BONDS (continued)

 

  

Pennsylvania — 0.0%

 

  

Pennsylvania Turnpike Commission,

 

  

Revenue Bonds, Series B, BABs

 

5.511%

     12/01/45           505      $ 621,125  
           

 

 

 

Texas — 0.1%

           

University of Texas System (The),

 

  

Revenue Bonds, Series F, Rfdg.

 

5.000%

     08/15/47           1,100        1,411,619  
           

 

 

 

Virginia — 0.0%

           

University of Virginia,

 

  

Revenue Bonds, Taxable, Series C

 

4.179%

     09/01/2117           355        354,223  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $13,863,330)

 

     16,561,487  
           

 

 

 

RESIDENTIAL MORTGAGE-BACKED

SECURITIES — 1.1%

 

 

Alternative Loan Trust,

 

  

Series 2004-18CB, Class 3A1

 

5.250%

     09/25/19           75        74,820  

Banc of America Funding Trust,

 

  

Series 2015-R04, Class 4A1, 144A

 

3.500%(cc)

     01/25/30           822        815,796  

Banc of America Mortgage Trust,

 

  

Series 2005-A, Class 2A1

 

3.704%(cc)

     02/25/35           159        158,541  

Series 2005-B, Class 2A1

 

3.901%(cc)

     03/25/35           174        169,507  

Bellemeade Re Ltd. (Bermuda),

 

  

Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%

 

3.791%(c)

     10/25/27           536        538,647  

Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%

 

3.691%(c)

     04/25/28           233        233,658  

Chase Mortgage Finance Trust,

 

  

Series 2007-A01, Class 1A5

 

3.885%(cc)

     02/25/37           317        319,485  

CIM Trust,

 

  

Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%

 

3.982%(c)

     12/25/57           1,414        1,431,957  

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%

 

3.982%(c)

     01/25/57           2,882        2,939,842  

Series 2017-06, Class A1, 144A

 

3.015%(cc)

     06/25/57           1,325        1,297,892  

Series 2017-08, Class A1, 144A

 

3.000%(cc)

     12/25/65           2,641        2,637,013  

Fannie Mae Connecticut Avenue Securities,

 

  

Series 2016-C02, Class 1M1, 1 Month LIBOR + 2.150%

 

4.241%(c)

     09/25/28           274        275,988  

Series 2016-C03, Class 2M1, 1 Month LIBOR + 2.200%

 

4.291%(c)

     10/25/28           288        289,626  

Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%

 

3.541%(c)

     01/25/29           677        682,040  

Freddie Mac Structured Agency Credit Risk Debt Notes,

 

Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%

 

3.391%(c)

     03/25/29           950        960,183  

Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%

 

4.341%(c)

     11/25/28           743        760,191  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%

 

3.291%(c)

     07/25/29          2,107      $ 2,123,842  

Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%

 

2.841%(c)

     03/25/30          3,567        3,575,769  

Holmes Master Issuer PLC (United Kingdom),

 

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%

 

2.708%(c)

     10/15/54          1,600        1,599,075  

JPMorgan Mortgage Trust,

 

Series 2007-A01, Class 4A1

 

4.048%(cc)

     07/25/35          160        162,675  

Lanark Master Issuer PLC (United Kingdom),

 

Series 2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%

 

2.749%(c)

     12/22/69          1,316        1,316,150  

Lehman XS Trust,

 

Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%

 

2.296%(c)

     08/25/46          2,157        2,072,287  

LSTAR Securities Investment Ltd. (Cayman Islands),

 

Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%

 

3.983%(c)

     05/01/22          2,036        2,037,292  

Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%

 

3.732%(c)

     09/01/22          1,059        1,062,557  

Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%

 

3.633%(c)

     11/01/22          844        847,216  

MASTR Alternative Loan Trust,

 

Series 2004-04, Class 4A1

 

5.000%

     04/25/19          6        5,556  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

3.756%(cc)

     02/25/34          217        218,448  

Washington Mutual Mortgage Pass-Through Certificates,

 

Series 2005-01, Class 3A

 

5.000%

     03/25/20          46        46,179  
          

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $28,494,769)

 

     28,652,232  
          

 

 

 
SOVEREIGN BONDS — 1.1%

 

  

Abu Dhabi Government International Bond (United Arab Emirates),

 

Sr. Unsec’d. Notes, 144A

 

3.125%

     10/11/27          2,420        2,252,052  

Colombia Government International Bond (Colombia),

 

Sr. Unsec’d. Notes

 

4.000%

     02/26/24          220        219,780  

4.375%

     07/12/21          400        408,200  

7.375%

     09/18/37          450        560,250  

Export-Import Bank of India (India),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     02/01/28 (a)         745        699,589  

Export-Import Bank of Korea (South Korea),

 

Sr. Unsec’d. Notes

 

5.125%

     06/29/20          265        273,970  

Finnvera OYJ (Finland),

 

Gov’t. Gtd. Notes, 144A, MTN

 

2.375%

     06/04/25          400        378,560  

Hungary Government International Bond (Hungary),

 

Sr. Unsec’d. Notes

 

6.375%

     03/29/21          1,760        1,879,761  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A23


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
SOVEREIGN BONDS (continued)

 

  

Indonesia Government International Bond (Indonesia),

 

Sr. Unsec’d. Notes, 144A

 

  

3.375%

     07/30/25       EUR        1,200      $ 1,506,912  

Sr. Unsec’d. Notes, 144A, MTN

 

  

2.150%

     07/18/24       EUR        1,510        1,775,547  

5.875%

     01/15/24          750        803,096  

Sr. Unsec’d. Notes, EMTN

 

  

4.750%

     01/08/26          350        354,719  

Japan Bank for International Cooperation (Japan),

 

Gov’t. Gtd. Notes

 

  

1.500%

     07/21/21          600        572,674  

2.125%

     11/16/20          1,200        1,176,466  

Japan Finance Organization for Municipalities (Japan),

 

Sr. Unsec’d. Notes, 144A, MTN

 

  

2.125%

     04/13/21          600        582,811  

2.125%

     10/25/23          1,000        938,657  

2.625%

     04/20/22          1,400        1,365,908  

Sr. Unsec’d. Notes, EMTN

 

  

2.125%

     04/13/21          200        194,270  

Mexico Government International Bond (Mexico),

 

Sr. Unsec’d. Notes

 

  

4.000%

     10/02/23          438        439,314  

Sr. Unsec’d. Notes, MTN

 

  

4.750%

     03/08/44          366        339,607  

Panama Government International Bond (Panama),

 

Sr. Unsec’d. Notes

 

  

3.750%

     03/16/25          490        483,875  

4.000%

     09/22/24          395        397,963  

4.500%

     04/16/50          340        327,250  

Qatar Government International Bond (Qatar),

 

Sr. Unsec’d. Notes, 144A

 

  

3.875%

     04/23/23          800        799,418  

5.103%

     04/23/48          885        882,310  

Saudi Government International Bond (Saudi Arabia),

 

Sr. Unsec’d. Notes, 144A, MTN

 

  

2.375%

     10/26/21          980        940,996  

2.875%

     03/04/23          1,285        1,236,047  

4.000%

     04/17/25          750        746,295  

Tokyo Metropolitan Government (Japan),

 

Sr. Unsec’d. Notes, 144A

 

  

2.500%

     06/08/22          1,200        1,164,126  

3.250%

     06/01/23          600        599,906  

Turkey Government International Bond (Turkey),

 

Sr. Unsec’d. Notes

 

  

7.000%

     06/05/20          1,260        1,289,814  

Uruguay Government International Bond (Uruguay),

 

Sr. Unsec’d. Notes

 

  

4.975%

     04/20/55          560        543,200  

5.100%

     06/18/50          490        481,670  
          

 

 

 

TOTAL SOVEREIGN BONDS
(cost $27,276,623)

 

     26,615,013  
          

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.9%

 

Federal Home Loan Bank

 

5.500%

     07/15/36 (k)         850        1,109,168  

Federal Home Loan Mortgage Corp.

 

2.000%

     01/01/32          1,080        1,022,835  

2.500%

     03/01/30          638        621,129  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

3.000%

     TBA          7,500      $ 7,251,489  

3.000%

     10/01/28          524        523,752  

3.000%

     06/01/29          994        991,850  

3.000%

     01/01/37          277        273,160  

3.000%

     06/01/42          437        426,542  

3.000%

     10/01/42          1,022        998,028  

3.000%

     01/01/43          917        896,026  

3.000%

     07/01/43          2,420        2,362,378  

3.500%

     TBA          15,500        15,401,079  

3.500%

     06/01/42          451        452,346  

4.000%

     06/01/26          662        681,164  

4.000%

     09/01/26          232        238,642  

4.000%

     10/01/39          716        735,734  

4.000%

     12/01/40          485        498,908  

4.000%

     10/01/41          534        548,742  

4.000%

     01/01/42          181        186,199  

4.500%

     02/01/19          2        2,108  

4.500%

     07/01/19          40        40,571  

4.500%

     07/01/20          37        37,180  

4.500%

     02/01/39          110        115,227  

4.500%

     09/01/39          182        191,484  

4.500%

     10/01/39          1,655        1,740,494  

4.500%

     12/01/39          157        164,613  

4.500%

     07/01/41          279        292,231  

4.500%

     07/01/41          1,938        2,034,392  

4.500%

     08/01/41          134        139,838  

4.500%

     08/01/41          235        245,238  

4.500%

     08/01/41          617        648,480  

4.500%

     10/01/41          257        268,526  

5.000%

     05/01/34          21        22,558  

5.000%

     05/01/34          353        374,893  

5.000%

     10/01/35          9        9,133  

5.000%

     07/01/37          575        613,441  

5.000%

     05/01/39          81        85,970  

5.500%

     12/01/33          48        51,308  

5.500%

     01/01/34          53        57,825  

5.500%

     06/01/34          86        92,652  

5.500%

     07/01/34          240        260,146  

5.500%

     05/01/37          64        69,760  

5.500%

     02/01/38          509        550,306  

5.500%

     05/01/38          56        61,037  

5.500%

     07/01/38          136        146,873  

6.000%

     03/01/32          264        292,414  

6.000%

     12/01/33          54        59,068  

6.000%

     11/01/36          65        71,386  

6.000%

     01/01/37          50        54,485  

6.000%

     05/01/37          31        34,291  

6.000%

     02/01/38          5        5,855  

6.000%

     08/01/39          75        82,776  

6.750%

     03/15/31 (k)         550        750,928  

7.000%

     05/01/31          15        16,615  

7.000%

     06/01/31          14        14,912  

7.000%

     08/01/31          153        167,702  

7.000%

     10/01/31          7        7,253  

Federal National Mortgage Assoc.

 

1.875%

     09/24/26          150        136,967  

2.000%

     08/01/31          982        930,663  

2.500%

     01/01/28          954        935,125  

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A24


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

2.500%

     10/01/43           760      $ 715,613  

2.500%

     12/01/46           1,577        1,477,806  

3.000%

     02/01/27           2,041        2,041,692  

3.000%

     08/01/30           1,441        1,437,843  

3.000%

     11/01/36           2,552        2,518,796  

3.000%

     12/01/42           1,983        1,938,941  

3.500%

     TBA           2,250        2,239,416  

3.500%

     TBA           14,500        14,673,320  

3.500%

     06/01/39           632        632,831  

3.500%

     01/01/42           5,059        5,076,920  

3.500%

     05/01/42           2,699        2,708,776  

3.500%

     07/01/42           1,001        1,004,358  

3.500%

     08/01/42           430        431,385  

3.500%

     08/01/42           1,250        1,253,519  

3.500%

     09/01/42           544        544,488  

3.500%

     09/01/42           2,026        2,030,614  

3.500%

     11/01/42           361        361,905  

3.500%

     03/01/43           3,005        3,012,410  

3.500%

     04/01/43           707        709,931  

3.500%

     04/01/43           1,080        1,080,971  

3.500%

     01/01/46           2,177        2,173,033  

4.000%

     TBA           6,250        6,362,853  

4.000%

     10/01/41           3,127        3,211,732  

4.000%

     09/01/44           3,191        3,261,040  

4.500%

     TBA           6,000        6,236,302  

4.500%

     07/01/33           61        63,554  

4.500%

     08/01/33           57        60,092  

4.500%

     09/01/33           133        138,902  

4.500%

     10/01/33           11        11,537  

4.500%

     10/01/33           37        38,712  

4.500%

     10/01/33           159        166,799  

4.500%

     01/01/35           2        1,949  

4.500%

     07/01/39           1,071        1,126,478  

4.500%

     08/01/39           1,666        1,752,338  

4.500%

     03/01/41           583        613,434  

5.000%

     TBA           4,250        4,493,771  

5.000%

     03/01/34           296        317,671  

5.000%

     06/01/35           109        117,162  

5.000%

     07/01/35           143        152,865  

5.000%

     09/01/35           89        96,135  

5.000%

     11/01/35           115        123,704  

5.000%

     02/01/36           137        146,764  

5.000%

     05/01/36           69        73,373  

5.500%

     09/01/33           291        314,033  

5.500%

     10/01/33           97        105,446  

5.500%

     12/01/33           64        69,596  

5.500%

     01/01/34           2        1,686  

5.500%

     12/01/34           232        252,917  

5.500%

     10/01/35           887        965,160  

5.500%

     03/01/36           149        160,997  

5.500%

     05/01/36           138        149,073  

5.500%

     04/01/37           123        133,094  

6.000%

     05/01/21           43        44,672  

6.000%

     08/01/22           39        40,485  

6.000%

     04/01/33           26        28,342  

6.000%

     06/01/33           6        7,074  

6.000%

     10/01/33           431        481,717  

6.000%

     11/01/33           7        7,461  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

6.000%

     11/01/33          22     $ 24,547  

6.000%

     11/01/33          50       54,171  

6.000%

     01/01/34          323       354,919  

6.000%

     02/01/34          84       92,167  

6.000%

     03/01/34          35       38,350  

6.000%

     03/01/34          69       74,932  

6.000%

     07/01/34          202       222,018  

6.000%

     08/01/34          1       684  

6.000%

     10/01/34          5       5,206  

6.000%

     11/01/34          3       2,983  

6.000%

     11/01/34          46       50,475  

6.000%

     12/01/34          24       26,292  

6.000%

     01/01/35          82       90,148  

6.000%

     01/01/35          251       276,173  

6.000%

     02/01/35          5       5,464  

6.000%

     02/01/35          80       87,639  

6.000%

     02/01/35          291       327,203  

6.000%

     03/01/35          3       3,200  

6.000%

     04/01/35          1       1,189  

6.000%

     07/01/36          52       57,274  

6.000%

     02/01/37          93       102,869  

6.000%

     05/01/37          34       37,693  

6.000%

     06/01/37          1       1,031  

6.000%

     08/01/37          (r)      213  

6.000%

     08/01/37          20       21,852  

6.000%

     09/01/37          1       702  

6.000%

     10/01/37          38       42,161  

6.000%

     05/01/38          84       92,160  

6.000%

     06/01/38          2       2,693  

6.250%

     05/15/29 (k)         1,245       1,599,133  

6.500%

     07/01/32          2       2,542  

6.500%

     07/01/32          58       63,826  

6.500%

     09/01/32          2       2,011  

6.500%

     09/01/32          14       15,923  

6.500%

     09/01/32          69       75,799  

6.500%

     09/01/32          73       79,940  

6.500%

     09/01/32          96       106,104  

6.500%

     04/01/33          124       137,941  

6.500%

     11/01/33          23       25,179  

6.500%

     01/01/34          45       50,103  

6.500%

     09/01/34          74       82,123  

6.500%

     10/01/34          207       228,564  

6.500%

     09/01/36          71       78,616  

6.500%

     10/01/36          34       37,599  

6.500%

     11/01/36          23       24,817  

6.500%

     01/01/37          41       45,382  

6.500%

     01/01/37          114       125,794  

6.625%

     11/15/30 (k)         800       1,073,057  

7.000%

     02/01/32          34       37,093  

7.000%

     03/01/32          3       2,606  

7.000%

     05/01/32          18       20,331  

7.000%

     06/01/32          22       24,436  

7.000%

     07/01/32          60       67,268  

7.125%

     01/15/30 (k)         3,195       4,399,659  

Government National Mortgage Assoc.

 

2.500%

     12/20/46          829       787,388  

3.000%

     TBA          2,500       2,443,408  

3.000%

     12/20/44          390       384,645  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A25


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

3.000%

     03/15/45           1,172     $ 1,147,844  

3.000%

     03/20/46           2,533       2,489,787  

3.000%

     07/20/46           4,691       4,604,683  

3.000%

     08/20/46           1,744       1,711,946  

3.000%

     11/20/46           879       862,426  

3.000%

     01/20/47           446       436,823  

3.000%

     04/20/47           1,849       1,812,324  

3.500%

     TBA           5,000       5,012,109  

3.500%

     12/20/42           1,588       1,606,736  

3.500%

     05/20/43           491       496,391  

3.500%

     04/20/45           2,217       2,230,956  

3.500%

     07/20/46           8,265       8,307,365  

4.000%

     TBA           6,250       6,396,484  

4.000%

     06/15/40           109       111,760  

4.000%

     05/20/41           87       89,795  

4.000%

     12/20/42           800       827,316  

4.000%

     08/20/44           393       406,200  

4.000%

     11/20/45           907       936,875  

4.000%

     12/20/45           2,393       2,471,471  

4.500%

     TBA           3,500       3,631,827  

4.500%

     04/15/40           787       832,102  

4.500%

     01/20/41           621       652,652  

4.500%

     02/20/41           1,041       1,094,627  

4.500%

     03/20/41           525       551,242  

4.500%

     06/20/44           790       833,598  

4.500%

     09/20/46           738       775,757  

4.500%

     11/20/46           1,118       1,181,726  

4.500%

     03/20/47           776       812,718  

5.000%

     10/20/37           130       138,503  

5.000%

     04/20/45           797       849,121  

5.500%

     08/15/33           259       279,053  

5.500%

     08/15/33           290       312,363  

5.500%

     09/15/33           83       89,672  

5.500%

     12/15/33           44       47,614  

5.500%

     03/15/34           168       180,972  

5.500%

     12/15/34           397       439,044  

5.500%

     07/15/35           80       87,214  

5.500%

     04/15/36           135       146,033  

6.000%

     11/15/23           (r)      497  

6.000%

     05/15/32           (r)      272  

6.000%

     04/15/33           9       9,905  

6.000%

     12/15/33           130       142,618  

6.000%

     01/15/34           37       42,210  

6.000%

     01/15/34           61       67,128  

6.000%

     01/15/34           74       81,213  

6.000%

     06/20/34           134       148,118  

6.000%

     07/15/34           99       109,615  

6.500%

     10/15/23           1       1,246  

6.500%

     12/15/23           5       5,351  

6.500%

     01/15/24           1       928  

6.500%

     01/15/24           1       992  

6.500%

     01/15/24           2       1,758  

6.500%

     01/15/24           4       4,199  

6.500%

     01/15/24           13       13,987  

6.500%

     01/15/24           18       19,373  

6.500%

     01/15/24           19       20,536  

6.500%

     01/15/24           42       46,781  

6.500%

     01/15/24           66       73,057  

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

6.500%

     02/15/24          3     $ 3,627  

6.500%

     02/15/24          6       6,554  

6.500%

     02/15/24          6       6,727  

6.500%

     02/15/24          7       7,954  

6.500%

     02/15/24          18       19,445  

6.500%

     02/15/24          18       19,636  

6.500%

     03/15/24          2       2,473  

6.500%

     03/15/24          4       4,083  

6.500%

     03/15/24          4       4,713  

6.500%

     04/15/24          (r)      443  

6.500%

     04/15/24          1       1,490  

6.500%

     04/15/24          2       1,756  

6.500%

     04/15/24          3       2,925  

6.500%

     04/15/24          3       2,957  

6.500%

     04/15/24          4       3,881  

6.500%

     04/15/24          8       8,580  

6.500%

     04/15/24          16       17,755  

6.500%

     05/15/24          5       4,967  

6.500%

     05/15/24          6       6,986  

6.500%

     05/15/24          26       28,860  

6.500%

     10/15/24          24       25,533  

6.500%

     11/15/28          6       6,964  

6.500%

     08/15/31          8       8,395  

6.500%

     12/15/31          11       12,239  

6.500%

     01/15/32          27       30,259  

6.500%

     02/15/32          47       51,875  

6.500%

     06/15/32          24       26,756  

6.500%

     07/15/32          45       49,782  

6.500%

     08/15/32          6       6,908  

6.500%

     08/15/32          7       8,187  

6.500%

     08/15/32          8       8,849  

6.500%

     08/15/32          28       30,540  

6.500%

     08/15/32          221       252,177  

6.500%

     08/15/34          27       29,690  

6.500%

     06/15/35          45       50,272  

6.500%

     09/15/36          61       69,290  

8.000%

     01/15/24          9       8,626  

8.000%

     07/15/24          1       675  

Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes

 

3.000%

     06/30/25          915       906,727  

Tennessee Valley Authority, Sr. Unsec’d. Notes

 

2.875%

     02/01/27          300       292,540  

7.125%

     05/01/30          510       701,484  
         

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $200,870,132)

 

    199,025,571  
         

 

 

 
U.S. TREASURY OBLIGATIONS — 2.7%

 

U.S. Treasury Bonds

 

3.000%

     02/15/48 (a)         6,470       6,491,735  

U.S. Treasury Inflation Indexed Bonds, TIPS

 

0.625%

     01/15/26          35,003       34,812,336  

U.S. Treasury Notes

 

1.625%

     04/30/23          450       427,535  

2.500%

     05/31/20          3,210       3,208,495  

2.625%

     06/15/21          6,865       6,865,805  

2.625%

     06/30/23          850       845,850  

2.750%

     05/31/23          2,330       2,332,912  

2.875%

     05/31/25          3,540       3,553,552  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A26


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
    Principal
Amount
(000)#
     Value  
U.S. TREASURY OBLIGATIONS (continued)

 

2.875%

     05/15/28       1,005      $ 1,007,002  

U.S. Treasury Strips Coupon

 

2.184%(s)

     02/15/28       2,115        1,595,635  

2.241%(s)

     05/15/28       1,055        789,697  

2.280%(s)

     02/15/29       1,055        771,351  

2.384%(s)

     05/15/29       2,175        1,578,702  

2.519%(s)

     08/15/25       680        554,334  

2.783%(s)

     08/15/29       1,000        719,782  

2.878%(s)

     05/15/31       1,000        681,764  

3.042%(s)

     11/15/35       2,000        1,189,546  

3.202%(s)

     08/15/40       2,000        1,029,251  
       

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $68,525,538)

 

     68,455,284  
       

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $1,372,053,613)

 

     2,210,786,938  
       

 

 

 
           Shares         
SHORT-TERM INVESTMENTS — 17.1%

 

AFFILIATED MUTUAL FUNDS — 16.9%

 

PGIM Core Short-Term Bond Fund(w)

 

    7,152,593        66,304,535  

PGIM Core Ultra Short Bond
Fund(w)

 

    307,812,614        307,812,614  

PGIM Institutional Money Market Fund
(cost $53,249,071; includes $53,147,294 of cash collateral for securities on loan)(b)(w)

 

    53,250,441        53,255,767  
       

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $427,679,844)

 

     427,372,916  
       

 

 

 

Interest

Rate

   Maturity
Date
    Principal
Amount
(000)
        
COMMERCIAL PAPER — 0.1%

 

Ford Motor Credit Co. LLC

 

3.201%(n)

     04/09/19       1,790        1,751,096  
       

 

 

 

(cost $1,746,798)

 

  
U.S. TREASURY OBLIGATION — 0.1%

 

U.S. Treasury Bills

 

1.902%(n)

     09/20/18 (k)      1,895        1,887,104  
       

 

 

 

(cost $1,887,035)

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $431,313,677)

 

     431,011,116  
       

 

 

 

TOTAL INVESTMENTS — 104.8%
(cost $1,803,367,290)

 

     2,641,798,054  

LIABILITIES IN EXCESS OF OTHER
ASSETS(z) — (4.8)%

 

     (121,208,016
       

 

 

 

NET ASSETS — 100.0%

 

     $ 2,520,590,038  
       

 

 

 

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.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $24 and 0.0% of net assets.

 

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $51,870,537; cash collateral of $53,147,294 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

(b)

Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

 

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

 

(d)

Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

 

(k)

Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

 

(n)

Rate shown reflects yield to maturity at purchase date.

 

(r)

Less than $500 par.

 

(s)

Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

(z)

Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A27


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Futures contracts outstanding at June 30, 2018:

 

Number of
Contracts
  Type     Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 
Long Positions:        
411     2 Year U.S.Treasury Notes       Sep. 2018     $ 87,061,360     $ 193,189  
1,622     5 Year U.S.Treasury Notes       Sep. 2018       184,287,078       1,006,108  
448     30 Year U.S. Ultra Treasury Bonds       Sep. 2018       71,484,000       2,471,249  
14     Mini MSCI EAFE Index       Sep. 2018       1,368,780       (24,719
145     S&P 500 E-Mini Index       Sep. 2018       19,731,600       (475,304
23     S&P 500 Index       Sep. 2018       15,649,200       (328,661
       

 

 

 
          2,841,862  
       

 

 

 
Short Positions:        
237     90 Day Euro Dollar       Dec. 2018       57,685,800       411,297  
242     10 Year U.S. Treasury Notes       Sep. 2018       29,085,375       8,786  
57     10 Year U.S. Ultra Treasury Notes       Sep. 2018       7,309,359       (151,121
236     20 Year U.S. Treasury Bonds       Sep. 2018       34,220,000       (905,047
       

 

 

 
          (636,085
       

 

 

 
        $ 2,205,777  
       

 

 

 

Securities with combined market values of $2,729,474 and $1,887,104 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2018.

Forward foreign currency exchange contracts outstanding at June 30, 2018:

 

Sale Contracts

 

Counterparty

     Notional
Amount (000)
     Value at
Settlement Date
     Current
Value
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Forward Foreign Currency Exchange Contracts:

 

           

Euro,

                  

Expiring 07/26/18

  Citigroup Global Markets      EUR  2,827      $ 3,463,106      $ 3,307,793      $ 155,313      $  
         

 

 

    

 

 

    

 

 

    

 

 

 

Forward rate agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Fair
Value
     Upfront
Premiums
     Unrealized
Appreciation

(Depreciation)
    

Counterparty

 

OTC Forward Rate Agreements^:

  87,800        07/30/18        4.000%(T)     

CMM 102(1)(T)

   $   —      $   —      $   —     

JPMorgan Chase

  87,800        07/30/18        2.839%(T)     

10 Year CMT(1)(T)

                       

JPMorgan Chase

           

 

 

    

 

 

    

 

 

    
            $      $      $     
           

 

 

    

 

 

    

 

 

    

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

Inflation swap agreement outstanding at June 30, 2018:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Value at
Trade Date
     Value at
June 30, 2018
    Unrealized
Appreciation
(Depreciation)
 
 

Centrally Cleared Inflation Swap Agreement:

 
  1,240        10/25/27        2.160%(T)     

U.S. CPI Urban Consumers NSA Index(2)(T)

   $ 29      $ (29,654   $ (29,683
           

 

 

    

 

 

   

 

 

 

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A28


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2018:

 

Notional
Amount

(000)#
     Termination
Date
    

Fixed
Rate

  

Floating Rate

   Value at
Trade Date
    Value at
June 30, 2018
    Unrealized
Appreciation
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

 
  EUR       2,835        05/11/24     

0.396%(A)

   6 Month EURIBOR(1)(S)    $ 21,623     $ (6,039   $ (27,662
    852,345        01/30/19     

2.261%(T)

   1 Day USOIS(1)(T)            (38,138     (38,138
    747,120        03/20/19     

2.158%(T)

   1 Day USOIS(1)(T)            142,429       142,429  
    47,045        06/30/19     

1.486%(A)

   1 Day USOIS(1)(A)      (17,942     329,165       347,107  
    9,895        06/30/19     

1.502%(A)

   1 Day USOIS(1)(A)      (5,200     66,502       71,702  
    17,865        09/30/19     

1.707%(A)

   1 Day USOIS(1)(A)      5,028       116,438       111,410  
    28,570        12/31/19     

1.840%(A)

   1 Day USOIS(1)(A)      17,378       200,526       183,148  
    13,360        12/31/19     

1.950%(A)

   1 Day USOIS(1)(A)      3,687       68,440       64,753  
    5,500        12/31/19     

2.040%(A)

   1 Day USOIS(1)(A)      63       19,509       19,446  
    2,345        12/31/19     

2.107%(A)

   1 Day USOIS(1)(A)      (5     4,962       4,967  
    17,640        03/23/21     

2.369%(A)

   1 Day USOIS(1)(A)            14,654       14,654  
    570        05/31/22     

2.353%(A)

   1 Day USOIS(1)(A)            2,791       2,791  
    14,815        08/15/24     

2.170%(S)

   3 Month LIBOR(1)(Q)      32,653       525,124       492,471  
    11,300        11/15/24     

2.334%(S)

   3 Month LIBOR(1)(Q)      35,176       369,312       334,136  
    7,455        02/12/25     

2.407%(A)

   1 Day USOIS(1)(A)            25,338       25,338  
    1,200        02/14/25     

         —(3)

   —(3)            1,054       1,054  
    1,180        02/28/25     

2.454%(A)

   1 Day USOIS(1)(A)            3,974       3,974  
    27,645        01/08/26     

2.210%(S)

   3 Month LIBOR(1)(Q)      216,719       1,152,868       936,149  
    5,668        02/15/27     

1.824%(A)

   1 Day USOIS(1)(A)      62,809       303,339       240,530  
    1,185        02/15/27     

1.899%(A)

   1 Day USOIS(1)(A)      1,503       56,206       54,703  
    925        02/15/27     

1.965%(A)

   1 Day USOIS(1)(A)            38,906       38,906  
    3,150        02/15/27     

2.067%(A)

   1 Day USOIS(1)(A)      (1,997     106,053       108,050  
    525        05/15/27     

2.295%(S)

   3 Month LIBOR(1)(Q)            25,679       25,679  
    5,435        02/15/36     

2.338%(S)

   3 Month LIBOR(2)(Q)      (36,570     (447,933     (411,363
    145        11/15/43     

2.659%(S)

   3 Month LIBOR(1)(Q)            7,690       7,690  
             

 

 

   

 

 

   

 

 

 
              $ 334,925     $ 3,088,849     $ 2,753,924  
             

 

 

   

 

 

   

 

 

 

Securities with a combined market value of $4,294,293 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

 

(3)

The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 Day USOIS plus 38.25 bps quarterly.

Total return swap agreements outstanding at June 30, 2018:

 

Counterparty

  Termination
Date
     Long (Short)
Notional
Amount
(000)#
    

Description

  Fair
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)(1)
 

OTC Total Return Swap Agreement^:

 

        

Barclays Capital Group

    7/31/18        2,495      Receive payment based on Bloomberg Barclays US Corporate Total Return Value Unhedged Index upon termination and pay variable payments based on 1 Month LIBOR plus 10bps monthly   $ 24     $     $ 24  
         

 

 

   

 

 

   

 

 

 

 

(1)

Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balance Reported in the Statement of Assets and Liabilities for OTC Swap Agreements Table:

 

     Premiums
Paid
     Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Swap Agreements

   $      $      $ 24      $  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A29


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Fair Value Measurements:

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—

unadjusted 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, 2018 in valuing such portfolio securities:

 

     Level 1      Level 2     Level 3  

Investments in Securities

       

Common Stocks

   $ 1,226,928,112      $ 36,581,845     $  

Exchange Traded Funds

     6,434,513               

Preferred Stocks

     1,325,600        207,709        

Rights

                   

Asset-Backed Securities

       

Automobiles

            46,559,736        

Collateralized Loan Obligations

            43,451,661        

Consumer Loans

            7,225,114        

Credit Cards

            7,862,464        

Equipment

            7,432,888        

Home Equity Loans

            3,890,809        

Other

            890,934        

Residential Mortgage-Backed Securities

            16,874,143        

Student Loans

            16,449,372        

Bank Loan

            336,489        

Commercial Mortgage-Backed Securities

            181,627,211        

Corporate Bonds

            267,398,751        

Municipal Bonds

            16,561,487        

Residential Mortgage-Backed Securities

            28,652,232        

Sovereign Bonds

            26,615,013        

U.S. Government Agency Obligations

            199,025,571        

U.S. Treasury Obligations

            70,342,388        

Affiliated Mutual Funds

     427,372,916               

Commercial Paper

            1,751,096        

Other Financial Instruments*

       

Futures Contracts

     2,205,777               

OTC Forward Foreign Currency Exchange Contracts

            155,313        

OTC Forward Rate Swap Agreements

                   

Centrally Cleared Inflation Swap Agreement

            (29,683      

Centrally Cleared Interest Rate Swap Agreements

            2,753,924        

OTC Total Return Swap Agreement

                  24  
  

 

 

    

 

 

   

 

 

 

Total

   $ 1,664,266,918      $ 982,616,467     $ 24  
  

 

 

    

 

 

   

 

 

 

 

*

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.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Affiliated Mutual Funds (2.1% represents investments purchased with collateral from securities on loan)

     16.9

U.S. Government Agency Obligations

     7.9  

Commercial Mortgage-Backed Securities

     7.2  

Banks

     6.6  

Software

     3.1  

U.S. Treasury Obligations

     2.8  

Oil, Gas & Consumable Fuels

     2.8

Pharmaceuticals

     2.6  

Internet Software & Services

     2.6  

IT Services

     2.2  

Technology Hardware, Storage & Peripherals

     2.2  

Automobiles

     2.1  

Internet & Direct Marketing Retail

     2.1  
 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A30


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Industry Classification (continued):

 

Semiconductors & Semiconductor Equipment

     2.0

Residential Mortgage-Backed Securities

     1.8  

Collateralized Loan Obligations

     1.7  

Health Care Providers & Services

     1.6  

Health Care Equipment & Supplies

     1.5  

Capital Markets

     1.5  

Insurance

     1.5  

Media

     1.5  

Equity Real Estate Investment Trusts (REITs)

     1.4  

Aerospace & Defense

     1.4  

Chemicals

     1.3  

Biotechnology

     1.2  

Specialty Retail

     1.2  

Electric

     1.2  

Diversified Financial Services

     1.1  

Sovereign Bonds

     1.1  

Beverages

     1.0  

Diversified Telecommunication Services

     1.0  

Electric Utilities

     0.9  

Hotels, Restaurants & Leisure

     0.8  

Industrial Conglomerates

     0.8  

Machinery

     0.8  

Food & Staples Retailing

     0.7  

Household Products

     0.7  

Oil & Gas

     0.7  

Municipal

     0.7  

Student Loans

     0.7  

Food Products

     0.6  

Communications Equipment

     0.5  

Tobacco

     0.5  

Auto Manufacturers

     0.5  

Road & Rail

     0.5  

Multi-Utilities

     0.5  

Airlines

     0.4  

Textiles, Apparel & Luxury Goods

     0.4  

Life Sciences Tools & Services

     0.4  

Energy Equipment & Services

     0.4  

Consumer Finance

     0.3  

Pipelines

     0.3  

Air Freight & Logistics

     0.3  

Credit Cards

     0.3  

Equipment

     0.3  

Consumer Loans

     0.3  

Telecommunications

     0.3  

Retail

     0.3  

Electrical Equipment

     0.3  

Multiline Retail

     0.3  

Exchange Traded Funds

     0.2  

Electronic Equipment, Instruments & Components

     0.2  

Household Durables

     0.2  

Metals & Mining

     0.2  

Healthcare-Services

     0.2  

Containers & Packaging

     0.2  

Computers

     0.2  

Professional Services

     0.2

Home Equity Loans

     0.2  

Commercial Services & Supplies

     0.2  

Building Products

     0.1  

Multi-National

     0.1  

Agriculture

     0.1  

Trading Companies & Distributors

     0.1  

Oil & Gas Services

     0.1  

Personal Products

     0.1  

Food

     0.1  

Commercial Services

     0.1  

Gas

     0.1  

Auto Components

     0.1  

Housewares

     0.1  

Transportation

     0.1  

Construction Materials

     0.1  

Commercial Paper

     0.1  

Construction & Engineering

     0.1  

Forest Products & Paper

     0.1  

Auto Parts & Equipment

     0.1  

Real Estate Management & Development

     0.1  

Semiconductors

     0.1  

Healthcare-Products

     0.1  

Lodging

     0.1  

Distributors

     0.1  

Savings & Loans

     0.0

Packaging & Containers

     0.0

Building Materials

     0.0

Machinery-Diversified

     0.0

Mining

     0.0

Miscellaneous Manufacturing

     0.0

Health Care Technology

     0.0

Home Builders

     0.0

Independent Power & Renewable Electricity Producers

     0.0

Other

     0.0

Leisure Products

     0.0

Water Utilities

     0.0

Wireless Telecommunication Services

     0.0

Electronics

     0.0

Transportation Infrastructure

     0.0

Entertainment

     0.0

Technology

     0.0

Diversified Consumer Services

     0.0

Real Estate Investment Trusts (REITs)

     0.0

Paper & Forest Products

     0.0

Marine

     0.0
  

 

 

 
     104.8  

Liabilities in excess of other assets

     (4.8
  

 

 

 
     100.0
  

 

 

 

 

*

Less than +/- 0.05%

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A31


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk, foreign exchange contracts risk and interest rate contracts 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, 2018 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
   $ 828,684

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      155,313           

Interest rate contracts

   Due from/to broker — variation margin futures      4,090,629   Due from/to broker —
variation margin futures
     1,056,168

Interest rate contracts

   Due from/to broker — variation margin swaps      3,231,087   Due from/to broker —
variation margin swaps
     506,846

Interest rate contracts

   Unrealized appreciation on OTC swap agreements      24           
     

 

 

      

 

 

 
      $ 7,477,053        $   2,391,698  
     

 

 

      

 

 

 

 

*

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, 2018 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(1)        Options
Purchased(1)
     Options
Written
       Futures      Forward
Currency
Contracts
     Swaps  

Equity contracts

     $ 6,664        $      $        $ 1,339,560      $      $  

Foreign exchange contracts

                                       (53,795       

Interest rate contracts

                (117,515      22,570          (8,951,543             1,744,184  
    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

    

 

 

 

Total

     $ 6,664        $ (117,515    $ 22,570        $ (7,611,983    $ (53,795    $ 1,744,184  
    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

    

 

 

 

 

(1)

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                

     Futures      Forward
Currency
Contracts
       Swaps  

Equity contracts

     $ (1,024,912    $        $  

Foreign exchange contracts

              197,581           

Interest rate contracts

       3,620,628                 2,246,598  
    

 

 

    

 

 

      

 

 

 

Total

     $ 2,595,716      $ 197,581        $ 2,246,598  
    

 

 

    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A32


   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

 

Options

Purchased(1)

 

Options

Written(2)

 

Futures

Contracts-

Long

Positions(2)

 

Futures

Contracts-

Short

Positions(2)

$22,162   $123,333   $461,233,762   $131,077,773

 

Forward Foreign

Currency Exchange

Contracts-Sold(3)

 

Forward Rate

Agreements(2)

 

Interest Rate

Swap

Agreements(2)

$3,447,497   $58,533,333   $774,407,537

 

Total Return

Swap

Agreements(2)

 

Inflation Swap

Agreements(2)

$831,667   $1,240,000

 

(1)

Cost.

 

(2)

Notional Amount in USD.

 

(3)

Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions 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 derivative and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Gross Market
Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(2)
     Net
Amount
 

Securities on Loan

     $ 51,870,537        $ (51,870,537    $  
    

 

 

         

Offsetting of OTC derivative assets and liabilities:

 

Counterparty

   Gross Amounts of
Recognized
Assets(1)
     Gross Amounts of
Recognized
Liabilities(1)
     Net Amounts of
Recognized
Assets/(Liabilities)
     Collateral
Pledged/(Received)(2)
     Net Amount  

Barclays Capital Group

   $ 24      $      $ 24      $      $ 24  

Citigroup Global Markets

     155,313               155,313               155,313  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 155,337      $      $ 155,337      $      $ 155,337  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(1)

Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

 

(2)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A33


   CONSERVATIVE BALANCED PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

 

ASSETS   

Investments at value, including securities on loan of $51,870,537:

  

Unaffiliated investments (cost $1,375,687,446)

   $ 2,214,425,138  

Affiliated investments (cost $427,679,844)

     427,372,916  

Cash

     7,378  

Foreign currency, at value (cost $532,324)

     533,402  

Receivable for investments sold

     68,761,277  

Dividends and interest receivable

     6,459,356  

Tax reclaim receivable

     531,190  

Receivable for Series shares sold

     371,146  

Unrealized appreciation on OTC forward foreign currency exchange contracts

     155,313  

Due from broker-variation margin swaps

     61,213  

Due from broker-variation margin futures

     31,231  

Receivable from affiliate

     6,915  

Unrealized appreciation on OTC swap agreements

     24  

Prepaid expenses

     2,631  
  

 

 

 

Total Assets

     2,718,719,130  
  

 

 

 
LIABILITIES   

Payable for investments purchased

     142,969,754  

Payable to broker for collateral for securities on loan

     53,147,294  

Management fee payable

     1,149,566  

Accrued expenses and other liabilities

     354,811  

Payable for Series shares repurchased

     225,386  

Payable to affiliate

     198,700  

Due to broker-variation margin futures

     82,601  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     198,129,092  
  

 

 

 
NET ASSETS    $ 2,520,590,038  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 2,520,590,038  
  

 

 

 

Net asset value and redemption price per share, $2,520,590,038 / 92,279,178 outstanding shares of beneficial interest

   $ 27.31  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Interest income

   $ 14,944,188  

Unaffiliated dividend income (net) (foreign withholding tax $147,711, of which $13,468 is reimbursable by an affiliate)

     13,315,283  

Affiliated dividend income

     3,034,693  

Income from securities lending, net (including affiliated income of $82,723)

     87,389  
  

 

 

 

Total income

     31,381,553  
  

 

 

 
EXPENSES   

Management fee

     6,979,245  

Custodian and accounting fees

     180,977  

Shareholders’ reports

     128,358  

Audit fee

     23,702  

Trustees’ fees

     17,144  

Legal fees and expenses

     8,314  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

     5,297  

Miscellaneous

     47,177  
  

 

 

 

Total expenses

     7,390,214  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      23,991,339  
  

 

 

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

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $(2,923,464))

     22,717,186  

Futures transactions

     (7,611,983

Forward currency contract transactions

     (53,795

Options written transactions

     22,570  

Swap agreements transactions

     1,744,184  

Foreign currency transactions

     451,575  
  

 

 

 
     17,269,737  
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $2,817,748)

     (32,959,335

Futures

     2,595,716  

Forward currency contracts

     197,581  

Swap agreements

     2,246,598  

Foreign currencies

     (25,389
  

 

 

 
     (27,944,829
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      (10,675,092
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 13,316,247  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 23,991,339     $ 44,458,968  

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

     17,269,737       131,476,601  

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     (27,944,829     119,341,110  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     13,316,247       295,276,679  
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [147,922 and 357,202 shares, respectively]

     4,021,170       9,258,591  

Series shares repurchased [3,353,722 and 7,143,196 shares, respectively]

     (91,452,396     (183,096,479
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (87,431,226     (173,837,888
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      39,225        
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      (74,075,754     121,438,791  
NET ASSETS:     

Beginning of period

     2,594,665,792       2,473,227,001  
  

 

 

   

 

 

 

End of period

   $ 2,520,590,038     $ 2,594,665,792  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A34


   DIVERSIFIED BOND PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
LONG-TERM INVESTMENTS — 94.2%

 

ASSET-BACKED SECURITIES — 27.0%

 

Automobiles — 0.2%

 

  

Hertz Vehicle Financing II LP,

 

Series 2015-01A, Class A, 144A

 

  

2.730%

     03/25/21           400      $ 395,643  

OneMain Direct Auto Receivables Trust,

 

Series 2016-01A, Class C, 144A

 

  

4.580%

     09/15/21           1,600        1,601,356  
           

 

 

 
        1,996,999  
           

 

 

 

Collateralized Loan Obligations — 19.4%

 

ArrowMark Colorado Holdings (Cayman Islands),

 

Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.628%(c)

     07/15/29           250        250,717  

Atlas Senior Loan Fund Ltd. (Cayman Islands),

 

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.830%

 

3.151%(c)

     11/17/27           4,500        4,476,745  

Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260%

 

3.608%(c)

     07/16/29           500        501,227  

Atrium (Cayman Islands),

 

Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830%

 

3.192%(c)

     04/22/27           8,250        8,226,643  

Battalion CLO Ltd. (Cayman Islands),

 

Series 2014-05A, Class A1R, 144A, 3 Month LIBOR + 1.170%

 

3.523%(c)

     04/17/26           1,100        1,099,968  

Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070%

 

3.400%(c)

     05/17/31           3,000        2,999,794  

Benefit Street Partners CLO Ltd. (Cayman Islands),

 

Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250%

 

3.598%(c)

     10/15/30           4,500        4,506,388  

Brookside Mill CLO Ltd. (Cayman Islands),

 

Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350%

 

3.054%(c)

     01/17/28           2,500        2,481,340  

Carlyle US CLO Ltd. (Cayman Islands),

 

Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180%

 

3.528%(c)

     01/15/30           4,000        4,005,014  

Catamaran CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%

 

3.622%(c)

     04/22/30           7,750        7,744,966  

CIFC Funding Ltd. (Cayman Islands),

 

Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980%

 

3.330%(c)

     04/24/31           1,500        1,497,393  

Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110%

 

3.472%(c)

     01/22/31           3,750        3,743,733  

Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870%

 

3.225%(c)

     04/19/29           5,000        4,983,628  

ECP CLO Ltd. (Cayman Islands),

 

Series 2014-06A, Class A1A, 144A, 3 Month LIBOR + 1.450%

 

3.798%(c)

     07/15/26           1,500        1,499,236  

Elevation CLO Ltd. (Cayman Islands),

 

Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230%

 

3.578%(c)

     10/15/29           7,500        7,512,553  

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220%

 

2.824%(c)

     07/15/30           5,250        5,258,069  

Flagship CLO Ltd. (Cayman Islands),

 

Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%

 

2.899%(c)

     01/16/26           5,000        5,000,000  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
ASSET-BACKED SECURITIES (continued)

 

Collateralized Loan Obligations (continued)

 

Greenwood Park CLO Ltd. (Cayman Islands),

 

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%

 

3.035%(c)

     04/15/31           6,000      $ 5,999,654  

Greywolf CLO Ltd. (Cayman Islands),

 

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%

 

3.539%(c)

     04/26/31           3,500        3,501,971  

Highbridge Loan Management Ltd. (Cayman Islands),

 

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%

 

3.363%(c)

     02/05/31           4,000        4,004,271  

ICG US CLO Ltd. (Cayman Islands),

 

Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030%

 

3.390%(c)

     04/25/31           2,500        2,502,038  

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.642%(c)

     10/23/29           1,250        1,250,443  

KVK CLO Ltd. (Cayman Islands),

 

Series 2014-02A, Class AR, 144A, 3 Month LIBOR + 1.180%

 

3.528%(c)

     07/15/26           250        249,966  

Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.200%

 

3.548%(c)

     10/15/26           1,000        999,831  

Mariner CLO Ltd. (Cayman Islands),

 

Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110%

 

3.324%(c)

     04/25/31           5,750        5,728,615  

MidOcean Credit CLO (Cayman Islands),

 

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%

 

2.681%(c)

     04/21/31           9,750        9,750,000  

Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150%

 

3.036%(c)

     02/20/31           4,000        3,999,978  

Mountain View CLO LLC (Cayman Islands),

 

Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210%

 

3.075%(c)

     01/16/31           4,000        3,998,610  

Mountain View CLO Ltd. (Cayman Islands),

 

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250%

 

3.589%(c)

     10/12/30           8,000        8,025,799  

Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%

 

3.169%(c)

     07/15/31           6,000        6,000,000  

MP CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.500%

 

3.855%(c)

     04/18/27           7,000        7,004,884  

Neuberger Berman CLO Ltd. (Cayman Islands),

 

Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850%

 

3.198%(c)

     01/15/28           3,000        2,985,338  

OCP CLO Ltd. (Cayman Islands),

 

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%

 

3.608%(c)

     07/15/30           750        751,788  

OZLM Ltd. (Cayman Islands),

 

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/30/30           1,250        1,251,134  

Palmer Square CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%

 

3.483%(c)

     01/17/31           4,000        3,999,732  

Series 2015-02A, Class A1AR, 144A, 3 Month LIBOR + 1.270%

 

3.629%(c)

     07/20/30           1,000        1,002,260  

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%

 

3.053%(c)

     11/14/29           3,500        3,511,110  

Romark CLO Ltd. (Cayman Islands),

 

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%

 

2.776%(c)

     04/20/31           4,000        4,003,128  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A35


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
ASSET-BACKED SECURITIES (continued)

 

Collateralized Loan Obligations (continued)

 

Sound Point CLO Ltd. (Cayman Islands),

 

Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070%

 

3.432%(c)

     01/26/31           3,500      $ 3,492,334  

Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%

 

3.239%(c)

     07/20/27           4,000        3,993,704  

Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220%

 

3.579%(c)

     10/20/30           5,750        5,766,715  

Telos CLO Ltd. (Cayman Islands),

 

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%

 

3.593%(c)

     01/17/30           3,500        3,497,990  

TICP CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300%

 

3.659%(c)

     07/20/27           6,000        5,990,569  

Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140%

 

2.871%(c)

     01/20/31           3,000        2,997,027  

Trinitas CLO Ltd. (Cayman Islands),

 

Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400%

 

3.748%(c)

     07/15/27           5,000        4,961,312  

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

 

4.060%(c)

     10/25/28           3,250        3,250,000  

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%

 

3.570%(c)

     01/25/31           4,000        4,011,797  

Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600%

 

3.960%(c)

     01/25/31           1,500        1,503,286  

Venture CLO Ltd. (Cayman Islands),

 

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%

 

3.228%(c)

     07/15/27           5,000        4,996,214  

Voya CLO Ltd. (Cayman Islands),

 

Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210%

 

3.558%(c)

     10/15/30           7,500        7,520,612  

Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970%

 

3.314%(c)

     04/25/31           3,000        2,993,418  

Wellfleet CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%

 

3.679%(c)

     04/20/29           1,750        1,755,555  

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/20/29           1,000        1,001,259  

Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%

 

2.881%(c)

     01/17/31           6,500        6,505,720  

York CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150%

 

3.512%(c)

     01/22/31           2,000        1,998,753  

Zais CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%

 

3.718%(c)

     07/15/29           1,000        1,003,801  

Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950%

 

3.075%(c)

     04/15/29           8,500        8,460,656  
           

 

 

 
              222,008,686  
           

 

 

 

Consumer Loans — 2.3%

 

Lendmark Funding Trust,

 

Series 2016-02A, Class A, 144A

 

3.260%

     04/21/25           700        700,866  

Series 2017-01A, Class A, 144A

 

2.830%

     12/22/25           1,000        991,307  

Onemain Financial Issuance Trust,

 

Series 2018-01A, Class A, 144A

 

3.300%

     03/14/29           1,030        1,026,324  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
ASSET-BACKED SECURITIES (continued)

 

Consumer Loans (continued)

 

OneMain Financial Issuance Trust,

 

Series 2015-02A, Class A, 144A

 

2.570%

     07/18/25           512      $ 511,645  

Series 2015-02A, Class C, 144A

 

4.320%

     07/18/25           1,100        1,097,563  

Series 2016-01A, Class A, 144A

 

3.660%

     02/20/29           2,500        2,515,678  

Series 2016-02A, Class A, 144A

 

4.100%

     03/20/28           1,767        1,777,346  

Series 2017-01A, Class B, 144A

 

2.790%

     09/14/32           500        485,530  

Series 2017-01A, Class C, 144A

 

3.350%

     09/14/32           500        490,721  

Oportun Funding IV LLC,

 

Series 2016-C, Class A, 144A

 

3.280%

     11/08/21           2,550        2,561,348  

Oportun Funding IX LLC,

 

Series 2018-B, Class A, 144A

 

3.910%

     07/08/24           1,000        999,889  

Series 2018-B, Class C, 144A

 

5.430%

     07/08/24           500        499,943  

Oportun Funding VI LLC,

 

Series 2017-A, Class A, 144A

 

3.230%

     06/08/23           1,250        1,229,639  

Oportun Funding VII LLC,

 

Series 2017-B, Class A, 144A

 

3.220%

     10/10/23           3,000        2,957,445  

Oportun Funding VIII LLC,

 

Series 2018-A, Class A, 144A

 

3.610%

     03/08/24           1,140        1,135,227  

PNMAC GMSR Issuer Trust,

 

Series 2017-GT02, Class A, 144A, 1 Month LIBOR + 4.000%

 

6.091%(c)

     08/25/23           1,275        1,282,100  

Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350%

 

4.441%(c)

     04/25/23           120        120,047  

SpringCastle America Funding LLC,

 

Series 2016-AA, Class A, 144A

 

3.050%

     04/25/29           2,752        2,742,274  

Springleaf Funding Trust,

 

Series 2015-AA, Class A, 144A

 

3.160%

     11/15/24           3,271        3,269,483  
           

 

 

 
              26,394,375  
           

 

 

 

Home Equity Loans — 2.1%

 

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

 

Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500%

 

5.179%(c)

     01/25/33           1,763        1,762,957  

Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates,

 

Series 2001-02, Class M3, 1 Month LIBOR + 2.925%

 

5.016%(c)

     10/25/31           249        266,785  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 

Series 2003-W02, Class M4, 1 Month LIBOR + 5.625%

 

4.153%(c)

     09/25/33           2,400        2,278,702  

Series 2004-W06, Class M1, 1 Month LIBOR + 0.825%

 

2.916%(c)

     05/25/34           643        641,434  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A36


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
ASSET-BACKED SECURITIES (continued)

 

Home Equity Loans (continued)

 

Asset-Backed Securities Corp. Home Equity Loan Trust,

 

Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245%

 

3.318%(c)

     06/15/33           798      $ 788,916  

Bear Stearns Asset-Backed Securities Trust,

 

Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900%

 

2.991%(c)

     03/25/34           2,428        2,433,081  

Centex Home Equity Loan Trust,

 

Series 2004-B, Class AF6

 

4.686%

     03/25/34           450        460,520  

Credit Suisse First Boston Mortgage Pass-Through Certificates,

 

Series 2002-HE04, Class M2, 1 Month LIBOR + 2.250%

 

4.341%(c)

     08/25/32           35        33,076  

Legacy Mortgage Asset Trust,

 

Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750%

 

3.852%(c)

     01/28/70           776        791,355  

Merrill Lynch Mortgage Investors Trust,

 

Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200%

 

3.291%(c)

     08/25/35           281        282,861  

Morgan Stanley ABS Capital I, Inc. Trust,

 

Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%

 

3.291%(c)

     05/25/33           579        574,430  

Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020%

 

3.111%(c)

     10/25/33           449        449,051  

Series 2004-OP01, Class M1, 1 Month LIBOR + 0.870%

 

2.961%(c)

     11/25/34           3,689        3,675,876  

New Century Home Equity Loan Trust,

 

Series 2003-04, Class M1, 1 Month LIBOR + 1.125%

 

3.216%(c)

     10/25/33           1,795        1,794,513  

Series 2004-04, Class M1, 1 Month LIBOR + 0.765%

 

2.856%(c)

     02/25/35           2,046        2,033,825  

New Residential Mortgage Trust,

 

Series 2018-01A, Class A1A, 144A

 

4.000%(cc)

     12/25/57           1,890        1,904,781  

Residential Asset Securities Corp.,

 

Series 2004-KS01, Class AI5

 

5.375%

     02/25/34           626        637,245  

Securitized Asset-Backed Receivables LLC Trust,

 

Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780%

 

2.871%(c)

     02/25/34           1,922        1,936,307  

Specialty Underwriting & Residential Finance Trust,

 

Series 2004-BC01, Class M1, 1 Month LIBOR + 0.765%

 

2.856%(c)

     02/25/35           1,038        1,028,749  
           

 

 

 
              23,774,464  
           

 

 

 

Residential Mortgage-Backed Securities — 2.6%

 

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

 

Series 2004-R08, Class M1, 1 Month LIBOR + 0.960%

 

3.051%(c)

     09/25/34           300        300,381  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 

Series 2004-W10, Class A2, 1 Month LIBOR + 0.780%

 

2.871%(c)

     10/25/34           1,290        1,286,074  

Credit Suisse Mortgage Trust,

 

Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%

 

5.132%(c)

     12/26/46           3,652        3,735,712  

CSMC Trust,

 

Series 2018-3R, 144A, 1 Month LIBOR + 1.200%

 

3.071%(c)

     12/25/46           2,665        2,659,526  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
ASSET-BACKED SECURITIES (continued)

 

Residential Mortgage-Backed Securities (continued)

 

Equity One Mortgage Pass-Through Trust,

 

Series 2004-03, Class M1

 

4.617%

     07/25/34           356      $ 351,462  

FBR Securitization Trust,

 

Series 2005-02, Class M1, 1 Month LIBOR + 0.720%

 

2.811%(c)

     09/25/35           428        428,483  

Fremont Home Loan Trust,

 

Series 2003-B, Class M1, 1 Month LIBOR + 1.050%

 

3.141%(c)

     12/25/33           128        125,844  

GSAMP Trust,

 

Series 2007-HE01, Class A1, 1 Month LIBOR + 0.140%

 

2.231%(c)

     03/25/47           1,285        1,214,491  

Long Beach Mortgage Loan Trust,

 

Series 2004-01, Class M1, 1 Month LIBOR + 0.750%

 

2.841%(c)

     02/25/34           1,835        1,837,133  

LSFVT,

 

Series 2018-1, 1 Month LIBOR + 2.000%^

 

3.980%(c)

     04/01/21           6,850        6,829,450  

Merrill Lynch Mortgage Investors Trust,

 

Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520%

 

2.611%(c)

     06/25/35           913        909,424  

Structured Asset Investment Loan Trust,

 

Series 2004-07, Class A8, 1 Month LIBOR + 1.200%

 

3.291%(c)

     08/25/34           1,400        1,382,944  

Towd Point Mortgage Trust,

 

Series 2017-04, Class A1, 144A

 

2.750%(cc)

     06/25/57           3,833        3,740,337  

Series 2017-06, Class A1, 144A

 

2.750%(cc)

     10/25/57           3,853        3,754,561  

VOLT LVII LLC,

 

Series 2017-NPL04, Class A1, 144A

 

3.375%

     04/25/47           255        254,093  

VOLT LX LLC,

 

Series 2017-NPL07, Class A1, 144A

 

3.250%

     06/25/47           204        203,173  

VOLT LXIII LLC,

 

Series 2017-NP10, Class A1, 144A

 

3.000%

     10/25/47           1,442        1,426,712  
           

 

 

 
              30,439,800  
           

 

 

 

Student Loans — 0.4%

 

     

Earnest Student Loan Program LLC,

 

Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400%

 

3.491%(c)

     01/25/41           278        280,718  

Laurel Road Prime Student Loan Trust,

 

Series 2018-A, Class A, 144A

 

0.000%(cc)

     02/25/43           2,980        4,311,762  
           

 

 

 
              4,592,480  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $305,612,580)

 

     309,206,804  
           

 

 

 
BANK LOANS — 0.9%

 

     

Food — 0.2%

           

Flora Food Group,

 

Term Loan,

           

—%(p)

     02/28/25           1,550        2,001,630  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A37


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
BANK LOANS (continued)

 

Healthcare-Services — 0.1%

 

     

Avantor, Inc.,

 

Initial Euro Term Loan, 1 Month EURIBOR + 4.250%,

 

4.250%(c)

     11/21/24        EUR        448      $ 524,284  

Nidda Healthcare Holding AG (Germany),

 

Facility C GBP, 3 Month GBP LIBOR + 4.500%,

 

4.790%(c)

     08/21/24        GBP        1,000        1,287,854  
           

 

 

 
              1,812,138  
           

 

 

 

Media — 0.0%

 

     

WMG Acquisition Corp.,

 

Initial B-2 US Term Loan, 1 Month LIBOR + 3.250%,

 

5.340%(c)

     09/10/22           418        418,382  
           

 

 

 

Oil, Gas & Coal — 0.1%

 

     

EG America, LLC,

 

Term Loan,

 

—%(p)

     02/01/26           1,025        1,014,750  
           

 

 

 

Retail — 0.1%

           

EURO Garages, LTD (United Kingdom),

 

Term Loan,

 

—%(p)

     03/31/26        EUR        600        696,302  
           

 

 

 

Technology — 0.4%

 

     

Dell International LLC,

 

Replacement Term A-3 Loan, 1 Month LIBOR + 1.500%,

 

3.600%(c)

     12/31/18           1,887        1,884,336  

McAfee, LLC,

 

Closing Date USD Term Loan, 1 Month LIBOR + 4.500%,

 

6.590%(c)

     09/30/24           1,969        1,977,245  

Second Lien Initial Loan, 1 Month LIBOR + 8.500%,

 

10.590%(c)

     09/29/25           500        507,500  
           

 

 

 
              4,369,081  
           

 

 

 

TOTAL BANK LOANS
(cost $10,504,049)

 

     10,312,283  
           

 

 

 

COMMERCIAL MORTGAGE-BACKED

SECURITIES — 14.5%

 

 

245 Park Avenue Trust,

 

Series 2017-245P, Class A, 144A

 

3.508%

     06/05/37           295        288,791  

Banc of America Commercial Mortgage Trust,

 

Series 2016-UB10, Class A3

 

2.903%

     07/15/49           2,300        2,187,073  

BANK,

 

Series 2017-BNK05, Class A4

 

3.131%

     06/15/60           4,400        4,206,711  

Series 2017-BNK06, Class A4

 

3.254%

     07/15/60           3,300        3,185,011  

Series 2017-BNK08, Class A3

 

3.229%

     11/15/50           1,950        1,876,665  

BBCMS Mortgage Trust,

 

Series 2016-ETC, Class A, 144A

 

2.937%

     08/14/36           1,170        1,097,004  

Series 2016-ETC, Class B, 144A

 

3.189%

     08/14/36           510        478,661  

Series 2016-ETC, Class C, 144A

 

3.391%

     08/14/36           430        402,516  

Interest

Rate

   Maturity
Date
            Principal
Amount

(000)
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2016-ETC, Class D, 144A

 

3.729%(cc)

     08/14/36           1,560      $ 1,453,859  

CD Mortgage Trust,

 

Series 2017-CD05, Class A3

 

3.171%

     08/15/50           3,500        3,355,124  

Citigroup Commercial Mortgage Trust,

 

Series 2014-GC21, Class A4

 

3.575%

     05/10/47           3,035        3,049,451  

Series 2016-GC37, Class A4

 

3.314%

     04/10/49           1,600        1,563,383  

CityLine Commercial Mortgage Trust,

 

Series 2016-CLNE, Class B, 144A

 

2.871%(cc)

     11/10/31           2,400        2,268,609  

Series 2016-CLNE, Class C, 144A

 

2.871%(cc)

     11/10/31           900        837,570  

Commercial Mortgage Trust,

 

Series 2012-CR05, Class A3

 

2.540%

     12/10/45           2,000        1,941,869  

Series 2013-CR07, Class A3

 

2.929%

     03/10/46           2,939        2,891,754  

Series 2014-UBS04, Class A4

 

3.420%

     08/10/47           3,200        3,180,378  

Series 2014-UBS05, Class A4

 

3.838%

     09/10/47           3,600        3,647,837  

Series 2015-DC01, Class A4

 

3.078%

     02/10/48           5,000        4,880,600  

Series 2015-LC21, Class A4

 

3.708%

     07/10/48           2,600        2,604,386  

Series 2015-PC01, Class A5

 

3.902%

     07/10/50           1,570        1,586,246  

Series 2016-COR01, Class A3

 

2.826%

     10/10/49           2,500        2,345,682  

Series 2016-DC02, Class A5

 

3.765%

     02/10/49           240        240,047  

Series 2017-COR02, Class A2

 

3.239%

     09/10/50           4,500        4,317,754  

DBJPM Mortgage Trust,

 

Series 2017-C06, Class A4

 

3.071%

     06/10/50           2,800        2,665,893  

DBWF Mortgage Trust,

 

Series 2016-85T, Class D, 144A

 

3.935%(cc)

     12/10/36           1,400        1,316,426  

Eleven Madison Trust Mortgage Trust,

 

Series 2015-11MD, Class C, 144A

 

3.673%(cc)

     09/10/35           3,000        2,907,296  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K008, Class X1, IO

 

1.679%(cc)

     06/25/20           7,647        183,485  

Series K020, Class X1, IO

 

1.553%(cc)

     05/25/22           26,852        1,206,890  

Series K021, Class X1, IO

 

1.590%(cc)

     06/25/22           15,339        730,207  

Series K025, Class X1, IO

 

0.986%(cc)

     10/25/22           10,574        328,742  

Series K027, Class X1, IO

 

0.909%(cc)

     01/25/23           131,461        3,830,450  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A38


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series K044, Class X1, IO

 

0.876%(cc)

     01/25/25           82,870      $ 3,343,082  

Series K053, Class X1, IO

 

1.028%(cc)

     12/25/25           89,160        4,999,762  

Series K055, Class X1, IO

 

1.501%(cc)

     03/25/26           13,893        1,200,101  

Series K710, Class X1, IO

 

1.859%(cc)

     05/25/19           20,770        209,175  

Series K711, Class X1, IO

 

1.800%(cc)

     07/25/19           25,648        266,515  

GS Mortgage Securities Corp. II,

 

Series 2015-GC30, Class A3

 

3.119%

     05/10/50           3,025        2,940,697  

GS Mortgage Securities Trust,

 

Series 2013-GC12, Class A3

 

2.860%

     06/10/46           1,430        1,399,457  

Series 2017-GS06, Class A2

 

3.164%

     05/10/50           3,400        3,264,751  

Series 2017-GS07, Class A3

 

3.167%

     08/10/50           4,560        4,367,341  

IMT Trust,

 

Series 2017-APTS, Class AFX, 144A

 

3.478%

     06/15/34           1,050        1,033,596  

JPMBB Commercial Mortgage Securities Trust,

 

Series 2014-C21, Class A4

 

3.493%

     08/15/47           3,200        3,200,202  

JPMDB Commercial Mortgage Securities Trust,

 

Series 2016-C02, Class A3A

 

2.881%

     06/15/49           1,070        1,013,987  

Series 2017-C05, Class A4

 

3.414%

     03/15/50           1,975        1,935,065  

Series 2017-C07, Class A4

 

3.147%

     10/15/50           3,600        3,442,342  

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

Series 2018-AON, Class E, 144A

 

4.613%(cc)

     07/05/31           5,875        5,878,613  

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2012-LC09, Class A4

 

2.611%

     12/15/47           2,000        1,967,187  

Series 2013-C10, Class A4

 

2.875%

     12/15/47           1,877        1,853,260  

Series 2016-JP02, Class A3

 

2.559%

     08/15/49           2,900        2,684,243  

LCCM,

 

Series 2017-LC26, Class A4, 144A

 

3.551%

     07/12/50           2,505        2,450,689  

Morgan Stanley Bank of America Merrill Lynch Trust,

 

Series 2012-C05, Class XA, IO, 144A

 

1.629%(cc)

     08/15/45           38,651        1,808,263  

Series 2013-C08, Class A3

 

2.863%

     12/15/48           1,531        1,498,850  

Series 2013-C09, Class A3

 

2.834%

     05/15/46           2,300        2,241,557  

Series 2013-C10, Class A3

 

4.104%(cc)

     07/15/46           4,680        4,798,665  

Series 2016-C30, Class A5

 

2.860%

     09/15/49           2,000        1,880,960  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Morgan Stanley Capital I Trust,

 

Series 2017-H01, Class A4

 

3.259%

     06/15/50           2,750      $ 2,660,634  

Morgan Stanley Capital I, Inc.,

 

Series 2017-HR02, Class A3

 

3.330%

     12/15/50           5,500        5,311,241  

Shops at Crystals Trust,

 

Series 2016-CSTL, Class A, 144A

 

3.126%

     07/05/36           180        171,083  

UBS Commercial Mortgage Trust,

 

Series 2017-C02, Class A3

 

3.225%

     08/15/50           4,400        4,225,879  

Series 2017-C07, Class A3

 

3.418%

     12/15/50           5,600        5,437,849  

Series 2018-C10, Class A3

 

4.048%

     05/15/51           2,200        2,239,158  

UBS-Barclays Commercial Mortgage Trust,

 

Series 2013-C05, Class A3

 

2.920%

     03/10/46           4,384        4,306,369  

Wells Fargo Commercial Mortgage Trust,

 

Series 2014-LC16, Class A4

 

3.548%

     08/15/50           4,300        4,317,213  

Series 2016-C32, Class A3

 

3.294%

     01/15/59           2,250        2,201,655  

Series 2016-C34, Class A3

 

2.834%

     06/15/49           2,500        2,368,190  

Series 2016-C35, Class A3

 

2.674%

     07/15/48           4,600        4,290,834  

Series 2017-C40, Class A3

 

3.317%

     10/15/50           1,370        1,326,740  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $171,634,497)

 

     165,591,575  
           

 

 

 
CORPORATE BONDS — 37.4%

 

  

Aerospace & Defense — 0.5%

 

     

Bombardier, Inc. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

7.500%

     12/01/24           1,750        1,841,875  

General Dynamics Corp.,

 

Gtd. Notes

 

2.875%

     05/11/20           1,765        1,763,082  

3.000%

     05/11/21           2,115        2,108,205  
           

 

 

 
              5,713,162  
           

 

 

 

Agriculture — 0.3%

           

BAT Capital Corp. (United Kingdom),

 

Gtd. Notes, 144A

 

3.222%

     08/15/24           2,810        2,661,726  

Reynolds American, Inc. (United Kingdom),

 

Gtd. Notes

 

8.125%

     06/23/19           895        938,139  
           

 

 

 
              3,599,865  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A39


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
    Value  
CORPORATE BONDS (continued)

 

Airlines — 0.6%

 

 

American Airlines 2016-1 Class AA Pass-Through Trust,

 

Pass-Through Certificates

 

3.575%

     07/15/29           1,703     $ 1,652,877  

Continental Airlines 2001-1 Class A-1 Pass-Through Trust,

 

Pass-Through Certificates

 

6.703%

     12/15/22           (r)      333  

Continental Airlines 2007-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

5.983%

     04/19/22           1,298       1,373,670  

Continental Airlines 2010-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

4.750%

     07/12/22           323       329,296  

Delta Air Lines 2007-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

6.821%

     02/10/24           865       942,656  

Delta Air Lines 2010-2 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

4.950%

     11/23/20           252       254,625  

Delta Air Lines 2011-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

5.300%

     10/15/20           346       351,341  

Delta Air Lines, Inc.,

 

Sr. Unsec’d. Notes

 

2.875%

     03/13/20           1,180       1,172,228  

United Airlines 2007-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

6.636%

     07/02/22           630       661,155  
          

 

 

 
             6,738,181  
          

 

 

 

Apparel — 0.2%

 

    

Hanesbrands Finance Luxembourg SCA,

 

Gtd. Notes, 144A

 

3.500%

     06/15/24        EUR        575       701,703  

PVH Corp.,

 

Sr. Unsec’d. Notes, 144A

 

3.625%

     07/15/24        EUR        1,250       1,593,008  
          

 

 

 
             2,294,711  
          

 

 

 

Auto Manufacturers — 0.9%

 

    

BMW US Capital LLC (Germany),

 

Gtd. Notes, 144A, 3 Month LIBOR + 0.410%

 

2.749%(c)

     04/12/21           425       426,437  

Gtd. Notes, 144A

 

3.100%

     04/12/21           570       566,443  

Daimler Finance North America LLC (Germany),

 

Gtd. Notes, 144A

 

3.100%

     05/04/20           1,030       1,027,907  

3.350%

     05/04/21           1,715       1,708,339  

Ford Motor Co.,

 

Sr. Unsec’d. Notes

 

4.750%

     01/15/43           1,755       1,516,869  

5.291%

     12/08/46           440       407,762  

General Motors Co.,

 

Sr. Unsec’d. Notes

 

4.875%

     10/02/23           1,350       1,387,849  

6.250%

     10/02/43           1,885       1,953,435  

6.600%

     04/01/36           210       227,289  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Auto Manufacturers (continued)

 

General Motors Financial Co., Inc.,

 

Gtd. Notes, 3 Month LIBOR + 0.850%

 

3.187%(c)

     04/09/21           610      $ 613,173  

Gtd. Notes

 

3.550%

     04/09/21           460        458,509  
           

 

 

 
              10,294,012  
           

 

 

 

Auto Parts & Equipment — 0.4%

 

Adient Global Holdings Ltd.,

 

Gtd. Notes, 144A

 

3.500%

     08/15/24        EUR        701        757,865  

IHO Verwaltungs GmbH (Germany),

 

1st Lien, 144A, Cash coupon 3.750% or PIK 4.500%

 

3.750%

     09/15/26        EUR        1,050        1,246,865  

Sr. Sec’d. Notes, 144A, Cash coupon 3.250% or PIK 4.000%

 

3.250%

     09/15/23        EUR        1,075        1,268,254  

LKQ Italia Bondco SpA,

 

Gtd. Notes, 144A

 

3.875%

     04/01/24        EUR        1,275        1,548,338  
           

 

 

 
              4,821,322  
           

 

 

 

Banks — 11.5%

 

Banco Santander SA (Spain),

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%

 

3.459%(c)

     04/12/23           400        399,509  

Sr. Unsec’d. Notes

 

3.848%

     04/12/23           600        586,795  

Bank of America Corp.,

 

Jr. Sub. Notes, Series K, 3 Month LIBOR + 3.630%

 

5.989%(c)

     12/31/49           1,120        1,124,758  

Sr. Unsec’d. Notes, GMTN

 

3.300%

     01/11/23           5,870        5,783,887  

3.593%

     07/21/28           740        706,505  

Sr. Unsec’d. Notes, MTN

 

3.499%

     05/17/22           385        384,868  

3.824%

     01/20/28           1,715        1,672,890  

4.125%

     01/22/24           3,750        3,811,725  

4.443%

     01/20/48           455        444,214  

Sub. Notes, MTN

 

4.000%

     01/22/25           675        666,328  

4.200%

     08/26/24           450        452,349  

4.450%

     03/03/26           1,735        1,739,020  

Bank of Montreal (Canada),

 

Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%

 

2.802%(c)

     04/13/21           600        601,116  

Sr. Unsec’d. Notes, Series D, MTN

 

3.100%

     04/13/21           645        642,424  

Barclays PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

3.650%

     03/16/25           700        655,642  

3.684%

     01/10/23           480        466,781  

4.375%

     01/12/26           1,290        1,252,932  

BNP Paribas SA (France),

 

Sr. Unsec’d. Notes, 144A, MTN

 

2.950%

     05/23/22           945        912,233  

3.500%

     03/01/23           490        477,605  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A40


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Banks (continued)

 

  

Sub. Notes, 144A

 

4.625%

     03/13/27           230      $ 225,751  

BPCE SA (France),

 

Sr. Unsec’d. Notes, 144A, MTN

 

3.500%

     10/23/27           300        273,829  

Sub. Notes, 144A, MTN

 

4.500%

     03/15/25           1,500        1,462,332  

Capital One Financial Corp.,

 

Sr. Unsec’d. Notes

 

3.450%

     04/30/21           5,235        5,222,924  

Citibank NA,

 

Sr. Unsec’d. Notes

 

3.050%

     05/01/20           4,120        4,118,497  

Citigroup, Inc.,

 

Jr. Sub. Notes, Series Q

 

5.950%

     12/31/49           1,355        1,395,650  

Jr. Sub. Notes, Series R

 

6.125%

     12/31/49           1,085        1,132,469  

Sr. Unsec’d. Notes

 

3.200%

     10/21/26           3,255        3,026,921  

3.887%

     01/10/28           1,710        1,656,195  

8.125%

     07/15/39           1,060        1,491,023  

Sub. Notes

 

4.450%

     09/29/27           2,630        2,586,952  

Credit Suisse AG (Switzerland),

 

Sr. Unsec’d. Notes, MTN

 

3.625%

     09/09/24           1,050        1,032,451  

Deutsche Bank AG (Germany),

 

Sr. Unsec’d. Notes, GMTN

 

3.375%

     05/12/21           900        870,509  

Sr. Unsec’d. Notes, MTN

 

3.700%

     05/30/24           159        147,598  

Dexia Credit Local SA (France),

 

Gov’t. Liquid Gtd. Notes, 144A

 

2.500%

     01/25/21           1,000        987,663  

Discover Bank,

 

Sr. Unsec’d. Notes

 

3.450%

     07/27/26           280        259,807  

4.250%

     03/13/26           1,150        1,124,101  

Sub. Notes

 

7.000%

     04/15/20           2,005        2,117,347  

Fifth Third Bank,

 

Sr. Unsec’d. Notes

 

2.375%

     04/25/19           425        423,324  

Goldman Sachs Group, Inc. (The),

 

Jr. Sub. Notes, Series M

 

5.375%

     12/31/49           1,950        1,984,125  

Sr. Unsec’d. Notes

 

3.272%

     09/29/25           4,063        3,857,912  

3.750%

     02/25/26           125        121,112  

3.814%

     04/23/29           2,545        2,420,645  

3.850%

     01/26/27           1,775        1,704,581  

5.750%

     01/24/22           4,200        4,494,691  

Sr. Unsec’d. Notes, Series D, MTN

 

6.000%

     06/15/20           2,420        2,545,090  

Sub. Notes

 

6.750%

     10/01/37           440        522,210  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Banks (continued)

 

  

HSBC Holdings PLC (United Kingdom),

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%

 

2.926%(c)

     05/18/21          1,785      $ 1,787,601  

Sr. Unsec’d. Notes

 

4.583%

     06/19/29          1,000        1,010,034  

Intesa Sanpaolo SpA (Italy),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     07/14/27          630        543,599  

JPMorgan Chase & Co.,

 

Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%

 

5.829%(c)

     12/31/49          6,130        6,175,975  

Jr. Sub. Notes, Series X

 

6.100%

     12/31/49          1,450        1,497,270  

Sr. Unsec’d. Notes

 

2.750%

     06/23/20 (a)         5,400        5,351,991  

2.950%

     10/01/26          1,740        1,616,276  

3.200%

     01/25/23          470        461,590  

3.200%

     06/15/26          3,020        2,855,676  

3.509%

     01/23/29          1,435        1,359,598  

3.782%

     02/01/28          965        941,507  

4.005%

     04/23/29          1,200        1,183,999  

4.250%

     10/15/20          600        613,378  

Sub. Notes

 

4.250%

     10/01/27          420        416,928  

KeyCorp,

 

Sr. Unsec’d. Notes, MTN

 

5.100%

     03/24/21          1,155        1,205,918  

Lloyds Bank PLC (United Kingdom),

 

Gtd. Notes

 

3.300%

     05/07/21          1,200        1,197,871  

Gtd. Notes, 144A, MTN

 

5.800%

     01/13/20          2,650        2,750,298  

Morgan Stanley,

 

Jr. Sub. Notes, Series H

 

5.450%

     12/31/49          975        987,802  

Sr. Unsec’d. Notes

 

4.375%

     01/22/47          1,125        1,074,338  

5.750%

     01/25/21          1,920        2,029,911  

Sr. Unsec’d. Notes, GMTN

 

3.125%

     01/23/23          1,585        1,546,538  

3.772%

     01/24/29          1,245        1,199,344  

5.500%

     07/28/21          2,080        2,201,023  

Sr. Unsec’d. Notes, MTN

 

3.125%

     07/27/26          2,725        2,534,864  

3.971%

     07/22/38          385        356,732  

5.625%

     09/23/19          2,635        2,715,247  

Sub. Notes, GMTN

 

4.350%

     09/08/26          750        739,764  

PNC Financial Services Group, Inc. (The),

 

Sub. Notes

 

3.900%

     04/29/24          975        976,706  

Royal Bank of Canada (Canada),

 

Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%

 

2.749%(c)

     04/30/21          1,920        1,919,351  

Sr. Unsec’d. Notes, GMTN

 

3.200%

     04/30/21          5,215        5,212,748  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A41


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Banks (continued)

 

  

Santander UK Group Holdings PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

2.875%

     10/16/20           1,550      $ 1,527,629  

Sumitomo Mitsui Banking Corp. (Japan),

 

Bank Gtd. Notes, 3 Month LIBOR + 0.350%

 

2.703%(c)

     01/17/20           1,820        1,819,962  

Gtd. Notes

 

2.450%

     01/10/19           625        624,370  

UBS Group Funding Switzerland AG (Switzerland),

 

Gtd. Notes, 144A

 

2.859%

     08/15/23           1,100        1,052,827  

4.253%

     03/23/28           1,485        1,475,461  
           

 

 

 
              130,951,416  
           

 

 

 

Beverages — 0.1%

 

  

Coca-Cola Icecek A/S (Turkey),

 

Sr. Unsec’d. Notes, 144A

 

4.750%

     10/01/18           375        375,063  

Maple Escrow Subsidiary, Inc.,

 

Gtd. Notes, 144A

 

3.551%

     05/25/21           970        970,857  
           

 

 

 
              1,345,920  
           

 

 

 

Biotechnology — 0.2%

 

  

Amgen, Inc.,

 

Sr. Unsec’d. Notes

 

4.663%

     06/15/51           843        833,552  

Celgene Corp.,

 

Sr. Unsec’d. Notes

 

2.250%

     08/15/21           1,070        1,029,316  
           

 

 

 
              1,862,868  
           

 

 

 

Building Materials — 0.3%

 

  

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.375%

     11/15/24           3,000        2,962,500  

US Concrete, Inc.,

 

Gtd. Notes

 

6.375%

     06/01/24           600        601,500  
           

 

 

 
              3,564,000  
           

 

 

 

Chemicals — 1.3%

 

  

Ashland LLC,

 

Gtd. Notes

 

6.875%

     05/15/43           1,400        1,421,000  

CF Industries, Inc.,

 

Gtd. Notes

 

4.950%

     06/01/43           675        570,375  

5.375%

     03/15/44           700        617,750  

7.125%

     05/01/20           141        148,931  

Dow Chemical Co. (The),

 

Sr. Unsec’d. Notes

 

5.250%

     11/15/41           125        131,466  

9.400%

     05/15/39           1,002        1,538,092  

LyondellBasell Industries NV,

 

Sr. Unsec’d. Notes

 

6.000%

     11/15/21           3,550        3,799,253  

Interest

Rate

   Maturity
Date
           Principal
Amount

(000)
     Value  
CORPORATE BONDS (continued)

 

Chemicals (continued)

 

  

Mosaic Co. (The),

 

Sr. Unsec’d. Notes

 

5.450%

     11/15/33          465      $ 470,124  

5.625%

     11/15/43          155        156,134  

Nutrien Ltd. (Canada),

 

       

Sr. Unsec’d. Notes

 

       

4.900%

     06/01/43          870        861,153  

5.250%

     01/15/45          420        434,703  

6.125%

     01/15/41          450        518,381  

Sherwin-Williams Co. (The),

 

Sr. Unsec’d. Notes

 

3.450%

     08/01/25          445        428,035  

Union Carbide Corp.,

 

Sr. Unsec’d. Notes

 

7.875%

     04/01/23          3,058        3,547,655  
          

 

 

 
             14,643,052  
          

 

 

 

Commercial Services — 0.4%

 

  

ERAC USA Finance LLC,

 

Gtd. Notes, 144A

 

6.700%

     06/01/34          920        1,104,736  

7.000%

     10/15/37          770        962,269  

Nielsen Finance LLC/Nielsen Finance Co.,

 

Gtd. Notes, 144A

 

5.000%

     04/15/22          1,500        1,473,900  

United Rentals North America, Inc.,

 

Gtd. Notes

 

4.875%

     01/15/28          500        462,975  

5.500%

     07/15/25          650        654,875  

5.500%

     05/15/27          450        436,500  
          

 

 

 
             5,095,255  
          

 

 

 

Computers — 0.1%

 

  

Dell International LLC/EMC Corp.,

 

Sr. Sec’d. Notes, 144A

 

3.480%

     06/01/19          905        907,279  
          

 

 

 

Diversified Financial Services — 0.6%

 

  

American Express Co.,

 

Sr. Unsec’d. Notes

 

3.375%

     05/17/21          3,695        3,699,406  

International Lease Finance Corp.,

 

Sr. Unsec’d. Notes

 

6.250%

     05/15/19          1,400        1,435,380  

Intrum Justitia AB (Sweden),

 

Sr. Unsec’d. Notes, 144A

 

3.125%

     07/15/24       EUR        750        819,034  

Jefferies Group LLC,

 

Sr. Unsec’d. Notes

 

6.500%

     01/20/43          650        673,956  

Lehman Brothers Holdings, Inc.,

 

Sr. Unsec’d. Notes

 

6.875%

     05/02/18 (d)         2,740        84,940  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A42


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Diversified Financial Services (continued)

 

  

Preferred Term Securities X Ltd./Preferred Term Securities X, Inc.

 

(Cayman Islands),

 

Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.720%

 

3.057%(c)

     07/03/33          208      $ 203,144  
          

 

 

 
             6,915,860  
          

 

 

 

Electric — 2.3%

 

  

AES Corp.,

 

Sr. Unsec’d. Notes

 

5.500%

     04/15/25          4,251        4,282,882  

Baltimore Gas & Electric Co.,

 

Sr. Unsec’d. Notes

 

3.350%

     07/01/23          550        543,882  

Calpine Corp.,

 

Sr. Unsec’d. Notes

 

5.375%

     01/15/23 (a)         396        376,695  

5.750%

     01/15/25 (a)         1,350        1,234,406  

Consolidated Edison Co. of New York, Inc.,

 

Sr. Unsec’d. Notes, Series C

 

4.300%

     12/01/56          235        229,351  

ContourGlobal Power Holdings SA (Bulgaria),

 

Sr. Sec’d. Notes, 144A

 

5.125%

     06/15/21       EUR        1,350        1,591,950  

Dominion Energy, Inc.,

 

Jr. Sub. Notes

 

4.104%

     04/01/21          2,710        2,747,805  

El Paso Electric Co.,

 

Sr. Unsec’d. Notes

 

6.000%

     05/15/35          2,325        2,641,531  

Emera US Finance LP (Canada),

 

Gtd. Notes

 

3.550%

     06/15/26          820        772,081  

Enel Americas SA (Chile),

 

Sr. Unsec’d. Notes

 

4.000%

     10/25/26          235        223,274  

Exelon Generation Co. LLC,

 

Sr. Unsec’d. Notes

 

6.250%

     10/01/39          1,900        2,011,371  

FirstEnergy Transmission LLC,

 

Sr. Unsec’d. Notes, 144A

 

5.450%

     07/15/44          400        447,693  

Iberdrola International BV (Spain),

 

Gtd. Notes

 

6.750%

     09/15/33          1,150        1,359,294  

Israel Electric Corp. Ltd. (Israel),

 

Sr. Sec’d. Notes, 144A, GMTN

 

4.250%

     08/14/28          680        653,927  

Korea Hydro & Nuclear Power Co. Ltd. (South Korea),

 

Sr. Unsec’d. Notes, 144A

 

4.750%

     07/13/21          250        258,163  

Pacific Gas & Electric Co.,

 

Sr. Unsec’d. Notes

 

4.600%

     06/15/43          1,950        1,801,020  

South Carolina Electric & Gas Co.,

 

First Mortgage

 

4.600%

     06/15/43          2,025        1,983,427  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Electric (continued)

 

  

Vistra Energy Corp.,

 

Gtd. Notes

 

5.875%

     06/01/23 (a)         2,400      $ 2,469,000  

7.625%

     11/01/24          225        239,906  
          

 

 

 
             25,867,658  
          

 

 

 

Electronics — 0.1%

 

  

Honeywell International, Inc.,

 

Sr. Unsec’d. Notes

 

0.650%

     02/21/20       EUR        900        1,062,073  
          

 

 

 

Engineering & Construction — 0.0%

 

  

GMR Hyderabad International Airport Ltd. (India),

 

Sr. Sec’d. Notes, 144A

 

4.250%

     10/27/27          345        289,444  
          

 

 

 

Entertainment — 0.0%

 

  

CPUK Finance Ltd. (United Kingdom),

 

Sec’d. Notes, 144A

 

4.250%

     08/28/22       GBP        250        331,551  

4.875%

     08/28/25       GBP        125        165,365  
          

 

 

 
             496,916  
          

 

 

 

Food — 0.7%

 

  

Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,

 

Gtd. Notes

 

5.750%

     03/15/25          225        199,125  

General Mills, Inc.,

 

Sr. Unsec’d. Notes

 

3.200%

     04/16/21          1,200        1,193,776  

Ingles Markets, Inc.,

 

Sr. Unsec’d. Notes

 

5.750%

     06/15/23          250        246,250  

JBS USA LUX SA/JBS USA Finance, Inc. (Brazil),

 

Gtd. Notes, 144A

 

5.750%

     06/15/25          2,025        1,883,250  

7.250%

     06/01/21          1,080        1,090,800  

Kraft Heinz Foods Co.,

 

Gtd. Notes

 

3.000%

     06/01/26          1,360        1,224,712  

3.375%

     06/15/21          1,285        1,287,133  

4.375%

     06/01/46          400        346,042  

5.000%

     07/15/35          725        714,204  

Kroger Co. (The),

 

Sr. Unsec’d. Notes

 

4.450%

     02/01/47 (a)         275        250,120  
          

 

 

 
             8,435,412  
          

 

 

 

Forest Products & Paper — 0.2%

 

  

International Paper Co.,

 

Sr. Unsec’d. Notes

 

6.000%

     11/15/41          675        745,278  

7.300%

     11/15/39          1,000        1,279,171  
          

 

 

 
             2,024,449  
          

 

 

 

Gas — 0.3%

 

  

Korea Gas Corp. (South Korea),

 

Sr. Unsec’d. Notes

 

4.250%

     11/02/20          1,750        1,781,570  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A43


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount

(000)
     Value  
CORPORATE BONDS (continued)

 

Gas (continued)

 

  

NiSource, Inc.,

 

Sr. Unsec’d. Notes

 

4.800%

     02/15/44          300      $ 311,477  

Southern Co. Gas Capital Corp.,

 

Gtd. Notes

 

4.400%

     06/01/43          1,050        1,028,784  
          

 

 

 
             3,121,831  
          

 

 

 

Healthcare-Products — 0.7%

 

  

Abbott Laboratories,

 

Sr. Unsec’d. Notes

 

2.900%

     11/30/21          2,780        2,736,281  

Becton Dickinson & Co.,

 

Sr. Unsec’d. Notes

 

3.363%

     06/06/24          3,415        3,280,396  

Medtronic, Inc.,

 

Gtd. Notes

 

3.500%

     03/15/25          1,022        1,011,285  

4.375%

     03/15/35          1,358        1,404,442  
          

 

 

 
             8,432,404  
          

 

 

 

Healthcare-Services — 1.2%

 

  

Aetna, Inc.,

 

Sr. Unsec’d. Notes

 

6.750%

     12/15/37          1,900        2,403,449  

Anthem, Inc.,

 

Sr. Unsec’d. Notes

 

4.650%

     01/15/43          385        372,351  

CHS/Community Health Systems, Inc.,

 

Sec’d. Notes, 144A

 

8.125%

     06/30/24 (a)         625        515,234  

Cigna Corp.,

 

Sr. Unsec’d. Notes

 

4.375%

     12/15/20          745        759,610  

DaVita, Inc.,

 

Gtd. Notes

 

5.000%

     05/01/25          500        470,625  

Fresenius Medical Care U.S. Finance II, Inc. (Germany),

 

Gtd. Notes, 144A

 

4.125%

     10/15/20          330        333,317  

HCA, Inc.,

 

Gtd. Notes

 

5.375%

     02/01/25          2,325        2,289,428  

5.875%

     02/15/26          725        731,344  

Laboratory Corp. of America Holdings,

 

Sr. Unsec’d. Notes

 

3.200%

     02/01/22          240        237,416  

3.250%

     09/01/24          1,495        1,445,363  

Select Medical Corp.,

 

Gtd. Notes

 

6.375%

     06/01/21          1,800        1,824,525  

Synlab Bondco PLC (United Kingdom),

 

Sr. Sec’d. Notes

 

6.250%

     07/01/22       EUR        1,100        1,319,908  

Tenet Healthcare Corp.,

 

Sec’d. Notes, 144A

 

5.125%

     05/01/25          550        522,844  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Healthcare-Services (continued)

 

  

Sr. Unsec’d. Notes

 

6.750%

     02/01/20          500      $ 511,250  

UnitedHealth Group, Inc.,

 

Sr. Unsec’d. Notes

 

3.950%

     10/15/42          220        208,494  
          

 

 

 
             13,945,158  
          

 

 

 

Home Builders — 0.4%

 

  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),

 

Gtd. Notes, 144A

 

6.125%

     07/01/22          1,000        1,003,750  

PulteGroup, Inc.,

 

Gtd. Notes

 

5.000%

     01/15/27 (a)         975        926,250  

Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,

 

Gtd. Notes, 144A

 

5.250%

     04/15/21          2,175        2,175,000  
          

 

 

 
             4,105,000  
          

 

 

 

Home Furnishings — 0.1%

 

  

Tempur Sealy International, Inc.,

 

Gtd. Notes

 

5.500%

     06/15/26          650        628,875  
          

 

 

 

Housewares — 0.2%

 

  

Newell Brands, Inc.,

 

Sr. Unsec’d. Notes

 

4.200%

     04/01/26 (a)         670        647,257  

5.500%

     04/01/46          1,200        1,169,633  
          

 

 

 
             1,816,890  
          

 

 

 

Insurance — 1.2%

 

  

American International Group, Inc.,

 

Sr. Unsec’d. Notes

 

3.900%

     04/01/26          2,120        2,051,690  

4.500%

     07/16/44          1,075        1,001,075  

Hartford Financial Services Group, Inc. (The),

 

Sr. Unsec’d. Notes

 

5.125%

     04/15/22          500        527,658  

Liberty Mutual Finance Europe DAC,

 

Gtd. Notes, 144A

 

1.750%

     03/27/24       EUR        800        953,293  

Liberty Mutual Group, Inc.,

 

Gtd. Notes, 144A

 

6.500%

     03/15/35          1,030        1,230,171  

Lincoln National Corp.,

 

Sr. Unsec’d. Notes

 

7.000%

     06/15/40          405        508,694  

Markel Corp.,

 

Sr. Unsec’d. Notes

 

5.000%

     03/30/43          350        358,371  

Northwestern Mutual Life Insurance Co. (The),

 

Sub. Notes, 144A

 

6.063%

     03/30/40          130        161,647  

Ohio National Financial Services, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

6.375%

     04/30/20          850        892,409  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A44


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount

(000)
     Value  
CORPORATE BONDS (continued)

 

Insurance (continued)

 

  

Principal Financial Group, Inc.,

 

  

Gtd. Notes

 

  

4.625%

     09/15/42           150      $ 150,903  

Sompo International Holdings Ltd. (Bermuda),

 

  

Sr. Unsec’d. Notes

 

  

7.000%

     07/15/34           1,350        1,634,804  

Teachers Insurance & Annuity Association of America,

 

Sub. Notes, 144A

 

  

4.270%

     05/15/47           2,310        2,209,127  

6.850%

     12/16/39           196        259,511  

Unum Group,

 

Sr. Unsec’d. Notes

 

  

5.625%

     09/15/20           500        522,821  

Wand Merger Corp.,

 

Sr. Unsec’d. Notes, 144A

 

  

8.125%

     07/15/23           1,250        1,268,750  
           

 

 

 
              13,730,924  
           

 

 

 

Internet — 0.2%

 

  

Netflix, Inc.,

 

Sr. Unsec’d. Notes

 

  

3.625%

     05/15/27        EUR        1,750        2,002,779  
           

 

 

 

Iron/Steel — 0.0%

 

  

Vale Overseas Ltd. (Brazil),

 

Gtd. Notes

 

  

6.250%

     08/10/26           270        292,410  
           

 

 

 

Lodging — 0.3%

 

  

Marriott International, Inc.,

 

Sr. Unsec’d. Notes

 

  

3.250%

     09/15/22           1,325        1,304,876  

MGM Resorts International,

 

Gtd. Notes

 

  

6.625%

     12/15/21           1,325        1,396,219  

Studio City Co. Ltd. (Hong Kong),

 

Sr. Sec’d. Notes

 

  

7.250%

     11/30/21           300        309,750  
           

 

 

 
              3,010,845  
           

 

 

 

Machinery-Diversified — 0.4%

 

  

CNH Industrial Capital LLC,

 

Gtd. Notes

 

  

4.875%

     04/01/21           1,050        1,077,562  

Rockwell Automation, Inc.,

 

Sr. Unsec’d. Notes

 

  

5.200%

     01/15/98           1,100        1,096,536  

Xylem, Inc.,

 

Sr. Unsec’d. Notes

 

  

4.875%

     10/01/21           1,960        2,050,282  
           

 

 

 
              4,224,380  
           

 

 

 

Media — 2.5%

 

  

21st Century Fox America, Inc.,

 

Gtd. Notes

 

  

6.900%

     08/15/39           65        82,758  

7.625%

     11/30/28           1,415        1,757,015  

Interest

Rate

   Maturity
Date
           Principal
Amount

(000)
     Value  
CORPORATE BONDS (continued)

 

Media (continued)

 

  

CCO Holdings LLC/CCO Holdings Capital Corp.,

 

  

Sr. Unsec’d. Notes, 144A

 

  

5.500%

     05/01/26          3,300      $ 3,200,010  

5.875%

     04/01/24          800        802,000  

5.875%

     05/01/27          1,000        976,250  

Cequel Communications Holdings I LLC/Cequel Capital Corp.,

 

Sr. Unsec’d. Notes, 144A

 

  

5.125%

     12/15/21          1,425        1,416,251  

7.500%

     04/01/28 (a)         1,050        1,062,810  

7.750%

     07/15/25          1,275        1,332,375  

Charter Communications Operating LLC/Charter Communications Operating Capital,

 

Sr. Sec’d. Notes

 

  

6.384%

     10/23/35          710        741,955  

6.484%

     10/23/45          855        901,200  

6.834%

     10/23/55          225        241,224  

Cox Communications, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

  

3.150%

     08/15/24          2,800        2,652,629  

Discovery Communications LLC,

 

Gtd. Notes

 

  

3.950%

     03/20/28 (a)         375        355,131  

5.000%

     09/20/37          290        279,227  

5.200%

     09/20/47          390        378,278  

Grupo Televisa SAB (Mexico),

 

Sr. Unsec’d. Notes

 

  

6.125%

     01/31/46 (a)         495        511,103  

Liberty Interactive LLC,

 

Sr. Unsec’d. Notes

 

  

8.250%

     02/01/30 (a)         2,250        2,386,462  

NBCUniversal Media LLC,

 

Gtd. Notes

 

  

4.450%

     01/15/43          15        14,180  

TCI Communications, Inc.,

 

Sr. Unsec’d. Notes

 

  

7.875%

     02/15/26          750        918,813  

TEGNA, Inc.,

 

Gtd. Notes, 144A

 

  

4.875%

     09/15/21          475        473,813  

Time Warner Cable LLC,

 

Sr. Sec’d. Notes

 

  

6.750%

     07/01/18          2,620        2,620,000  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),

 

Sr. Sec’d. Notes

 

  

4.000%

     01/15/25       EUR        1,100        1,343,544  

Univision Communications, Inc.,

 

Sr. Sec’d. Notes, 144A

 

  

5.125%

     02/15/25          1,175        1,085,406  

UPCB Finance IV Ltd. (Netherlands),

 

Sr. Sec’d. Notes, 144A

 

  

5.375%

     01/15/25          1,140        1,083,114  

Warner Media LLC,

 

Gtd. Notes

 

  

3.800%

     02/15/27          690        651,618  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A45


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Media (continued)

 

  

Ziggo Secured Finance BV (Netherlands),

 

  

Sr. Sec’d. Notes

 

  

3.750%

     01/15/25        EUR        1,000      $ 1,151,569  
           

 

 

 
              28,418,735  
           

 

 

 

Mining — 0.2%

 

  

Barrick North America Finance LLC (Canada),

 

  

Gtd. Notes

 

  

5.750%

     05/01/43           410        456,707  

Goldcorp, Inc. (Canada),

 

  

Sr. Unsec’d. Notes

 

  

3.625%

     06/09/21           825        823,782  

Southern Copper Corp. (Peru),

 

Sr. Unsec’d. Notes

 

  

5.875%

     04/23/45           235        250,070  

6.750%

     04/16/40           990        1,137,681  
           

 

 

 
              2,668,240  
           

 

 

 

Miscellaneous Manufacturing — 0.2%

 

  

General Electric Co.,

 

  

Sub. Notes, MTN

 

  

5.300%

     02/11/21           340        355,703  

Textron, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

7.250%

     10/01/19           2,350        2,462,254  
           

 

 

 
              2,817,957  
           

 

 

 

Multi-National — 0.5%

 

  

Corp. Andina de Fomento (Supranational Bank),

 

Sr. Unsec’d. Notes

 

  

2.000%

     05/10/19           440        436,442  

2.125%

     09/27/21           3,095        2,978,442  

4.375%

     06/15/22           500        517,245  

Inter-American Development Bank (Supranational Bank),

 

Unsec’d. Notes

 

  

6.950%

     08/01/26           1,500        1,862,255  
           

 

 

 
              5,794,384  
           

 

 

 

Office/Business Equipment — 0.1%

 

  

CDW LLC/CDW Finance Corp.,

 

  

Gtd. Notes

 

  

5.000%

     09/01/23           1,150        1,151,035  
           

 

 

 

Oil & Gas — 2.3%

 

  

Anadarko Petroleum Corp.,

 

Sr. Unsec’d. Notes

 

  

4.677%(s)

     10/10/36           2,000        846,386  

6.450%

     09/15/36           945        1,092,095  

Cenovus Energy, Inc. (Canada),

 

  

Sr. Unsec’d. Notes

 

  

5.400%

     06/15/47           1,000        978,999  

CNOOC Finance 2013 Ltd. (China),

 

  

Gtd. Notes

 

  

3.000%

     05/09/23           750        723,098  

Concho Resources, Inc.,

 

  

Gtd. Notes

 

  

4.875%

     10/01/47           180        181,464  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Oil & Gas (continued)

 

  

Devon Energy Corp.,

 

  

Sr. Unsec’d. Notes

 

  

5.600%

     07/15/41           1,650      $ 1,779,813  

Encana Corp. (Canada),

 

  

Sr. Unsec’d. Notes

 

  

6.500%

     02/01/38           200        234,917  

Gazprom OAO Via Gaz Capital SA (Russia),

 

  

Sr. Unsec’d. Notes

 

  

4.950%

     07/19/22           390        392,730  

Sr. Unsec’d. Notes, 144A

 

  

6.510%

     03/07/22           1,665        1,765,732  

Helmerich & Payne International Drilling Co.,

 

  

Gtd. Notes

 

  

4.650%

     03/15/25           1,500        1,548,768  

KazMunayGas National Co. JSC (Kazakhstan),

 

  

Sr. Unsec’d. Notes, 144A

 

  

3.875%

     04/19/22           1,160        1,140,280  

4.750%

     04/19/27           200        195,025  

Lukoil International Finance BV (Russia),

 

  

Gtd. Notes, 144A

 

  

6.125%

     11/09/20           600        628,500  

Noble Energy, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

6.000%

     03/01/41           1,530        1,682,800  

Petrobras Global Finance BV (Brazil),

 

  

Gtd. Notes

 

  

5.750%

     02/01/29           725        637,369  

6.125%

     01/17/22           56        56,952  

7.375%

     01/17/27           405        404,494  

8.375%

     05/23/21           649        705,139  

Gtd. Notes, 144A

 

  

5.299%

     01/27/25           625        577,500  

Petroleos Mexicanos (Mexico),

 

  

Gtd. Notes

 

  

4.875%

     01/24/22           1,100        1,109,680  

5.375%

     03/13/22           405        415,328  

6.375%

     01/23/45           1,015        934,815  

6.500%

     03/13/27           1,225        1,256,139  

Gtd. Notes, EMTN

 

  

2.750%

     04/21/27        EUR        700        733,671  

3.750%

     02/21/24        EUR        400        473,664  

4.875%

     02/21/28        EUR        400        483,895  

Gtd. Notes, MTN

 

  

6.750%

     09/21/47           1,835        1,730,221  

Sasol Financing International Ltd. (South Africa),

 

  

Gtd. Notes

 

  

4.500%

     11/14/22           1,525        1,481,080  

Sinopec Group Overseas Development 2015 Ltd. (China),

 

Gtd. Notes, 144A

 

  

2.500%

     04/28/20           1,250        1,231,685  

YPF SA (Argentina),

 

Sr. Unsec’d. Notes, 144A

 

  

8.500%

     03/23/21           1,000        1,016,500  
           

 

 

 
     26,438,739  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A46


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Oil & Gas Services — 0.0%

 

  

Cameron International Corp.,

 

  

Gtd. Notes

 

  

7.000%

     07/15/38          450      $ 565,595  
          

 

 

 

Packaging & Containers — 0.4%

 

  

Ball Corp.,

 

Gtd. Notes

 

  

4.375%

     12/15/23       EUR        1,125        1,466,503  

Greif Nevada Holdings,

 

Sr. Unsec’d. Notes, 144A

 

  

7.375%

     07/15/21       EUR        1,470        2,023,952  

WestRock RKT Co.,

 

Gtd. Notes

 

  

4.450%

     03/01/19          1,165        1,176,676  
          

 

 

 
     4,667,131  
          

 

 

 

Pharmaceuticals — 1.5%

 

  

AbbVie, Inc.,

 

Sr. Unsec’d. Notes

 

  

3.600%

     05/14/25          1,020        987,878  

4.500%

     05/14/35          1,715        1,669,164  

Allergan Funding SCS,

 

Gtd. Notes

 

  

3.800%

     03/15/25          415        402,984  

4.550%

     03/15/35          2,040        1,930,153  

Allergan Sales LLC,

 

Gtd. Notes, 144A

 

  

4.875%

     02/15/21          1,350        1,389,482  

CVS Health Corp.,

 

Sr. Unsec’d. Notes

 

  

4.780%

     03/25/38          270        265,564  

5.050%

     03/25/48          655        666,591  

5.125%

     07/20/45          565        572,503  

Endo DAC/Endo Finance LLC/Endo Finco, Inc.,

 

Gtd. Notes, 144A

 

  

6.000%

     07/15/23          625        514,063  

Express Scripts Holding Co.,

 

Gtd. Notes

 

     

4.500%

     02/25/26          3,690        3,663,251  

Mylan NV,

          

Gtd. Notes

 

     

5.250%

     06/15/46          990        964,345  

Mylan, Inc.,

          

Gtd. Notes, 144A

 

4.550%

     04/15/28 (a)         800        781,804  

Shire Acquisitions Investments Ireland DAC,

 

Gtd. Notes

 

     

3.200%

     09/23/26          3,745        3,431,876  

Valeant Pharmaceuticals International, Inc.,

 

Gtd. Notes, 144A

 

6.125%

     04/15/25 (a)         325        299,406  
          

 

 

 
             17,539,064  
          

 

 

 

Pipelines — 0.9%

 

Energy Transfer Partners LP,

 

Gtd. Notes

 

     

6.000%

     06/15/48 (a)         285        284,968  

Interest

Rate

   Maturity
Date
           Principal
Amount

(000)
     Value  
CORPORATE BONDS (continued)

 

Pipelines (continued)

 

  

Enterprise Products Operating LLC,

 

Gtd. Notes

 

  

4.900%

     05/15/46          2,110      $ 2,114,136  

Fermaca Enterprises S de RL de CV (Mexico),

 

  

Sr. Sec’d. Notes, 144A

 

  

6.375%

     03/30/38          398        407,135  

Magellan Midstream Partners LP,

 

  

Sr. Unsec’d. Notes

 

  

4.200%

     03/15/45          1,000        893,196  

MPLX LP,

 

  

Sr. Unsec’d. Notes

 

  

4.500%

     04/15/38          970        895,938  

5.200%

     03/01/47          115        114,267  

NGPL PipeCo LLC,

 

  

Sr. Unsec’d. Notes, 144A

 

  

4.375%

     08/15/22          50        49,500  

4.875%

     08/15/27          225        222,187  

ONEOK Partners LP,

 

Gtd. Notes

 

  

6.850%

     10/15/37          1,250        1,485,170  

ONEOK, Inc.,

 

Gtd. Notes

 

  

4.950%

     07/13/47          450        438,137  

Phillips 66 Partners LP,

 

Sr. Unsec’d. Notes

 

  

4.680%

     02/15/45          1,900        1,781,034  

Western Gas Partners LP,

 

Sr. Unsec’d. Notes

 

  

5.450%

     04/01/44          575        542,154  

Williams Partners LP,

 

Sr. Unsec’d. Notes

 

  

4.900%

     01/15/45          1,200        1,146,361  
          

 

 

 
     10,374,183  
          

 

 

 

Real Estate Investment Trusts (REITs) — 0.1%

 

  

Simon Property Group LP,

 

Sr. Unsec’d. Notes

 

  

3.375%

     03/15/22          325        323,891  

Trust F/1401 (Mexico),

 

Sr. Unsec’d. Notes, 144A

 

  

5.250%

     12/15/24          1,235        1,216,475  
          

 

 

 
     1,540,366  
          

 

 

 

Retail — 0.5%

 

  

Dollar Tree, Inc.,

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%

 

  

3.055%(c)

     04/17/20          950        951,942  

Sr. Unsec’d. Notes

 

  

4.200%

     05/15/28          1,875        1,809,880  

L Brands, Inc.,

 

Gtd. Notes

 

  

5.625%

     02/15/22          1,600        1,624,000  

6.625%

     04/01/21          551        581,305  

PetSmart, Inc.,

 

Sr. Sec’d. Notes, 144A

 

  

5.875%

     06/01/25 (a)         675        519,817  
          

 

 

 
     5,486,944  
          

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A47


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Savings & Loans — 0.1%

 

  

People’s United Financial, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.650%

     12/06/22          1,675      $ 1,670,738  
          

 

 

 

Semiconductors — 0.7%

 

  

Broadcom Corp./Broadcom Cayman Finance Ltd.,

 

  

Gtd. Notes

 

  

3.500%

     01/15/28          1,460        1,329,519  

3.875%

     01/15/27          1,850        1,749,827  

NXP BV/NXP Funding LLC (Netherlands),

 

  

Gtd. Notes, 144A

 

  

4.625%

     06/01/23          2,675        2,698,406  

Sensata Technologies BV,

 

  

Gtd. Notes, 144A

 

  

5.000%

     10/01/25          1,750        1,763,125  
          

 

 

 
             7,540,877  
          

 

 

 

Software — 0.7%

 

  

First Data Corp.,

 

  

Gtd. Notes, 144A

 

  

7.000%

     12/01/23          2,225        2,317,515  

Fiserv, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.500%

     10/01/22          1,162        1,144,393  

Infor US, Inc.,

 

  

Sr. Sec’d. Notes, 144A

 

  

5.750%

     08/15/20          1,350        1,366,875  

Microsoft Corp.,

 

  

Sr. Unsec’d. Notes

 

  

4.000%

     02/12/55          435        431,563  

4.500%

     02/06/57          1,430        1,552,309  

Oracle Corp.,

 

  

Sr. Unsec’d. Notes

 

  

4.300%

     07/08/34          1,070        1,090,722  
          

 

 

 
             7,903,377  
          

 

 

 

Telecommunications — 1.0%

 

  

AT&T Corp.,

 

  

Gtd. Notes

 

  

8.250%

     11/15/31          55        70,541  

AT&T, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.400%

     05/15/25          1,905        1,786,393  

4.500%

     03/09/48          74        63,795  

4.550%

     03/09/49          499        431,452  

5.250%

     03/01/37          680        668,816  

5.350%

     09/01/40          49        47,822  

Bharti Airtel International Netherlands BV (India),

 

  

Gtd. Notes, 144A

 

  

5.125%

     03/11/23          1,305        1,289,284  

Sprint Capital Corp.,

 

  

Gtd. Notes

 

  

6.900%

     05/01/19          1,300        1,326,260  

Sprint Corp.,

 

  

Gtd. Notes

 

  

7.625%

     02/15/25 (a)         500        510,005  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
CORPORATE BONDS (continued)

 

Telecommunications (continued)

 

  

T-Mobile USA, Inc.,

 

  

Gtd. Notes

 

  

6.500%

     01/15/26           1,675      $ 1,727,344  

Verizon Communications, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

4.500%

     08/10/33           990        958,698  

Wind Tre SpA (Italy),

 

  

Sr. Sec’d. Notes, 144A

 

  

2.625%

     01/20/23        EUR        675        662,143  

3.125%

     01/20/25        EUR        1,550        1,466,211  
           

 

 

 
              11,008,764  
           

 

 

 

Textiles — 0.0%

 

  

Mohawk Industries, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

3.850%

     02/01/23           294        296,729  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $429,187,008)

 

     428,117,209  
           

 

 

 
MUNICIPAL BONDS — 1.9%

 

California — 0.7%

 

  

Bay Area Toll Authority,

 

  

Revenue Bonds, BABs

 

  

6.907%

     10/01/50           1,125        1,644,930  

State of California,

 

  

GO, BABs

 

  

7.300%

     10/01/39           2,280        3,230,304  

7.625%

     03/01/40           725        1,069,259  

University of California,

 

  

Revenue Bonds, BABs

 

  

5.770%

     05/15/43           1,400        1,727,278  
           

 

 

 
              7,671,771  
           

 

 

 

Colorado — 0.1%

 

  

Regional Transportation District,

 

  

Revenue Bonds, Series 2010-B, BABs

 

  

5.844%

     11/01/50           770        1,009,108  
           

 

 

 

Illinois — 0.4%

 

  

Chicago O’Hare International Airport,

 

  

Revenue Bonds, BABs

 

  

6.395%

     01/01/40           1,380        1,826,872  

State of Illinois,

 

  

GO, Series D, BABs

 

  

5.000%

     11/01/22           2,650        2,801,686  
           

 

 

 
              4,628,558  
           

 

 

 

New Jersey — 0.4%

 

  

New Jersey Turnpike Authority,

 

  

Revenue Bonds, Series A, BABs

 

  

7.102%

     01/01/41           1,175        1,653,742  

Revenue Bonds, Series F, BABs

 

  

7.414%

     01/01/40           2,050        2,981,376  
           

 

 

 
              4,635,118  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A48


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
MUNICIPAL BONDS (continued)

 

Ohio — 0.1%

 

  

Ohio State University (The),

 

Revenue Bonds, Series C, BABs

 

  

4.910%

     06/01/40           695      $ 796,512  

Ohio Water Development Authority Water Pollution Control Loan Fund,

 

Revenue Bonds, BABs

 

  

4.879%

     12/01/34           450        494,496  
           

 

 

 
        1,291,008  
           

 

 

 

Oregon — 0.1%

 

  

State of Oregon Department of Transportation,

 

Revenue Bonds, Series A, BABs

 

  

5.834%

     11/15/34           615        757,840  
           

 

 

 

Pennsylvania — 0.1%

 

  

Pennsylvania Turnpike Commission,

 

Revenue Bonds, Series B, BABs

 

  

5.511%

     12/01/45           800        983,960  
           

 

 

 

Virginia — 0.0%

 

  

University of Virginia,

 

Revenue Bonds, Taxable, Series C

 

  

4.179%

     09/01/2117           425        424,069  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $16,766,923)

 

        21,401,432  
           

 

 

 
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — 3.3%

 

Alternative Loan Trust,

 

Series 2004-18CB, Class 3A1

 

  

5.250%

     09/25/19           92        92,540  

Bellemeade Re Ltd. (Bermuda),

 

Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%

 

3.791%(c)

     10/25/27           632        635,122  

Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%

 

3.691%(c)

     04/25/28           1,113        1,116,145  

CIM Trust,

 

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%

 

3.982%(c)

     01/25/57           1,845        1,882,121  

Series 2017-06, Class A1, 144A

 

3.015%(cc)

     06/25/57           1,508        1,477,206  

Series 2017-08, Class A1, 144A

 

3.000%(cc)

     12/25/65           3,124        3,118,860  

Citigroup Mortgage Loan Trust,

 

Series 2011-12, Class 3A2, 144A

 

3.466%(cc)

     09/25/47           764        720,615  

Fannie Mae Connecticut Avenue Securities,

 

Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%

 

3.541%(c)

     01/25/29           742        748,044  

Freddie Mac Structured Agency Credit Risk Debt Notes,

 

Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550%

 

6.641%(c)

     10/25/24           282        312,597  

Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300%

 

5.391%(c)

     10/25/27           3,460        3,864,701  

Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%

 

4.341%(c)

     11/25/28           895        915,893  

Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350%

 

3.441%(c)

     03/25/29           760        771,284  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%

 

3.391%(c)

     04/25/29           1,740      $ 1,765,210  

GSMSC Resecuritization Trust,

 

Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140%

 

2.231%(c)

     01/26/37           1,872        1,842,737  

Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140%

 

2.231%(c)

     01/26/37           1,400        1,335,234  

Harborview Mortgage Loan Trust,

 

Series 2007-04, Class 2A1, 1 Month LIBOR + 0.220%

 

2.305%(c)

     07/19/47           1,765        1,721,792  

Lehman XS Trust,

 

Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%

 

2.296%(c)

     08/25/46           2,456        2,359,129  

LSTAR Securities Investment Ltd. (Cayman Islands),

 

Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%

 

3.983%(c)

     05/01/22           2,311        2,312,528  

Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%

 

3.732%(c)

     09/01/22           1,232        1,235,800  

Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%

 

3.633%(c)

     11/01/22           956        960,178  

Series 2017-09, Class A, 144A, 1 Month LIBOR + 1.550%

 

3.642%(c)

     12/01/22           324        322,872  

LSTAR Securities Investment Trust,

 

Series 2018-02, Class A1, 144A, 1 Month LIBOR + 1.500%

 

3.482%(c)

     04/01/23           711        710,725  

MASTR Alternative Loan Trust,

 

Series 2004-04, Class 4A1

 

5.000%

     04/25/19           6        5,555  

PNMAC GMSR Issuer Trust,

 

Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850%

 

4.941%(c)

     02/25/23           740        744,459  

Radnor RE Ltd. (Bermuda),

 

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400%

 

3.491%(c)

     03/25/28           690        689,747  

Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700%

 

4.791%(c)

     03/25/28           510        510,991  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

3.756%(cc)

     02/25/34           607        611,653  

Series 2004-18, Class 3A1

 

4.144%(cc)

     12/25/34           3,329        3,251,258  

Towd Point Mortgage Funding PLC (United Kingdom),

 

Series 2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200%

 

1.823%(c)

     02/20/54        GBP        1,707        2,266,884  

Washington Mutual Mortgage Pass-Through Certificates,

 

Series 2005-01, Class 3A

 

           

 

 

 

5.000%

     03/25/20           71        70,842  
           

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $37,227,931)

 

     38,372,722  
           

 

 

 
SOVEREIGN BONDS — 5.5%

 

Arab Republic of Egypt (Egypt),

 

Sr. Unsec’d. Notes, 144A

 

4.750%

     04/16/26        EUR        980        1,050,029  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A49


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)
     Value  
SOVEREIGN BONDS (continued)

 

Argentine Republic Government International Bond (Argentina),

 

Sr. Unsec’d. Notes

 

  

2.260%

     12/31/38        EUR        300      $ 204,949  

4.625%

     01/11/23           1,625        1,430,829  

6.875%

     04/22/21           1,175        1,157,375  

6.875%

     01/11/48           500        374,255  

7.820%

     12/31/33        EUR        958        1,113,248  

7.820%

     12/31/33        EUR        634        729,243  

Brazil Minas SPE via State of Minas Gerais (Brazil),

 

Gov’t. Gtd. Notes

 

  

5.333%

     02/15/28           1,105        1,055,275  

Gov’t. Gtd. Notes, 144A

 

  

5.333%

     02/15/28           500        477,500  

Colombia Government International Bond (Colombia),

 

Sr. Unsec’d. Notes

 

  

4.000%

     02/26/24           250        249,750  

Dominican Republic International Bond (Dominican Republic),

 

Sr. Unsec’d. Notes

 

  

7.500%

     05/06/21           2,250        2,355,750  

Sr. Unsec’d. Notes, 144A

 

  

7.500%

     05/06/21           600        628,200  

Egypt Government International Bond (Egypt),

 

Sr. Unsec’d. Notes, 144A

 

  

6.588%

     02/21/28           500        459,611  

Hellenic Republic Government Bond (Greece),

 

Bonds

 

  

3.000%

     02/24/31        EUR        620        662,698  

3.000%

     02/24/32        EUR        1,280        1,341,815  

3.000%

     02/24/34        EUR        640        664,285  

3.500%

     01/30/23        EUR        4,095        4,864,753  

3.750%

     01/30/28        EUR        345        396,257  

4.200%

     01/30/42        EUR        295        314,819  

Sr. Unsec’d. Notes, 144A

 

  

3.375%

     02/15/25        EUR        155        179,313  

Hellenic Republic Government International Bond (Greece),

 

Sr. Unsec’d. Notes

 

  

5.200%

     07/17/34        EUR        1,500        1,797,211  

Hungary Government International Bond (Hungary),

 

Sr. Unsec’d. Notes

 

  

5.375%

     02/21/23           436        461,576  

5.375%

     03/25/24           290        308,060  

5.750%

     11/22/23           2,300        2,474,501  

6.000%

     01/11/19        EUR        715        861,697  

6.375%

     03/29/21           2,776        2,964,896  

Indonesia Government International Bond (Indonesia),

 

Sr. Unsec’d. Notes

 

  

3.375%

     07/30/25        EUR        1,625        2,040,610  

Sr. Unsec’d. Notes, 144A

 

  

3.375%

     07/30/25        EUR        1,500        1,883,640  

Sr. Unsec’d. Notes, MTN

 

  

2.875%

     07/08/21        EUR        1,225        1,517,795  

3.750%

     06/14/28        EUR        500        644,463  

Iraq International Bond (Iraq),

 

Unsec’d. Notes, 144A

 

  

5.800%

     01/15/28           450        403,022  

Japan Finance Organization for Municipalities (Japan),

 

Sr. Unsec’d. Notes, 144A, MTN

 

  

2.000%

     09/08/20           1,200        1,173,049  

Interest

Rate

   Maturity
Date
            Principal
Amount

(000)
     Value  
SOVEREIGN BONDS (continued)

 

2.625%

     04/20/22           1,000      $ 975,648  

Lithuania Government International Bond (Lithuania),

 

Sr. Unsec’d. Notes

 

  

6.625%

     02/01/22           1,000        1,101,870  

Panama Government International Bond (Panama),

 

Sr. Unsec’d. Notes

 

  

3.750%

     03/16/25           450        444,375  

Portugal Government International Bond (Portugal),

 

Sr. Unsec’d. Notes, MTN

 

  

5.125%

     10/15/24           6,940        7,183,275  

Portugal Obrigacoes do Tesouro OT (Portugal),

 

Sr. Unsec’d. Notes, 144A

 

  

3.875%

     02/15/30        EUR        3,070        4,258,406  

Provincia de Buenos Aires (Argentina),

 

Sr. Unsec’d. Notes, 144A

 

  

6.500%

     02/15/23           120        109,543  

9.950%

     06/09/21           1,940        2,000,140  

Qatar Government International Bond (Qatar),

 

Sr. Unsec’d. Notes, 144A

 

  

5.103%

     04/23/48           1,040        1,036,838  

Republic of Italy Government International Bond (Italy),

 

Sr. Unsec’d. Notes, MTN

 

  

5.375%

     06/15/33           730        791,607  

Republic of South Africa Government International Bond (South Africa),

 

Sr. Unsec’d. Notes

 

  

5.875%

     09/16/25           1,020        1,046,928  

Romanian Government International Bond (Romania),

 

Sr. Unsec’d. Notes, 144A, MTN

 

  

3.875%

     10/29/35        EUR        945        1,125,692  

Sr. Unsec’d. Notes, MTN

 

  

3.875%

     10/29/35        EUR        1,000        1,191,209  

Saudi Government International Bond (Saudi Arabia),

 

Sr. Unsec’d. Notes, 144A, MTN

 

  

4.000%

     04/17/25           675        671,666  

Senegal Government International Bond (Senegal),

 

Sr. Unsec’d. Notes, 144A

 

  

4.750%

     03/13/28        EUR        475        516,764  

Tokyo Metropolitan Government (Japan),

 

Sr. Unsec’d. Notes

 

  

2.125%

     05/19/20           1,000        982,132  

Sr. Unsec’d. Notes, 144A

 

  

2.500%

     06/08/22           600        582,063  

Turkey Government International Bond (Turkey),

 

Sr. Unsec’d. Notes

 

  

5.625%

     03/30/21           500        497,015  

7.000%

     06/05/20           1,510        1,545,730  

Uruguay Government International Bond (Uruguay),

 

Sr. Unsec’d. Notes

 

  

4.975%

     04/20/55           470        455,900  
           

 

 

 

TOTAL SOVEREIGN BONDS
(cost $63,396,056)

 

     62,757,275  
           

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.1%

 

Federal Home Loan Mortgage Corp.

 

5.500%

     10/01/33           674        746,757  

5.500%

     06/01/34           9        10,226  

6.000%

     11/01/33           223        246,643  

6.000%

     05/01/34           61        66,676  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A50


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

6.000%

     06/01/34          154      $ 168,203  

6.250%

     07/15/32 (k)         830        1,110,844  

6.500%

     07/01/32          27        29,577  

6.500%

     07/01/32          31        34,530  

6.500%

     08/01/32          46        51,264  

6.500%

     08/01/32          48        53,383  

6.500%

     08/01/32          52        58,194  

6.500%

     09/01/32          42        47,192  

6.500%

     09/01/32          128        142,920  

6.750%

     03/15/31 (k)         600        819,194  

Federal National Mortgage Assoc.

 

5.500%

     02/01/33          19        20,303  

5.500%

     02/01/33          22        24,149  

5.500%

     03/01/33          27        29,673  

5.500%

     03/01/33          58        63,384  

5.500%

     03/01/33          60        65,105  

5.500%

     04/01/33          9        9,373  

5.500%

     04/01/33          35        38,143  

5.500%

     04/01/33          40        43,298  

5.500%

     04/01/33          44        47,205  

5.500%

     07/01/33          37        39,905  

5.500%

     07/01/33          45        48,400  

5.500%

     08/01/33          17        18,309  

5.500%

     02/01/34          36        38,603  

5.500%

     04/01/34          34        36,398  

5.500%

     06/01/34          40        43,499  

6.000%

     10/01/33          4        4,057  

6.000%

     10/01/33          251        277,620  

6.000%

     03/01/34          91        99,909  

6.000%

     02/01/35          239        268,940  

6.000%

     11/01/36          63        69,801  

6.250%

     05/15/29 (k)         1,090        1,400,044  

6.500%

     08/01/32          144        159,277  

6.500%

     09/01/32          121        133,232  

6.500%

     09/01/32          209        230,609  

6.500%

     10/01/32          107        117,904  

6.500%

     04/01/33          210        233,301  

6.500%

     11/01/33          5        5,598  

6.625%

     11/15/30 (k)         530        710,900  

7.000%

     05/01/32          89        96,882  

7.000%

     06/01/32          9        9,833  

7.125%

     01/15/30 (k)         785        1,080,980  

Government National Mortgage Assoc.

 

5.500%

     01/15/33          81        88,611  

5.500%

     02/15/33          59        64,281  

5.500%

     05/15/33          139        149,334  

5.500%

     05/15/33          195        209,698  

5.500%

     06/15/33          212        230,513  

5.500%

     09/15/33          118        129,628  

5.500%

     07/15/35          80        87,214  

6.000%

     12/15/32          153        172,401  

6.000%

     11/15/33          78        86,786  

6.000%

     01/15/34          13        14,559  

6.000%

     06/20/34          402        444,353  

6.000%

     11/15/34          653        738,642  

6.500%

     09/15/32          90        98,852  

6.500%

     09/15/32          220        242,306  

6.500%

     09/15/32          232        255,688  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

6.500%

     11/15/33          172      $ 189,231  
          

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $12,199,986)

 

     12,252,334  
          

 

 

 
U.S. TREASURY OBLIGATIONS — 2.4%

 

U.S. Treasury Bonds

 

2.500%

     05/15/46 (k)         965        876,868  

2.750%

     08/15/47 (k)         1,950        1,860,803  

3.000%

     02/15/48 (a)(k)         4,705        4,720,806  

U.S. Treasury Notes

 

1.375%

     05/31/21 (h)(k)         7,020        6,774,574  

1.875%

     04/30/22 (k)         520        504,583  

2.125%

     05/15/25 (k)         260        248,798  

2.250%

     02/15/27 (k)         910        868,375  

2.875%

     05/31/25          3,570        3,583,666  

2.875%

     05/15/28          3,220        3,226,415  

U.S. Treasury Strips Coupon

 

2.783%(s)

     08/15/29 (k)         1,200        863,739  

2.878%(s)

     05/15/31 (k)         1,200        818,116  

3.042%(s)

     11/15/35 (k)         2,400        1,427,455  

3.202%(s)

     08/15/40 (k)         2,400        1,235,101  
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $27,186,610)

 

     27,009,299  
          

 

 

 
                  Shares         
PREFERRED STOCKS — 0.2%

 

Banks

 

     

Citigroup Capital XIII 8.729%, (Capital Security, fixed to floating preferred)

 

     45,000        1,219,500  

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

 

     35,000        914,200  
          

 

 

 

TOTAL PREFERRED STOCKS
(cost $2,000,000)

 

     2,133,700  
          

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $1,075,715,640)

 

     1,077,154,633  
          

 

 

 
SHORT-TERM INVESTMENTS — 6.3%

 

AFFILIATED MUTUAL FUNDS — 6.0%

 

PGIM Core Short-Term Bond
Fund(w)

 

     3,859,661        35,779,054  

PGIM Core Ultra Short Bond
Fund(w)

 

     16,386,641        16,386,641  

PGIM Institutional Money Market Fund
(cost $15,776,392; includes $15,752,843 of cash collateral for securities on loan)(b)(w)

 

     15,776,396        15,777,974  
          

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $68,253,551)

 

     67,943,669  
          

 

 

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)
        
COMMERCIAL PAPER(n) — 0.3%

 

Ford Motor Credit Co. LLC

 

3.201%

     04/09/19          4,020        3,932,630  
          

 

 

 

(cost $3,922,976)

 

     
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A51


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

                      Value  
OPTION PURCHASED*~ — 0.0%

 

(cost $29,380)

      $ 7,395  
           

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $72,205,907)

 

     71,883,694  
           

 

 

 

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 100.5%
(cost $1,147,921,547)

 

     1,149,038,327  
           

 

 

 
OPTION WRITTEN*~ — (0.0)%

 

(premiums received $62,150)

        (38,196
           

 

 

 

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 100.5%
(cost $1,147,859,397)

 

     1,149,000,131  

LIABILITIES IN EXCESS OF OTHER
ASSETS(z) — (0.5)%

 

     (6,169,493
           

 

 

 

NET ASSETS — 100.0%

      $ 1,142,830,638  
           

 

 

 

See the Glossary for abbreviations used in the semiannual report.

 

*

Non-income producing security.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $6,836,051 and 0.6% of net assets.

 

~

See tables subsequent to the Schedule of Investments for options detail.

 

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $15,440,214; cash collateral of $15,752,843 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)

Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

 

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(d)

Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

 

(h)

Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

 

(k)

Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

 

(n)

Rate shown reflects yield to maturity at purchase date.

 

(p)

Interest rate not available as of June 30, 2018.

 

(r)

Principal or notional amount is less than $500 par.

 

(s)

Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

(z)

Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end, with the exception of options which are included in total investments, net of options written, at market value:

 

Option Purchased:

OTC Swaptions

 

Description

  Call/
Put
   

Counterparty

 

Expiration
Date

 

Strike

  Receive    

Pay

  Notional
Amount
(000)#
    Value  

CDX.NA.HY.30.V1, 06/20/2023

    Call     Citigroup Global Markets   09/19/18   $107.50     5.00%(Q)     CDX.NA.HY.30.V1(Q)     11,300     $ 7,395  
               

 

 

 

(cost $29,380)

           

Option Written:

OTC Swaptions

 

Description

  Call/
Put
   

Counterparty

 

Expiration
Date

 

Strike

  Receive     Pay     Notional
Amount
(000)#
    Value  

CDX.NA.HY.30.V1, 06/20/2023

    Put     Citigroup Global Markets   09/19/18   $100.50     5.00%(Q)       CDX.NA.HY.30.V1(Q)       11,300     $ (38,196
               

 

 

 

(premiums received $62,150)

           

Futures contracts outstanding at June 30, 2018:

 

Number of
Contracts
  Type   Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 

Long Positions:

     
184   90 day Euro Dollar     Dec. 2020     $ 44,629,200     $ (22,470

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A52


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Futures contracts outstanding at June 30, 2018:

 

Number of
Contracts
 

Type

  Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 

Long Positions (continued):

     
3,368  

5 Year U.S. Treasury Notes

    Sep. 2018     $ 382,662,687     $ 2,382,472  
2,640  

10 Year U.S. Treasury Notes

    Sep. 2018       317,295,000       2,722,097  
857  

30 Year U.S. Ultra Treasury Bonds

    Sep. 2018       136,745,063       4,814,796  
       

 

 

 
          9,896,895  
       

 

 

 

Short Positions:

     
184  

90 day Euro Dollar

    Dec. 2021       44,631,500       (3,595
853  

2 Year U.S. Treasury Notes

    Sep. 2018       180,689,391       26,305  
139  

20 Year U.S. Treasury Bonds

    Sep. 2018       20,155,000       (387,887
       

 

 

 
          (365,177
       

 

 

 
        $ 9,531,718  
       

 

 

 

Cash of $2,140,000 and securities with a combined market value of $5,719,400 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2018.

Forward foreign currency exchange contracts outstanding at June 30, 2018:

 

Purchase Contracts

    

Counterparty

     Notional
Amount (000)
       Value at
Settlement
Date
       Current
Value
       Unrealized
Appreciation
       Unrealized
Depreciation
 

OTC Forward Foreign Currency Exchange Contracts:

 

                        

Brazilian Real,

                                  

Expiring 07/03/18

    

Citigroup Global Markets

       BRL          2,113        $ 569,645        $ 544,937        $        $ (24,708

Expiring 07/03/18

    

Citigroup Global Markets

       BRL          1,862          490,437          480,321                   (10,116

Expiring 08/02/18

    

Goldman Sachs & Co.

       BRL          1,760          454,874          452,306                   (2,568

Euro,

                                  

Expiring 07/26/18

    

Goldman Sachs & Co.

       EUR          898          1,051,818          1,050,477                   (1,341
                   

 

 

      

 

 

      

 

 

      

 

 

 
                    $ 2,566,774        $ 2,528,041                   (38,733
                   

 

 

      

 

 

      

 

 

      

 

 

 

Forward foreign currency exchange contracts outstanding at June 30, 2018:

 

Sale Contracts

    

Counterparty

     Notional
Amount (000)
       Value at
Settlement Date
       Current
Value
       Unrealized
Appreciation
       Unrealized
Depreciation
 

OTC Forward Foreign Currency Exchange Contracts:

 

    

Australian Dollar,

                                  

Expiring 07/12/18

    

Bank of America

       AUD          559        $ 430,808        $ 413,973        $ 16,835        $  

Brazilian Real,

                                  

Expiring 07/03/18

    

Goldman Sachs & Co.

       BRL          1,760          456,313          453,939          2,374           

British Pound,

                                  

Expiring 07/26/18

    

Bank of America

       GBP          3,357          4,704,780          4,435,964          268,816           

Euro,

                                  

Expiring 07/26/18

    

Bank of America

       EUR          265          310,049          310,071                   (22

Expiring 07/26/18

    

JPMorgan Chase

       EUR          582          683,163          680,821          2,342           

Expiring 07/26/18

    

Toronto Dominion

       EUR          44,206          54,399,144          51,724,698          2,674,446           

Expiring 07/26/18

    

UBS AG

       EUR          21          25,775          24,750          1,025           

South African Rand,

                                  

Expiring 09/11/18

    

JPMorgan Chase

       ZAR          8,074          614,666          582,885          31,781           
                   

 

 

      

 

 

      

 

 

      

 

 

 
                    $ 61,624,698        $ 58,627,101          2,997,619          (22
                   

 

 

      

 

 

      

 

 

      

 

 

 
                              $ 2,997,619        $ (38,755
                             

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A53


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Credit default swap agreements outstanding at June 30, 2018:

 

Reference Entity/ Obligation

  Termination
Date
    Fixed
Rate
    Notional
Amount
(000)#(3)
    Implied
Credit
Spread at
June 30,
2018(4)
    Fair
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
    Counterparty  

OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^:

 

 

Banc of America Commercial Mortgage Trust

    07/26/18       1.500%(M)       75       8.111   $ 85     $     $ 85       Goldman Sachs & Co.  

Banc of America Commercial Mortgage Trust

    07/26/18       1.500%(M)       32       6.802     36             36       Goldman Sachs & Co.  

Banc of America Commercial Mortgage Trust

    07/26/18       1.500%(M)       22       6.780     25             25       Goldman Sachs & Co.  

Bear Stearns Asset Backed Securities Trust

    07/27/18       1.500%(M)       379       1.684     428             428       Goldman Sachs & Co.  

Bear Stearns Asset Backed Securities Trust

    07/27/18       1.500%(M)       317       13.575     359             359       Goldman Sachs & Co.  

Bear Stearns Asset Backed Securities Trust

    07/27/18       1.500%(M)       234       9.848     264             264       Goldman Sachs & Co.  

Chase Mortgage

    07/27/18       1.500%(M)       148       *       44             44       Goldman Sachs & Co.  

Citigroup Commercial Mortgage Trust

    07/26/18       1.500%(M)       94       6.940     107             107       Goldman Sachs & Co.  

Citigroup Commercial Mortgage Trust

    07/26/18       1.500%(M)       74       4.670     84             84       Goldman Sachs & Co.  

Citigroup Commercial Mortgage Trust

    07/26/18       1.500%(M)       34       4.180     39             39       Goldman Sachs & Co.  

Citigroup Commercial Mortgage Trust

    07/26/18       1.500%(M)       24       6.780     27             27       Goldman Sachs & Co.  

Citigroup Mortgage Loan Trust

    07/27/18       1.500%(M)       71       *       80             80       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       128       8.703     146             146       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       108       4.550     123             123       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       107       *       122             122       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       91       *       104             104       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       82       6.780     93             93       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       64       2.427     73             73       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       45       6.639     51             51       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       42       7.460     48             48       Goldman Sachs & Co.  

COMM Mortgage Trust

    07/26/18       1.500%(M)       36       *       41             41       Goldman Sachs & Co.  

Equity One Home Equity

    07/27/18       1.500%(M)       175       *       198             198       Goldman Sachs & Co.  

Federal Home Loan Mortgage Corp.

    07/26/18       1.500%(M)       176       *       200             200       Goldman Sachs & Co.  

Federal Home Loan Mortgage Corp.

    07/26/18       1.500%(M)       98       *       111             111       Goldman Sachs & Co.  

First Franklin Home Equity

    07/27/18       1.500%(M)       276       *       82             82       Goldman Sachs & Co.  

GS Mortgage Securities Trust

    07/26/18       1.500%(M)       239       5.373     272             272       Goldman Sachs & Co.  

GS Mortgage Securities Trust

    07/26/18       1.500%(M)       116       4.670     132             132       Goldman Sachs & Co.  

GS Mortgage Securities Trust

    07/26/18       1.500%(M)       66       7.460     75             75       Goldman Sachs & Co.  

GS Mortgage Securities Trust

    07/26/18       1.500%(M)       63       4.686     72             72       Goldman Sachs & Co.  

GS Mortgage Securities Trust

    07/26/18       1.500%(M)       58       0.496     66             66       Goldman Sachs & Co.  

GS Mortgage Securities Trust

    07/26/18       1.500%(M)       45       *       51             51       Goldman Sachs & Co.  

GSAMP Home Equity

    07/27/18       1.500%(M)       87       *       98             98       Goldman Sachs & Co.  

JPMBB Commercial Mortgage Securities Trust

    07/26/18       1.500%(M)       135       9.634     154             154       Goldman Sachs & Co.  

JPMBB Commercial Mortgage Securities Trust

    07/26/18       1.500%(M)       109       *       124             124       Goldman Sachs & Co.  

JPMBB Commercial Mortgage Securities Trust

    07/26/18       1.500%(M)       37       4.746     42             42       Goldman Sachs & Co.  

Lehman Home Equity

    07/27/18       1.500%(M)       277       12.276     313             313       Goldman Sachs & Co.  

Long Beach Home Equity

    07/27/18       1.500%(M)       128       *       145             145       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       161       6.940     183             183       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       99       7.460     113             113       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       62       2.539     71             71       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       51       2.539     58             58       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       46       6.728     52             52       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       41       1.175     47             47       Goldman Sachs & Co.  

Morgan Stanley BAML Trust

    07/26/18       1.500%(M)       24       10.400     27             27       Goldman Sachs & Co.  

Morgan Stanley Home Equity

    07/27/18       1.500%(M)       369       *       417             417       Goldman Sachs & Co.  

Morgan Stanley Home Equity

    07/27/18       1.500%(M)       152       1.498     171             171       Goldman Sachs & Co.  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A54


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Reference Entity/
Obligation

  Termination
Date
    Fixed
Rate
  Notional
Amount
(000)#(3)
    Implied
Credit
Spread at
June 30,
2018(4)
    Fair
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
   

Counterparty

OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^ (continued):

New Century Home Equity

    07/27/18     1.500%(M)     432       *     $ 488     $     $ 488    

Goldman Sachs & Co.

New Century Home Equity

    07/27/18     1.500%(M)     122       14.574     138             138    

Goldman Sachs & Co.

Option One Home Equity

    07/27/18     1.500%(M)     225       8.042     254             254    

Goldman Sachs & Co.

Wells Fargo Commercial Mortgage Trust

    07/26/18     1.500%(M)     37       6.780     42             42    

Goldman Sachs & Co.

Wells Fargo Commercial Mortgage Trust

    07/26/18     1.500%(M)     23       6.780     26             26    

Goldman Sachs & Co.

         

 

 

   

 

 

   

 

 

   
          $ 6,601     $   —     $ 6,601    
         

 

 

   

 

 

   

 

 

   

 

Reference Entity/ Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Implied Credit
Spread at
June 30,
2018(4)
    Value at
Trade
Date
     Value at
June 30,
2018
     Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):

 

  

General Motors Co.

     06/20/19        5.000%(Q)        1,925        0.111   $ 216,698      $ 94,338      $ (122,360
             

 

 

    

 

 

    

 

 

 

 

Reference Entity/ Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Fair
Value
     Upfront
Premiums
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
   

Counterparty

OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1):

 

 

United Mexican States

     06/20/23        1.000%(Q)        655      $ 9,826      $ 10,327      $ (501  

Citigroup Global Markets

United Mexican States

     06/20/23        1.000%(Q)        220        3,300        3,884        (584  

Citigroup Global Markets

United Mexican States

     06/20/23        1.000%(Q)        220        3,300        3,566        (266  

Citigroup Global Markets

           

 

 

    

 

 

    

 

 

   
            $ 16,426      $ 17,777      $ (1,351  
           

 

 

    

 

 

    

 

 

   

 

Reference Entity/

Obligation

  Termination
Date
    Fixed
Rate
    Notional
Amount
(000)#(3)
    Implied
Credit
Spread at
June 30,
2018(4)
    Fair
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
   

Counterparty

OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2):

Hellenic Republic

    06/20/22       1.000%(Q)       1,020       3.178   $ (78,092   $ (176,063   $ 97,971    

Citigroup Global Markets

Hellenic Republic

    06/20/22       1.000%(Q)       260       3.178     (19,906     (46,150     26,244    

Goldman Sachs & Co.

Hellenic Republic

    06/20/24       1.000%(Q)       500       3.639     (64,327     (108,125     43,798    

Barclays Capital Group

Kingdom of Spain

    06/20/23       1.000%(Q)       940       0.704     13,073       10,222       2,851    

Citigroup Global Markets

Kingdom of Spain

    06/20/23       1.000%(Q)       1,870       0.704     26,007       21,646       4,361    

Goldman Sachs & Co.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       545       2.427     (34,268     (36,167     1,899    

Citigroup Global Markets

Petroleos Mexicanos

    06/20/23       1.000%(Q)       185       2.427     (11,632     (12,581     949    

Citigroup Global Markets

Petroleos Mexicanos

    06/20/23       1.000%(Q)       185       2.427     (11,632     (12,353     721    

Citigroup Global Markets

Republic of Brazil

    09/20/18       1.000%(Q)       5,000       0.863     3,096       11,729       (8,633  

BNP Paribas

Republic of Italy

    09/20/20       1.000%(Q)       5,650       1.815     (95,962     26,213       (122,175  

JPMorgan Chase

         

 

 

   

 

 

   

 

 

   
          $ (273,643   $ (321,629   $ 47,986    
         

 

 

   

 

 

   

 

 

   

 

Reference Entity/ Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Value at
Trade
Date
    Value at
June 30,
2018
     Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

 

       

CDX.NA.IG.29.V1

     12/20/27        1.000%(Q)        5,957      $ (3,051   $ 37,737      $ 40,788  
           

 

 

   

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A55


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

 

Reference Entity/Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Fair
Value
     Upfront
Premiums
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
   

Counterparty

OTC Credit Default Swap Agreement on credit indices—Buy Protection(1):

 

 

CMBX.NA.10.AAA

     11/17/59        0.500%(M)        6,000      $ 26,593      $ 68,926      $ (42,333  

Deutsche Bank AG

           

 

 

    

 

 

    

 

 

   

 

Reference Entity/
Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Implied Credit
Spread at
June 30,
2018(4)
     Fair
Value
     Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation

(Depreciation)
    

Counterparty

OTC Credit Default Swap Agreements on credit indices—Sell Protection(2):

CMBX.NA.6.AA

     05/11/63        1.500%(M)        650        *      $ 7,232      $ (2,368   $ 9,600     

Deutsche Bank AG

CMBX.NA.6.AA

     05/11/63        1.500%(M)        3,000        *      $ 33,375        (1,485     34,860     

Goldman Sachs & Co.

              

 

 

    

 

 

   

 

 

    
               $ 40,607      $ (3,853   $ 44,460     
              

 

 

    

 

 

   

 

 

    

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)

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.

 

(4)

Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection 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.

 

*

Fair value of credit default swap agreement is based on price obtained from independent pricing service which used information provided by market dealers. The implied credit spread is not readily available.

Currency swap agreements outstanding at June 30, 2018:

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 Agreement:

 
1,003    3 Month LIBOR(Q)      EUR         900      (0.613)%(A)    JPMorgan
Chase
     02/22/20      $ (39,680   $      $ (39,680
                 

 

 

   

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A56


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Forward rate agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed Rate     

Floating Rate

   Fair
Value
     Upfront
Premiums
     Unrealized
Appreciation

(Depreciation)
    

Counterparty

 

OTC Forward Rate Agreements^:

          
  264,300        07/26/18        3.988%(T)     

CMM 102(1)(T)

   $      $      $     

Citigroup Global Markets

  264,300        07/26/18        2.820%(T)     

CMS(1)(T)

                       

Citigroup Global Markets

           

 

 

    

 

 

    

 

 

    
            $      $      $     
           

 

 

    

 

 

    

 

 

    

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

Inflation swap agreements outstanding at June 30, 2018:

 

Notional
Amount

(000)#
     Termination
Date
    

Fixed

Rate

  

Floating Rate

   Value at
Trade Date
    Value at
June 30,
2018
    Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Inflation Swap Agreements:

 
  EUR        4,060        08/15/22     

1.240%(T)

   Eurostat Eurozone HICP ex Tobacco(2)(T)    $     $ (58,770   $ (58,770
  EUR        3,750        09/15/22     

1.260%(T)

   Eurostat Eurozone HICP ex Tobacco(2)(T)            (52,167     (52,167
  EUR        2,035        08/15/27     

1.415%(T)

   Eurostat Eurozone HICP ex Tobacco(1)(T)            41,559       41,559  
  EUR        1,825        09/15/27     

1.438%(T)

   Eurostat Eurozone HICP ex Tobacco(1)(T)            33,847       33,847  
  GBP        1,010        08/15/42     

3.520%(T)

   U.K. Retail Price Index(2)(T)      (3,722     42,972       46,694  
  GBP        350        08/15/47     

3.469%(T)

   U.K. Retail Price Index(1)(T)            (15,654     (15,654
  GBP        190        10/15/47     

3.535%(T)

   U.K. Retail Price Index(2)(T)            20,268       20,268  
  GBP        255        08/15/57     

3.363%(T)

   U.K. Retail Price Index(1)(T)            (27,086     (27,086
  GBP        120        10/15/57     

3.418%(T)

   U.K. Retail Price Index(1)(T)            (22,817     (22,817
     3,650        10/25/27     

2.160%(T)

   U.S. CPI Urban Consumers NSA Index(2)(T)      85       (87,287     (87,372
              

 

 

   

 

 

   

 

 

 
               $ (3,637   $ (125,135   $ (121,498
              

 

 

   

 

 

   

 

 

 

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at June 30, 2018:

 

Notional
Amount

(000)#
     Termination
Date
    

Fixed

Rate

  

Floating Rate

   Value at
Trade Date
    Value at
June 30,
2018
    Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

 
  BRL        21,376        01/04/21     

8.660%(T)

   1 Day BROIS(2)(T)    $     $ (6,625   $ (6,625
  BRL        35,249        01/04/21     

8.670%(T)

   1 Day BROIS(2)(T)            (7,744     (7,744
  BRL        18,970        01/04/21     

9.350%(T)

   1 Day BROIS(1)(T)            (117,440     (117,440
  BRL        18,735        01/04/21     

9.470%(T)

   1 Day BROIS(1)(T)            (137,895     (137,895
  BRL        12,798        01/04/21     

10.000%(T)

   1 Day BROIS(2)(T)            153,207       153,207  
  BRL        8,070        01/04/21     

10.050%(T)

   1 Day BROIS(2)(T)            100,478       100,478  
  BRL        12,351        01/04/21     

10.250%(T)

   1 Day BROIS(2)(T)            178,916       178,916  
  BRL        25,346        01/04/21     

10.300%(T)

   1 Day BROIS(2)(T)            379,624       379,624  
  BRL        6,412        01/02/23     

9.260%(T)

   1 Day BROIS(1)(T)            74,923       74,923  
  BRL        10,735        01/02/23     

9.280%(T)

   1 Day BROIS(1)(T)            128,600       128,600  
  BRL        10,680        01/02/25     

9.570%(T)

   1 Day BROIS(2)(T)            (293,576     (293,576
  BRL        17,593        01/02/25     

9.685%(T)

   1 Day BROIS(2)(T)            (451,257     (451,257
  BRL        7,875        01/02/25     

9.920%(T)

   1 Day BROIS(2)(T)            (150,366     (150,366
  BRL        7,815        01/02/25     

10.040%(T)

   1 Day BROIS(2)(T)            (129,336     (129,336
  EUR        9,735        05/11/19     

(0.144)%(A)

   6 Month EURIBOR(1)(S)      (17,481     (13,046         4,435  
  EUR        1,420        05/11/21     

0.100%(A)

   6 Month EURIBOR(1)(S)      (3,472     (8,395     (4,923
  EUR        8,125        05/11/22     

0.156%(A)

   6 Month EURIBOR(1)(S)      (12,751     (28,901     (16,150
  EUR        4,650        05/11/23     

0.650%(A)

   6 Month EURIBOR(1)(S)      (41,668     (115,088     (73,420
  EUR        2,620        05/11/24     

0.396%(A)

   6 Month EURIBOR(1)(S)      15,866       (5,581     (21,447
  EUR        2,110        05/11/25     

0.650%(A)

   6 Month EURIBOR(1)(S)      (9,274     (25,562     (16,288
  EUR        3,815        05/11/26     

0.750%(A)

   6 Month EURIBOR(1)(S)      (5,567     (43,945     (38,378
  EUR        4,730        05/11/28     

0.750%(A)

   6 Month EURIBOR(1)(S)      194,883       51,809       (143,074

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A57


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2018 (continued):

 

Notional
Amount
(000)#
     Termination
Date
    

Fixed

Rate

  

Floating Rate

   Value at
Trade
Date
    Value at
June 30,
2018
    Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements (continued):

 
  EUR        2,640        02/15/30     

1.124%(A)

   6 Month EURIBOR(1)(S)    $ (631   $ (54,501   $ (53,870
  EUR        1,640        05/11/30     

0.850%(A)

   6 Month EURIBOR(1)(S)      60,675       38,174       (22,501
  EUR        2,410        05/11/33     

1.000%(A)

   6 Month EURIBOR(1)(S)      144,652       84,133       (60,519
  EUR        5        05/11/35     

1.050%(A)

   6 Month EURIBOR(1)(S)      357       227       (130
  EUR        1,240        05/11/36     

1.050%(A)

   6 Month EURIBOR(1)(S)      102,375       66,906       (35,469
  EUR        230        05/11/37     

1.253%(A)

   6 Month EURIBOR(1)(S)      10,208       4,704       (5,504
  EUR        6,100        10/25/37     

2.085%(A)

   3 Month EURIBOR(2)(Q)            80,642       80,642  
  EUR        6,100        10/25/37     

2.114%(A)

   6 Month EURIBOR(1)(S)            (74,624     (74,624
  EUR        195        05/11/42     

1.350%(A)

   6 Month EURIBOR(1)(S)      6,978       3,563       (3,415
  EUR        1,140        01/26/48     

1.853%(A)

   3 Month EURIBOR(2)(Q)            15,844       15,844  
  EUR        1,140        01/26/48     

1.863%(A)

   6 Month EURIBOR(1)(S)            (15,729     (15,729
  EUR        3,920        03/19/48     

1.650%(A)

   3 Month EURIBOR(2)(Q)            7,688       7,688  
  EUR        3,920        03/19/48     

1.658%(A)

   6 Month EURIBOR(1)(S)            (8,524     (8,524
  GBP        1,995        05/08/21     

0.716%(S)

   6 Month GBP LIBOR(1)(S)      23,776       30,359       6,583  
  GBP        5,010        10/30/32     

1.633%(S)

   6 Month GBP LIBOR(2)(S)      1,183       26,903       25,720  
  GBP        2,810        10/30/47     

1.680%(S)

   6 Month GBP LIBOR(1)(S)            (55,108     (55,108
     45,150        09/30/18     

0.655%(A)

   1 Day USOIS(1)(A)      253       425,069       424,816  
     22,510        09/30/18     

0.747%(A)

   1 Day USOIS(1)(A)      200       190,958       190,758  
     14,465        10/07/18     

1.253%(A)

   1 Day USOIS(1)(A)            53,209       53,209  
     55,120        11/17/18     

1.080%(T)

   1 Day USOIS(1)(T)      274       358,523       358,249  
     82,865        11/18/18     

0.911%(A)

   1 Day USOIS(1)(A)      (4,269     678,535       682,804  
     92,210        02/15/19     

1.820%(T)

   1 Day USOIS(1)(T)            107,272       107,272  
     14,618        03/31/19     

1.431%(A)

   1 Day USOIS(1)(A)            87,829       87,829  
     14,825        03/31/19     

1.431%(A)

   1 Day USOIS(1)(A)            89,184       89,184  
     6,015        06/30/19     

1.486%(A)

   1 Day USOIS(1)(A)            42,086       42,086  
     28,605        06/30/19     

1.502%(A)

   1 Day USOIS(1)(A)      (13,976     192,247       206,223  
     11,650        07/14/19     

1.428%(A)

   1 Day USOIS(1)(A)            92,601       92,601  
     28,185        09/08/19     

1.290%(A)

   1 Day USOIS(1)(A)            359,833       359,833  
     36,580        09/30/19     

1.707%(A)

   1 Day USOIS(1)(A)      10,331       238,417       228,086  
     116,905        12/31/19     

1.840%(A)

   1 Day USOIS(1)(A)      328,612       820,529       491,917  
     46,220        12/31/19     

1.950%(A)

   1 Day USOIS(1)(A)      14,346       236,775       222,429  
     25,810        12/31/19     

2.040%(A)

   1 Day USOIS(1)(A)      280       91,549       91,269  
     66,255        12/31/19     

2.107%(A)

   1 Day USOIS(1)(A)      7,124       140,200       133,076  
     22,890        03/08/20     

2.157%(A)

   1 Day USOIS(1)(A)            47,291       47,291  
     1,515        03/28/20     

2.190%(A)

   1 Day USOIS(1)(A)      (78     3,092       3,170  
     16,870        03/31/20     

2.295%(A)

   1 Day USOIS(1)(A)      4,272       22,906       18,634  
     35,490        03/31/20     

2.369%(A)

   1 Day USOIS(1)(A)      (7,669     3,795       11,464  
     29,440        04/24/20     

2.311%(A)

   1 Day USOIS(1)(A)            9,442       9,442  
     13,600        07/17/20     

1.521%(A)

   1 Day USOIS(1)(A)            228,308       228,308  
     1,895        09/27/21     

2.330%(A)

   1 Day USOIS(1)(A)      (526     6,074       6,600  
     5,260        05/31/22     

2.353%(A)

   1 Day USOIS(1)(A)            25,754       25,754  
     4,490        09/27/22     

2.360%(A)

   1 Day USOIS(1)(A)      53       17,845       17,792  
     6,920        02/15/24     

2.115%(S)

   3 Month LIBOR(1)(Q)      16,359       244,872       228,513  
     16,137        02/15/24     

2.151%(S)

   3 Month LIBOR(1)(Q)      (17,628     538,632       556,260  
     19,590        02/15/24     

2.183%(S)

   3 Month LIBOR(1)(Q)      (27,672     616,141       643,813  
     3,650        05/15/24     

1.808%(A)

   1 Day USOIS(1)(A)            139,571       139,571  
     11,070        08/15/24     

2.168%(S)

   3 Month LIBOR(1)(Q)            393,319       393,319  
     88,455        08/15/24     

2.170%(S)

   3 Month LIBOR(1)(Q)      297,704       3,133,924       2,836,220  
     29,940        08/15/24     

2.176%(S)

   3 Month LIBOR(1)(Q)      102,544       1,050,701       948,157  
     34,400        11/15/24     

2.334%(S)

   3 Month LIBOR(1)(Q)      120,852       1,124,278       1,003,426  
     3,900        02/14/25     

—(3)

   —(3)            3,424       3,424  
     6,025        02/28/25     

2.454%(A)

   1 Day USOIS(1)(A)      5,664       20,290       14,626  
     2,040        02/28/25     

3.019%(S)

   3 Month LIBOR(1)(Q)            (16,608     (16,608
     15,934        02/15/27     

1.824%(A)

   1 Day USOIS(1)(A)      211,227       852,754       641,527  
     6,555        02/15/27     

1.899%(A)

   1 Day USOIS(1)(A)      7,830       310,912       303,082  
     2,515        02/15/27     

1.965%(A)

   1 Day USOIS(1)(A)            105,782       105,782  
     7,480        02/15/27     

2.067%(A)

   1 Day USOIS(1)(A)      (5,086     251,834       256,920  
     5,020        05/08/27     

2.309%(S)

   3 Month LIBOR(1)(Q)            239,638       239,638  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A58


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2018 (continued):

 

Notional
Amount
(000)#
     Termination
Date
    

Fixed
Rate

  

Floating Rate

   Value at
Trade
Date
    Value at
June 30,
2018
    Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements (continued):

 
    3,295        05/15/27     

1.823%(A)

   1 Day USOIS(1)(A)    $     $ 183,288     $ 183,288  
    2,095        05/15/27     

2.295%(S)

   3 Month LIBOR(1)(Q)            102,472       102,472  
    9,930        05/03/32     

2.434%(S)

   3 Month LIBOR(2)(Q)            (600,661     (600,661
    15,525        02/15/36     

2.338%(S)

   3 Month LIBOR(2)(Q)      (102,774     (1,279,516     (1,176,742
    7,865        05/03/37     

2.508%(S)

   3 Month LIBOR(1)(Q)            529,369       529,369  
    3,815        03/16/38     

2.987%(S)

   3 Month LIBOR(2)(Q)            46,130       46,130  
    2,905        02/15/42     

1.369%(A)

   1 Day USOIS(1)(A)      203       587,655       587,452  
    3,090        10/04/42     

2.527%(S)

   3 Month LIBOR(2)(Q)            (233,718     (233,718
    580        11/15/43     

2.659%(S)

   3 Month LIBOR(1)(Q)            30,761       30,761  
    1,835        09/27/46     

1.380%(A)

   1 Day USOIS(1)(A)      183       407,348       407,165  
    2,720        10/04/47     

2.536%(S)

   3 Month LIBOR(1)(Q)            221,260       221,260  
    2,865        03/16/48     

2.970%(S)

   3 Month LIBOR(1)(Q)            (45,528     (45,528
    1,100        04/09/48     

2.545%(S)

   3 Month LIBOR(1)(Q)            87,975       87,975  
    1,020        05/08/48     

2.627%(S)

   3 Month LIBOR(1)(Q)            64,311       64,311  
             

 

 

   

 

 

   

 

 

 
              $ 1,418,742     $ 13,363,390     $  11,944,648  
             

 

 

   

 

 

   

 

 

 

Cash of $784,000 and securities with a combined market value of $15,298,690 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

 

(3)

The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 Day USOIS plus 38.25 bps quarterly.

Total return swap agreements outstanding at June 30, 2018:

 

Counterparty

   Termination
Date
     Long (Short)
Notional
Amount

(000)#
    

Description

   Fair
Value
  Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)(1)
 

OTC Total Return Swap Agreement:

 

 

Credit Suisse First Boston Corp.

     1/12/41        2,984      Pay monthly variable payments based on 1 Month LIBOR and receive fixed payments based on IOS.FN30.450.10 Index    $(12,549)   $ (9,113   $ (3,436
           

 

 

 

 

   

 

 

 

 

(1)

Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balance Reported in the Statement of Assets and Liabilities for OTC Swap Agreements Table:

 

     Premiums
Paid
     Premiums
Received
    Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Swap Agreements

   $ 156,513      $ (404,405   $ 229,855      $ (217,608
  

 

 

    

 

 

   

 

 

    

 

 

 

Fair Value Measurements:

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—

unadjusted 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.

 

A59


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

   

Level 3

 

Investments in Securities

       

Asset-Backed Securities

       

Automobiles

   $      $ 1,996,999     $  

Collateralized Loan Obligations

            222,008,686        

Consumer Loans

            26,394,375        

Home Equity Loans

            23,774,464        

Residential Mortgage-Backed Securities

            23,610,350       6,829,450  

Student Loans

            4,592,480        

Bank Loans

            10,312,283        

Commercial Mortgage-Backed Securities

            165,591,575        

Corporate Bonds

            428,117,209        

Municipal Bonds

            21,401,432        

Residential Mortgage-Backed Securities

            38,372,722        

Sovereign Bonds

            62,757,275        

U.S. Government Agency Obligations

            12,252,334        

U.S. Treasury Obligations

            27,009,299        

Preferred Stocks

     2,133,700               

Affiliated Mutual Funds

     67,943,669               

Commercial Paper

            3,932,630        

Option Purchased

            7,395        

Option Written

            (38,196      

Other Financial Instruments*

       

Futures Contracts

     9,531,718               

OTC Forward Foreign Currency Exchange Contracts

            2,958,864        

Centrally Cleared Credit Default Swap Agreements

            (81,572      

OTC Credit Default Swap Agreements

            (190,017     6,601  

OTC Currency Swap Agreement

            (39,680      

OTC Forward Rate Swap Agreements

                   

Centrally Cleared Inflation Swap Agreements

            (121,498      

Centrally Cleared Interest Rate Swap Agreements

            11,944,648        

OTC Total Return Swap Agreement

            (12,549      
  

 

 

    

 

 

   

 

 

 

Total

   $ 79,609,087      $ 1,086,551,508     $ 6,836,051  
  

 

 

    

 

 

   

 

 

 

 

*

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.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Collateralized Loan Obligations

     19.4

Commercial Mortgage-Backed Securities

     14.5  

Banks

     11.7  

Residential Mortgage-Backed Securities

     5.9  

Affiliated Mutual Funds (1.4% represents investments purchased with collateral from securities on loan)

     6.0  

Sovereign Bonds

     5.5  

Media

     2.5  

U.S. Treasury Obligations

     2.4  

Oil & Gas

     2.3  

Consumer Loans

     2.3  

Electric

     2.3  

Home Equity Loans

     2.1  

Municipal

     1.9  

Pharmaceuticals

     1.5  

Healthcare-Services

     1.3  

Chemicals

     1.3  

Insurance

     1.2

U.S. Government Agency Obligations

     1.1  

Telecommunications

     1.0  

Food

     0.9  

Pipelines

     0.9  

Auto Manufacturers

     0.9  

Healthcare-Products

     0.7  

Software

     0.7  

Semiconductors

     0.7  

Diversified Financial Services

     0.6  

Airlines

     0.6  

Retail

     0.6  

Multi-National

     0.5  

Aerospace & Defense

     0.5  

Commercial Services

     0.4  

Auto Parts & Equipment

     0.4  

Packaging & Containers

     0.4  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A60


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Industry Classification (continued):

 

Student Loans

     0.4

Technology

     0.4  

Machinery-Diversified

     0.4  

Home Builders

     0.4  

Commercial Paper

     0.3  

Agriculture

     0.3  

Building Materials

     0.3  

Gas

     0.3  

Lodging

     0.3  

Miscellaneous Manufacturing

     0.2  

Mining

     0.2  

Apparel

     0.2  

Forest Products & Paper

     0.2  

Internet

     0.2  

Automobiles

     0.2  

Biotechnology

     0.2  

Housewares

     0.2  

Savings & Loans

     0.1  

Real Estate Investment Trusts (REITs)

     0.1  

Beverages

     0.1  

Office/Business Equipment

     0.1

Electronics

     0.1  

Oil, Gas & Coal

     0.1  

Computers

     0.1  

Home Furnishings

     0.1  

Oil & Gas Services

     0.0

Entertainment

     0.0

Textiles

     0.0

Iron/Steel

     0.0

Engineering & Construction

     0.0

Option Purchased

     0.0

Option Written

     0.0
  

 

 

 
     100.5  

Liabilities in excess of other assets

     (0.5
  

 

 

 
     100.0
  

 

 

 

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts 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.

 

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
   $ 40,788   Due from/to broker —
variation margin swaps
   $ 122,360

Credit contracts

   Premiums paid for OTC swap agreements      156,513     Premiums received for OTC swap agreements      395,292  

Credit contracts

   Unaffiliated investments      7,395     Options written outstanding, at value      38,196  

Credit contracts

   Unrealized appreciation on OTC swap agreements      229,855     Unrealized depreciation on OTC swap agreements      174,492  

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      2,997,619     Unrealized depreciation on OTC forward foreign currency exchange contracts      38,755  

Interest rate contracts

   Due from/to broker —
variation margin futures
     9,945,670   Due from/to broker —
variation margin futures
     413,952

Interest rate contracts

   Due from/to broker —
variation margin swaps
     16,103,585   Due from/to broker —
variation margin swaps
     4,280,435

Interest rate contracts

            Premiums received for OTC swap agreements      9,113  

Interest rate contracts

            Unrealized depreciation on OTC swap agreements      43,116  
     

 

 

      

 

 

 
      $ 29,481,425        $ 5,515,711  
     

 

 

      

 

 

 

 

*

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, 2018 are as follows:

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A61


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

 

Derivatives not accounted for as hedging

instruments, carried at fair value

  Options
Purchased(1)
    Options
Written
    Futures     Forward
Currency
Contracts
    Swaps  

Credit contracts

  $ (79,600   $ 248,096     $     $     $ 104,321  

Foreign exchange contracts

                      (1,281,417      

Interest rate contracts

    (641,200     633,805       (27,682,846           5,308,367  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (720,800   $ 881,901     $ (27,682,846   $ (1,281,417   $ 5,412,688  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(1)

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(2)
    Options
Written
    Futures     Forward
Currency
Contracts
    Swaps  

Credit contracts

  $ (19,833   $ (110,267   $     $     $ 149,249  

Foreign exchange contracts

                      3,835,753        

Interest rate contracts

    294,459       (259,584     10,638,014             5,821,014  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 274,626     $ (369,851   $ 10,638,014     $ 3,835,753     $ 5,970,263  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(2)

Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A62


   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

 

Options
Purchased(1)

 

Options
Written(3)

 

Futures

Contracts-
Long
Positions(3)

 

Futures

Contracts-
Short
Positions(3)

 

Forward Foreign
Currency Exchange
Contracts-
Purchased(2)

$478,188   $210,362,288   $886,422,702   $274,050,739   $4,310,890

 

 

 

 

 

 

 

 

 

 

Forward Foreign
Currency  Exchange
Contracts-Sold(2)

 

Forward Rate
Agreements(3)

 

Inflation
Swap
Agreements(3)

 

Interest Rate
Swap
Agreements(3)

 

Credit Default
Swap Agreements-
Buy Protection(3)

$64,222,111   $176,200,000   $23,284,374   $1,500,585,207   $12,984,000

 

 

 

 

 

 

 

 

 

 

Credit Default
Swap Agreements-
Sell Protection(3)

 

Currency
Swap
Agreements(3)

 

Total Return
Swap
Agreements(3)

$35,636,000   $14,462,333   $3,120,667

 

 

 

 

 

 

(1)

Cost.

 

(2)

Value at Settlement Date.

 

(3)

Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions 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 derivative and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Gross Market Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(2)
     Net
Amount
 

Securities on Loan

     $ 15,440,214        $ (15,440,214    $  
    

 

 

         

Offsetting of OTC derivative assets and liabilities:

 

Counterparty

   Gross Amounts of
Recognized Assets(1)
     Gross Amounts of
Recognized Liabilities(1)
     Net Amounts
of Recognized
Assets/(Liabilities)
    Collateral
Pledged/(Received)(2)
    Net Amount  

Bank of America

   $ 285,651      $ (22    $ 285,629     $     $ 285,629  

Barclays Capital Group

     43,798        (108,125      (64,327           (64,327

BNP Paribas

     11,729        (8,633      3,096             3,096  

Citigroup Global Markets

     139,785        (311,535      (171,750     70,000       (101,750

Credit Suisse First Boston Corp.

            (12,549      (12,549           (12,549

Deutsche Bank AG

     78,526        (44,701      33,825             33,825  

Goldman Sachs & Co.

     96,086        (51,544      44,542             44,542  

JPMorgan Chase

     60,336        (161,855      (101,519           (101,519

Toronto Dominion

     2,674,446               2,674,446       (2,674,446      

UBS AG

     1,025               1,025             1,025  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 
   $ 3,391,382      $ (698,964    $ 2,692,418     $ (2,604,446   $ 87,972  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

 

(1)

Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

 

(2)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A63


   DIVERSIFIED BOND PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited) as of June 30, 2018

 

ASSETS   

Investments at value, including securities on loan of $15,440,214:

  

Unaffiliated investments (cost $1,079,667,996)

   $ 1,081,094,658  

Affiliated investments (cost $68,253,551)

     67,943,669  

Cash

     44,049  

Foreign currency, at value (cost $2,724,499)

     2,724,366  

Deposit with broker for futures

     2,140,000  

Cash segregated for counterparty-OTC

     70,000  

Deposit with broker for centrally cleared swaps

     784,000  

Dividends and interest receivable

     9,469,980  

Unrealized appreciation on OTC forward foreign currency exchange contracts

     2,997,619  

Receivable for investments sold

     1,252,648  

Unrealized appreciation on OTC swap agreements

     229,855  

Premiums paid for OTC swap agreements

     156,513  

Due from broker-variation margin swaps

     124,905  

Receivable for Series shares sold

     88,078  

Tax reclaim receivable

     39,208  

Prepaid expenses

     1,183  
  

 

 

 

Total Assets

     1,169,160,731  
  

 

 

 
LIABILITIES   

Payable to broker for collateral for securities on loan

     15,752,843  

Payable for investments purchased

     9,117,266  

Premiums received for OTC swap agreements

     404,405  

Management fee payable

     374,265  

Unrealized depreciation on OTC swap agreements

     217,608  

Accrued expenses and other liabilities

     168,192  

Due to broker-variation margin futures

     113,712  

Payable for Series shares repurchased

     103,871  

Unrealized depreciation on OTC forward foreign currency exchange contracts

     38,755  

Options written outstanding, at value (proceeds received $62,150)

     38,196  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     26,330,093  
NET ASSETS    $ 1,142,830,638  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 1,142,830,638  
  

 

 

 

Net asset value and redemption price per share $1,142,830,638 / 88,458,286 outstanding shares of beneficial interest

   $ 12.92  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Interest income (net of $156 foreign withholding tax)

   $ 20,536,724  

Affiliated dividend income

     720,013  

Unaffiliated dividend income

     68,561  

Income from securities lending, net (including affiliated income of $37,584)

     44,279  
  

 

 

 

Total income

     21,369,577  
  

 

 

 
EXPENSES   

Management fee

     2,260,451  

Custodian and accounting fees

     88,476  

Shareholders’ reports

     61,511  

Audit fee

     26,593  

Trustees’ fees

     10,057  

Legal fees and expenses

     6,182  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

     5,297  

Miscellaneous

     16,005  

Total expenses

     2,474,572  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      18,895,005  
  

 

 

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

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $(1,202,474))

     (365,040

Futures transactions

     (27,682,846

Forward currency contract transactions

     (1,281,417

Options written transactions

     881,901  

Swap agreements transactions

     5,412,688  

Foreign currency transactions

     (161,679
  

 

 

 
     (23,196,393
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $1,143,418)

     (35,336,024

Futures

     10,638,014  

Forward currency contracts

     3,835,753  

Options written

     (369,851

Swap agreements

     5,970,263  

Foreign currencies

     128,990  
  

 

 

 
     (15,132,855
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      (38,329,248
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ (19,434,243
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 18,895,005     $ 36,839,384  

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

     (23,196,393     17,744,973  

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     (15,132,855     20,986,202  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     (19,434,243     75,570,559  
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [5,956,990 and 8,208,158 shares, respectively]

     77,246,847       106,613,787  

Series shares repurchased [4,655,630 and 10,992,821 shares, respectively]

     (60,080,083     (141,664,847
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     17,166,764       (35,051,060
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      (2,267,479     40,519,499  
NET ASSETS:     

Beginning of period

     1,145,098,117       1,104,578,618  
  

 

 

   

 

 

 

End of period

   $ 1,142,830,638     $ 1,145,098,117  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A64


   EQUITY PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

LONG-TERM INVESTMENTS — 95.4%  
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 3.7%

     

Boeing Co. (The)

     390,413      $ 130,987,466  

United Technologies Corp.

     304,499        38,071,510  
     

 

 

 
        169,058,976  
     

 

 

 

Air Freight & Logistics — 1.3%

     

FedEx Corp.

     267,139        60,656,581  
     

 

 

 

Automobiles — 1.1%

     

Tesla, Inc.*(a)

     145,856        50,021,315  
     

 

 

 

Banks — 8.8%

     

Bank of America Corp.

     2,339,339        65,945,966  

BB&T Corp.

     1,188,642        59,955,103  

Citigroup, Inc.

     706,606        47,286,074  

JPMorgan Chase & Co.

     1,668,119        173,818,000  

PNC Financial Services Group, Inc. (The)

     360,304        48,677,070  
     

 

 

 
        395,682,213  
     

 

 

 

Beverages — 0.6%

     

Constellation Brands, Inc. (Class A Stock)

     118,146        25,858,615  
     

 

 

 

Biotechnology — 0.6%

     

BioMarin Pharmaceutical, Inc.*

     273,588        25,771,990  
     

 

 

 

Building Products — 0.5%

     

Johnson Controls International PLC

     635,801        21,267,543  
     

 

 

 

Capital Markets — 0.8%

     

Goldman Sachs Group, Inc. (The)

     155,513        34,301,502  
     

 

 

 

Chemicals — 1.5%

     

DowDuPont, Inc.

     572,874        37,763,854  

FMC Corp.

     343,464        30,640,423  
     

 

 

 
        68,404,277  
     

 

 

 

Communications Equipment — 1.1%

     

Cisco Systems, Inc.

     1,110,092        47,767,259  
     

 

 

 

Consumer Finance — 1.5%

     

Capital One Financial Corp.

     410,023        37,681,114  

SLM Corp.*

     2,678,543        30,669,317  
     

 

 

 
        68,350,431  
     

 

 

 

Containers & Packaging — 0.5%

     

Sealed Air Corp.

     557,252        23,655,347  
     

 

 

 

Electric Utilities — 2.1%

     

American Electric Power Co., Inc.

     761,271        52,718,017  

Exelon Corp.

     1,012,147        43,117,462  
     

 

 

 
        95,835,479  
     

 

 

 

Electrical Equipment — 0.7%

     

Emerson Electric Co.

     484,436        33,493,905  
     

 

 

 

Electronic Equipment, Instruments &
Components — 0.7%

 

  

Flex Ltd.*

     2,207,482        31,147,571  
     

 

 

 

Energy Equipment & Services — 1.0%

     

Halliburton Co.

     952,991        42,941,774  
     

 

 

 

Equity Real Estate Investment Trusts
(REITs) — 1.0%

 

  

American Tower Corp.

     315,114        45,429,985  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Food & Staples Retailing — 2.1%

     

Costco Wholesale Corp.

     207,538      $ 43,371,291  

Walmart, Inc.

     582,642        49,903,288  
     

 

 

 
        93,274,579  
     

 

 

 

Food Products — 1.6%

     

Conagra Brands, Inc.(a)

     976,938        34,905,995  

Mondelez International, Inc. (Class A Stock)

     917,948        37,635,868  
     

 

 

 
        72,541,863  
     

 

 

 

Health Care Equipment & Supplies — 0.8%

 

  

Zimmer Biomet Holdings, Inc.

     338,011        37,667,946  
     

 

 

 

Health Care Providers & Services — 2.3%

 

  

Laboratory Corp. of America Holdings*

     236,436        42,447,355  

UnitedHealth Group, Inc.

     242,635        59,528,071  
     

 

 

 
        101,975,426  
     

 

 

 

Hotels, Restaurants & Leisure — 2.4%

 

  

Carnival Corp.

     372,907        21,371,300  

Marriott International, Inc. (Class A Stock)

     430,782        54,537,001  

McDonald’s Corp.

     215,586        33,780,171  
     

 

 

 
        109,688,472  
     

 

 

 

Insurance — 1.9%

     

Brighthouse Financial, Inc.*

     381,877        15,301,811  

Chubb Ltd.

     332,032        42,174,705  

MetLife, Inc.

     628,652        27,409,227  
     

 

 

 
        84,885,743  
     

 

 

 

Internet & Direct Marketing Retail — 6.6%

 

  

Amazon.com, Inc.*

     83,559        142,033,588  

Booking Holdings, Inc.*

     25,426        51,540,790  

Netflix, Inc.*

     265,353        103,867,125  
     

 

 

 
        297,441,503  
     

 

 

 

Internet Software & Services — 11.1%

 

  

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

     580,439        107,688,848  

Alphabet, Inc. (Class A Stock)*

     85,153        96,153,916  

Alphabet, Inc. (Class C Stock)*

     55,103        61,475,662  

eBay, Inc.*

     902,417        32,721,641  

Facebook, Inc. (Class A Stock)*

     479,126        93,103,764  

MercadoLibre, Inc. (Argentina)(a)

     82,180        24,566,067  

Tencent Holdings Ltd. (China)

     1,725,980        86,670,781  
     

 

 

 
        502,380,679  
     

 

 

 

IT Services — 6.2%

     

DXC Technology Co.

     316,326        25,499,039  

Mastercard, Inc. (Class A Stock)

     492,144        96,716,139  

PayPal Holdings, Inc.*

     574,140        47,808,638  

Square, Inc. (Class A Stock)*(a)

     392,997        24,224,335  

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

     630,715        83,538,201  
     

 

 

 
        277,786,352  
     

 

 

 

Life Sciences Tools & Services — 0.8%

 

  

Illumina, Inc.*

     135,298        37,787,378  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A65


   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Media — 1.9%

  

Comcast Corp. (Class A Stock)

     727,735      $ 23,876,985  

Liberty Global PLC (United Kingdom)
(Class C Stock)*

     1,105,022        29,404,636  

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

     690,819        34,326,796  
     

 

 

 
        87,608,417  
     

 

 

 

Oil, Gas & Consumable Fuels — 4.0%

 

  

Anadarko Petroleum Corp.

     404,491        29,628,966  

Chevron Corp.

     464,400        58,714,092  

Noble Energy, Inc.

     867,222        30,595,592  

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

     860,992        59,606,476  
     

 

 

 
        178,545,126  
     

 

 

 

Personal Products — 1.0%

     

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

     330,666        47,182,732  
     

 

 

 

Pharmaceuticals — 3.8%

  

Allergan PLC

     151,673        25,286,923  

AstraZeneca PLC (United Kingdom), ADR(a)

     1,432,887        50,308,663  

Eli Lilly & Co.

     499,709        42,640,169  

Pfizer, Inc.

     1,435,148        52,067,169  
     

 

 

 
        170,302,924  
     

 

 

 

Road & Rail — 0.8%

  

Union Pacific Corp.

     253,155        35,867,000  
     

 

 

 

Semiconductors & Semiconductor
Equipment — 4.5%

 

  

Broadcom, Inc.

     216,926        52,634,925  

NVIDIA Corp.

     259,034        61,365,154  

Texas Instruments, Inc.

     801,003        88,310,581  
     

 

 

 
        202,310,660  
     

 

 

 

Software — 9.6%

  

Activision Blizzard, Inc.

     603,993        46,096,746  

Adobe Systems, Inc.*

     328,798        80,164,240  

Microsoft Corp.

     1,616,011        159,354,845  

PTC, Inc.*

     376,553        35,324,437  

salesforce.com, Inc.*

     591,460        80,675,144  

Workday, Inc. (Class A Stock)*(a)

     267,613        32,413,286  
     

 

 

 
        434,028,698  
     

 

 

 

Specialty Retail — 1.1%

  

Home Depot, Inc. (The)

     252,657        49,293,381  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Technology Hardware, Storage &
Peripherals — 2.0%

 

Apple, Inc.

     485,151      $ 89,806,302  
     

 

 

 

Textiles, Apparel & Luxury Goods — 2.7%

 

  

Kering SA (France)

     97,145        54,721,833  

NIKE, Inc. (Class B Stock)

     482,765        38,466,715  

Tapestry, Inc.

     648,030        30,269,482  
     

 

 

 
        123,458,030  
     

 

 

 

Wireless Telecommunication Services — 0.7%

 

  

Vodafone Group PLC (United Kingdom), ADR

     1,338,919        32,549,121  
     

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $2,703,018,869)

 

     4,306,027,095  
     

 

 

 
SHORT-TERM INVESTMENTS — 10.9%

 

  

AFFILIATED MUTUAL FUNDS

     

PGIM Core Ultra Short Bond Fund(w)

     177,974,965        177,974,965  

PGIM Institutional Money Market Fund
(cost $312,970,711; includes
$312,394,531 of cash collateral for securities on loan)(b)(w)

     312,983,688        313,014,987  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $490,945,676)

 

     490,989,952  
     

 

 

 

TOTAL INVESTMENTS — 106.3%
(cost $3,193,964,545)

 

     4,797,017,047  

LIABILITIES IN EXCESS OF OTHER
ASSETS — (6.3)%

 

     (284,709,798
     

 

 

 

NET ASSETS — 100.0%

 

   $ 4,512,307,249  
     

 

 

 

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 $302,736,977; cash collateral of $312,394,531 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

(b)

Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

Fair Value Measurements:

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—

unadjusted 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.

 

A66


   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

 

      

Level 1

      

Level 2

      

Level 3

 

Investments in Securities

              

Common Stocks

              

Aerospace & Defense

     $ 169,058,976        $        $  

Air Freight & Logistics

       60,656,581                    

Automobiles

       50,021,315                    

Banks

       395,682,213                    

Beverages

       25,858,615                    

Biotechnology

       25,771,990                    

Building Products

       21,267,543                    

Capital Markets

       34,301,502                    

Chemicals

       68,404,277                    

Communications Equipment

       47,767,259                    

Consumer Finance

       68,350,431                    

Containers & Packaging

       23,655,347                    

Electric Utilities

       95,835,479                    

Electrical Equipment

       33,493,905                    

Electronic Equipment, Instruments & Components

       31,147,571                    

Energy Equipment & Services

       42,941,774                    

Equity Real Estate Investment Trusts (REITs)

       45,429,985                    

Food & Staples Retailing

       93,274,579                    

Food Products

       72,541,863                    

Health Care Equipment & Supplies

       37,667,946                    

Health Care Providers & Services

       101,975,426                    

Hotels, Restaurants & Leisure

       109,688,472                    

Insurance

       84,885,743                    

Internet & Direct Marketing Retail

       297,441,503                    

Internet Software & Services

       415,709,898          86,670,781           

IT Services

       277,786,352                    

Life Sciences Tools & Services

       37,787,378                    

Media

       87,608,417                    

Oil, Gas & Consumable Fuels

       178,545,126                    

Personal Products

       47,182,732                    

Pharmaceuticals

       170,302,924                    

Road & Rail

       35,867,000                    

Semiconductors & Semiconductor Equipment

       202,310,660                    

Software

       434,028,698                    

Specialty Retail

       49,293,381                    

Technology Hardware, Storage & Peripherals

       89,806,302                    

Textiles, Apparel & Luxury Goods

       68,736,197          54,721,833           

Wireless Telecommunication Services

       32,549,121                    

Affiliated Mutual Funds

       490,989,952                    
    

 

 

      

 

 

      

 

 

 

Total

     $ 4,655,624,433        $ 141,392,614        $  
    

 

 

      

 

 

      

 

 

 

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Internet Software & Services

     11.1

Affiliated Mutual Funds (6.9% represents investments purchased with collateral from securities on loan)

     10.9  

Software

     9.6  

Banks

     8.8  

Internet & Direct Marketing Retail

     6.6  

IT Services

     6.2  

Semiconductors & Semiconductor Equipment

     4.5  

Oil, Gas & Consumable Fuels

     4.0  

Pharmaceuticals

     3.8  

Aerospace & Defense

     3.7

Textiles, Apparel & Luxury Goods

     2.7  

Hotels, Restaurants & Leisure

     2.4  

Health Care Providers & Services

     2.3  

Electric Utilities

     2.1  

Food & Staples Retailing

     2.1  

Technology Hardware, Storage & Peripherals

     2.0  

Media

     1.9  

Insurance

     1.9  

Food Products

     1.6  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A67


   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Industry Classification (continued):

 

Chemicals

     1.5

Consumer Finance

     1.5  

Air Freight & Logistics

     1.3  

Automobiles

     1.1  

Specialty Retail

     1.1  

Communications Equipment

     1.1  

Personal Products

     1.0  

Equity Real Estate Investment Trusts (REITs)

     1.0  

Energy Equipment & Services

     1.0  

Life Sciences Tools & Services

     0.8  

Health Care Equipment & Supplies

     0.8  

Road & Rail

     0.8  

Capital Markets

     0.8  

    

 

Electrical Equipment

     0.7

Wireless Telecommunication Services

     0.7  

Electronic Equipment, Instruments & Components

     0.7  

Beverages

     0.6  

Biotechnology

     0.6  

Containers & Packaging

     0.5  

Building Products

     0.5  
  

 

 

 
     106.3  

Liabilities in excess of other assets

     (6.3
  

 

 

 
     100.0
  

 

 

 
 

 

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Gross Market
Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(1)
     Net
Amount
 

Securities on Loan

     $ 302,736,977        $ (302,736,977    $  
    

 

 

         

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A68


   EQUITY PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

 

ASSETS   

Investments at value, including securities on loan of $302,736,977:

  

Unaffiliated investments (cost $2,703,018,869)

   $ 4,306,027,095  

Affiliated investments (cost $490,945,676)

     490,989,952  

Receivable for investments sold

     44,049,312  

Dividends and interest receivable

     3,205,676  

Tax reclaim receivable

     1,186,753  

Receivable for Series shares sold

     219  

Prepaid expenses

     4,210  
  

 

 

 

Total Assets

     4,845,463,217  
  

 

 

 
LIABILITIES   

Payable to broker for collateral for securities on loan

     312,394,531  

Payable for investments purchased

     16,809,436  

Management fee payable

     1,707,047  

Payable for Series shares repurchased

     987,539  

Accrued expenses and other liabilities

     665,670  

Payable to affiliate

     587,993  

Payable to custodian

     2,099  

Affiliated transfer agent fee payable

     980  

Distribution fee payable

     364  

Administration fee payable

     309  
  

 

 

 

Total Liabilities

     333,155,968  
  

 

 

 
NET ASSETS    $ 4,512,307,249  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 4,512,307,249  
  

 

 

 

Class I:

  

Net asset value and redemption price per share,
$4,510,669,883 / 82,625,642 outstanding shares of beneficial interest

   $ 54.59  
  

 

 

 
Class II:   

Net asset value and redemption price per share,
$1,637,366 / 30,335 outstanding shares of beneficial interest

   $ 53.98  
  

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS) INCOME   

Unaffiliated dividend income (net of $342,724 foreign withholding tax)

   $ 31,038,006  

Affiliated dividend income

     1,005,392  

Income from securities lending, net (including affiliated income of $528,260)

     804,048  
  

 

 

 

Total income

     32,847,446  
  

 

 

 
EXPENSES   

Management fee

     10,187,546  

Distribution fee—Class II

     2,513  

Administration fee—Class II

     1,508  

Custodian and accounting fees

     151,116  

Shareholders’ reports

     131,142  

Trustees’ fees

     25,321  

Audit fee

     13,116  

Legal fees and expenses

     10,735  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

     5,298  

Miscellaneous

     37,272  
  

 

 

 

Total expenses

     10,565,567  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      22,281,879  
  

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON

INVESTMENT AND FOREIGN CURRENCY
TRANSACTIONS

  

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $4,524)

     157,938,449  

Foreign currency transactions

     (58,255
  

 

 

 
     157,880,194  
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $43,915)

     81,771,287  

Foreign currencies

     (9,062
  

 

 

 
     81,762,225  
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      239,642,419  
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 261,924,298  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 22,281,879     $ 36,631,169  

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

     157,880,194       337,897,437  

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     81,762,225       560,989,236  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     261,924,298       935,517,842  
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold

     13,380,893       7,725,478  

Series shares repurchased

     (180,514,670     (269,394,297
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (167,133,777     (261,668,819
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      276,734        
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      95,067,255       673,849,023  
NET ASSETS:     

Beginning of period

     4,417,239,994       3,743,390,971  
  

 

 

   

 

 

 

End of period

   $ 4,512,307,249     $ 4,417,239,994  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A69


   FLEXIBLE MANAGED PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

LONG-TERM INVESTMENTS — 94.4%

 

COMMON STOCKS — 63.3%    Shares      Value  

Aerospace & Defense — 1.6%

     

Dassault Aviation SA (France)

     148      $ 281,417  

General Dynamics Corp.

     31,300        5,834,633  

Harris Corp.

     43,300        6,258,582  

Huntington Ingalls Industries, Inc.

     8,100        1,755,999  

Lockheed Martin Corp.

     69,700        20,591,471  

Northrop Grumman Corp.

     6,600        2,030,820  

Raytheon Co.

     100,400        19,395,272  

Safran SA (France)

     834        101,002  

Spirit AeroSystems Holdings, Inc. (Class A Stock)(a)

     100,100        8,599,591  
     

 

 

 
        64,848,787  
     

 

 

 

Air Freight & Logistics — 0.0%

     

FedEx Corp.

     3,900        885,534  

Royal Mail PLC (United Kingdom)

     2,875        19,127  
     

 

 

 
        904,661  
     

 

 

 

Airlines — 0.1%

     

Deutsche Lufthansa AG (Germany)

     2,570        61,571  

easyJet PLC (United Kingdom)

     1,884        41,448  

International Consolidated Airlines Group SA (United Kingdom)

     2,273        19,891  

Japan Airlines Co. Ltd. (Japan)

     400        14,173  

Southwest Airlines Co.

     53,200        2,706,816  
     

 

 

 
        2,843,899  
     

 

 

 

Auto Components — 0.0%

     

Cie Generale des Etablissements Michelin SCA (France)

     428        51,779  

Faurecia SA (France)

     258        18,340  

Koito Manufacturing Co. Ltd. (Japan)

     300        19,816  

Tenneco, Inc.

     28,500        1,252,860  

Toyota Industries Corp. (Japan)

     500        27,988  
     

 

 

 
        1,370,783  
     

 

 

 

Automobiles — 0.6%

     

Bayerische Motoren Werke AG (Germany)

     843        76,201  

Ferrari NV (Italy)

     347        46,904  

Fiat Chrysler Automobiles NV (United Kingdom)*

     2,781        52,461  

General Motors Co.

     490,700        19,333,580  

Honda Motor Co. Ltd. (Japan)

     4,000        117,284  

Mitsubishi Motors Corp. (Japan)

     2,100        16,740  

Peugeot SA (France)

     11,575        263,740  

Suzuki Motor Corp. (Japan)

     4,000        220,432  

Thor Industries, Inc.

     49,600        4,830,544  

Toyota Motor Corp. (Japan)

     5,700        368,613  

Volkswagen AG (Germany)

     91        14,960  
     

 

 

 
        25,341,459  
     

 

 

 

Banks — 3.8%

     

ABN AMRO Group NV (Netherlands), CVA, 144A

     11,523        298,006  

Banco Santander SA (Spain)

     1,682        8,989  

Bank Leumi Le-Israel BM (Israel)

     44,233        261,730  

Bank of America Corp.

     1,678,600        47,319,734  
COMMON STOCKS
(continued)
   Shares      Value  

Banks (continued)

     

Bank of East Asia Ltd. (The) (Hong Kong)

     72,200      $ 287,764  

Bank of Ireland Group PLC (Ireland)

     2,397        18,601  

BB&T Corp.

     352,200        17,764,968  

BNP Paribas SA (France)

     2,805        173,509  

CaixaBank SA (Spain)

     9,056        38,980  

Citigroup, Inc.

     456,900        30,575,748  

Commonwealth Bank of Australia (Australia)

     163        8,791  

Concordia Financial Group Ltd. (Japan)

     3,900        19,819  

Danske Bank A/S (Denmark)

     1,879        58,538  

DBS Group Holdings Ltd. (Singapore)

     11,600        225,585  

DNB ASA (Norway)

     14,343        279,302  

Fukuoka Financial Group, Inc. (Japan)

     2,000        10,037  

Hang Seng Bank Ltd. (Hong Kong)

     4,400        109,870  

HSBC Holdings PLC (United Kingdom)

     27,769        259,483  

Intesa Sanpaolo SpA (Italy)

     124,210        359,374  

JPMorgan Chase & Co.

     559,094        58,257,595  

KBC Group NV (Belgium)

     627        48,154  

Lloyds Banking Group PLC (United Kingdom)

     311,700        258,623  

Mebuki Financial Group, Inc. (Japan)

     3,200        10,734  

Mediobanca Banca di Credito Finanziario SpA (Italy)

     1,547        14,310  

Mitsubishi UFJ Financial Group, Inc. (Japan)

     37,900        214,699  

Mizuho Financial Group, Inc. (Japan)

     60,400        101,743  

Oversea-Chinese Banking Corp. Ltd. (Singapore)

     7,800        66,439  

Raiffeisen Bank International AG (Austria)

     450        13,788  

Resona Holdings, Inc. (Japan)

     56,900        303,264  

Sumitomo Mitsui Financial Group, Inc. (Japan)

     3,400        132,620  

Swedbank AB (Sweden)
(Class A Stock)

     2,270        48,365  

UniCredit SpA (Italy)

     5,129        85,010  

United Overseas Bank Ltd. (Singapore)

     3,300        64,676  
     

 

 

 
        157,698,848  
     

 

 

 

Beverages — 1.2%

     

Asahi Group Holdings Ltd. (Japan)

     1,100        56,417  

Coca-Cola Amatil Ltd. (Australia)

     1,715        11,665  

Coca-Cola Co. (The)

     401,500        17,609,790  

Coca-Cola European Partners PLC (United Kingdom)

     7,400        300,736  

Diageo PLC (United Kingdom)

     6,088        218,717  

Heineken Holding NV (Netherlands)

     367        35,098  

Kirin Holdings Co. Ltd. (Japan)

     11,700        313,617  

PepsiCo, Inc.

     295,320        32,151,488  
     

 

 

 
        50,697,528  
     

 

 

 

Biotechnology — 1.4%

     

AbbVie, Inc.

     48,200        4,465,730  

Amgen, Inc.

     84,408        15,580,873  

Biogen, Inc.*

     30,100        8,736,224  

Celgene Corp.*

     200,100        15,891,942  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A70


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Biotechnology (continued)

     

CSL Ltd. (Australia)

     1,430      $ 203,550  

Gilead Sciences, Inc.

     172,100        12,191,564  
     

 

 

 
        57,069,883  
     

 

 

 

Building Products — 0.1%

     

AGC, Inc. (Japan)

     4,000        155,584  

Universal Forest Products, Inc.

     75,700        2,772,134  
     

 

 

 
        2,927,718  
     

 

 

 

Capital Markets — 1.4%

     

Affiliated Managers Group, Inc.

     34,100        5,069,647  

Ameriprise Financial, Inc.

     108,600        15,190,968  

ASX Ltd. (Australia)

     612        29,173  

BlackRock, Inc.

     6,500        3,243,760  

Daiwa Securities Group, Inc. (Japan)

     13,000        75,346  

Evercore, Inc. (Class A Stock)

     56,700        5,979,015  

Franklin Resources, Inc.

     69,500        2,227,475  

Invesco Ltd.

     17,000        451,520  

Macquarie Group Ltd. (Australia)

     3,758        342,490  

Morgan Stanley

     30,300        1,436,220  

Natixis SA (France)

     2,711        19,182  

Nomura Holdings, Inc. (Japan)

     8,700        42,100  

Northern Trust Corp.

     61,600        6,338,024  

Partners Group Holding AG (Switzerland)

     413        301,922  

Quilter PLC (United Kingdom), 144A*

     5,186        9,918  

State Street Corp.

     158,900        14,792,001  

T. Rowe Price Group, Inc.

     36,600        4,248,894  
     

 

 

 
        59,797,655  
     

 

 

 

Chemicals — 1.1%

     

Asahi Kasei Corp. (Japan)

     3,800        48,190  

BASF SE (Germany)

     2,317        221,201  

Chemours Co. (The)

     332,900        14,767,444  

Covestro AG (Germany), 144A

     3,707        329,492  

Huntsman Corp.

     109,000        3,182,800  

Ingevity Corp.*

     15,900        1,285,674  

Koninklijke DSM NV (Netherlands)

     444        44,417  

Kuraray Co. Ltd. (Japan)

     1,000        13,753  

Linde AG (Germany)

     456        108,336  

LyondellBasell Industries NV
(Class A Stock)

     164,600        18,081,310  

Mitsubishi Chemical Holdings Corp. (Japan)

     36,700        306,474  

Mitsubishi Gas Chemical Co., Inc. (Japan)

     2,400        54,235  

Mitsui Chemicals, Inc. (Japan)

     600        15,947  

Shin-Etsu Chemical Co. Ltd. (Japan)

     900        79,982  

Sumitomo Chemical Co. Ltd. (Japan)

     5,000        28,278  

Teijin Ltd. (Japan)

     700        12,822  

Tosoh Corp. (Japan)

     900        13,916  

Westlake Chemical Corp.

     56,600        6,091,858  
     

 

 

 
        44,686,129  
     

 

 

 

Commercial Services & Supplies — 0.0%

 

Securitas AB (Sweden) (Class B Stock)

     989        16,218  
     

 

 

 

Communications Equipment — 0.9%
Cisco Systems, Inc.

     881,700        37,939,551  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Construction & Engineering — 0.1%

 

  

ACS Actividades de Construccion y Servicios SA (Spain)

     772      $ 31,147  

CIMIC Group Ltd. (Australia)

     309        9,660  

Eiffage SA (France)

     232        25,205  

EMCOR Group, Inc.

     53,100        4,045,158  

HOCHTIEF AG (Germany)

     1,009        181,956  

Kajima Corp. (Japan)

     3,000        23,180  

Shimizu Corp. (Japan)

     1,800        18,630  

Taisei Corp. (Japan)

     2,300        126,660  

Vinci SA (France)

     1,266        121,525  
     

 

 

 
        4,583,121  
     

 

 

 

Construction Materials — 0.0%

     

CRH PLC (Ireland)

     2,109        74,183  
     

 

 

 

Consumer Finance — 0.9%

     

American Express Co.

     41,400        4,057,200  

Capital One Financial Corp.

     210,700        19,363,330  

Discover Financial Services

     131,800        9,280,038  

Navient Corp.

     294,800        3,841,244  

OneMain Holdings, Inc.*

     18,200        605,878  
     

 

 

 
        37,147,690  
     

 

 

 

Containers & Packaging — 0.1%

 

  

Greif, Inc. (Class A Stock)

     15,900        840,951  

Packaging Corp. of America

     16,000        1,788,640  
     

 

 

 
        2,629,591  
     

 

 

 

Distributors — 0.0%

 

  

LKQ Corp.*

     30,900        985,710  
     

 

 

 

Diversified Consumer Services — 0.1%

 

  

Service Corp. International

     111,700        3,997,743  
     

 

 

 

Diversified Financial Services — 1.1%

 

  

Berkshire Hathaway, Inc.
(Class B Stock)*

     237,700        44,366,705  

Kinnevik AB (Sweden)
(Class B Stock)

     735        25,047  

ORIX Corp. (Japan)

     16,500        260,074  
     

 

 

 
        44,651,826  
     

 

 

 

Diversified Telecommunication Services — 1.7%

 

  

AT&T, Inc.

     1,038,100        33,333,391  

Deutsche Telekom AG (Germany)*

     8,293        128,164  

Elisa OYJ (Finland)

     442        20,419  

HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock)

     12,000        15,307  

Nippon Telegraph & Telephone Corp. (Japan)

     7,400        336,167  

Orange SA (France)

     4,968        82,927  

Spark New Zealand Ltd. (New Zealand)

     5,771        14,565  

Telecom Italia SpA (Italy)*

     36,821        27,280  

Telecom Italia SpA (Italy), RSP

     18,981        12,353  

Verizon Communications, Inc.

     713,588        35,900,612  
     

 

 

 
        69,871,185  
     

 

 

 

Electric Utilities — 0.7%

     

Avangrid, Inc.(a)

     69,700        3,689,221  

CLP Holdings Ltd. (Hong Kong)

     5,000        53,857  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A71


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Electric Utilities (continued)

     

Endesa SA (Spain)

     998      $ 21,948  

Enel SpA (Italy)

     20,578        114,027  

Entergy Corp.(a)

     21,800        1,761,222  

Exelon Corp.

     477,700        20,350,020  

FirstEnergy Corp.

     36,500        1,310,715  

Iberdrola SA (Spain)

     14,657        113,031  

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

     2,000        29,168  

Kyushu Electric Power Co., Inc. (Japan)

     1,300        14,515  

Orsted A/S (Denmark), 144A

     2,404        145,252  

SSE PLC (United Kingdom)

     14,368        256,477  
     

 

 

 
        27,859,453  
     

 

 

 

Electrical Equipment — 0.3%

     

AMETEK, Inc.

     145,900        10,528,144  

Atkore International Group, Inc.*

     72,600        1,507,902  

Fuji Electric Co. Ltd. (Japan)

     2,000        15,192  

Schneider Electric SE (France)

     2,452        203,925  
     

 

 

 
        12,255,163  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.0%

 

Hamamatsu Photonics KK (Japan)

     500        21,464  

Hitachi Ltd. (Japan)

     49,000        345,204  

Keyence Corp. (Japan)

     200        112,803  

Shimadzu Corp. (Japan)

     700        21,120  

Venture Corp. Ltd. (Singapore)

     900        11,758  
     

 

 

 
        512,349  
     

 

 

 

Energy Equipment & Services — 0.3%

     

Archrock, Inc.

     116,000        1,392,000  

Halliburton Co.

     201,300        9,070,578  
     

 

 

 
        10,462,578  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 1.3%

 

Apple Hospitality REIT, Inc.

     202,200        3,615,336  

Brixmor Property Group, Inc.

     308,700        5,380,641  

CoreCivic, Inc.

     137,900        3,294,431  

DDR Corp.

     118,900        2,128,310  

Dexus (Australia)

     3,237        23,267  

DiamondRock Hospitality Co.

     368,800        4,528,864  

Franklin Street Properties Corp.

     72,300        618,888  

Gaming and Leisure Properties, Inc.

     183,200        6,558,560  

GEO Group, Inc. (The)

     253,350        6,977,259  

Goodman Group (Australia)

     20,341        145,007  

Host Hotels & Resorts, Inc.

     641,500        13,516,405  

Klepierre SA (France)

     681        25,587  

Land Securities Group PLC (United Kingdom)

     23,351        294,183  

Link REIT (Hong Kong)

     5,500        50,157  

Mirvac Group (Australia)

     9,114        14,628  

Nippon Building Fund, Inc. (Japan)(a)

     4        23,073  

Ryman Hospitality Properties, Inc.

     33,300        2,768,895  

Spirit MTA REIT*

     23,420        241,226  

Spirit Realty Capital, Inc.

     234,200        1,880,626  

Stockland (Australia)

     7,853        23,074  

Unibail-Rodamco-Westfield (France)

     345        75,965  
     

 

 

 
        52,184,382  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Food & Staples Retailing — 0.4%

     

Koninklijke Ahold Delhaize NV (Netherlands)

     3,060      $ 73,065  

Tesco PLC (United Kingdom)

     103,455        350,050  

Walgreens Boots Alliance, Inc.

     228,100        13,689,421  

Walmart, Inc.

     19,500        1,670,175  

Wesfarmers Ltd. (Australia)

     2,737        99,863  

WM Morrison Supermarkets PLC (United Kingdom)

     17,302        57,391  

Woolworths Group Ltd. (Australia)

     4,115        92,932  
     

 

 

 
        16,032,897  
     

 

 

 

Food Products — 1.2%

     

Archer-Daniels-Midland Co.

     361,400        16,562,962  

Barry Callebaut AG (Switzerland)

     7        12,543  

J.M. Smucker Co. (The)(a)

     119,300        12,822,364  

Marine Harvest ASA (Norway)

     12,858        255,654  

MEIJI Holdings Co. Ltd. (Japan)

     200        16,891  

Mondelez International, Inc.
(Class A Stock)

     475,000        19,475,000  

Nestle SA (Switzerland)

     7,790        603,732  

Tate & Lyle PLC (United Kingdom)

     31,658        269,420  

WH Group Ltd. (Hong Kong), 144A

     22,500        18,207  

Wilmar International Ltd. (Singapore)

     100,800        226,036  
     

 

 

 
        50,262,809  
     

 

 

 

Gas Utilities — 0.2%

     

UGI Corp.

     132,200        6,883,654  
     

 

 

 

Health Care Equipment & Supplies — 2.4%

 

  

Abbott Laboratories

     418,000        25,493,820  

Baxter International, Inc.

     26,000        1,919,840  

Boston Scientific Corp.*

     326,400        10,673,280  

Coloplast A/S (Denmark)
(Class B Stock)

     378        37,741  

ConvaTec Group PLC (United Kingdom), 144A

     10,963        30,606  

Danaher Corp.

     216,600        21,374,088  

DENTSPLY SIRONA, Inc.

     106,200        4,648,374  

Edwards Lifesciences Corp.*

     22,700        3,304,439  

Hill-Rom Holdings, Inc.

     23,900        2,087,426  

IDEXX Laboratories, Inc.*

     68,000        14,819,920  

Intuitive Surgical, Inc.*

     6,600        3,157,968  

Medtronic PLC

     98,000        8,389,780  

Smith & Nephew PLC (United Kingdom)

     2,147        39,548  

Sonova Holding AG (Switzerland)

     177        31,662  

Straumann Holding AG (Switzerland)

     33        25,027  

Stryker Corp.

     10,500        1,773,030  

Terumo Corp. (Japan)

     800        45,798  

Zimmer Biomet Holdings, Inc.

     12,600        1,404,144  
     

 

 

 
        99,256,491  
     

 

 

 

Health Care Providers & Services — 2.4%

 

  

Alfresa Holdings Corp. (Japan)

     7,100        166,724  

Cigna Corp.

     17,000        2,889,150  

CVS Health Corp.

     316,100        20,341,035  

Express Scripts Holding Co.*

     120,200        9,280,642  

Fresenius Medical Care AG & Co. KGaA (Germany)

     533        53,669  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A72


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Health Care Providers & Services (continued)

 

Fresenius SE & Co. KGaA (Germany)

     737      $ 59,008  

HCA Healthcare, Inc.

     170,000        17,442,000  

Humana, Inc.

     30,900        9,196,767  

Medipal Holdings Corp. (Japan)

     5,600        112,489  

Ryman Healthcare Ltd. (New Zealand)

     1,274        10,319  

Sonic Healthcare Ltd. (Australia)

     1,277        23,165  

UnitedHealth Group, Inc.

     167,500        41,094,450  
     

 

 

 
        100,669,418  
     

 

 

 

Hotels, Restaurants & Leisure — 0.6%

 

Accor SA (France)

     576        28,210  

Aristocrat Leisure Ltd. (Australia)

     5,317        121,426  

Bloomin’ Brands, Inc.

     90,200        1,813,020  

Crown Resorts Ltd. (Australia)

     1,180        11,774  

Flight Centre Travel Group Ltd. (Australia)

     5,775        271,852  

Galaxy Entertainment Group Ltd. (Hong Kong)

     7,500        57,813  

Genting Singapore Ltd. (Singapore)

     83,400        74,678  

GVC Holdings PLC (United Kingdom)

     1,718        23,756  

Las Vegas Sands Corp.

     180,300        13,767,708  

Marriott International, Inc. (Class A Stock)

     19,500        2,468,700  

McDonald’s Corp.

     29,600        4,638,024  

McDonald’s Holdings Co. Japan Ltd. (Japan)

     200        10,199  

Melco Resorts & Entertainment Ltd. (Hong Kong), ADR

     700        19,600  

Paddy Power Betfair PLC (Ireland)

     249        27,608  

Sands China Ltd. (Macau)

     7,600        40,519  

Texas Roadhouse, Inc.

     28,000        1,834,280  

TUI AG (Germany)

     1,434        31,364  

Wynn Macau Ltd. (Macau)

     7,200        23,074  
     

 

 

 
        25,263,605  
     

 

 

 

Household Durables — 0.1%

 

Berkeley Group Holdings PLC (United Kingdom)

     5,587        278,305  

Meritage Homes Corp.*

     63,900        2,808,405  

Persimmon PLC (United Kingdom)

     6,649        221,476  

Sony Corp. (Japan)

     3,100        158,764  

Taylor Wimpey PLC (United Kingdom)

     10,058        23,677  
        3,490,627  

Household Products — 0.4%

 

Essity AB (Sweden) (Class B Stock)

     1,932        47,530  

Henkel AG & Co. KGaA (Germany)

     321        35,641  

Kimberly-Clark Corp.

     104,400        10,997,496  

Procter & Gamble Co. (The)

     68,005        5,308,470  

Reckitt Benckiser Group PLC (United Kingdom)

     1,663        136,640  

Unicharm Corp. (Japan)

     1,300        39,084  
     

 

 

 
        16,564,861  
     

 

 

 

Independent Power & Renewable Electricity Producers — 0.5%

 

AES Corp.

     739,000        9,909,990  
COMMON STOCKS
(continued)
   Shares      Value  

Independent Power & Renewable Electricity Producers (continued)

 

Electric Power Development Co. Ltd. (Japan)

     500      $ 12,905  

NRG Energy, Inc.

     378,000        11,604,600  
     

 

 

 
        21,527,495  
     

 

 

 

Industrial Conglomerates — 0.9%

 

3M Co.

     43,300        8,517,976  

CK Hutchison Holdings Ltd. (Hong Kong)

     7,000        74,102  

General Electric Co.

     170,000        2,313,700  

Honeywell International, Inc.

     178,800        25,756,140  

Jardine Matheson Holdings Ltd. (Hong Kong)

     4,600        290,260  

Jardine Strategic Holdings Ltd. (Hong Kong)

     700        25,536  

Keihan Holdings Co. Ltd. (Japan)

     300        10,756  

Keppel Corp. Ltd. (Singapore)

     3,600        18,832  

Siemens AG (Germany)

     223        29,382  
     

 

 

 
        37,036,684  
     

 

 

 

Insurance — 1.1%

 

Aegon NV (Netherlands)

     46,139        275,479  

Ageas (Belgium)

     594        29,904  

AIA Group Ltd. (Hong Kong)

     13,600        118,475  

Allianz SE (Germany)

     1,104        227,485  

Allstate Corp. (The)

     174,800        15,953,996  

American Equity Investment Life Holding Co.

     19,100        687,600  

Aviva PLC (United Kingdom)

     21,851        144,983  

AXA SA (France)

     15,707        383,782  

CNA Financial Corp.

     7,000        319,760  

CNP Assurances (France)

     1,102        25,037  

Dai-ichi Life Holdings, Inc. (Japan)

     3,400        60,512  

First American Financial Corp.

     40,400        2,089,488  

Insurance Australia Group Ltd. (Australia)

     5,729        36,143  

Legal & General Group PLC (United Kingdom)

     91,188        318,960  

MetLife, Inc.

     401,100        17,487,960  

NN Group NV (Netherlands)

     991        40,191  

Old Mutual Ltd. (United Kingdom)*

     15,560        30,762  

Old Republic International Corp.

     98,400        1,959,144  

Poste Italiane SpA (Italy), 144A

     1,665        13,897  

Sompo Holdings, Inc. (Japan)

     1,100        44,385  

Swiss Life Holding AG (Switzerland)*

     101        35,022  

Tokio Marine Holdings, Inc. (Japan)

     2,200        102,923  

UnipolSai Assicurazioni SpA (Italy)(a)

     81,747        180,280  

Unum Group

     110,900        4,102,191  

Zurich Insurance Group AG (Switzerland)

     378        111,786  
     

 

 

 
        44,780,145  
     

 

 

 

Internet & Direct Marketing Retail — 2.2%

 

Amazon.com, Inc.*

     29,900        50,824,020  

Booking Holdings, Inc.*

     5,500        11,148,995  

Groupon, Inc.*

     846,300        3,639,090  

Netflix, Inc.*

     41,400        16,205,202  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A73


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Internet & Direct Marketing Retail (continued)

 

Qurate Retail, Inc.*

     406,400      $ 8,623,808  

Start Today Co. Ltd. (Japan)

     500        18,090  
     

 

 

 
        90,459,205  
     

 

 

 

Internet Software & Services — 3.8%

 

Alphabet, Inc. (Class A Stock)*

     29,900        33,762,781  

Alphabet, Inc. (Class C Stock)*

     49,482        55,204,593  

eBay, Inc.*

     100,500        3,644,130  

Facebook, Inc. (Class A Stock)*

     333,200        64,747,424  

REA Group Ltd. (Australia)

     167        11,208  
     

 

 

 
        157,370,136  
     

 

 

 

IT Services — 2.4%

     

Accenture PLC (Class A Stock)

     134,800        22,051,932  

Amadeus IT Group SA (Spain)

     1,103        86,732  

Automatic Data Processing, Inc.

     87,200        11,697,008  

Cognizant Technology Solutions Corp. (Class A Stock)

     300,800        23,760,192  

Computershare Ltd. (Australia)

     1,481        20,175  

Nomura Research Institute Ltd. (Japan)

     300        14,514  

Obic Co. Ltd. (Japan)

     200        16,523  

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

     324,800        43,019,760  

Wirecard AG (Germany)

     705        112,815  
     

 

 

 
        100,779,651  
     

 

 

 

Leisure Products — 0.0%

     

Vista Outdoor, Inc.*

     113,600        1,759,664  
     

 

 

 

Life Sciences Tools & Services — 0.7%

 

Bruker Corp.

     5,500        159,720  

Illumina, Inc.*

     76,200        21,281,898  

QIAGEN NV*

     620        22,475  

Thermo Fisher Scientific, Inc.

     28,400        5,882,776  
     

 

 

 
        27,346,869  
     

 

 

 

Machinery — 1.4%

     

Atlas Copco AB (Sweden) (Class A Stock)

     8,645        250,364  

Atlas Copco AB (Sweden) (Class B Stock)

     1,681        43,793  

Caterpillar, Inc.

     159,900        21,693,633  

CNH Industrial NV (United Kingdom)

     3,157        33,349  

Cummins, Inc.

     104,200        13,858,600  

Daifuku Co. Ltd. (Japan)

     400        17,477  

Hitachi Construction Machinery Co. Ltd. (Japan)

     300        9,726  

Illinois Tool Works, Inc.

     107,700        14,920,758  

JTEKT Corp. (Japan)

     700        9,501  

Komatsu Ltd. (Japan)

     2,300        65,478  

Minebea Mitsumi, Inc. (Japan)

     1,200        20,222  

NSK Ltd. (Japan)

     1,200        12,352  

PACCAR, Inc.

     87,900        5,446,284  

Sandvik AB (Sweden)

     18,506        326,834  

Schindler Holding AG (Switzerland)

     64        13,444  

SKF AB (Sweden) (Class B Stock)

     1,201        22,233  

THK Co. Ltd. (Japan)

     400        11,421  

Volvo AB (Sweden) (Class B Stock)

     21,118        335,631  
COMMON STOCKS
(continued)
   Shares      Value  

Machinery (continued)

     

WABCO Holdings, Inc.*

     11,700      $ 1,369,134  

Yangzijiang Shipbuilding Holdings Ltd. (China)

     162,900        107,818  
     

 

 

 
        58,568,052  
     

 

 

 

Marine — 0.0%

     

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

     10        11,818  
     

 

 

 

Media — 1.1%

     

Comcast Corp. (Class A Stock)

     935,946        30,708,388  

CyberAgent, Inc. (Japan)

     200        11,995  

Hakuhodo DY Holdings, Inc. (Japan)

     700        11,224  

I-CABLE Communications Ltd. (Hong Kong)*

     3,065        48  

News Corp. (Class A Stock)

     223,800        3,468,900  

Pearson PLC (United Kingdom)

     7,943        92,501  

RTL Group SA (Luxembourg)

     111        7,522  

TEGNA, Inc.

     380,000        4,123,000  

Viacom, Inc. (Class B Stock)

     134,100        4,044,456  

Walt Disney Co. (The)

     49,700        5,209,057  
     

 

 

 
        47,677,091  
     

 

 

 

Metals & Mining — 0.7%

     

Alcoa Corp.*

     19,200        900,096  

Anglo American PLC (South Africa)

     14,915        331,127  

ArcelorMittal (Luxembourg)

     10,215        298,031  

BHP Billiton Ltd. (Australia)

     7,918        198,124  

BHP Billiton PLC (Australia)

     5,222        117,194  

BlueScope Steel Ltd. (Australia)

     1,791        22,858  

Boliden AB (Sweden)

     864        27,884  

Freeport-McMoRan, Inc.

     964,800        16,652,448  

Glencore PLC (Switzerland)*

     28,671        136,124  

JFE Holdings, Inc. (Japan)

     500        9,444  

Kobe Steel Ltd. (Japan)

     1,000        9,138  

Nippon Steel & Sumitomo Metal Corp. (Japan)

     1,900        37,254  

Nucor Corp.

     96,100        6,006,250  

Rio Tinto Ltd. (Australia)

     1,018        62,897  

Rio Tinto PLC (Australia)

     2,977        164,088  

South32 Ltd. (Australia)

     16,028        42,800  

Steel Dynamics, Inc.

     87,500        4,020,625  

voestalpine AG (Austria)

     371        17,060  
     

 

 

 
        29,053,442  
     

 

 

 

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

 

Ladder Capital Corp.

     186,100        2,906,882  
     

 

 

 

Multiline Retail — 0.8%

     

Kohl’s Corp.(a)

     201,000        14,652,900  

Macy’s, Inc.(a)

     446,700        16,719,981  

Next PLC (United Kingdom)

     1,125        89,549  

Ryohin Keikaku Co. Ltd. (Japan)

     100        35,132  
     

 

 

 
        31,497,562  
     

 

 

 

Multi-Utilities — 0.3%

     

AGL Energy Ltd. (Australia)

     14,292        237,802  

CenterPoint Energy, Inc.

     363,900        10,083,669  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A74


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Multi-Utilities (continued)

     

MDU Resources Group, Inc.

     75,700      $ 2,171,076  

RWE AG (Germany)

     12,862        292,283  
     

 

 

 
        12,784,830  
     

 

 

 

Oil, Gas & Consumable Fuels — 4.0%

     

Aker BP ASA (Norway)

     272        10,005  

Anadarko Petroleum Corp.

     274,500        20,107,125  

BP PLC (United Kingdom)

     20,583        156,606  

Chevron Corp.

     136,300        17,232,409  

ConocoPhillips

     389,900        27,144,838  

Equinor ASA (Norway)

     2,934        77,582  

Exxon Mobil Corp.

     148,016        12,245,364  

HollyFrontier Corp.

     186,700        12,775,881  

Idemitsu Kosan Co. Ltd. (Japan)

     400        14,225  

JXTG Holdings, Inc. (Japan)

     47,700        330,932  

Lundin Petroleum AB (Sweden)

     591        18,758  

Marathon Oil Corp.

     713,100        14,875,266  

Neste OYJ (Finland)

     3,845        300,829  

Occidental Petroleum Corp.

     148,300        12,409,744  

Oil Search Ltd. (Australia)

     3,406        22,377  

OMV AG (Austria)

     470        26,582  

Phillips 66

     52,900        5,941,199  

Pioneer Natural Resources Co.

     82,800        15,669,072  

Repsol SA (Spain)

     17,613        343,790  

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

     11,404        394,680  

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

     5,603        200,660  

TOTAL SA (France)

     2,429        147,503  

Valero Energy Corp.

     215,100        23,839,533  
     

 

 

 
        164,284,960  
     

 

 

 

Paper & Forest Products — 0.0%

     

Mondi PLC (United Kingdom)

     1,173        31,645  

Stora Enso OYJ (Finland)
(Class R Stock)

     1,395        27,178  

UPM-Kymmene OYJ (Finland)

     1,360        48,423  
     

 

 

 
        107,246  
     

 

 

 

Personal Products — 0.2%

     

Avon Products, Inc. (United Kingdom)*

     44,000        71,280  

Herbalife Nutrition Ltd.*(a)

     100,300        5,388,116  

Kao Corp. (Japan)

     400        30,489  

Kose Corp. (Japan)

     100        21,509  

Pola Orbis Holdings, Inc. (Japan)

     2,400        105,469  

Shiseido Co. Ltd. (Japan)

     900        71,420  

Unilever NV (United Kingdom), CVA

     1,525        84,969  

Unilever PLC (United Kingdom)

     3,035        167,655  

USANA Health Sciences, Inc.*

     13,800        1,591,140  
     

 

 

 
        7,532,047  
     

 

 

 

Pharmaceuticals — 2.5%

     

Allergan PLC

     71,600        11,937,152  

Astellas Pharma, Inc. (Japan)

     5,100        77,615  

Bayer AG (Germany)

     4,136        454,231  

Bristol-Myers Squibb Co.

     35,500        1,964,570  

GlaxoSmithKline PLC (United Kingdom)

     3,253        65,583  
COMMON STOCKS
(continued)
   Shares      Value  

Pharmaceuticals (continued)

     

H. Lundbeck A/S (Denmark)

     3,837      $ 268,922  

Johnson & Johnson

     215,498        26,148,527  

Merck & Co., Inc.

     386,000        23,430,200  

Novartis AG (Switzerland)

     5,540        419,660  

Perrigo Co. PLC

     32,000        2,333,120  

Pfizer, Inc.

     548,900        19,914,092  

Recordati SpA (Italy)

     334        13,235  

Roche Holding AG (Switzerland)

     2,979        660,915  

Sanofi (France)

     6,229        499,937  

Shionogi & Co. Ltd. (Japan)

     5,800        297,621  

Takeda Pharmaceutical Co. Ltd. (Japan)

     1,700        71,516  

UCB SA (Belgium)

     396        31,043  

Zoetis, Inc.

     155,500        13,247,045  
     

 

 

 
        101,834,984  
     

 

 

 

Professional Services — 0.2%

     

Insperity, Inc.

     32,000        3,048,000  

Intertek Group PLC (United Kingdom)

     511        38,422  

Randstad NV (Netherlands)

     3,460        203,086  

Robert Half International, Inc.

     62,800        4,088,280  

SGS SA (Switzerland)

     39        103,631  
     

 

 

 
        7,481,419  
     

 

 

 

Real Estate Management & Development — 0.4%

 

CBRE Group, Inc. (Class A Stock)*

     372,200        17,768,828  

CK Asset Holdings Ltd. (Hong Kong)

     8,500        67,289  

Daiwa House Industry Co. Ltd. (Japan)

     1,800        61,239  

Henderson Land Development Co. Ltd. (Hong Kong)

     4,400        23,202  

Hongkong Land Holdings Ltd.
(Hong Kong)

     3,700        26,455  

Kerry Properties Ltd. (Hong Kong)

     50,500        241,336  

Mitsubishi Estate Co. Ltd. (Japan)

     2,900        50,625  

Sumitomo Realty & Development Co. Ltd. (Japan)

     1,000        36,825  

Swire Pacific Ltd. (Hong Kong) (Class A Stock)

     1,500        15,855  

Swire Properties Ltd. (Hong Kong)

     3,800        14,014  

Swiss Prime Site AG (Switzerland)*

     177        16,263  

Vonovia SE (Germany)

     1,203        57,178  

Wharf Real Estate Investment Co. Ltd. (Hong Kong)

     4,000        28,403  

Wheelock & Co. Ltd. (Hong Kong)

     3,000        20,849  
     

 

 

 
        18,428,361  
     

 

 

 

Road & Rail — 0.8%

     

Central Japan Railway Co. (Japan)

     600        124,217  

ComfortDelGro Corp. Ltd. (Singapore)

     6,900        11,875  

CSX Corp.

     237,800        15,166,884  

DSV A/S (Denmark)

     275        22,138  

Hankyu Hanshin Holdings, Inc. (Japan)

     800        32,135  

Kyushu Railway Co. (Japan)

     500        15,288  

MTR Corp. Ltd. (Hong Kong)

     3,500        19,333  

Norfolk Southern Corp.

     130,000        19,613,100  
     

 

 

 
        35,004,970  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A75


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Semiconductors & Semiconductor Equipment — 2.2%

 

Analog Devices, Inc.

     140,600      $ 13,486,352  

ASM Pacific Technology Ltd. (Hong Kong)

     800        10,083  

Infineon Technologies AG (Germany)

     11,168        283,682  

Intel Corp.

     390,500        19,411,755  

Micron Technology, Inc.*

     96,300        5,049,972  

MKS Instruments, Inc.

     63,300        6,057,810  

NVIDIA Corp.

     130,200        30,844,380  

STMicroelectronics NV (Switzerland)

     2,025        44,962  

SUMCO Corp. (Japan)

     800        16,067  

Texas Instruments, Inc.

     144,300        15,909,075  

Tokyo Electron Ltd. (Japan)

     2,000        343,307  
     

 

 

 
        91,457,445  
     

 

 

 

Software — 4.2%

     

Activision Blizzard, Inc.

     115,000        8,776,800  

Adobe Systems, Inc.*

     108,200        26,380,242  

CA, Inc.

     60,800        2,167,520  

Dassault Systemes SE (France)

     407        56,957  

Intuit, Inc.

     110,800        22,636,994  

Microsoft Corp.

     834,200        82,260,462  

Nexon Co. Ltd. (Japan)*

     1,400        20,313  

Nice Ltd. (Israel)

     2,615        270,642  

Oracle Corp.

     404,800        17,835,488  

PTC, Inc.*

     84,800        7,955,088  

salesforce.com, Inc.*

     45,000        6,138,000  

SAP SE (Germany)

     423        48,822  

Ubisoft Entertainment SA (France)*

     255        27,874  
     

 

 

 
        174,575,202  
     

 

 

 

Specialty Retail — 1.9%

     

Advance Auto Parts, Inc.

     74,500        10,109,650  

AutoNation, Inc.*(a)

     132,400        6,431,992  

Best Buy Co., Inc.

     58,700        4,377,846  

Burlington Stores, Inc.*

     8,400        1,264,452  

Dufry AG (Switzerland)*

     111        14,117  

Fast Retailing Co. Ltd. (Japan)

     700        320,835  

Foot Locker, Inc.

     43,100        2,269,215  

Gap, Inc. (The)

     230,700        7,472,373  

Group 1 Automotive, Inc.

     8,900        560,700  

Michaels Cos., Inc. (The)*

     104,600        2,005,182  

Penske Automotive Group, Inc.(a)

     32,300        1,513,255  

Ross Stores, Inc.

     222,300        18,839,925  

TJX Cos., Inc. (The)

     81,700        7,776,206  

Ulta Beauty, Inc.*

     61,400        14,334,444  
     

 

 

 
        77,290,192  
     

 

 

 

Technology Hardware, Storage & Peripherals — 3.1%

 

Apple, Inc.

     420,700        77,875,777  

Brother Industries Ltd. (Japan)

     800        15,761  

Canon, Inc. (Japan)(a)

     2,500        81,979  

FUJIFILM Holdings Corp. (Japan)

     7,800        304,221  

Hewlett Packard Enterprise Co.

     953,600        13,932,096  

HP, Inc.

     858,000        19,468,020  

Western Digital Corp.

     203,800        15,776,158  
     

 

 

 
        127,454,012  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Textiles, Apparel & Luxury Goods — 0.7%

 

adidas AG (Germany)

     462      $ 100,586  

Burberry Group PLC (United Kingdom)

     1,136        32,286  

Columbia Sportswear Co.

     12,200        1,115,934  

Hermes International (France)

     79        48,257  

Kering SA (France)

     238        134,065  

Lululemon Athletica, Inc.*

     155,300        19,389,205  

LVMH Moet Hennessy Louis Vuitton SE (France)

     1,503        499,025  

Moncler SpA (Italy)

     570        25,864  

Puma SE (Germany)

     9        5,258  

PVH Corp.

     2,200        329,384  

Swatch Group AG (The) (Switzerland)

     98        46,391  

Swatch Group AG (The) (Switzerland) Reg

     140        12,089  

VF Corp.

     59,700        4,866,744  

Wolverine World Wide, Inc.

     29,100        1,011,807  
     

 

 

 
        27,616,895  
     

 

 

 

Tobacco — 0.5%

     

Altria Group, Inc.

     390,000        22,148,100  

British American Tobacco PLC (United Kingdom)

     1,345        67,752  

Imperial Brands PLC (United Kingdom)

     3,103        115,240  

Japan Tobacco, Inc. (Japan)

     2,700        75,455  

Swedish Match AB (Sweden)

     581        28,714  
     

 

 

 
        22,435,261  
     

 

 

 

Trading Companies & Distributors — 0.1%

 

Ashtead Group PLC (United Kingdom)

     1,125        33,502  

Ferguson PLC (Switzerland)

     587        47,493  

ITOCHU Corp. (Japan)

     7,900        142,878  

Marubeni Corp. (Japan)

     15,000        114,201  

Mitsubishi Corp. (Japan)

     7,500        207,968  

Mitsui & Co. Ltd. (Japan)

     14,200        236,462  

Sumitomo Corp. (Japan)

     2,800        45,919  

Toyota Tsusho Corp. (Japan)

     700        23,392  

WESCO International, Inc.*

     74,700        4,265,370  
     

 

 

 
        5,117,185  
     

 

 

 

Transportation Infrastructure — 0.0%

 

Aena SME SA (Spain), 144A

     1,643        297,460  

Atlantia SpA (Italy)

     1,491        43,958  

Auckland International Airport Ltd. (New Zealand)

     3,010        13,811  

Kamigumi Co. Ltd. (Japan)

     4,100        85,099  

Sydney Airport (Australia)

     2,728        14,442  
     

 

 

 
        454,770  
     

 

 

 

Water Utilities — 0.0%

     

Severn Trent PLC (United Kingdom)

     747        19,477  
     

 

 

 

Wireless Telecommunication Services — 0.0%

 

KDDI Corp. (Japan)

     9,200        251,573  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A76


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Wireless Telecommunication Services (continued)

 

NTT DOCOMO, Inc. (Japan)

     4,400      $ 112,122  

Vodafone Group PLC (United Kingdom)

     162,362        393,288  
     

 

 

 
        756,983  

TOTAL COMMON STOCKS
(cost $2,040,104,622)

        2,617,193,390  
     

 

 

 
EXCHANGE TRADED FUND — 0.0%

 

iShares MSCI EAFE ETF

     5,088        340,743  
     

 

 

 

(cost $330,069)

     
PREFERRED STOCKS — 0.0%

 

Auto Components — 0.0%

 

Schaeffler AG (Germany) (PRFC)

     424        5,503  
     

 

 

 

Automobiles — 0.0%

 

Bayerische Motoren Werke AG (Germany) (PRFC)

     155        12,330  

Porsche Automobil Holding SE (Germany) (PRFC)

     491        31,176  

Volkswagen AG (Germany) (PRFC)

     473        78,145  
     

 

 

 
        121,651  
     

 

 

 

Banks — 0.0%

     

Citigroup Capital XIII 8.729%, (Capital Security, fixed to floating preferred)

     22,000        596,200  
     

 

 

 

Household Products — 0.0%

 

Henkel AG & Co. KGaA (Germany) (PRFC)

     441        56,271  
     

 

 

 

TOTAL PREFERRED STOCKS
(cost $719,049)

        779,625  
     

 

 

 
     Units         
RIGHTS* — 0.0%      

Banks

     

Intesa Sanpaolo SpA (Italy), expiring 08/01/18

     134,775         
     

 

 

 

(cost $0)

     

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
        
ASSET-BACKED SECURITIES — 5.0%

 

Automobiles — 1.6%

 

AmeriCredit Automobile Receivables Trust,

 

Series 2016-04, Class C

 

2.410%

     07/08/22           1,000        983,907  

Series 2017-03, Class C

 

2.690%

     06/18/23           1,020        1,003,197  

Series 2017-04, Class C

 

2.600%

     09/18/23           2,100        2,062,183  

Series 2018-01, Class C

 

3.500%

     01/18/24           1,600        1,607,120  

Avis Budget Rental Car Funding AESOP LLC,

 

Series 2013-01A, Class A, 144A

 

1.920%

     09/20/19           850        849,183  

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)  

Automobiles (continued)

 

  

Series 2015-01A, Class A, 144A

 

2.500%

     07/20/21           5,000      $ 4,925,804  

Series 2015-02A, Class A, 144A

 

2.630%

     12/20/21           4,000        3,950,476  

Series 2018-01A, Class A, 144A

 

3.700%

     09/20/24           1,600        1,607,116  

Drive Auto Receivables Trust,

 

Series 2018-01, Class B

 

2.880%

     02/15/22           1,700        1,695,472  

Enterprise Fleet Financing LLC,

 

Series 2017-01, Class A2, 144A

 

2.130%

     07/20/22           2,616        2,600,487  

Ford Credit Auto Owner Trust,

 

Series 2017-01, Class A, 144A

 

2.620%

     08/15/28           6,200        6,071,585  

Series 2017-02, Class A, 144A

 

2.360%

     03/15/29           5,600        5,401,257  

Ford Credit Floorplan Master Owner Trust A,

 

Series 2017-03, Class A

 

2.480%

     09/15/24           4,500        4,383,889  

Series 2018-02, Class A

 

3.170%

     03/15/25           13,350        13,311,297  

Hertz Vehicle Financing II LP,

 

Series 2016-01A, Class A, 144A

 

2.320%

     03/25/20           3,000        2,987,067  

OneMain Direct Auto Receivables Trust,

 

Series 2016-01A, Class A, 144A

 

2.040%

     01/15/21           5        4,877  

Series 2017-01A, Class A, 144A

 

2.160%

     10/15/20           5,079        5,059,866  

Series 2017-02A, Class B, 144A

 

2.550%

     11/14/23           5,800        5,723,513  

Series 2017-02A, Class C, 144A

 

2.820%

     07/14/24           1,400        1,378,381  

Santander Drive Auto Receivables Trust,

 

Series 2018-01, Class C

 

2.960%

     03/15/24           1,200        1,188,220  
           

 

 

 
              66,794,897  
           

 

 

 

Collateralized Loan Obligations — 1.4%

 

ArrowMark Colorado Holdings (Cayman Islands),

 

Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.628%(c)

     07/15/29           500        501,435  

Battalion CLO Ltd. (Cayman Islands),

 

Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%

 

3.695%(c)

     07/18/30           1,500        1,506,543  

Benefit Street Partners CLO Ltd. (Cayman Islands),

 

Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.598%(c)

     07/15/29           1,500        1,503,896  

Series 2017-11A, Class X, 144A, 3 Month LIBOR + 1.000%

 

3.348%(c)

     04/15/29           1,406        1,406,618  

Brookside Mill CLO Ltd. (Cayman Islands),

 

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%

 

2.524%(c)

     01/17/28           1,500        1,496,768  

Canyon Capital CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%

 

3.598%(c)

     04/15/29           3,000        3,007,014  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A77


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Collateralized Loan Obligations (continued)

 

Catamaran CLO Ltd. (Cayman Islands),

 

Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400%

 

3.755%(c)

     10/18/26           500      $ 500,960  

Eaton Vance CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class AR, 144A, 3 Month LIBOR + 1.200%

 

3.548%(c)

     07/15/26           1,000        999,837  

Elevation CLO Ltd. (Cayman Islands),

 

Series 2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%

 

3.905%(c)

     04/18/27           1,000        1,005,224  

Greenwood Park CLO Ltd. (Cayman Islands),

 

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%

 

3.035%(c)

     04/15/31           2,000        1,999,885  

Greywolf CLO Ltd. (Cayman Islands),

 

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%

 

3.539%(c)

     04/26/31           4,000        4,002,253  

Highbridge Loan Management Ltd. (Cayman Islands),

 

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%

 

3.363%(c)

     02/05/31           250        250,267  

ICG US CLO Ltd. (Cayman Islands),

 

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.642%(c)

     10/23/29           1,250        1,250,443  

KVK CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

 

3.643%(c)

     05/15/26           2,750        2,744,596  

Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.200%

 

3.548%(c)

     10/15/26           3,250        3,249,452  

MidOcean Credit CLO (Cayman Islands),

 

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%

 

2.681%(c)

     04/21/31           2,400        2,400,000  

OCP CLO Ltd. (Cayman Islands),

 

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%

 

3.608%(c)

     07/15/30           1,250        1,252,981  

OZLM Ltd. (Cayman Islands),

 

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/30/30           1,500        1,501,361  

Palmer Square CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%

 

3.483%(c)

     01/17/31           1,500        1,499,900  

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

 

3.631%(c)

     05/21/29           1,750        1,752,655  

Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100%

 

3.362%(c)

     07/16/31           2,350        2,350,000  

Sound Point CLO Ltd. (Cayman Islands),

 

Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%

 

3.239%(c)

     07/20/27           1,000        998,426  

Telos CLO (Cayman Islands),

 

Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%

 

3.653%(c)

     07/17/26           1,500        1,500,617  

Telos CLO Ltd. (Cayman Islands),

 

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%

 

3.593%(c)

     01/17/30           2,500        2,498,564  

TICP CLO Ltd. (Cayman Islands),

 

Series 2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%

 

3.578%(c)

     07/15/29           1,250        1,252,588  

Trinitas CLO Ltd. (Cayman Islands),

 

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

 

4.060%(c)

     10/25/28           3,250        3,250,000  

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Collateralized Loan Obligations (continued)

 

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%

 

3.570%(c)

     01/25/31           2,500      $ 2,507,373  

Venture CLO Ltd. (Cayman Islands),

 

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%

 

3.228%(c)

     07/15/27           1,000        999,243  

Wellfleet CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%

 

3.679%(c)

     04/20/29           2,000        2,006,348  

Series 2018-01A, Class A, 144A^

 

—%(p)

     07/17/31           3,500        3,491,250  

Zais CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%

 

3.718%(c)

     07/15/29           1,750        1,756,652  
           

 

 

 
              56,443,149  
           

 

 

 

Consumer Loans — 0.2%

 

OneMain Financial Issuance Trust,

 

Series 2015-02A, Class A, 144A

 

2.570%

     07/18/25           587        586,520  

Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%

 

2.857%(c)

     09/14/32           3,300        3,309,690  

SpringCastle America Funding LLC,

 

Series 2016-AA, Class A, 144A

 

3.050%

     04/25/29           1,966        1,958,767  

Springleaf Funding Trust,

 

Series 2015-AA, Class A, 144A

 

3.160%

     11/15/24           3,645        3,643,588  
           

 

 

 
              9,498,565  
           

 

 

 

Credit Cards — 0.3%

 

Citibank Credit Card Issuance Trust,

 

Series 2017-A05, Class A5, 1 Month LIBOR + 0.620%

 

2.704%(c)

     04/22/26           3,800        3,850,082  

Discover Card Execution Note Trust,

 

Series 2017-A04, Class A4

 

2.530%

     10/15/26           4,000        3,864,041  

Series 2017-A05, Class A5, 1 Month LIBOR + 0.600%

 

2.673%(c)

     12/15/26           2,600        2,626,708  
           

 

 

 
              10,340,831  
           

 

 

 

Equipment — 0.2%

 

MMAF Equipment Finance LLC,

 

Series 2017-AA, Class A4, 144A

 

2.410%

     08/16/24           3,500        3,415,697  

Series 2017-B, Class A4, 144A

 

2.410%

     11/15/24           1,700        1,656,644  

Series 2017-B, Class A5, 144A

 

2.720%

     06/15/40           2,800        2,702,030  

Series 2018-A, Class A4, 144A

 

3.390%

     01/10/25           1,600        1,599,770  

Series 2018-A, Class A5, 144A

 

3.610%

     03/10/42           800        799,854  
           

 

 

 
              10,173,995  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A78


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Home Equity Loans — 0.1%

 

  

CDC Mortgage Capital Trust,

 

Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%

 

3.741%(c)

     03/25/33           102      $ 102,084  

Morgan Stanley ABS Capital I, Inc. Trust,

 

Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%

 

3.291%(c)

     05/25/33           194        192,762  

Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945%

 

3.036%(c)

     06/25/34           517        517,513  

Morgan Stanley Dean Witter Capital I, Inc. Trust,

 

Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%

 

2.991%(c)

     07/25/32           125        125,136  

Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%

 

3.366%(c)

     09/25/32           2,543        2,528,671  

New Residential Mortgage Trust,

 

Series 2018-01A, Class A1A, 144A

 

4.000%(cc)

     12/25/57           2,177        2,194,233  
           

 

 

 
              5,660,399  
           

 

 

 

Other — 0.0%

           

Sierra Timeshare Receivables Funding LLC,

 

Series 2013-03A, Class A, 144A

 

2.200%

     10/20/30           747        746,000  

SVO VOI Mortgage LLC,

 

Series 2012-AA, Class A, 144A

 

2.000%

     09/20/29           375        368,958  
           

 

 

 
              1,114,958  
           

 

 

 

Residential Mortgage-Backed Securities — 0.6%

 

Credit Suisse Mortgage Trust,

 

Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%

 

5.132%(c)

     12/26/46           4,046        4,137,794  

Credit-Based Asset Servicing & Securitization LLC,

 

Series 2005-CB06, Class A3

 

3.763%

     07/25/35           230        229,648  

Equity One Mortgage Pass-Through Trust,

 

Series 2004-03, Class M1

 

4.617%

     07/25/34           217        214,225  

Long Beach Mortgage Loan Trust,

 

Series 2004-02, Class M1, 1 Month LIBOR + 0.795%

 

2.886%(c)

     06/25/34           267        264,626  

Mill City Mortgage Loan Trust,

 

Series 2017-03, Class A1, 144A

 

2.750%(cc)

     01/25/61           3,360        3,292,400  

Towd Point Mortgage Trust,

 

Series 2017-04, Class A1, 144A

 

2.750%(cc)

     06/25/57           7,750        7,563,242  

Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%

 

2.691%(c)

     02/25/57           5,191        5,195,395  

Series 2017-06, Class A1, 144A

 

2.750%(cc)

     10/25/57           4,718        4,597,784  

VOLT LVII LLC,

           

Series 2017-NPL04, Class A1, 144A

 

3.375%

     04/25/47           310        309,675  

VOLT LX LLC,

           

Series 2017-NPL07, Class A1, 144A

 

3.250%

     06/25/47           442        439,293  
           

 

 

 
              26,244,082  
           

 

 

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Student Loans — 0.6%

 

  

Commonbond Student Loan Trust,

 

Series 2017-BGS, Class A1, 144A

 

2.680%

     09/25/42           3,539      $ 3,462,744  

Series 2018-AGS, Class A1, 144A

 

3.210%

     02/25/44           2,408        2,397,990  

Laurel Road Prime Student Loan Trust,

 

Series 2017-C, Class A2B, 144A

 

2.810%

     11/25/42           2,000        1,953,258  

Series 2018-B, Class A2FX, 144A

 

3.540%

     05/25/43           3,000        3,014,264  

Navient Private Education Refi Loan Trust,

 

Series 2018-A, Class A2, 144A

 

3.190%

     02/18/42           4,600        4,551,226  

SoFi Professional Loan Program Trust,

 

Series 2018-B, Class A1FX, 144A

 

2.640%

     08/25/47           2,808        2,796,771  

Series 2018-B, Class A2FX, 144A

 

3.340%

     08/25/47           4,500        4,496,801  
           

 

 

 
              22,673,054  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $210,268,917)

 

     208,943,930  
           

 

 

 
BANK LOAN — 0.0%

 

Technology

 

Dell International LLC,

 

Replacement Term A-3 Loan, 1 Month LIBOR + 1.500%,

 

3.600%(c)

     12/31/18           404        403,786  
           

 

 

 

(cost $401,495)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.0%

 

Assurant Commercial Mortgage Trust,

 

Series 2016-01A, Class AS, 144A

 

3.172%

     05/15/49           4,000        3,821,551  

BANK,

           

Series 2017-BNK04, Class A3

 

3.362%

     05/15/50           6,500        6,335,902  

Benchmark Mortgage Trust,

 

Series 2018-B03, Class A4

 

3.761%

     04/10/51           5,000        5,019,689  

Citigroup Commercial Mortgage Trust,

 

Series 2013-GC11, Class A3

 

2.815%

     04/10/46           1,086        1,061,851  

Series 2014-GC21, Class A4

 

3.575%

     05/10/47           2,608        2,620,622  

Series 2014-GC23, Class A3

 

3.356%

     07/10/47           2,800        2,782,542  

Series 2016-C01, Class A3

 

2.944%

     05/10/49           5,000        4,783,487  

Series 2016-GC37, Class A3

 

3.050%

     04/10/49           6,500        6,251,669  

Series 2017-P07, Class A3

 

3.442%

     04/14/50           5,500        5,403,231  

Commercial Mortgage Trust,

 

Series 2012-CR05, Class A3

 

2.540%

     12/10/45           1,000        970,935  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A79


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series 2013-CR07, Class A3

 

2.929%

     03/10/46           1,281      $ 1,260,508  

Series 2014-CR15, Class A2

 

2.928%

     02/10/47           2,412        2,412,178  

Series 2014-CR18, Class A4

 

3.550%

     07/15/47           2,800        2,805,485  

Series 2014-CR20, Class A3

 

3.326%

     11/10/47           5,000        4,940,895  

Series 2014-UBS03, Class A2

 

2.844%

     06/10/47           2,300        2,299,273  

Series 2015-CR27, Class A3

 

3.349%

     10/10/48           6,100        5,969,681  

CSAIL Commercial Mortgage Trust,

 

Series 2015-C04, Class A3

 

3.544%

     11/15/48           3,000        2,982,476  

Series 2017-C08, Class A3

 

3.127%

     06/15/50           5,300        5,047,987  

Fannie Mae-Aces,

 

Series 2015-M17, Class A2

 

3.036%(cc)

     11/25/25           3,900        3,819,770  

Series 2016-M07, Class AB2

 

2.385%

     09/25/26           2,400        2,226,097  

Series 2017-M01, Class A2

 

2.498%(cc)

     10/25/26           2,200        2,049,148  

Series 2017-M04, Class A2

 

2.683%(cc)

     12/25/26           11,800        11,103,075  

Series 2017-M08, Class A2

 

3.061%(cc)

     05/25/27           8,250        8,005,779  

Series 2018-M04, Class A2

 

3.144%(cc)

     03/25/28           4,325        4,183,832  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K020, Class X1, IO

 

1.553%(cc)

     05/25/22           23,666        1,063,699  

Series K021, Class X1, IO

 

1.590%(cc)

     06/25/22           6,705        319,192  

Series K055, Class X1, IO

 

1.501%(cc)

     03/25/26           13,890        1,199,887  

Series K057, Class AM

 

2.624%

     08/25/26           7,230        6,794,042  

Series K064, Class AM

 

3.327%(cc)

     03/25/27           5,900        5,848,121  

Series K068, Class AM

 

3.315%

     08/25/27           5,600        5,516,108  

Series K069, Class A2

 

3.187%(cc)

     09/25/27           4,900        4,799,554  

Series K069, Class AM

 

3.248%(cc)

     09/25/27           1,050        1,031,009  

Series K070, Class A2

 

3.303%(cc)

     11/25/27           7,250        7,166,377  

Series K070, Class AM

 

3.364%(cc)

     12/25/27           1,525        1,510,848  

Series K072, Class A2

 

3.444%

     12/25/27           2,000        2,000,538  

Series K074, Class A2

 

3.600%

     01/25/28           11,800        11,950,561  

Series K075, Class AM

 

3.650%(cc)

     02/25/28           3,575        3,617,813  

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series K076, Class A2

 

3.900%

     04/25/28           8,600      $   8,900,303  

Series K076, Class AM

 

3.900%

     04/25/28           2,575        2,654,724  

Series K077, Class A2

 

3.850%(cc)

     05/25/28           4,800        4,958,260  

Series K077, Class AM

 

3.850%(cc)

     05/25/28           950        975,966  

Series K710, Class X1, IO

 

1.859%(cc)

     05/25/19           17,677        178,021  

Series K711, Class X1, IO

 

1.800%(cc)

     07/25/19           19,236        199,886  

Series KS03, Class A4

 

3.161%(cc)

     05/25/25           2,500        2,479,170  

Series W5FX, Class AFX

 

3.214%(cc)

     04/25/28           2,260        2,218,539  

GS Mortgage Securities Trust,

 

Series 2015-GC28, Class A4

 

3.136%

     02/10/48           4,000        3,898,937  

Series 2015-GC32, Class A3

 

3.498%

     07/10/48           5,800        5,775,776  

Series 2016-GS03, Class A3

 

2.592%

     10/10/49           5,800        5,369,449  

Series 2016-GS04, Class A3

 

3.178%

     11/10/49           5,500        5,301,248  

JPMBB Commercial Mortgage Securities Trust,

 

Series 2014-C25, Class A4A1

 

3.408%

     11/15/47           1,400        1,390,286  

Series 2015-C27, Class A3A1

 

2.920%

     02/15/48           6,000        5,789,186  

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2012-CBX, Class A3

 

3.139%

     06/15/45           330        329,828  

Series 2012-LC09, Class A4

 

2.611%

     12/15/47           1,700        1,672,109  

Series 2013-C10, Class A4

 

2.875%

     12/15/47           1,591        1,571,242  

Series 2013-C16, Class A2

 

3.070%

     12/15/46           948        947,712  

Series 2013-LC11, Class A4

 

2.694%

     04/15/46           1,010        984,012  

Morgan Stanley Bank of America Merrill Lynch Trust,

 

Series 2013-C08, Class A3

 

2.863%

     12/15/48           1,350        1,322,515  

Morgan Stanley Capital I Trust,

 

Series 2016-UB11, Class A3

 

2.531%

     08/15/49           10,400        9,582,527  

UBS Commercial Mortgage Trust,

 

Series 2017-C02, Class ASB

 

3.264%

     08/15/50           3,500        3,448,847  

Series 2017-C05, Class A4

 

3.212%

     11/15/50           6,750        6,461,388  

Series 2018-C09, Class A3

 

3.854%

     03/15/51           2,500        2,509,173  

UBS-Barclays Commercial Mortgage Trust,

 

Series 2012-C04, Class A4

 

2.792%

     12/10/45           1,700        1,666,217  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A80


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

 

 

Series 2013-C05, Class A3

 

2.920%

     03/10/46           3,717      $ 3,651,052  

Series 2013-C06, Class A3

 

2.971%

     04/10/46           1,798        1,767,431  

Wells Fargo Commercial Mortgage Trust,

 

Series 2016-NXS06, Class A3

 

2.642%

     11/15/49           8,000        7,428,574  

Series 2017-C38, Class A4

 

3.190%

     07/15/50           4,600        4,418,764  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $257,160,866)

 

     248,826,554  
           

 

 

 
CORPORATE BONDS — 9.6%

 

Aerospace & Defense — 0.1%

 

Embraer Netherlands Finance BV (Brazil),

 

Gtd. Notes

 

5.050%

     06/15/25           575        582,834  

General Dynamics Corp.,

 

Gtd. Notes

 

3.000%

     05/11/21           2,480        2,472,033  
           

 

 

 
              3,054,867  
           

 

 

 

Agriculture — 0.2%

 

Altria Group, Inc.,

 

Gtd. Notes

 

4.000%

     01/31/24           1,500        1,518,793  

BAT Capital Corp. (United Kingdom),

 

Gtd. Notes, 144A

 

3.222%

     08/15/24           3,740        3,542,653  

Bunge Ltd. Finance Corp.,

 

Gtd. Notes

 

8.500%

     06/15/19           930        976,864  

Reynolds American, Inc. (United Kingdom),

 

Gtd. Notes

 

8.125%

     06/23/19           325        340,665  
           

 

 

 
              6,378,975  
           

 

 

 

Airlines — 0.2%

 

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

 

3.375%

     11/01/28           2,782        2,683,312  

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

 

7.250%

     05/10/21           481        504,569  

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

 

4.750%

     07/12/22           493        502,764  

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

 

4.000%

     04/29/26           545        546,802  

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

 

6.821%

     02/10/24           243        264,249  

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

 

4.950%

     11/23/20           240        241,973  

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Airlines (continued)

 

  

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

 

5.300%

     10/15/20          605      $ 613,813  

Delta Air Lines, Inc.,

 

Sr. Unsec’d. Notes

 

2.875%

     03/13/20          2,000        1,986,827  
          

 

 

 
             7,344,309  
          

 

 

 

Auto Manufacturers — 0.5%

 

BMW US Capital LLC (Germany),

 

Gtd. Notes, 144A, 3 Month LIBOR + 0.410%

 

2.749%(c)

     04/12/21          495        496,673  

Gtd. Notes, 144A

 

3.100%

     04/12/21          655        650,913  

Daimler Finance North America LLC (Germany),

 

Gtd. Notes, 144A

 

3.100%

     05/04/20          1,205        1,202,551  

3.350%

     05/04/21          2,010        2,002,194  

Ford Motor Co.,

 

Sr. Unsec’d. Notes

 

4.750%

     01/15/43          1,430        1,235,968  

5.291%

     12/08/46 (a)         1,230        1,139,880  

Ford Motor Credit Co. LLC,

 

Sr. Unsec’d. Notes

 

3.336%

     03/18/21          680        673,902  

4.134%

     08/04/25          390        380,207  

General Motors Co.,

 

Sr. Unsec’d. Notes

 

6.250%

     10/02/43          1,395        1,445,646  

6.600%

     04/01/36          760        822,569  

General Motors Financial Co., Inc.,

 

Gtd. Notes, 3 Month LIBOR + 0.850%

 

3.187%(c)

     04/09/21          1,060        1,065,514  

Gtd. Notes

 

3.550%

     04/09/21          805        802,390  

3.950%

     04/13/24          2,800        2,740,098  

Harley-Davidson Financial Services, Inc.,

 

Gtd. Notes, 144A, MTN

 

2.850%

     01/15/21          4,705        4,631,370  

Jaguar Land Rover Automotive PLC
(United Kingdom),

 

Gtd. Notes, 144A

 

4.250%

     11/15/19          715        715,000  
          

 

 

 
             20,004,875  
          

 

 

 

Auto Parts & Equipment — 0.1%

 

Magna International, Inc. (Canada),

 

Sr. Unsec’d. Notes

 

3.625%

     06/15/24          2,350        2,344,310  
          

 

 

 

Banks — 3.1%

 

Banco Santander SA (Spain),

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%

 

3.459%(c)

     04/12/23          800        799,019  

Sr. Unsec’d. Notes

 

3.848%

     04/12/23          1,000        977,992  

Bank of America Corp.,

 

Jr. Sub. Notes, Series DD

 

6.300%

     12/31/49          445        470,031  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A81


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Banks (continued)

 

  

Jr. Sub. Notes, Series K, 3 Month LIBOR + 3.630%

 

5.989%(c)

     12/31/49           705      $ 707,995  

Sr. Unsec’d. Notes, GMTN

 

3.300%

     01/11/23           2,875        2,832,824  

Sr. Unsec’d. Notes, MTN

 

3.499%

     05/17/22           2,510        2,509,138  

3.824%

     01/20/28           955        931,551  

4.000%

     04/01/24           975        983,542  

4.125%

     01/22/24           3,820        3,882,877  

4.443%

     01/20/48           255        248,955  

Sub. Notes, MTN

 

4.000%

     01/22/25           2,000        1,974,305  

4.450%

     03/03/26           3,880        3,888,990  

Bank of America NA,

 

Sub. Notes

 

6.000%

     10/15/36           410        483,636  

Bank of Montreal (Canada),

 

Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%

 

2.802%(c)

     04/13/21           600        601,116  

Sr. Unsec’d. Notes, Series D, MTN

 

3.100%

     04/13/21           780        776,885  

Barclays PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

3.650%

     03/16/25           850        796,137  

3.684%

     01/10/23           585        568,890  

4.375%

     01/12/26           1,590        1,544,311  

Capital One Financial Corp.,

 

Sr. Unsec’d. Notes

 

2.500%

     05/12/20           2,225        2,193,447  

3.450%

     04/30/21           4,415        4,404,815  

Citibank NA,

 

Sr. Unsec’d. Notes

 

3.050%

     05/01/20           4,580        4,578,329  

Citigroup, Inc.,

 

Jr. Sub. Notes, Series Q

 

5.950%

     12/31/49           2,205        2,271,150  

Jr. Sub. Notes, Series R

 

6.125%

     12/31/49           1,375        1,435,156  

Jr. Sub. Notes, Series T

 

6.250%

     12/31/49           625        648,438  

Sr. Unsec’d. Notes

 

3.200%

     10/21/26           1,870        1,738,968  

3.700%

     01/12/26           2,440        2,364,971  

Sub. Notes

           

4.450%

     09/29/27           1,965        1,932,837  

4.750%

     05/18/46           820        779,758  

Credit Suisse Group AG (Switzerland),

 

Sr. Unsec’d. Notes, 144A

 

4.282%

     01/09/28           1,370        1,332,662  

Deutsche Bank AG (Germany),

 

Sr. Unsec’d. Notes, GMTN

 

3.375%

     05/12/21           1,640        1,586,260  

Dexia Credit Local SA (France),

 

Gov’t. Liquid Gtd. Notes, 144A

 

1.875%

     09/15/21           1,250        1,204,493  

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Banks (continued)

 

  

Discover Bank,

 

Sr. Unsec’d. Notes

 

4.250%

     03/13/26          970      $ 948,155  

Sub. Notes

          

7.000%

     04/15/20          570        601,939  

Goldman Sachs Group, Inc. (The),

 

Jr. Sub. Notes, Series M

 

5.375%

     12/31/49          2,215        2,253,763  

Jr. Sub. Notes, Series O

 

5.300%

     12/31/49          740        723,350  

Sr. Unsec’d. Notes

 

3.500%

     01/23/25          4,100        3,959,289  

3.750%

     02/25/26          1,010        978,588  

3.814%

     04/23/29          540        513,614  

3.850%

     01/26/27          2,910        2,794,553  

4.223%

     05/01/29          1,075        1,058,778  

5.750%

     01/24/22          5,420        5,800,292  

Sub. Notes

          

6.750%

     10/01/37          104        123,432  

HSBC Holdings PLC (United Kingdom),

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%

 

2.926%(c)

     05/18/21          2,115        2,118,082  

Sr. Unsec’d. Notes

 

4.875%

     01/14/22          1,910        1,991,281  

5.100%

     04/05/21          1,025        1,071,434  

JPMorgan Chase & Co.,

 

Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%

 

5.829%(c)

     12/31/49          2,000        2,015,000  

Jr. Sub. Notes, Series X

 

6.100%

     12/31/49          1,275        1,316,565  

Sr. Unsec’d. Notes

 

3.782%

     02/01/28          695        678,080  

3.964%

     11/15/48          3,250        2,922,200  

4.005%

     04/23/29          2,170        2,141,064  

4.250%

     10/15/20          2,930        2,995,332  

Sub. Notes

          

3.875%

     09/10/24          3,775        3,739,991  

JPMorgan Chase Bank NA,

 

Sr. Unsec’d. Notes

 

3.086%

     04/26/21          5,000        4,988,281  

Lloyds Bank PLC (United Kingdom),

 

Gtd. Notes

 

3.300%

     05/07/21          2,200        2,196,096  

Gtd. Notes, 144A, MTN

 

5.800%

     01/13/20          1,870        1,940,776  

Manufacturers & Traders Trust Co.,

 

Sr. Unsec’d. Notes

 

2.900%

     02/06/25          3,080        2,955,115  

Morgan Stanley,

 

Jr. Sub. Notes, Series H

 

5.450%

     12/31/49          840        851,029  

Sr. Unsec’d. Notes

 

4.375%

     01/22/47          1,315        1,255,782  

5.750%

     01/25/21 (a)         1,400        1,480,144  

Sr. Unsec’d. Notes, GMTN

 

3.125%

     01/23/23          970        946,462  

3.772%

     01/24/29          1,450        1,396,826  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A82


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Banks (continued)

 

  

Sr. Unsec’d. Notes, MTN

 

  

3.591%

     07/22/28           1,255      $ 1,192,811  

3.971%

     07/22/38           925        857,084  

5.625%

     09/23/19           1,415        1,458,093  

6.375%

     07/24/42           250        303,670  

Sub. Notes, GMTN

 

  

4.350%

     09/08/26           3,825        3,772,799  

National City Corp.,

 

Sub. Notes

 

6.875%

     05/15/19           3,370        3,481,784  

Nordea Bank AB (Sweden),

 

Sr. Unsec’d. Notes, 144A, MTN

 

1.875%

     09/17/18           2,110        2,107,259  

PNC Bank NA,

 

Sr. Unsec’d. Notes

 

1.950%

     03/04/19           515        512,172  

Royal Bank of Canada (Canada),

 

Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%

 

2.749%(c)

     04/30/21           2,250        2,249,239  

Sr. Unsec’d. Notes, GMTN

 

3.200%

     04/30/21           490        489,788  

Sumitomo Mitsui Banking Corp. (Japan),

 

Gtd. Notes

 

2.450%

     01/10/19           1,210        1,208,780  
           

 

 

 
              127,838,250  
           

 

 

 

Beverages — 0.1%

 

     

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

 

Gtd. Notes

 

4.700%

     02/01/36           855        866,582  

Anheuser-Busch InBev Worldwide, Inc. (Belgium),

 

Gtd. Notes

 

8.000%

     11/15/39           1,285        1,805,278  

8.200%

     01/15/39           250        357,408  

Constellation Brands, Inc.,

 

Gtd. Notes

 

4.250%

     05/01/23           1,400        1,427,326  

Maple Escrow Subsidiary, Inc.,

 

Gtd. Notes, 144A

 

3.551%

     05/25/21           1,150        1,151,016  
           

 

 

 
              5,607,610  
           

 

 

 

Biotechnology — 0.1%

 

  

Amgen, Inc.,

 

Sr. Unsec’d. Notes

 

4.663%

     06/15/51           774        765,326  

Gilead Sciences, Inc.,

 

Sr. Unsec’d. Notes

 

3.500%

     02/01/25           1,460        1,437,937  

5.650%

     12/01/41           145        170,045  
           

 

 

 
              2,373,308  
           

 

 

 

Building Materials — 0.1%

 

  

Owens Corning,

 

Gtd. Notes

 

4.200%

     12/15/22           775        776,895  

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Building Materials (continued)

 

  

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.375%

     11/15/24          1,400      $ 1,382,500  
          

 

 

 
             2,159,395  
          

 

 

 

Chemicals — 0.3%

 

     

Celanese US Holdings LLC,

 

Gtd. Notes

 

5.875%

     06/15/21          1,500        1,585,168  

CF Industries, Inc.,

 

Gtd. Notes

 

5.375%

     03/15/44          585        516,263  

CNAC HK Finbridge Co. Ltd. (China),

 

Gtd. Notes

 

3.500%

     07/19/22          3,680        3,553,371  

Dow Chemical Co. (The),

 

Sr. Unsec’d. Notes

 

5.250%

     11/15/41          45        47,328  

9.400%

     05/15/39          347        532,652  

LyondellBasell Industries NV,

 

Sr. Unsec’d. Notes

 

4.625%

     02/26/55          1,185        1,095,508  

5.000%

     04/15/19          600        605,932  

Mexichem SAB de CV (Mexico),

 

Gtd. Notes, 144A

 

4.875%

     09/19/22          2,000        2,027,000  

Mosaic Co. (The),

 

Sr. Unsec’d. Notes

 

5.450%

     11/15/33 (a)         345        348,802  

5.625%

     11/15/43          430        433,145  

Nutrien Ltd. (Canada),

 

Sr. Unsec’d. Notes

 

3.150%

     10/01/22          780        758,707  

Union Carbide Corp.,

 

Sr. Unsec’d. Notes

 

7.500%

     06/01/25          460        539,606  
          

 

 

 
             12,043,482  
          

 

 

 

Commercial Services — 0.1%

 

  

ERAC USA Finance LLC,

 

Gtd. Notes, 144A

 

4.200%

     11/01/46          975        879,158  

6.700%

     06/01/34          420        504,336  

7.000%

     10/15/37          380        474,886  

United Rentals North America, Inc.,

 

Gtd. Notes

 

4.875%

     01/15/28          1,190        1,101,880  

5.875%

     09/15/26          485        489,850  
          

 

 

 
             3,450,110  
          

 

 

 

Computers — 0.3%

 

  

Apple, Inc.,

 

Sr. Unsec’d. Notes

 

2.850%

     05/11/24          6,145        5,949,366  

3.200%

     05/13/25          1,350        1,319,536  

3.450%

     02/09/45          890        795,415  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A83


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Computers (continued)

 

  

Dell International LLC/EMC Corp.,

 

Sr. Sec’d. Notes, 144A

 

3.480%

     06/01/19          1,085      $ 1,087,732  

Hewlett Packard Enterprise Co.,

 

Sr. Unsec’d. Notes

 

2.850%

     10/05/18          291        291,422  

Sr. Unsec’d. Notes, 144A

 

2.100%

     10/04/19          225        222,168  

Seagate HDD Cayman,

 

Gtd. Notes

 

3.750%

     11/15/18          605        606,537  
          

 

 

 
             10,272,176  
          

 

 

 

Diversified Financial Services — 0.2%

 

  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),

 

Gtd. Notes

 

3.750%

     05/15/19          775        779,620  

CDP Financial, Inc. (Canada),

 

Gtd. Notes, 144A

 

3.150%

     07/24/24          800        792,532  

Discover Financial Services,

 

Sr. Unsec’d. Notes

 

3.850%

     11/21/22          900        896,144  

GE Capital International Funding Co. Unlimited Co.,

 

Gtd. Notes

 

2.342%

     11/15/20          766        748,750  

Jefferies Group LLC,

 

Sr. Unsec’d. Notes

 

6.500%

     01/20/43          560        580,639  

Lehman Brothers Holdings, Inc.,

 

Sr. Unsec’d. Notes

 

5.250%

     02/06/12 (d)         1,715        52,307  

6.875%

     05/02/18 (d)         700        21,700  

Private Export Funding Corp.,

 

Sr. Unsec’d. Notes, 144A

 

2.650%

     02/16/21          2,460        2,447,385  

U.S. Gov’t. Gtd. Notes

 

     

2.450%

     07/15/24          475        460,541  

3.250%

     06/15/25          330        332,891  

Synchrony Financial,

 

Sr. Unsec’d. Notes

 

2.700%

     02/03/20          2,700        2,671,532  
          

 

 

 
             9,784,041  
          

 

 

 

Electric — 1.0%

 

       

Avista Corp.,

 

First Mortgage

 

4.350%

     06/01/48          1,160        1,166,942  

Baltimore Gas & Electric Co.,

 

Sr. Unsec’d. Notes

 

6.350%

     10/01/36          550        698,602  

Berkshire Hathaway Energy Co.,

 

Sr. Unsec’d. Notes

 

6.125%

     04/01/36          302        372,455  

Black Hills Corp.,

 

Sr. Unsec’d. Notes

 

2.500%

     01/11/19          1,245        1,242,030  

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Electric (continued)

 

  

CenterPoint Energy Houston Electric LLC,

 

General Ref. Mtge.

 

6.950%

     03/15/33           590      $ 770,273  

Comision Federal de Electricidad (Mexico),

 

Sr. Unsec’d. Notes, 144A

 

4.875%

     01/15/24           245        246,225  

Commonwealth Edison Co.,

 

First Mortgage

 

3.750%

     08/15/47           1,610        1,507,950  

Consolidated Edison Co. of New York, Inc.,

 

Sr. Unsec’d. Notes

 

5.500%

     12/01/39           220        258,993  

Dominion Energy, Inc.,

 

Jr. Sub. Notes

 

4.104%

     04/01/21           3,210        3,254,779  

DTE Electric Co.,

 

General Ref. Mortgage

 

4.050%

     05/15/48           1,490        1,479,662  

Duke Energy Carolinas LLC,

 

First Mortgage

 

6.050%

     04/15/38           550        682,985  

First Ref. Mortgage

           

4.000%

     09/30/42           570        558,455  

El Paso Electric Co.,

 

Sr. Unsec’d. Notes

 

6.000%

     05/15/35           670        761,215  

Eversource Energy,

 

Sr. Unsec’d. Notes

 

4.500%

     11/15/19           615        626,251  

Exelon Corp.,

 

Jr. Sub. Notes

 

3.497%

     06/01/22           3,470        3,429,854  

Exelon Generation Co. LLC,

 

Sr. Unsec’d. Notes

 

5.200%

     10/01/19           800        818,795  

6.250%

     10/01/39           1,425        1,508,528  

FirstEnergy Transmission LLC,

 

Sr. Unsec’d. Notes, 144A

 

5.450%

     07/15/44           355        397,328  

Florida Power & Light Co.,

 

First Mortgage

 

5.950%

     10/01/33           295        355,861  

Iberdrola International BV (Spain),

 

Gtd. Notes

 

6.750%

     09/15/33           145        171,389  

Indiana Michigan Power Co.,

 

Sr. Unsec’d. Notes

 

3.850%

     05/15/28           2,910        2,917,495  

Israel Electric Corp. Ltd. (Israel),

 

Sr. Sec’d. Notes, 144A

 

9.375%

     01/28/20           1,420        1,540,544  

Sr. Sec’d. Notes, 144A, GMTN

 

     

4.250%

     08/14/28           470        451,979  

Monongahela Power Co.,

 

First Mortgage, 144A

 

4.100%

     04/15/24           2,170        2,220,713  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A84


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Electric (continued)

 

  

Niagara Mohawk Power Corp.,

Sr. Unsec’d. Notes, 144A

 

4.881%

     08/15/19          610      $ 621,445  

Northern States Power Co.,

 

First Mortgage

 

3.600%

     09/15/47          1,580        1,456,516  

PPL Capital Funding, Inc.,

 

Gtd. Notes

 

4.000%

     09/15/47          1,360        1,243,427  

5.000%

     03/15/44          695        722,643  

PSEG Power LLC,

 

Gtd. Notes

 

3.000%

     06/15/21 (a)         1,760        1,740,348  

Public Service Electric & Gas Co.,

 

First Mortgage, MTN

 

3.700%

     05/01/28          1,280        1,283,199  

Sec’d. Notes, MTN

 

3.000%

     05/15/27          1,130        1,069,648  

Sr. Sec’d. Notes, MTN

 

5.800%

     05/01/37          535        661,816  

San Diego Gas & Electric Co.,

 

First Mortgage

 

4.150%

     05/15/48          1,400        1,404,036  

Southern California Edison Co.,

 

First Ref. Mtge.

 

4.000%

     04/01/47          580        541,640  

First Ref. Mtge., Series C

 

3.600%

     02/01/45          860        748,799  

State Grid Overseas Investment 2014 Ltd. (China),

 

Gtd. Notes, 144A

 

2.750%

     05/07/19          665        662,852  

Xcel Energy, Inc.,

 

Sr. Unsec’d. Notes

 

4.800%

     09/15/41          480        512,254  
          

 

 

 
             40,107,926  
          

 

 

 

Electronics — 0.0%

 

  

FLIR Systems, Inc.,

 

Sr. Unsec’d. Notes

 

3.125%

     06/15/21          900        890,138  
          

 

 

 

Food — 0.3%

          

General Mills, Inc.,

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540%

 

2.893%(c)

     04/16/21          5,635        5,643,373  

Kraft Heinz Foods Co.,

 

Gtd. Notes

 

3.000%

     06/01/26 (a)         1,630        1,467,854  

4.375%

     06/01/46          475        410,924  

5.000%

     07/15/35          815        802,864  

Kroger Co. (The),

 

Sr. Unsec’d. Notes

 

4.450%

     02/01/47 (a)         335        304,691  

4.650%

     01/15/48 (a)         850        802,627  

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Food (continued)

 

Mondelez International, Inc.,

 

Sr. Unsec’d. Notes

 

3.000%

     05/07/20           2,535      $ 2,529,581  
           

 

 

 
              11,961,914  
           

 

 

 

Forest Products & Paper — 0.1%

 

Georgia-Pacific LLC,

 

Gtd. Notes, 144A

 

5.400%

     11/01/20           290        303,790  

International Paper Co.,

 

Sr. Unsec’d. Notes

 

6.000%

     11/15/41           1,595        1,761,065  
           

 

 

 
              2,064,855  
           

 

 

 

Gas — 0.1%

           

Dominion Energy Gas Holdings LLC,

 

Sr. Unsec’d. Notes

 

4.800%

     11/01/43           65        66,664  

NiSource, Inc.,

 

Sr. Unsec’d. Notes

 

3.490%

     05/15/27           3,285        3,141,148  
           

 

 

 
              3,207,812  
           

 

 

 

Healthcare-Products — 0.1%

 

Becton, Dickinson & Co.,

 

Sr. Unsec’d. Notes

 

3.734%

     12/15/24           474        462,743  

Medtronic, Inc.,

 

Gtd. Notes

 

3.500%

     03/15/25           1,303        1,289,339  

4.375%

     03/15/35           1,269        1,312,398  
           

 

 

 
              3,064,480  
           

 

 

 

Healthcare-Services — 0.1%

 

Aetna, Inc.,

 

Sr. Unsec’d. Notes

 

6.625%

     06/15/36           515        635,594  

Anthem, Inc.,

 

Sr. Unsec’d. Notes

 

4.625%

     05/15/42           390        378,041  

4.650%

     01/15/43           360        348,172  

Centene Corp.,

 

Sr. Unsec’d. Notes

 

5.625%

     02/15/21           1,125        1,148,766  

Fresenius Medical Care U.S. Finance II, Inc. (Germany),

 

Gtd. Notes, 144A

 

4.125%

     10/15/20           640        646,432  

HCA, Inc.,

 

Gtd. Notes

           

5.375%

     02/01/25           555        546,508  

Sr. Sec’d. Notes

 

5.250%

     04/15/25           400        400,000  

Kaiser Foundation Hospitals,

 

Gtd. Notes

 

4.150%

     05/01/47           940        951,887  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A85


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Healthcare-Services (continued)

 

  

Laboratory Corp. of America Holdings,

 

Sr. Unsec’d. Notes

 

3.200%

     02/01/22          190      $ 187,954  

New York & Presbyterian Hospital (The),

 

Unsec’d. Notes

 

4.024%

     08/01/45          445        445,116  
          

 

 

 
             5,688,470  
          

 

 

 

Home Builders — 0.0%

 

Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,

 

Gtd. Notes, 144A

 

5.250%

     04/15/21          1,300        1,300,000  
          

 

 

 

Housewares — 0.0%

 

Newell Brands, Inc.,

 

Sr. Unsec’d. Notes

 

4.200%

     04/01/26 (a)         1,695        1,637,464  
          

 

 

 

Insurance — 0.2%

 

AXIS Specialty Finance LLC,

 

Gtd. Notes

 

5.875%

     06/01/20          1,030        1,074,909  

Hartford Financial Services Group, Inc. (The),

 

Sr. Unsec’d. Notes

 

5.125%

     04/15/22          755        796,763  

Liberty Mutual Group, Inc.,

 

Gtd. Notes, 144A

 

6.500%

     05/01/42          365        445,602  

7.000%

     03/15/34          850        1,043,013  

Lincoln National Corp.,

 

Sr. Unsec’d. Notes

 

6.300%

     10/09/37          772        918,317  

Markel Corp.,

 

Sr. Unsec’d. Notes

 

5.000%

     03/30/43          200        204,783  

New York Life Insurance Co.,

 

Sub. Notes, 144A

 

6.750%

     11/15/39          660        875,270  

Northwestern Mutual Life Insurance Co. (The),

 

Sub. Notes, 144A

 

6.063%

     03/30/40          100        124,344  

Ohio National Financial Services, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

6.375%

     04/30/20          680        713,927  

Principal Financial Group, Inc.,

 

Gtd. Notes

 

4.625%

     09/15/42          130        130,782  

Teachers Insurance & Annuity Association of America,

 

Sub. Notes, 144A

 

4.270%

     05/15/47          1,450        1,386,682  

6.850%

     12/16/39          124        164,180  

Unum Group,

 

Sr. Unsec’d. Notes

 

5.625%

     09/15/20          350        365,975  

W.R. Berkley Corp.,

 

Sr. Unsec’d. Notes

 

6.150%

     08/15/19          460        474,111  
          

 

 

 
             8,718,658  
          

 

 

 

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Lodging — 0.0%

 

  

Marriott International, Inc.,

 

Sr. Unsec’d. Notes

 

3.000%

     03/01/19          580      $ 580,069  

3.250%

     09/15/22          980        965,116  
          

 

 

 
             1,545,185  
          

 

 

 

Machinery-Diversified — 0.0%

 

  

Xylem, Inc.,

 

Sr. Unsec’d. Notes

 

4.875%

     10/01/21          1,260        1,318,038  
          

 

 

 

Media — 0.3%

 

  

21st Century Fox America, Inc.,

 

Gtd. Notes

          

6.150%

     03/01/37          515        604,051  

6.900%

     08/15/39          90        114,587  

AMC Networks, Inc.,

 

Gtd. Notes

          

5.000%

     04/01/24          1,520        1,497,200  

CCO Holdings LLC/CCO Holdings Capital Corp.,

 

Sr. Unsec’d. Notes, 144A

 

5.375%

     05/01/25          880        851,400  

Charter Communications Operating LLC/Charter Communications Operating Capital,

 

Sr. Sec’d. Notes

 

6.384%

     10/23/35          875        914,381  

6.484%

     10/23/45          1,386        1,460,893  

Comcast Corp.,

 

Gtd. Notes

          

6.400%

     05/15/38          530        628,102  

Discovery Communications LLC,

 

Gtd. Notes

          

5.000%

     09/20/37          360        346,626  

5.200%

     09/20/47          475        460,724  

Gtd. Notes, 144A

 

2.800%

     06/15/20          1,740        1,718,993  

Grupo Televisa SAB (Mexico),

 

Sr. Unsec’d. Notes

 

5.000%

     05/13/45          200        175,828  

NBCUniversal Media LLC,

 

Gtd. Notes

          

2.875%

     01/15/23 (a)         330        316,457  

Time Warner Cable LLC,

 

Sr. Sec’d. Notes

 

5.500%

     09/01/41          360        334,931  

Viacom, Inc.,

 

Sr. Unsec’d. Notes

 

5.250%

     04/01/44          450        422,634  

Videotron Ltd. (Canada),

 

Gtd. Notes

          

5.000%

     07/15/22          1,040        1,054,300  

Warner Media LLC,

 

Gtd. Notes

          

3.800%

     02/15/27          385        363,584  
          

 

 

 
             11,264,691  
          

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A86


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Mining — 0.0%

 

BHP Billiton Finance USA Ltd. (Australia),

 

Gtd. Notes, 144A

 

6.250%

     10/19/75           425      $ 444,258  

Southern Copper Corp. (Peru),

 

Sr. Unsec’d. Notes

 

5.875%

     04/23/45           530        563,989  

6.750%

     04/16/40           425        488,398  
           

 

 

 
              1,496,645  
           

 

 

 

Miscellaneous Manufacturing — 0.0%

 

Actuant Corp.,

 

Gtd. Notes

 

5.625%

     06/15/22           1,205        1,220,062  

General Electric Co.,

 

Sr. Unsec’d. Notes, GMTN

 

6.000%

     08/07/19           264        272,960  
           

 

 

 
              1,493,022  
           

 

 

 

Multi-National — 0.1%

 

Corp. Andina de Fomento (Supranational Bank),

 

Sr. Unsec’d. Notes

 

2.000%

     05/10/19           645        639,784  

2.125%

     09/27/21           2,270        2,184,512  

2.750%

     01/06/23           315        304,753  

North American Development Bank (Supranational Bank),

 

Sr. Unsec’d. Notes

 

2.400%

     10/26/22           1,095        1,056,496  

4.375%

     02/11/20           1,000        1,022,838  
           

 

 

 
              5,208,383  
           

 

 

 

Oil & Gas — 0.5%

 

Anadarko Petroleum Corp.,

 

Sr. Unsec’d. Notes

 

4.677%(s)

     10/10/36           2,000        846,386  

4.850%

     03/15/21           1,175        1,209,200  

6.450%

     09/15/36           1,155        1,334,782  

Cenovus Energy, Inc. (Canada),

 

Sr. Unsec’d. Notes

 

5.400%

     06/15/47           1,200        1,174,799  

Concho Resources, Inc.,

 

Gtd. Notes

 

4.875%

     10/01/47           210        211,708  

Devon Energy Corp.,

 

Sr. Unsec’d. Notes

 

5.000%

     06/15/45           110        111,901  

5.600%

     07/15/41           300        323,602  

Encana Corp. (Canada),

 

Sr. Unsec’d. Notes

 

6.500%

     08/15/34           370        421,929  

6.500%

     02/01/38           275        323,011  

EOG Resources, Inc.,

 

Sr. Unsec’d. Notes

 

3.900%

     04/01/35           1,020        989,580  

Gazprom OAO Via Gaz Capital SA (Russia),

 

Sr. Unsec’d. Notes, 144A

 

4.950%

     07/19/22           350        352,450  

6.510%

     03/07/22           580        615,090  

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Oil & Gas (continued)

 

  

Helmerich & Payne International Drilling Co.,

 

Gtd. Notes

 

4.650%

     03/15/25          1,995      $ 2,059,861  

KazMunayGas National Co. JSC (Kazakhstan),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     04/19/22          550        540,650  

Noble Energy, Inc.,

 

Sr. Unsec’d. Notes

 

5.050%

     11/15/44          1,200        1,199,237  

Petrobras Global Finance BV (Brazil),

 

Gtd. Notes

 

5.750%

     02/01/29          840        738,469  

6.250%

     03/17/24 (a)         710        703,965  

Gtd. Notes, 144A

 

5.299%

     01/27/25          740        683,760  

Petroleos Mexicanos (Mexico),

 

Gtd. Notes

 

5.375%

     03/13/22          450        461,475  

5.500%

     01/21/21          2,110        2,172,224  

6.500%

     06/02/41          1,255        1,180,202  

8.625%

     12/01/23          350        396,293  

Gtd. Notes, MTN

 

6.750%

     09/21/47          1,540        1,452,066  

6.875%

     08/04/26          1,000        1,051,000  

Sinopec Group Overseas Development 2015 Ltd. (China),

 

Gtd. Notes, 144A

 

2.500%

     04/28/20          1,250        1,231,685  
          

 

 

 
             21,785,325  
          

 

 

 

Oil & Gas Services — 0.1%

 

Cameron International Corp.,

 

Gtd. Notes

 

4.500%

     06/01/21          2,200        2,244,310  

Schlumberger Holdings Corp.,

 

Sr. Unsec’d. Notes, 144A

 

4.000%

     12/21/25          2,845        2,835,501  
          

 

 

 
             5,079,811  
          

 

 

 

Packaging & Containers — 0.0%

 

Ball Corp.,

 

Gtd. Notes

 

4.375%

     12/15/20          630        634,725  

WestRock RKT Co.,

 

Gtd. Notes

 

4.900%

     03/01/22          800        833,320  
          

 

 

 
             1,468,045  
          

 

 

 

Pharmaceuticals — 0.4%

 

AbbVie, Inc.,

 

Sr. Unsec’d. Notes

 

3.600%

     05/14/25          1,175        1,137,997  

4.500%

     05/14/35          1,910        1,858,952  

Allergan Funding SCS,

 

Gtd. Notes

 

3.800%

     03/15/25 (a)         475        461,246  

4.550%

     03/15/35          2,190        2,072,076  

4.850%

     06/15/44          35        33,806  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A87


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Pharmaceuticals (continued)

 

  

Bayer US Finance II LLC (Germany),

 

Gtd. Notes, 144A, 3 Month LIBOR + 0.630%

 

2.965%(c)

     06/25/21          1,115      $ 1,116,566  

Gtd. Notes, 144A

 

3.500%

     06/25/21          500        500,995  

CVS Health Corp.,

 

Sr. Unsec’d. Notes

 

4.780%

     03/25/38          340        334,414  

5.050%

     03/25/48          785        798,892  

5.125%

     07/20/45          610        618,101  

5.300%

     12/05/43          225        235,115  

Mylan, Inc.,

 

Gtd. Notes, 144A

 

4.550%

     04/15/28 (a)         2,435        2,379,617  

Shire Acquisitions Investments Ireland DAC,

 

Gtd. Notes

 

2.400%

     09/23/21          3,555        3,403,429  

Wyeth LLC,

 

Gtd. Notes

 

6.450%

     02/01/24          60        69,305  
          

 

 

 
             15,020,511  
          

 

 

 

Pipelines — 0.3%

 

DCP Midstream Operating LP,

 

Gtd. Notes, 144A

 

5.350%

     03/15/20          717        730,444  

Energy Transfer Partners LP,

 

Gtd. Notes

 

4.650%

     06/01/21          675        691,200  

4.950%

     06/15/28          1,115        1,111,537  

Enterprise Products Operating LLC,

 

Gtd. Notes

 

3.700%

     02/15/26          270        263,825  

3.750%

     02/15/25          1,345        1,331,878  

MPLX LP,

 

Sr. Unsec’d. Notes

 

4.000%

     02/15/25          1,430        1,398,100  

4.875%

     06/01/25          3,250        3,341,555  

5.200%

     03/01/47          40        39,745  

ONEOK Partners LP,

 

Gtd. Notes

 

6.650%

     10/01/36          145        168,953  

ONEOK, Inc.,

 

Gtd. Notes

 

4.950%

     07/13/47          935        910,352  

Williams Partners LP,

 

Sr. Unsec’d. Notes

 

4.850%

     03/01/48          315        300,106  

4.900%

     01/15/45          1,000        955,301  

5.100%

     09/15/45          500        493,875  
          

 

 

 
             11,736,871  
          

 

 

 

Real Estate Investment Trusts (REITs) — 0.0%

 

Simon Property Group LP,

 

Sr. Unsec’d. Notes

 

3.375%

     03/15/22          230        229,215  
          

 

 

 

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Retail — 0.2%

 

Dollar Tree, Inc.,

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%

 

3.055%(c)

     04/17/20          1,100      $ 1,102,248  

Sr. Unsec’d. Notes

 

4.000%

     05/15/25          4,705        4,598,209  

L Brands, Inc.,

 

Gtd. Notes

 

5.625%

     02/15/22          1,450        1,471,750  

Lowe’s Cos., Inc.,

 

Sr. Unsec’d. Notes

 

6.500%

     03/15/29          129        155,199  

Macy’s Retail Holdings, Inc.,

 

Gtd. Notes

 

3.875%

     01/15/22 (a)         360        357,469  

Sally Holdings LLC/Sally Capital, Inc.,

 

Gtd. Notes

 

5.625%

     12/01/25 (a)         1,375        1,268,438  
          

 

 

 
             8,953,313  
          

 

 

 

Savings & Loans — 0.0%

 

People’s United Financial, Inc.,

 

Sr. Unsec’d. Notes

 

3.650%

     12/06/22          1,455        1,451,298  
          

 

 

 

Semiconductors — 0.1%

 

Broadcom Corp./Broadcom Cayman Finance Ltd.,

 

Gtd. Notes

 

3.875%

     01/15/27          2,125        2,009,936  
          

 

 

 

Software — 0.1%

 

Fidelity National Information Services, Inc.,

 

Sr. Unsec’d. Notes

 

3.625%

     10/15/20          1,233        1,240,774  

Microsoft Corp.,

 

Sr. Unsec’d. Notes

 

4.500%

     02/06/57          1,125        1,221,222  

Oracle Corp.,

 

Sr. Unsec’d. Notes

 

4.300%

     07/08/34          920        937,817  
          

 

 

 
             3,399,813  
          

 

 

 

Telecommunications — 0.2%

 

Anixter, Inc.,

 

Gtd. Notes

 

5.625%

     05/01/19          782        795,685  

AT&T Corp.,

 

Gtd. Notes

 

8.250%

     11/15/31          4        5,130  

AT&T, Inc.,

 

Sr. Unsec’d. Notes

 

3.400%

     05/15/25          3,460        3,244,578  

4.500%

     03/09/48          4        3,448  

4.550%

     03/09/49          64        55,337  

5.250%

     03/01/37          65        63,931  

5.350%

     09/01/40          82        80,028  

British Telecommunications PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

9.625%

     12/15/30          400        571,476  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A88


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS (continued)

 

Telecommunications (continued)

 

  

Sprint Communications, Inc.,

 

Gtd. Notes, 144A

 

7.000%

     03/01/20           750      $ 778,125  

9.000%

     11/15/18           1,150        1,173,000  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,

 

Sr. Sec’d. Notes, 144A

 

3.360%

     03/20/23           1,625        1,606,719  

Verizon Communications, Inc.,

 

Sr. Unsec’d. Notes

 

4.500%

     08/10/33           1,205        1,166,900  
           

 

 

 
              9,544,357  
           

 

 

 

Transportation — 0.0%

 

Burlington Northern Santa Fe LLC,

 

Sr. Unsec’d. Notes

 

6.700%

     08/01/28           670        813,747  

CSX Corp.,

 

Sr. Unsec’d. Notes

 

6.150%

     05/01/37           715        858,295  

Norfolk Southern Corp.,

 

Sr. Unsec’d. Notes

 

5.590%

     05/17/25           100        109,649  
           

 

 

 
              1,781,691  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $399,595,011)

 

     396,083,575  
           

 

 

 
MUNICIPAL BONDS — 0.5%

 

Alabama — 0.0%

 

Alabama Economic Settlement Authority,

 

Revenue Bonds, BABs

 

4.263%

     09/15/32           240        246,895  
           

 

 

 

California — 0.2%

 

Bay Area Toll Authority,

 

Revenue Bonds, BABs

 

6.263%

     04/01/49           1,325        1,840,531  

California Educational Facilities Authority,

 

Revenue Bonds, Series U-7, BABs

 

5.000%

     06/01/46           750        989,602  

State of California,

 

GO, BABs

           

7.300%

     10/01/39           1,270        1,799,336  

7.500%

     04/01/34           475        667,133  

7.550%

     04/01/39           245        361,287  

7.625%

     03/01/40           215        317,091  
           

 

 

 
              5,974,980  
           

 

 

 

Colorado — 0.0%

 

Regional Transportation District,

 

Revenue Bonds, Series 2010-B, BABs

 

5.844%

     11/01/50           680        891,160  
           

 

 

 

Illinois — 0.1%

 

Chicago O’Hare International Airport,

 

Revenue Bonds, BABs

 

6.395%

     01/01/40           1,030        1,363,535  

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
MUNICIPAL BONDS (continued)

 

  

Illinois (continued)

 

State of Illinois,

 

GO, Series D, BABs

 

5.000%

     11/01/22           3,190      $ 3,372,595  
           

 

 

 
              4,736,130  
           

 

 

 

New Jersey — 0.1%

 

New Jersey Turnpike Authority,

 

Revenue Bonds, Series F, BABs

 

7.414%

     01/01/40           1,070        1,556,133  
           

 

 

 

New York — 0.0%

 

New York City Transitional Finance Authority Future Tax Secured Revenue,

 

Revenue Bonds, BABs

 

5.767%

     08/01/36           1,130        1,343,005  
           

 

 

 

Ohio — 0.0%

 

Ohio State University (The),

 

Revenue Bonds, Series C, BABs

 

4.910%

     06/01/40           455        521,457  

Ohio Water Development Authority Water Pollution Control Loan Fund,

 

Revenue Bonds, BABs

 

4.879%

     12/01/34           300        329,664  
           

 

 

 
              851,121  
           

 

 

 

Oregon — 0.0%

 

State of Oregon Department of Transportation,

 

Revenue Bonds, Series A, BABs

 

5.834%

     11/15/34           445        548,356  
           

 

 

 

Pennsylvania — 0.0%

 

Pennsylvania Turnpike Commission,

 

Revenue Bonds, Series B, BABs

 

5.511%

     12/01/45           550        676,473  
           

 

 

 

Texas — 0.1%

 

University of Texas System (The),

 

Revenue Bonds, Series F, Rfdg.

 

5.000%

     08/15/47           1,490        1,912,102  
           

 

 

 

Virginia — 0.0%

 

University of Virginia,

 

Revenue Bonds, Taxable, Series C

 

4.179%

     09/01/2117           495        493,916  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $16,353,793)

 

     19,230,271  
           

 

 

 
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.0%

 

Alternative Loan Trust,

 

Series 2004-18CB, Class 3A1

 

5.250%

     09/25/19           59        59,068  

Banc of America Funding Trust,

 

Series 2015-R04, Class 4A1, 144A

 

3.500%(cc)

     01/25/30           1,009        1,001,204  

Banc of America Mortgage Trust,

 

Series 2005-A, Class 2A1

 

3.704%(cc)

     02/25/35           431        429,118  

Series 2005-B, Class 2A1

 

3.901%(cc)

     03/25/35           143        140,126  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A89


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

 

Bellemeade Re Ltd. (Bermuda),

 

Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%

 

3.791%(c)

     10/25/27           744      $ 747,675  

Chase Mortgage Finance Trust,

 

Series 2007-A01, Class 1A5

 

3.885%(cc)

     02/25/37           328        330,895  

CIM Trust,

 

Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%

 

3.982%(c)

     12/25/57           1,918        1,941,637  

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%

 

3.982%(c)

     01/25/57           3,896        3,974,231  

Series 2017-06, Class A1, 144A

 

3.015%(cc)

     06/25/57           1,848        1,810,218  

Series 2017-08, Class A1, 144A

 

3.000%(cc)

     12/25/65           3,659        3,653,271  

Fannie Mae Connecticut Avenue Securities,

 

Series 2016-C02, Class 1M1, 1 Month LIBOR + 2.150%

 

4.241%(c)

     09/25/28           356        358,301  

Series 2016-C03, Class 2M1, 1 Month LIBOR + 2.200%

 

4.291%(c)

     10/25/28           388        389,498  

Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%

 

3.541%(c)

     01/25/29           884        891,052  

Freddie Mac Structured Agency Credit Risk Debt Notes,

 

Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%

 

3.391%(c)

     03/25/29           1,300        1,313,934  

Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%

 

4.341%(c)

     11/25/28           993        1,016,641  

Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%

 

3.391%(c)

     04/25/29           2,050        2,079,702  

Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%

 

3.291%(c)

     07/25/29           2,859        2,881,038  

Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%

 

2.841%(c)

     03/25/30           4,399        4,410,115  

Holmes Master Issuer PLC (United Kingdom),

 

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%

 

2.708%(c)

     10/15/54           2,200        2,198,728  

JPMorgan Mortgage Trust,

 

Series 2007-A01, Class 4A1

 

4.048%(cc)

     07/25/35           172        175,577  

Lanark Master Issuer PLC (United Kingdom),

 

Series 2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%

 

2.749%(c)

     12/22/69           1,880        1,880,214  

Lehman XS Trust,

 

Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%

 

2.296%(c)

     08/25/46           3,000        2,882,079  

LSTAR Securities Investment Ltd. (Cayman Islands),

 

Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%

 

3.983%(c)

     05/01/22           2,840        2,841,415  

Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%

 

3.732%(c)

     09/01/22           1,468        1,472,565  

Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%

 

3.633%(c)

     11/01/22           1,181        1,186,102  

MASTR Alternative Loan Trust,

 

Series 2004-04, Class 4A1

 

5.000%

     04/25/19           6        5,555  

 

Interest

Rate

   Maturity
Date
            Principal
Amount

(000)#
     Value  

RESIDENTIAL MORTGAGE-BACKED SECURITIES

(continued)

 

 

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

3.756%(cc)

     02/25/34              173      $ 174,758  

Washington Mutual Mortgage Pass-Through Certificates,

 

Series 2005-01, Class 3A

 

5.000%

     03/25/20              24        23,614  
              

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $40,018,235)

 

     40,268,331  
              

 

 

 
SOVEREIGN BONDS — 0.8%

 

  

Abu Dhabi Government International Bond (United Arab Emirates),

 

Sr. Unsec’d. Notes, 144A

 

3.125%

     10/11/27              3,350        3,117,510  

Colombia Government International Bond (Colombia),

 

Sr. Unsec’d. Notes

 

4.000%

     02/26/24              175        174,825  

4.375%

     07/12/21              500        510,250  

7.375%

     09/18/37              625        778,125  

Export-Import Bank of India (India),

 

Sr. Unsec’d. Notes, 144A(a)

 

3.875%

     02/01/28              1,040        976,608  

Export-Import Bank of Korea (South Korea),

 

Sr. Unsec’d. Notes

 

5.125%

     06/29/20              400        413,540  

Finnvera OYJ (Finland),

 

Gov’t. Gtd. Notes, 144A, MTN

 

2.375%

     06/04/25              400        378,560  

Hungary Government International Bond (Hungary),

 

Sr. Unsec’d. Notes

 

6.375%

     03/29/21              2,280        2,435,145  

Indonesia Government International Bond (Indonesia),

 

Sr. Unsec’d. Notes, 144A

 

3.375%

     07/30/25           EUR        1,500        1,883,640  

Sr. Unsec’d. Notes, 144A, MTN

 

2.150%

     07/18/24           EUR        2,100        2,469,304  

5.875%

     01/15/24              950        1,017,254  

Sr. Unsec’d. Notes, EMTN

 

4.750%

     01/08/26              540        547,281  

Japan Bank for International Cooperation (Japan),

 

Gov’t. Gtd. Notes

 

1.500%

     07/21/21              600        572,674  

Japan Finance Organization for Municipalities (Japan),

 

Sr. Unsec’d. Notes, 144A, MTN

 

2.000%

     09/08/20              1,200        1,173,049  

2.125%

     04/13/21              800        777,081  

2.125%

     10/25/23              1,400        1,314,119  

2.625%

     04/20/22              2,000        1,951,297  

Sr. Unsec’d. Notes, EMTN

 

2.125%

     04/13/21              200        194,270  

Mexico Government International Bond (Mexico),

 

Sr. Unsec’d. Notes

 

4.000%

     10/02/23              566        567,698  

Sr. Unsec’d. Notes, MTN

 

4.750%

     03/08/44              606        562,301  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A90


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
           Principal
Amount
(000)#
    Value  
SOVEREIGN BONDS (continued)

 

Panama Government International Bond (Panama),

 

Sr. Unsec’d. Notes

 

3.750%

     03/16/25          600     $ 592,500  

4.000%

     09/22/24          515       518,863  

4.500%

     04/16/50          475       457,188  

Qatar Government International Bond (Qatar),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     04/23/23          1,105       1,104,196  

5.103%

     04/23/48          1,220       1,216,291  

Saudi Government International Bond (Saudi Arabia),

 

Sr. Unsec’d. Notes, 144A, MTN

 

2.375%

     10/26/21          1,325       1,272,265  

2.875%

     03/04/23          1,785       1,716,999  

4.000%

     04/17/25          1,035       1,029,887  

Tokyo Metropolitan Government (Japan),

 

Sr. Unsec’d. Notes, 144A

 

2.500%

     06/08/22          1,800       1,746,189  

3.250%

     06/01/23          800       799,874  

Turkey Government International Bond (Turkey),

 

Sr. Unsec’d. Notes

 

7.000%

     06/05/20          1,710       1,750,462  

Uruguay Government International Bond (Uruguay),

 

Sr. Unsec’d. Notes

 

4.975%

     04/20/55          770       746,900  

5.100%

     06/18/50          680       668,440  
         

 

 

 

TOTAL SOVEREIGN BONDS
(cost $36,330,375)

 

    35,434,585  
         

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.7%

 

Federal Home Loan Bank

 

5.500%

     07/15/36 (k)         1,080       1,409,296  

Federal Home Loan Mortgage Corp.

 

2.000%

     01/01/32          1,176       1,113,882  

2.500%

     03/01/30          638       621,129  

3.000%

     TBA          13,500       13,052,679  

3.000%

     10/01/28          524       523,752  

3.000%

     06/01/29          1,242       1,239,813  

3.000%

     01/01/37          646       637,373  

3.000%

     01/01/43          1,223       1,194,700  

3.000%

     07/01/43          2,420       2,362,378  

3.500%

     TBA          18,000       17,885,124  

3.500%

     03/01/42          745       747,642  

3.500%

     06/01/42          451       452,346  

4.000%

     06/01/26          772       794,691  

4.000%

     09/01/26          391       402,114  

4.000%

     10/01/39          954       980,979  

4.000%

     12/01/40          485       498,908  

4.000%

     10/01/41          534       548,742  

4.000%

     01/01/42          195       200,769  

4.000%

     10/01/45          833       852,208  

4.500%

     02/01/19          (r)      384  

4.500%

     07/01/19          37       36,824  

4.500%

     07/01/20          37       37,243  

4.500%

     09/01/39          364       382,968  

4.500%

     10/01/39          2,107       2,215,174  

4.500%

     12/01/39          626       658,454  

4.500%

     07/01/41          293       306,603  

4.500%

     07/01/41          2,033       2,134,444  

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

4.500%

     08/01/41           141      $ 146,716  

4.500%

     08/01/41           246        257,299  

4.500%

     08/01/41           647        680,373  

4.500%

     10/01/41           257        268,526  

4.500%

     10/01/46           442        460,257  

5.000%

     05/01/34           29        30,593  

5.000%

     05/01/34           282        299,914  

5.000%

     08/01/35           29        31,186  

5.000%

     09/01/35           40        42,066  

5.000%

     10/01/36           46        48,816  

5.000%

     05/01/37           30        31,694  

5.000%

     07/01/37           598        637,734  

5.000%

     09/01/38           70        74,813  

5.000%

     09/01/38           73        78,109  

5.000%

     09/01/38           84        89,809  

5.000%

     02/01/39           28        29,673  

5.000%

     06/01/39           76        81,515  

5.500%

     02/01/34           36        38,307  

5.500%

     04/01/34           328        352,039  

5.500%

     06/01/34           155        168,203  

5.500%

     06/01/34           177        191,238  

5.500%

     05/01/37           64        69,760  

5.500%

     02/01/38           509        550,306  

5.500%

     05/01/38           94        101,729  

5.500%

     07/01/38           448        484,681  

6.000%

     03/01/32           264        292,414  

6.000%

     12/01/33           54        59,068  

6.000%

     07/01/36           4        4,716  

6.000%

     12/01/36           11        12,025  

6.000%

     05/01/37           17        18,347  

6.000%

     12/01/37           39        43,178  

6.000%

     01/01/38           4        4,521  

6.000%

     01/01/38           19        20,801  

6.000%

     01/01/38           384        421,581  

6.000%

     10/01/38           85        93,522  

6.000%

     08/01/39           52        57,655  

6.750%

     03/15/31           500        682,662  

7.000%

     01/01/31           29        32,012  

7.000%

     06/01/31           32        34,489  

7.000%

     09/01/31           4        4,917  

7.000%

     10/01/31           57        64,252  

7.000%

     10/01/32           32        33,359  

Federal National Mortgage Assoc.

 

1.875%

     09/24/26           225        205,451  

2.000%

     08/01/31           1,637        1,551,105  

2.500%

     01/01/28           1,432        1,402,687  

2.500%

     10/01/43           1,141        1,073,419  

2.500%

     12/01/46           2,041        1,912,455  

3.000%

     02/01/27           2,259        2,258,845  

3.000%

     08/01/30           1,441        1,437,843  

3.000%

     11/01/36           3,403        3,358,395  

3.000%

     12/01/42           1,470        1,436,708  

3.000%

     12/01/42           2,380        2,326,729  

3.500%

     TBA           22,000        22,262,968  

3.500%

     06/01/39           790        791,039  

3.500%

     01/01/42           7,440        7,466,059  

3.500%

     05/01/42           3,779        3,791,982  

3.500%

     07/01/42           1,001        1,004,358  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A91


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

3.500%

     08/01/42           430      $ 431,385  

3.500%

     08/01/42           1,250        1,253,519  

3.500%

     09/01/42           1,087        1,088,976  

3.500%

     09/01/42           1,940        1,944,437  

3.500%

     11/01/42           722        723,812  

3.500%

     03/01/43           3,825        3,833,976  

3.500%

     04/01/43           707        709,931  

3.500%

     04/01/43           1,799        1,801,619  

3.500%

     07/01/43           325        325,614  

3.500%

     06/01/45           8,664        8,649,511  

4.000%

     TBA           13,500        13,743,763  

4.000%

     10/01/41           3,909        4,014,665  

4.000%

     09/01/44           3,647        3,726,903  

4.500%

     TBA           9,000        9,354,452  

4.500%

     07/01/33           61        63,554  

4.500%

     08/01/33           18        18,313  

4.500%

     09/01/33           57        59,905  

4.500%

     10/01/33           159        166,799  

4.500%

     03/01/34           45        46,615  

4.500%

     01/01/35           3        3,326  

4.500%

     07/01/39           1,071        1,126,478  

4.500%

     08/01/39           833        876,169  

4.500%

     09/01/39           591        621,462  

4.500%

     12/01/39           6        6,396  

4.500%

     03/01/41           2,041        2,147,019  

4.500%

     07/01/42           168        176,989  

5.000%

     TBA           5,750        6,079,807  

5.000%

     03/01/34           296        317,671  

5.000%

     04/01/35           712        762,985  

5.000%

     06/01/35           174        186,113  

5.000%

     07/01/35           150        160,779  

5.000%

     07/01/35           172        183,438  

5.000%

     09/01/35           98        105,748  

5.000%

     11/01/35           126        136,075  

5.000%

     02/01/36           98        105,311  

5.500%

     02/01/33           183        198,138  

5.500%

     08/01/33           218        237,043  

5.500%

     10/01/33           64        70,298  

5.500%

     12/01/33           64        69,596  

5.500%

     12/01/34           186        202,333  

5.500%

     10/01/35           799        868,644  

5.500%

     03/01/36           102        110,427  

5.500%

     04/01/36           137        148,475  

5.500%

     01/01/37           86        93,660  

5.500%

     04/01/37           47        50,641  

5.500%

     05/01/37           282        307,313  

5.500%

     08/01/37           343        372,343  

6.000%

     05/01/21           71        73,080  

6.000%

     10/01/33           370        412,900  

6.000%

     11/01/33           36        39,479  

6.000%

     11/01/33           46        50,003  

6.000%

     01/01/34           283        310,555  

6.000%

     02/01/34           134        147,722  

6.000%

     03/01/34           3        2,829  

6.000%

     03/01/34           15        16,283  

6.000%

     03/01/34           46        49,955  

6.000%

     11/01/34           61        66,452  

6.000%

     01/01/35           76        84,801  

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

6.000%

     01/01/35          188      $ 207,129  

6.000%

     02/01/35          3        3,695  

6.000%

     02/01/35          114        124,144  

6.000%

     02/01/35          252        282,914  

6.000%

     04/01/35          22        24,536  

6.000%

     12/01/35          257        280,908  

6.000%

     05/01/36          47        51,890  

6.000%

     06/01/36          35        38,872  

6.000%

     02/01/37          93        102,869  

6.000%

     06/01/37          41        45,240  

6.000%

     05/01/38          245        267,468  

6.250%

     05/15/29 (k)         1,935        2,485,399  

6.500%

     09/01/32          1        1,341  

6.500%

     09/01/32          10        10,616  

6.500%

     09/01/32          14        15,707  

6.500%

     09/01/32          48        53,293  

6.500%

     09/01/32          48        53,319  

6.500%

     10/01/32          50        55,490  

6.500%

     04/01/33          82        90,715  

6.500%

     11/01/33          23        25,179  

6.500%

     01/01/34          45        50,103  

6.500%

     09/01/34          62        68,090  

6.500%

     10/01/34          138        152,376  

6.500%

     09/01/36          158        173,585  

6.500%

     10/01/36          48        53,957  

6.500%

     11/01/36          40        44,035  

6.500%

     01/01/37          41        45,382  

6.500%

     01/01/37          114        125,794  

6.500%

     09/01/37          21        22,757  

6.625%

     11/15/30 (k)         550        737,727  

7.000%

     02/01/32          34        37,093  

7.000%

     03/01/32          2        1,861  

7.000%

     05/01/32          18        20,331  

7.000%

     06/01/32          16        17,455  

7.000%

     07/01/32          60        67,268  

7.125%

     01/15/30 (k)         3,600        4,957,362  

Government National Mortgage Assoc.

 

2.500%

     12/20/46          1,141        1,082,659  

3.000%

     TBA          3,000        2,932,090  

3.000%

     03/15/45          1,465        1,434,805  

3.000%

     03/20/46          10,974        10,789,076  

3.000%

     07/20/46          4,299        4,219,951  

3.000%

     02/20/47          3,166        3,103,984  

3.500%

     TBA          7,250        7,267,559  

3.500%

     12/20/42          2,382        2,410,104  

3.500%

     05/20/43          491        496,391  

3.500%

     03/20/45          2,243        2,257,318  

3.500%

     04/20/45          3,167        3,187,079  

3.500%

     07/20/46          11,270        11,328,226  

4.000%

     TBA          8,250        8,443,360  

4.000%

     06/15/40          221        227,814  

4.000%

     05/20/41          389        402,742  

4.000%

     12/20/42          800        827,316  

4.000%

     08/20/44          393        406,200  

4.000%

     11/20/45          2,268        2,342,188  

4.000%

     12/20/45          2,393        2,471,471  

4.000%

     11/20/46          582        600,986  

4.500%

     TBA          5,000        5,188,324  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A92


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount (000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

4.500%

     04/15/40           984     $   1,040,127  

4.500%

     01/20/41           1,690       1,776,181  

4.500%

     02/20/41           1,081       1,136,172  

4.500%

     06/20/44           1,186       1,251,953  

4.500%

     09/20/46           738       775,757  

4.500%

     11/20/46           1,491       1,575,634  

4.500%

     03/20/47           1,551       1,625,436  

5.000%

     10/20/37           171       182,493  

5.000%

     04/20/45           1,053       1,121,767  

5.500%

     11/15/32           86       93,989  

5.500%

     02/15/33           74       81,279  

5.500%

     08/15/33           125       135,990  

5.500%

     08/15/33           171       184,144  

5.500%

     09/15/33           79       85,058  

5.500%

     09/15/33           94       102,810  

5.500%

     10/15/33           103       113,837  

5.500%

     12/15/33           22       23,807  

5.500%

     04/15/34           394       431,713  

5.500%

     07/15/35           80       87,214  

5.500%

     02/15/36           138       152,129  

6.000%

     02/15/33           3       3,602  

6.000%

     04/15/33           20       21,324  

6.000%

     09/15/33           22       24,234  

6.000%

     12/15/33           47       51,479  

6.000%

     12/15/33           130       142,618  

6.000%

     01/15/34           23       25,809  

6.000%

     01/15/34           38       42,210  

6.000%

     06/20/34           89       98,745  

6.000%

     07/15/34           198       219,229  

6.000%

     10/15/34           206       226,867  

6.500%

     10/15/23           1       1,246  

6.500%

     12/15/23           5       5,351  

6.500%

     01/15/24           2       1,966  

6.500%

     01/15/24           2       2,243  

6.500%

     01/15/24           3       2,782  

6.500%

     01/15/24           5       5,629  

6.500%

     01/15/24           18       19,373  

6.500%

     01/15/24           24       26,037  

6.500%

     01/15/24           66       73,057  

6.500%

     02/15/24           (r)      435  

6.500%

     02/15/24           1       763  

6.500%

     02/15/24           4       4,572  

6.500%

     02/15/24           4       4,668  

6.500%

     02/15/24           5       5,060  

6.500%

     02/15/24           10       10,541  

6.500%

     02/15/24           18       19,445  

6.500%

     02/15/24           18       19,636  

6.500%

     02/15/24           21       23,150  

6.500%

     02/15/24           33       36,688  

6.500%

     03/15/24           9       10,339  

6.500%

     04/15/24           2       2,472  

6.500%

     04/15/24           2       2,584  

6.500%

     04/15/24           3       2,925  

6.500%

     04/15/24           3       3,019  

6.500%

     04/15/24           5       5,563  

6.500%

     04/15/24           5       5,607  

6.500%

     04/15/24           16       17,755  

6.500%

     05/15/24           (r)      148  

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

6.500%

     05/15/24          16      $ 17,542  

6.500%

     05/15/24          17        18,978  

6.500%

     10/15/24          24        25,533  

6.500%

     12/15/30          11        12,445  

6.500%

     01/15/32          23        26,181  

6.500%

     02/15/32          22        23,733  

6.500%

     07/15/32          48        53,229  

6.500%

     08/15/32          7        7,337  

6.500%

     08/15/32          9        9,350  

6.500%

     08/15/32          29        32,432  

6.500%

     08/15/32          235        267,848  

6.500%

     06/15/35          5        6,014  

6.500%

     06/15/35          44        49,242  

6.500%

     07/15/35          7        8,008  

8.000%

     01/15/24          9        8,626  

8.000%

     04/15/25          7        7,480  

Tennessee Valley Authority, Sr. Unsec’d. Notes

 

2.875%

     02/01/27          410        399,805  

7.125%

     05/01/30          705        969,699  
          

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $279,585,631)

 

     276,937,708  
          

 

 

 
U.S. TREASURY OBLIGATIONS — 1.5%

 

U.S. Treasury Bonds

 

3.000%

     02/15/48 (a)         7,945        7,971,690  

U.S. Treasury Inflation Indexed Bonds, TIPS

 

0.625%

     01/15/26          26,400        26,256,051  

U.S. Treasury Notes

 

1.625%

     04/30/23          550        522,543  

2.500%

     05/31/20          4,545        4,542,870  

2.625%

     06/15/21          3,625        3,625,425  

2.875%

     05/15/28          1,335        1,337,660  

U.S. Treasury Strips Coupon

 

2.184%(s)

     02/15/28          5,465        4,122,999  

2.241%(s)

     05/15/28 (k)         2,735        2,047,224  

2.280%(s)

     02/15/29          2,735        1,999,664  

2.384%(s)

     05/15/29          5,640        4,093,739  

2.783%(s)

     08/15/29          1,400        1,007,695  

2.878%(s)

     05/15/31          1,400        954,469  

3.042%(s)

     11/15/35          2,800        1,665,364  

3.202%(s)

     08/15/40          2,800        1,440,951  
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $62,210,305)

 

     61,588,344  
          

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $3,343,078,368)

 

     3,906,030,842  
          

 

 

 
                  Shares         
SHORT-TERM INVESTMENTS — 10.3%

 

AFFILIATED MUTUAL FUNDS — 10.2%

 

PGIM Core Short-Term Bond
Fund(w)

 

     9,244,838        85,699,652  

PGIM Core Ultra Short Bond
Fund(w)

 

     242,864,899        242,864,899  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A93


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

                  Shares      Value  

AFFILIATED MUTUAL FUNDS (continued)

 

PGIM Institutional Money Market Fund
(cost $94,649,141; includes $94,474,320 of cash collateral for securities on loan)(b)(w)

 

     94,650,493      $ 94,659,958  
          

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $427,033,742)

 

     423,224,509  
          

 

 

 

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
        
COMMERCIAL PAPER(n) — 0.1%

 

Ford Motor Credit Co. LLC

 

3.201%

     04/09/19          2,310        2,259,795  
          

 

 

 

(cost $2,254,247)

          
U.S. TREASURY OBLIGATION(n) — 0.0%

 

U.S. Treasury Bills

 

1.901%

     09/20/18 (k)         150        149,375  
          

 

 

 

(cost $149,370)

          

TOTAL SHORT-TERM INVESTMENTS
(cost $429,437,359)

 

     425,633,679  
          

 

 

 

TOTAL INVESTMENTS — 104.7%
(cost $3,772,515,727)

 

     4,331,664,521  

LIABILITIES IN EXCESS OF OTHER
ASSETS(z) — (4.7)%

 

     (196,259,608
          

 

 

 

NET ASSETS — 100.0%

 

   $ 4,135,404,913  
          

 

 

 

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.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $3,491,278 and 0.1% of net assets.

 

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $92,022,309; cash collateral of $94,474,320 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

(b)

Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

 

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

 

(d)

Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

 

(k)

Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

 

(n)

Rate shown reflects yield to maturity at purchase date.

 

(p)

Interest rate not available as of June 30, 2018.

 

(r)

Principal or notional amount is less than $500 par.

 

(s)

Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

(z)

Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

 

 

Futures contracts outstanding at June 30, 2018:

 

Number of
Contracts
  Type   Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 

Long Positions:

     
531   2 Year U.S. Treasury Notes     Sep. 2018     $ 112,480,734     $ 250,831  
2,117   5 Year U.S. Treasury Notes     Sep. 2018       240,527,586       1,338,521  
576   30 Year U.S. Ultra Treasury Bonds     Sep. 2018       91,908,000       3,156,595  
11   Mini MSCI EAFE Index     Sep. 2018       1,075,470       (24,014
       

 

 

 
          4,721,933  
       

 

 

 

Short Positions:

     
330   90 Day Euro Dollar     Dec. 2018       80,322,000       572,692  
294   10 Year U.S. Treasury Notes     Sep. 2018       35,335,125       8,735  
66   10 Year U.S. Ultra Treasury Notes     Sep. 2018       8,463,469       (174,947
217   20 Year U.S. Treasury Bonds     Sep. 2018       31,465,000       (826,136
       

 

 

 
          (419,656
       

 

 

 
        $ 4,302,277  
       

 

 

 

Securities with combined market values of $3,634,155 and $149,375 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2018.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A94


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Forward foreign currency exchange contracts outstanding at June 30, 2018:

 

Sale Contracts

   Counterparty      Notional
Amount
(000)
     Value at
Settlement Date
     Current
Value
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Forward Foreign Currency Exchange Contracts:

 

           

Euro,

                 

Expiring 07/26/18

     Citigroup Global Markets      EUR  3,746      $ 4,588,730      $ 4,382,936      $ 205,794      $  
        

 

 

    

 

 

    

 

 

    

 

 

 

Forward rate agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Fair
Value
     Upfront
Premiums
     Unrealized
Appreciation
(Depreciation)
    

Counterparty

 

OTC Forward Rate Agreements^:

           
  96,000        07/30/18        4.000%(T)     

CMM 102(1)(T)

   $   —      $   —      $   —     

JPMorgan Chase

  96,000        07/30/18        2.839%(T)     

10 Year CMT(1)(T)

                       

JPMorgan Chase

           

 

 

    

 

 

    

 

 

    
            $      $      $     
           

 

 

    

 

 

    

 

 

    

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

Inflation swap agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2018
       Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Inflation Swap Agreement:

      
  1,720          10/25/27          2.160%(T)     

U.S. CPI Urban Consumers NSA Index(2)(T)

     $ 40        $ (41,133      $ (41,173
                 

 

 

      

 

 

      

 

 

 

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2018
       Unrealized
Appreciaton
(Depreciation)
 
  Centrally Cleared Interest Rate Swap Agreements:       
  EUR       3,905          05/11/24          0.396%(A)     

6 Month EURIBOR(1)(S)

     $ 19,572        $ (8,318      $ (27,890
  1,181,655          01/30/19          2.261%(T)     

1 Day USOIS(1)(T)

                (52,873        (52,873
  1,034,020          03/20/19          2.157%(T)     

1 Day USOIS(1)(T)

                197,123          197,123  
  65,090          06/30/19          1.486%(A)     

1 Day USOIS(1)(A)

       (23,719        455,423          479,142  
  14,410          06/30/19          1.502%(A)     

1 Day USOIS(1)(A)

       (7,439        96,846          104,285  
  23,180          09/30/19          1.707%(A)     

1 Day USOIS(1)(A)

       6,555          151,080          144,525  
  37,520          12/31/19          1.840%(A)     

1 Day USOIS(1)(A)

       22,844          263,344          240,500  
  17,170          12/31/19          1.950%(A)     

1 Day USOIS(1)(A)

       4,724          87,958          83,234  
  7,195          12/31/19          2.040%(A)     

1 Day USOIS(1)(A)

       78          25,521          25,443  
  2,555          12/31/19          2.107%(A)     

1 Day USOIS(1)(A)

       (5        5,407          5,412  
  24,360          03/23/21          2.370%(A)     

1 Day USOIS(1)(A)

                20,236          20,236  
  685          05/31/22          2.353%(A)     

1 Day USOIS(1)(A)

                3,354          3,354  
  610          05/15/24          1.808%(A)     

1 Day USOIS(1)(A)

                23,326          23,326  
  20,135          08/15/24          2.170%(S)     

3 Month LIBOR(1)(Q)

       49,779          713,708          663,929  
  14,985          11/15/24          2.334%(S)     

3 Month LIBOR(1)(Q)

       46,829          489,747          442,918  
  10,320          02/12/25          2.408%(A)     

1 Day USOIS(1)(A)

                35,076          35,076  
  1,900          02/14/25          —(3)     

—(3)

                1,668          1,668  
  4,710          02/28/25          2.454%(A)     

1 Day USOIS(1)(A)

                15,862          15,862  
  36,240          01/08/26          2.210%(S)     

3 Month LIBOR(1)(Q)

       294,382          1,511,301          1,216,919  
  8,033          02/15/27          1.824%(A)     

1 Day USOIS(1)(A)

       90,939          429,909          338,970  
  1,575          02/15/27          1.899%(A)     

1 Day USOIS(1)(A)

       1,997          74,704          72,707  
  1,325          02/15/27          1.965%(A)     

1 Day USOIS(1)(A)

                55,730          55,730  
  4,595          02/15/27          2.067%(A)     

1 Day USOIS(1)(A)

       (2,908        154,703          157,611  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A95


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2018 (continued):

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Value at
Trade Date
    Value at
June 30, 2018
    Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements (continued):

 
  1,580        05/15/27        1.823%(A)     

1 Day USOIS(1)(A)

   $     $ 87,889     $ 87,889  
  655        05/15/27        2.295%(S)     

3 Month LIBOR(1)(Q)

           32,038       32,038  
  7,700        02/15/36        2.338%(S)     

3 Month LIBOR(2)(Q)

     (51,426     (634,607     (583,181
  290        11/15/43        2.659%(S)     

3 Month LIBOR(1)(Q)

           15,380       15,380  
           

 

 

   

 

 

   

 

 

 
            $ 452,202     $ 4,251,535     $ 3,799,333  
           

 

 

   

 

 

   

 

 

 

Securities with a combined market value of $5,907,916 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

 

(3)

The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 Day USOIS plus 38.25 bps quarterly.

Total return swap agreements outstanding at June 30, 2018:

 

Counterparty

   Termination
Date
     Long (Short)
Notional
Amount(000)#
    

Description

   Fair
Value
     Upfront
Premiums
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)(1)
 

OTC Total Return Swap Agreement^:

 

Barclays Capital Group

     7/31/18        3,480      Receive payment based on Bloomberg Barclays US Corporate Total Return Value Unhedged Index upon termination and pay variable payments based on 1 Month LIBOR plus 10bps monthly    $ 28      $      $ 28  
           

 

 

    

 

 

    

 

 

 

 

(1)

Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

Balance Reported in the Statement of Assets and Liabilities for OTC Swap Agreements Table:

 

     Premiums
Paid
     Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Swap Agreements

   $      $      $ 28      $  
  

 

 

    

 

 

    

 

 

    

 

 

 

Fair Value Measurements:

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—

unadjusted 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, 2018 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

    

Level 3

 

Investments in Securities

        

Asset-Backed Securities

        

Automobiles

   $                   —      $      66,794,897      $  

Collateralized Loan Obligations

            52,951,899        3,491,250  

Consumer Loans

            9,498,565         

Credit Cards

            10,340,831         

Equipment

            10,173,995         

Home Equity Loans

            5,660,399         

Other

            1,114,958         

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A96


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

      

Level 1

      

Level 2

    

Level 3

 

Investments in Securities (continued)

            

Asset-Backed Securities (continued)

            

Residential Mortgage-Backed Securities

     $        $ 26,244,082      $  

Student Loans

                22,673,054         

Bank Loan

                403,786         

Commercial Mortgage-Backed Securities

                248,826,554         

Commercial Paper

                2,259,795         

Common Stocks

       2,582,564,689          34,628,701         

Corporate Bonds

                396,083,575         

Exchange Traded Fund

       340,743                  

Municipal Bonds

                19,230,271         

Preferred Stocks

       596,200          183,425         

Residential Mortgage-Backed Securities

                40,268,331         

Rights

                        

Sovereign Bonds

                35,434,585         

U.S. Government Agency Obligations

                276,937,708         

U.S. Treasury Obligations

                61,737,719         

Affiliated Mutual Funds

       423,224,509                  

Other Financial Instruments*

            

Futures Contracts

       4,302,277                  

OTC Forward Foreign Currency Exchange Contracts

                205,794         

OTC Forward Rate Swap Agreements

                        

Centrally Cleared Inflation Swap Agreement

                (41,173       

Centrally Cleared Interest Rate Swap Agreements

                3,799,333         

OTC Total Return Swap Agreement

                       28  
    

 

 

      

 

 

    

 

 

 

Total

     $ 3,011,028,418        $ 1,325,411,084      $ 3,491,278  
    

 

 

      

 

 

    

 

 

 

 

*

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.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Affiliated Mutual Funds (2.3% represents investments purchased with collateral from securities on loan)

     10.2

Banks

     6.9  

U.S. Government Agency Obligations

     6.7  

Commercial Mortgage-Backed Securities

     6.0  

Software

     4.3  

Oil, Gas & Consumable Fuels

     4.0  

Internet Software & Services

     3.8  

Technology Hardware, Storage & Peripherals

     3.1  

Pharmaceuticals

     2.9  

IT Services

     2.4  

Health Care Providers & Services

     2.4  

Health Care Equipment & Supplies

     2.4  

Automobiles

     2.2  

Semiconductors & Semiconductor Equipment

     2.2  

Internet & Direct Marketing Retail

     2.2  

Specialty Retail

     1.9  

Diversified Telecommunication Services

     1.7  

Aerospace & Defense

     1.7  

Residential Mortgage-Backed Securities

     1.6  

U.S. Treasury Obligations

     1.5  

Biotechnology

     1.5  

Capital Markets

     1.4  

Media

     1.4  

Machinery

     1.4

Chemicals

     1.4  

Collateralized Loan Obligations

     1.4  

Beverages

     1.3  

Diversified Financial Services

     1.3  

Insurance

     1.3  

Equity Real Estate Investment Trusts (REITs)

     1.3  

Food Products

     1.2  

Electric

     1.0  

Communications Equipment

     0.9  

Consumer Finance

     0.9  

Industrial Conglomerates

     0.9  

Sovereign Bonds

     0.8  

Road & Rail

     0.8  

Multiline Retail

     0.8  

Metals & Mining

     0.7  

Electric Utilities

     0.7  

Textiles, Apparel & Luxury Goods

     0.7  

Life Sciences Tools & Services

     0.7  

Hotels, Restaurants & Leisure

     0.6  

Student Loans

     0.6  

Tobacco

     0.5  

Oil & Gas

     0.5  

Independent Power & Renewable Electricity Producers

     0.5  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A97


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Industry Classification (continued):

 

Auto Manufacturers

     0.5

Municipal

     0.5  

Real Estate Management & Development

     0.4  

Household Products

     0.4  

Food & Staples Retailing

     0.4  

Multi-Utilities

     0.3  

Electrical Equipment

     0.3  

Food

     0.3  

Pipelines

     0.3  

Energy Equipment & Services

     0.3  

Credit Cards

     0.3  

Computers

     0.3  

Airlines

     0.3  

Equipment

     0.2  

Telecommunications

     0.2  

Consumer Loans

     0.2  

Retail

     0.2  

Personal Products

     0.2  

Professional Services

     0.2  

Gas Utilities

     0.2  

Agriculture

     0.2  

Healthcare-Services

     0.1  

Home Equity Loans

     0.1  

Multi-National

     0.1  

Trading Companies & Distributors

     0.1  

Oil & Gas Services

     0.1  

Construction & Engineering

     0.1  

Diversified Consumer Services

     0.1  

Household Durables

     0.1  

Commercial Services

     0.1  

Gas

     0.1  

Healthcare-Products

     0.1  

Building Products

     0.1  

Mortgage Real Estate Investment Trusts (REITs)

     0.1  

Containers & Packaging

     0.1  

Auto Parts & Equipment

     0.1  

Commercial Paper

     0.1  

Building Materials

     0.1

Forest Products & Paper

     0.1  

Semiconductors

     0.1  

Transportation

     0.0

Leisure Products

     0.0

Housewares

     0.0

Lodging

     0.0

Mining

     0.0

Miscellaneous Manufacturing

     0.0

Packaging & Containers

     0.0

Savings & Loans

     0.0

Auto Components

     0.0

Machinery-Diversified

     0.0

Home Builders

     0.0

Other

     0.0

Distributors

     0.0

Air Freight & Logistics

     0.0

Electronics

     0.0

Wireless Telecommunication Services

     0.0

Electronic Equipment, Instruments & Components

     0.0

Transportation Infrastructure

     0.0

Technology

     0.0

Exchange Traded Fund

     0.0

Real Estate Investment Trusts (REITs)

     0.0

Paper & Forest Products

     0.0

Construction Materials

     0.0

Water Utilities

     0.0

Commercial Services & Supplies

     0.0

Marine

     0.0
  

 

 

 
     104.7  

Liabilities in excess of other assets

     (4.7
  

 

 

 
     100.0
  

 

 

 

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk, foreign exchange contracts risk and interest rate contracts 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, 2018 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    $ 24,014

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      205,794           

Interest rate contracts

   Due from/to broker — variation margin futures      5,327,374   Due from/to broker — variation margin futures      1,001,083

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A98


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

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 swaps    $ 4,463,277   Due from/to broker — variation margin swaps    $ 705,117

Interest rate contracts

   Unrealized appreciation on OTC swap agreements      28           
     

 

 

      

 

 

 
      $ 9,996,473        $ 1,730,214  
     

 

 

      

 

 

 

 

*

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, 2018 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(1)        Options
Purchased(1)
     Options
Written
       Futures      Forward
Currency
Contracts
     Swaps  

Equity contracts

     $ 5,200        $      $        $ (92,054    $      $  

Foreign exchange contracts

                                       (67,165       

Interest rate contracts

                (162,599      31,232          (12,613,259             2,287,892  
    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

    

 

 

 

Total

     $ 5,200        $ (162,599    $ 31,232        $ (12,705,313    $ (67,165    $ 2,287,892  
    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

    

 

 

 

 

(1)

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

     Futures      Forward
Currency
Contracts
       Swaps  

Equity contracts

     $ (36,056    $        $  

Foreign exchange contracts

              261,800           

Interest rate contracts

       5,155,211                 3,061,073  
    

 

 

    

 

 

      

 

 

 

Total

     $ 5,119,155      $ 261,800        $ 3,061,073  
    

 

 

    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A99


   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

 

Options

Purchased(1)

 

Options

Written(2)

 

Futures

Contracts-

Long

Positions(2)

 

Futures

Contracts-

Short

Positions(2)

$30,667   $170,667   $570,183,996   $166,272,521

 

Forward Foreign

Currency Exchange

Contracts-Sold(3)

 

Forward Rate

Agreements(2)

 

Interest Rate

Swap

Agreements(2)

$4,568,046   $64,000,000   $1,069,989,859

 

Total Return

Swap

Agreements(2)

 

Inflation Swap

Agreements(2)

$1,160,000   $1,720,000

 

(1)

Cost.

 

(2)

Notional Amount in USD.

 

(3)

Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions 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 derivative and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Gross Market
Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(2)
     Net Amount  

Securities on Loan

     $ 92,022,309        $ (92,022,309    $  
    

 

 

         

Offsetting of OTC derivative assets and liabilities:

 

Counterparty

     Gross Amounts of
Recognized
Assets(1)
       Gross Amounts of
Recognized
Liabilities(1)
       Net Amounts of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(2)
       Net
Amount
 

Barclays Capital Group

     $ 28        $        $ 28        $        $ 28  

Citigroup Global Markets

       205,794                   205,794                   205,794  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
     $ 205,822        $        $ 205,822        $        $ 205,822  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

(1)

Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

 

(2)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A100


   FLEXIBLE MANAGED PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2018

 

ASSETS  

Investments at value, including securities on loan of $92,022,309:

 

Unaffiliated investments (cost $3,345,481,985)

  $ 3,908,440,012  

Affiliated investments (cost $427,033,742)

    423,224,509  

Foreign currency, at value (cost $163,387)

    163,149  

Receivable for investments sold

    94,987,147  

Dividends and interest receivable

    9,939,386  

Tax reclaim receivable

    623,580  

Unrealized appreciation on OTC forward foreign currency exchange contracts

    205,794  

Due from broker-variation margin swaps

    85,078  

Due from broker-variation margin futures

    6,765  

Receivable from affiliate

    6,075  

Receivable for Series shares sold

    1,830  

Unrealized appreciation on OTC swap agreements

    28  

Prepaid expenses

    4,176  
 

 

 

 

Total Assets

    4,437,687,529  
 

 

 

 
LIABILITIES  

Payable for investments purchased

    204,389,657  

Payable to broker for collateral for securities on loan

    94,474,320  

Management fee payable

    2,065,428  

Payable for Series shares repurchased

    572,743  

Accrued expenses and other liabilities

    426,661  

Payable to affiliate

    249,358  

Due to broker-variation margin futures

    103,469  

Affiliated transfer agent fee payable

    980  
 

 

 

 

Total Liabilities

    302,282,616  
 

 

 

 
NET ASSETS   $ 4,135,404,913  
 

 

 

 

Net assets were comprised of:

 

Partners Equity

  $ 4,135,404,913  
 

 

 

 

Net asset value and redemption price per share, $4,135,404,913 / 137,373,220 outstanding shares of beneficial interest

  $ 30.10  
 

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)

INCOME

 

Unaffiliated dividend income (net) (foreign withholding tax $130,598, of which $11,593 is reimbursable by an affiliate)

  $ 24,644,636  

Interest income (net of $1,591 foreign withholding tax)

    20,116,791  

Affiliated dividend income

    2,715,331  

Income from securities lending, net (including affiliated income of $162,095)

    165,582  
 

 

 

 

Total income

    47,642,340  
 

 

 

 
EXPENSES  

Management fee

    12,454,773  

Custodian and accounting fees

    220,804  

Shareholders’ reports

    127,857  

Trustees’ fees

    24,587  

Audit fee

    22,413  

Legal fees and expenses

    10,542  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

    5,297  

Miscellaneous

    67,219  
 

 

 

 

Total expenses

    12,933,492  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     34,708,848  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $(3,856,963))

    152,530,541  

Futures transactions

    (12,705,313

Forward currency contract transactions

    (67,165

Options written transactions

    31,232  

Swap agreements transactions

    2,287,892  

Foreign currency transactions

    80,097  
 

 

 

 
    142,157,284  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $3,721,733)

    (153,105,959

Futures

    5,119,155  

Forward currency contracts

    261,800  

Swap agreements

    3,061,073  

Foreign currencies

    (34,305
 

 

 

 
    (144,698,236
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     (2,540,952
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 32,167,896  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS

    

Net investment income (loss)

   $ 34,708,848     $ 65,564,001  

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

     142,157,284       297,648,108  

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     (144,698,236     201,322,947  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     32,167,896       564,535,056  
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [93,958 and 218,250 shares, respectively]

     2,825,029       6,080,347  

Series shares repurchased [4,297,544 and 8,310,120 shares, respectively]

     (129,354,438     (230,747,682
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (126,529,409     (224,667,335
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      65,481        
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      (94,296,032     339,867,721  
NET ASSETS:     

Beginning of period

     4,229,700,945       3,889,833,224  
  

 

 

   

 

 

 

End of period

   $ 4,135,404,913     $ 4,229,700,945  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A101


   GLOBAL PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

LONG-TERM INVESTMENTS — 96.6%         
COMMON STOCKS — 96.1%    Shares      Value  

Australia — 2.7%

     

AGL Energy Ltd.

     66,200      $ 1,101,487  

Aristocrat Leisure Ltd.

     100,909        2,304,497  

Asaleo Care Ltd.

     733,400        756,130  

Ausdrill Ltd.

     123,200        167,190  

Bendigo & Adelaide Bank Ltd.

     158,500        1,269,768  

BHP Billiton PLC

     223,060        5,006,005  

Caltex Australia Ltd.

     26,000        625,710  

Coca-Cola Amatil Ltd.

     96,500        656,359  

CSL Ltd.

     35,226        5,014,180  

CSR Ltd.

     334,900        1,136,341  

Fortescue Metals Group Ltd.

     129,900        421,782  

Harvey Norman Holdings Ltd.(a)

     168,800        414,695  

LendLease Group

     104,000        1,522,726  

Macquarie Group Ltd.

     53,484        4,874,331  

Metcash Ltd.

     412,500        795,602  

Mineral Resources Ltd.

     64,000        757,729  

Myer Holdings Ltd.(a)

     567,600        155,173  

Qantas Airways Ltd.

     387,619        1,765,062  

Rio Tinto Ltd.

     26,000        1,606,418  
     

 

 

 
        30,351,185  
     

 

 

 

Austria — 0.3%

     

OMV AG

     28,000        1,583,619  

voestalpine AG

     28,800        1,324,314  
     

 

 

 
        2,907,933  
     

 

 

 

Belgium — 0.4%

     

AGFA-Gevaert NV*

     86,100        360,872  

Bekaert SA

     13,500        437,416  

KBC Group NV

     43,267        3,322,914  

UCB SA

     8,900        697,675  
     

 

 

 
        4,818,877  
     

 

 

 

Canada — 3.3%

     

Brookfield Asset Management, Inc.
(Class A Stock)

     98,962        4,011,919  

Canadian National Railway Co.

     60,319        4,933,710  

Canadian Natural Resources Ltd.

     73,100        2,636,717  

Canadian Pacific Railway Ltd.(a)

     10,309        1,886,753  

Constellation Software, Inc.

     6,019        4,667,913  

Dollarama, Inc.

     62,097        2,407,077  

Magna International, Inc.

     66,500        3,865,645  

Suncor Energy, Inc.

     92,704        3,772,612  

Toronto-Dominion Bank (The)

     73,907        4,277,628  

TransCanada Corp.

     108,702        4,695,926  
     

 

 

 
        37,155,900  
     

 

 

 

China — 2.9%

     

Alibaba Group Holding Ltd., ADR*(a)

     89,614        16,626,086  

China Merchants Bank Co. Ltd.
(Class H Stock)

     971,500        3,573,577  

China Resources Cement Holdings Ltd.

     1,234,000        1,241,880  

NetEase, Inc., ADR

     9,175        2,318,247  

Tencent Holdings Ltd.

     116,300        5,840,051  
COMMON STOCKS
(continued)
   Shares      Value  

China (continued)

     

Xinyi Solar Holdings Ltd.

     1,870,000      $ 572,918  

Yum China Holdings, Inc.

     89,698        3,449,785  
     

 

 

 
        33,622,544  
     

 

 

 

Denmark — 0.7%

     

Danske Bank A/S

     61,200        1,906,618  

DFDS A/S

     11,300        719,263  

Novo Nordisk A/S (Class B Stock)

     72,888        3,366,738  

Orsted A/S, 144A

     35,723        2,158,425  
     

 

 

 
        8,151,044  
     

 

 

 

Finland — 0.2%

     

UPM-Kymmene OYJ

     57,300        2,040,175  
     

 

 

 

France — 5.3%

     

Airbus SE

     31,252        3,646,951  

Arkema SA

     29,965        3,535,883  

Atos SE

     9,100        1,237,391  

AXA SA

     46,300        1,131,285  

BNP Paribas SA

     63,636        3,936,333  

Capgemini SE

     24,747        3,316,347  

Carrefour SA

     34,100        550,065  

Cie Generale des Etablissements Michelin SCA

     24,951        3,018,528  

CNP Assurances

     46,700        1,061,003  

Credit Agricole SA

     78,500        1,041,895  

Engie SA

     50,000        764,826  

LVMH Moet Hennessy Louis Vuitton SE(a)

     18,617        6,181,204  

Natixis SA

     146,400        1,035,863  

Orange SA(a)

     79,700        1,330,366  

Renault SA(a)

     12,300        1,042,075  

Safran SA

     31,997        3,874,998  

Sanofi

     48,500        3,892,592  

SCOR SE

     12,100        447,471  

Societe Generale SA

     28,600        1,202,057  

TOTAL SA

     110,878        6,733,159  

TOTAL SA, ADR(a)

     148,350        8,984,076  

Valeo SA

     56,272        3,068,156  
     

 

 

 
        61,032,524  
     

 

 

 

Germany — 2.2%

     

Allianz SE

     8,500        1,751,467  

Aurubis AG

     10,800        824,412  

BASF SE

     16,400        1,565,686  

Bayer AG

     11,400        1,251,991  

Bayerische Motoren Werke AG

     13,800        1,247,418  

CECONOMY AG

     46,000        382,563  

Covestro AG, 144A

     5,100        453,307  

Daimler AG

     27,600        1,767,978  

Deutsche Lufthansa AG

     54,200        1,298,505  

Deutsche Post AG

     34,500        1,120,919  

Evonik Industries AG

     36,500        1,248,803  

Hannover Rueck SE

     4,500        559,448  

Infineon Technologies AG

     146,436        3,719,669  

METRO AG(a)

     46,000        566,897  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     5,300        1,114,289  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A102


   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Germany (continued)

     

Rational AG

     3,244      $ 2,112,524  

Rheinmetall AG

     13,300        1,463,299  

Uniper SE

     38,700        1,152,209  

Volkswagen AG

     7,400        1,216,509  
     

 

 

 
        24,817,893  
     

 

 

 

Hong Kong — 1.4%

     

AIA Group Ltd.

     722,600        6,294,866  

Galaxy Entertainment Group Ltd.

     532,000        4,100,897  

Kingboard Chemical Holdings Ltd.

     216,000        786,695  

Lee & Man Paper Manufacturing Ltd.

     1,244,000        1,255,043  

PAX Global Technology Ltd.

     933,000        459,120  

Skyworth Digital Holdings Ltd.

     1,072,000        477,049  

WH Group Ltd., 144A

     1,914,500        1,549,188  

Wheelock & Co. Ltd.

     97,000        674,105  

Yue Yuen Industrial Holdings Ltd.

     220,500        621,516  
     

 

 

 
        16,218,479  
     

 

 

 

India — 0.3%

     

HDFC Bank Ltd., ADR

     27,706        2,909,684  
     

 

 

 

Ireland — 0.5%

     

Kingspan Group PLC

     90,996        4,548,587  

Smurfit Kappa Group PLC

     35,200        1,421,068  
     

 

 

 
        5,969,655  
     

 

 

 

Israel — 0.1%

     

Bank Hapoalim BM

     125,500        850,794  

Teva Pharmaceutical Industries Ltd.

     16,300        394,663  
     

 

 

 
        1,245,457  
     

 

 

 

Italy — 0.5%

     

A2A SpA

     782,400        1,354,284  

Astaldi SpA*(a)

     48,700        113,459  

Enel SpA

     470,000        2,604,358  

Leonardo SpA

     45,200        444,876  

Mediobanca Banca di Credito Finanziario SpA

     87,600        810,304  
     

 

 

 
        5,327,281  
     

 

 

 

Japan — 6.7%

     

AGC, Inc.

     3,400        132,247  

Aisan Industry Co. Ltd.

     68,400        575,931  

Aisin Seiki Co. Ltd.

     14,000        637,456  

Aoyama Trading Co. Ltd.

     5,400        180,173  

Astellas Pharma, Inc.

     38,100        579,828  

Daikin Industries Ltd.

     40,400        4,828,329  

Dowa Holdings Co. Ltd.

     21,700        668,100  

Enplas Corp.

     11,200        311,652  

Fujikura Ltd.

     200,200        1,271,729  

Fujitec Co. Ltd.

     26,700        328,588  

Hazama Ando Corp.

     85,900        780,782  

Hitachi Capital Corp.

     2,900        74,845  

Hitachi High-Technologies Corp.

     3,000        122,041  

Isuzu Motors Ltd.

     78,200        1,036,711  

ITOCHU Corp.

     102,900        1,861,032  

Japan Airlines Co. Ltd.

     28,000        992,070  

Japan Aviation Electronics Industry Ltd.

     46,000        723,558  

Kaneka Corp.

     74,000        662,720  
COMMON STOCKS
(continued)
   Shares      Value  

Japan (continued)

     

KDDI Corp.

     117,600      $ 3,215,762  

Keihin Corp.

     54,300        1,101,876  

Keiyo Bank Ltd. (The)

     153,000        656,036  

Keyence Corp.

     9,600        5,414,540  

Komatsu Ltd.

     101,600        2,892,408  

Konica Minolta, Inc.

     129,600        1,201,952  

KYORIN Holdings, Inc.

     3,200        66,413  

Lintec Corp.

     30,000        869,308  

Marubeni Corp.

     157,200        1,196,825  

Mazda Motor Corp.

     56,700        695,516  

Mitsubishi Gas Chemical Co., Inc.

     46,900        1,059,832  

Mitsubishi UFJ Financial Group, Inc.

     248,600        1,408,290  

Mitsubishi UFJ Lease & Finance Co. Ltd.

     165,800        1,016,416  

Mitsui Chemicals, Inc.

     31,500        837,230  

Mitsui Sugar Co. Ltd.

     25,400        787,249  

Mixi, Inc.

     17,800        449,999  

Mizuho Financial Group, Inc.

     597,700        1,006,817  

NEC Corp.

     2,500        68,510  

Nippon Telegraph & Telephone Corp.

     69,300        3,148,161  

Nipro Corp.

     34,900        402,673  

Nishi-Nippon Financial Holdings, Inc.

     48,600        566,635  

Nissan Motor Co. Ltd.

     161,600        1,572,399  

Nisshinbo Holdings, Inc.

     81,000        868,209  

Nitori Holdings Co. Ltd.

     20,900        3,251,585  

NTT DOCOMO, Inc.

     39,300        1,001,457  

ORIX Corp.

     234,100        3,689,909  

Resona Holdings, Inc.

     355,300        1,893,671  

Sankyu, Inc.

     16,200        850,242  

Sawai Pharmaceutical Co. Ltd.

     9,200        418,388  

Seino Holdings Co. Ltd.

     12,200        215,881  

Shiseido Co. Ltd.

     56,600        4,491,549  

SKY Perfect JSAT Holdings, Inc.

     151,000        719,353  

Sumitomo Forestry Co. Ltd.

     8,600        129,978  

Sumitomo Heavy Industries Ltd.

     16,800        566,043  

Sumitomo Mitsui Financial Group, Inc.

     33,900        1,322,303  

Sumitomo Osaka Cement Co. Ltd.

     149,500        700,011  

Suzuki Motor Corp.

     38,000        2,094,109  

Teijin Ltd.

     48,000        879,250  

Toagosei Co. Ltd.

     73,500        848,140  

Toho Holdings Co. Ltd.

     35,200        858,095  

Tokyo Electron Ltd.

     4,500        772,440  

Towa Pharmaceutical Co. Ltd.

     9,400        502,873  

Toyo Tire & Rubber Co. Ltd.(a)

     35,200        513,174  

Toyoda Gosei Co. Ltd.

     33,200        840,281  

Toyota Motor Corp.

     15,730        1,017,243  

Tsubakimoto Chain Co.

     85,000        674,141  

Ube Industries Ltd.

     30,100        781,556  

Ulvac, Inc.

     12,700        484,465  

Yokohama Rubber Co. Ltd. (The)(a)

     45,000        933,395  
     

 

 

 
        76,720,380  
     

 

 

 

Liechtenstein — 0.0%

     

VP Bank AG

     1,765        335,801  
     

 

 

 

Luxembourg — 0.2%

     

Tenaris SA

     119,442        2,179,821  
     

 

 

 

Netherlands — 1.7%

     

ABN AMRO Group NV, CVA, 144A

     45,300        1,171,541  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A103


   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Netherlands (continued)

     

Aegon NV

     95,000      $ 567,209  

BE Semiconductor Industries NV

     4,400        118,404  

ING Groep NV

     75,400        1,082,333  

Koninklijke Ahold Delhaize NV

     95,900        2,289,864  

Koninklijke Philips NV

     97,420        4,127,493  

NN Group NV

     38,700        1,569,535  

Royal Dutch Shell PLC (Class A Stock)

     128,119        4,446,303  

Royal Dutch Shell PLC (Class B Stock)

     111,200        3,982,401  

Signify NV, 144A

     22,300        576,936  
     

 

 

 
        19,932,019  
     

 

 

 

New Zealand — 0.1%

     

Air New Zealand Ltd.

     485,600        1,043,446  
     

 

 

 

Norway — 0.4%

     

DNB ASA

     68,200        1,328,063  

Equinor ASA

     37,300        986,307  

Salmar ASA

     37,300        1,564,503  

Yara International ASA

     14,800        612,308  
     

 

 

 
        4,491,181  
     

 

 

 

Portugal — 0.1%

     

EDP-Energias de Portugal SA

     319,500        1,266,344  
     

 

 

 

Singapore — 0.1%

     

DBS Group Holdings Ltd.

     36,300        705,927  
     

 

 

 

South Africa — 0.2%

     

Bid Corp. Ltd.

     82,530        1,652,585  

Investec PLC

     79,700        563,538  
     

 

 

 
        2,216,123  
     

 

 

 

Spain — 1.1%

     

ACS Actividades de Construccion y Servicios SA

     79,428        3,204,601  

Amadeus IT Group SA

     49,545        3,895,850  

Banco Santander SA

     137,900        737,003  

Distribuidora Internacional de Alimentacion SA

     175,100        508,655  

Gas Natural SDG SA(a)

     19,200        507,569  

Iberdrola SA

     150,200        1,158,307  

Mapfre SA

     219,300        659,160  

Repsol SA

     73,100        1,426,847  
     

 

 

 
        12,097,992  
     

 

 

 

Sweden — 1.1%

     

Atlas Copco AB (Class A Stock)

     111,244        3,221,688  

Boliden AB

     35,400        1,142,481  

Electrolux AB (Class B Stock)

     22,600        512,876  

Epiroc AB (Class A Stock)*

     169,268        1,776,258  

Hexagon AB (Class B Stock)

     57,183        3,177,497  

JM AB

     25,700        457,716  

Nordea Bank AB

     83,600        801,941  

Swedbank AB (Class A Stock)

     29,700        632,795  

Volvo AB (Class B Stock)

     87,000        1,382,702  
     

 

 

 
        13,105,954  
     

 

 

 

Switzerland — 2.9%

     

ALSO Holding AG*

     4,300        513,396  

Baloise Holding AG

     10,300        1,494,089  
COMMON STOCKS
(continued)
   Shares      Value  

Switzerland (continued)

     

Credit Suisse Group AG*

     113,100      $ 1,691,193  

Ferguson PLC

     34,826        2,817,693  

Geberit AG

     6,423        2,750,097  

Georg Fischer AG

     49        62,572  

Helvetia Holding AG

     1,800        1,026,878  

Lonza Group AG*

     16,002        4,228,472  

Novartis AG

     23,100        1,749,847  

Partners Group Holding AG

     4,678        3,419,833  

Roche Holding AG

     12,800        2,839,785  

Swiss Life Holding AG*

     6,500        2,253,885  

Swiss Re AG

     20,100        1,754,908  

Temenos AG*

     25,515        3,837,114  

UBS Group AG*

     83,800        1,284,684  

Zurich Insurance Group AG

     5,700        1,685,661  
     

 

 

 
        33,410,107  
     

 

 

 

Taiwan — 0.4%

     

Taiwan Semiconductor Manufacturing Co. Ltd.

     610,000        4,331,658  
     

 

 

 

United Kingdom — 4.9%

     

3i Group PLC

     120,600        1,427,798  

Aviva PLC

     164,200        1,089,480  

BAE Systems PLC

     351,100        2,986,913  

Barratt Developments PLC

     109,300        740,934  

Bellway PLC

     25,400        1,003,446  

Berkeley Group Holdings PLC

     25,300        1,260,268  

Bovis Homes Group PLC

     66,300        999,652  

BP PLC

     355,000        2,701,021  

BT Group PLC

     365,300        1,047,952  

Carillion PLC^*(a)

     145,900        19  

Centrica PLC

     289,000        600,074  

Compass Group PLC

     191,942        4,091,361  

Crest Nicholson Holdings PLC

     143,814        737,678  

Debenhams PLC(a)

     301,400        59,211  

Experian PLC

     166,094        4,097,307  

GlaxoSmithKline PLC

     166,000        3,346,713  

Go-Ahead Group PLC (The)

     34,500        720,782  

Inchcape PLC

     66,600        684,682  

International Consolidated Airlines Group SA

     150,000        1,308,663  

J. Sainsbury PLC

     536,900        2,272,035  

Keller Group PLC

     48,200        642,965  

Kingfisher PLC

     160,800        628,825  

Legal & General Group PLC

     494,700        1,730,379  

Lloyds Banking Group PLC

     1,954,100        1,621,350  

London Stock Exchange Group PLC

     50,872        2,994,808  

Man Group PLC

     291,300        675,266  

Marks & Spencer Group PLC

     142,500        553,536  

Meggitt PLC

     108,000        700,833  

Melrose Industries PLC

     110,258        308,509  

Mondi PLC

     17,100        461,325  

National Express Group PLC

     154,700        816,831  

Old Mutual Ltd.*

     274,800        543,269  

Paragon Banking Group PLC

     105,900        667,705  

Premier Foods PLC*

     357,756        178,293  

QinetiQ Group PLC

     214,000        759,514  

Quilter PLC, 144A*

     91,600        175,192  

RELX PLC

     147,684        3,153,784  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A104


   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

United Kingdom (continued)

     

Royal Mail PLC

     120,900      $ 804,338  

RPC Group PLC

     42,000        413,519  

Segro PLC, REIT

     259,329        2,283,871  

SSE PLC

     51,500        919,303  

St. James’s Place PLC

     141,889        2,140,835  

Taylor Wimpey PLC

     263,400        620,049  

Vesuvius PLC

     81,100        637,521  

William Hill PLC

     111,900        446,925  
     

 

 

 
        56,054,734  
     

 

 

 

United States — 55.4%

     

A.O. Smith Corp.

     109,622        6,484,141  

Adobe Systems, Inc.*

     53,748        13,104,300  

Aetna, Inc.

     33,400        6,128,900  

Alphabet, Inc. (Class C Stock)*

     12,347        13,774,931  

Amazon.com, Inc.*

     10,005        17,006,499  

American International Group, Inc.

     80,990        4,294,090  

Amphenol Corp. (Class A Stock)

     124,122        10,817,232  

ANSYS, Inc.*

     30,389        5,293,156  

Apache Corp.

     36,850        1,722,738  

Applied Materials, Inc.

     41,100        1,898,409  

Autodesk, Inc.*

     24,034        3,150,617  

Bank of New York Mellon Corp. (The)

     93,200        5,026,276  

Becton, Dickinson & Co.

     10,944        2,621,745  

Boeing Co. (The)

     17,300        5,804,323  

Booking Holdings, Inc.*

     5,361        10,867,229  

Brighthouse Financial, Inc.*

     42,125        1,687,949  

Bunge Ltd.

     52,150        3,635,376  

BWX Technologies, Inc.

     103,719        6,463,768  

Carnival Corp.

     40,900        2,343,979  

CF Industries Holdings, Inc.

     72,150        3,203,460  

Chubb Ltd.

     46,150        5,861,973  

Cintas Corp.

     43,770        8,100,514  

Cisco Systems, Inc.

     169,050        7,274,221  

Citigroup, Inc.

     82,300        5,507,516  

Comcast Corp. (Class A Stock)

     107,950        3,541,839  

Costco Wholesale Corp.

     49,416        10,326,956  

CVS Health Corp.

     50,850        3,272,198  

Danaher Corp.

     100,538        9,921,090  

DexCom, Inc.*(a)

     87,393        8,300,587  

DowDuPont, Inc.

     79,114        5,215,195  

Edwards Lifesciences Corp.*

     53,778        7,828,463  

Electronic Arts, Inc.*

     79,986        11,279,626  

EQT Corp.

     34,117        1,882,576  

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

     61,314        8,748,895  

Evergy, Inc.

     68,400        3,840,660  

Exelon Corp.

     67,150        2,860,590  

Exxon Mobil Corp.

     101,950        8,434,323  

Facebook, Inc. (Class A Stock)*

     66,447        12,911,981  

Fifth Third Bancorp

     193,850        5,563,495  

FleetCor Technologies, Inc.*

     36,771        7,745,811  

Fortive Corp.

     144,904        11,173,547  

Franklin Resources, Inc.

     69,250        2,219,463  

General Electric Co.

     98,950        1,346,710  

General Motors Co.

     19,062        751,043  

Genpact Ltd.

     296,739        8,584,659  

Gilead Sciences, Inc.

     44,900        3,180,716  

Hess Corp.

     60,350        4,036,811  
COMMON STOCKS
(continued)
   Shares      Value  

United States (continued)

     

Hologic, Inc.*

     86,450      $ 3,436,388  

Illinois Tool Works, Inc.

     15,600        2,161,224  

International Paper Co.

     80,950        4,215,876  

Intuit, Inc.

     71,023        14,510,354  

Intuitive Surgical, Inc.*

     29,396        14,065,398  

Johnson & Johnson

     44,650        5,417,831  

Johnson Controls International PLC

     138,398        4,629,413  

JPMorgan Chase & Co.

     121,650        12,675,930  

Kimberly-Clark Corp.

     43,000        4,529,620  

Kohl’s Corp.(a)

     25,300        1,844,370  

Las Vegas Sands Corp.

     28,986        2,213,371  

Loews Corp.

     72,484        3,499,528  

Lowe’s Cos., Inc.

     3,500        334,495  

Marsh & McLennan Cos., Inc.

     48,880        4,006,694  

Mattel, Inc.(a)

     69,687        1,144,261  

Medtronic PLC

     79,321        6,790,671  

Merck & Co., Inc.

     104,150        6,321,905  

MetLife, Inc.

     99,850        4,353,460  

Microsoft Corp.

     118,281        11,663,689  

Morgan Stanley

     134,150        6,358,710  

News Corp. (Class A Stock)

     131,400        2,036,700  

Nielsen Holdings PLC

     44,462        1,375,210  

Occidental Petroleum Corp.

     52,550        4,397,384  

PayPal Holdings, Inc.*

     153,167        12,754,216  

PepsiCo, Inc.

     33,400        3,636,258  

Perrigo Co. PLC

     37,050        2,701,316  

Pfizer, Inc.

     197,250        7,156,230  

PG&E Corp.

     91,400        3,889,984  

Philip Morris International, Inc.

     58,250        4,703,105  

QUALCOMM, Inc.

     95,200        5,342,624  

Raytheon Co.

     10,685        2,064,128  

Roper Technologies, Inc.

     42,619        11,759,008  

salesforce.com, Inc.*

     99,835        13,617,494  

SBA Communications Corp.*

     71,741        11,845,874  

Sherwin-Williams Co. (The)

     26,313        10,724,389  

Signature Bank*

     11,550        1,477,014  

SL Green Realty Corp.

     21,800        2,191,554  

Southern Co. (The)

     137,800        6,381,518  

Southwest Airlines Co.

     83,300        4,238,304  

Stericycle, Inc.*

     25,770        1,682,523  

TE Connectivity Ltd.

     26,300        2,368,578  

Texas Instruments, Inc.

     34,950        3,853,237  

Thermo Fisher Scientific, Inc.

     55,292        11,453,185  

TJX Cos., Inc. (The)

     96,327        9,168,404  

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

     154,900        7,631,923  

Tyson Foods, Inc. (Class A Stock)

     109,350        7,528,747  

U.S. Bancorp

     120,650        6,034,913  

United Parcel Service, Inc.
(Class B Stock)

     25,950        2,756,669  

United Technologies Corp.

     18,250        2,281,798  

Verizon Communications, Inc.

     111,550        5,612,080  

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

     111,274        14,738,241  

Vulcan Materials Co.

     14,750        1,903,635  

Walmart, Inc.

     54,900        4,702,185  

Wells Fargo & Co.

     204,000        11,309,760  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A105


   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

United States (continued)

 

Weyerhaeuser Co.

     86,700      $ 3,161,082  

Zoetis, Inc.

     179,657        15,304,980  
     

 

 

 
        632,998,014  
     

 

 

 

TOTAL COMMON STOCKS
(cost $793,169,992)

        1,097,458,132  
     

 

 

 
PREFERRED STOCKS — 0.5%

 

United States

 

Becton, Dickinson & Co. 6.125%

     11,615        718,388  

NextEra Energy, Inc. 6.123%(a)

     49,348        2,817,771  

Sempra Energy 6.000%

     19,574        2,020,232  
     

 

 

 

TOTAL PREFERRED STOCKS
(cost $4,986,682)

 

     5,556,391  
     

 

 

 
     Units         
RIGHTS* — 0.0%      

Spain

 

Repsol SA, expiring 07/09/2018
(cost $41,185)

     73,100        41,497  
     

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $798,197,859)

 

     1,103,056,020  
     

 

 

 
     Shares         
SHORT-TERM INVESTMENTS — 8.0%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Ultra Short Bond
Fund(w)

     31,603,438        31,603,438  
     Shares      Value  

AFFILIATED MUTUAL FUNDS (continued)

 

PGIM Institutional Money Market Fund
(cost $59,650,883; includes $59,530,059 of cash collateral for securities on loan)(b)(w)

     59,653,455      $ 59,659,421  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $91,254,321)

 

     91,262,859  
     

 

 

 

TOTAL INVESTMENTS — 104.6%
(cost $889,452,180)

 

     1,194,318,879  

LIABILITIES IN EXCESS OF
OTHER ASSETS — (4.6)%

 

     (52,202,300
     

 

 

 

NET ASSETS — 100.0%

 

   $ 1,142,116,579  
     

 

 

 

See the Glossary for abbreviations used in the semiannual report.

 

*

Non-income producing security.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $19 and 0.0% of net assets.

 

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $57,814,802; cash collateral of $59,530,059 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

(b)

Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

 

Fair Value Measurements:

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—

unadjusted 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, 2018 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

        

Common Stocks

        

Australia

   $      $ 30,351,185      $  

Austria

            2,907,933         

Belgium

            4,818,877         

Canada

     37,155,900                

China

     22,394,118        11,228,426         

Denmark

            8,151,044         

Finland

            2,040,175         

France

     8,984,076        52,048,448         

Germany

            24,817,893         

Hong Kong

            16,218,479         

India

     2,909,684                

Ireland

            5,969,655         

Israel

            1,245,457         

Italy

            5,327,281         

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A106


   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

     Level 1      Level 2      Level 3  

Investments in Securities (continued)

        

Common Stocks (continued)

        

Japan

   $      $ 76,720,380      $  

Liechtenstein

            335,801         

Luxembourg

            2,179,821         

Netherlands

            19,932,019         

New Zealand

            1,043,446         

Norway

            4,491,181         

Portugal

            1,266,344         

Singapore

            705,927         

South Africa

            2,216,123         

Spain

            12,097,992         

Sweden

     1,776,258        11,329,696         

Switzerland

            33,410,107         

Taiwan

            4,331,658         

United Kingdom

     175,192        55,879,523        19  

United States

     632,998,014                

Preferred Stocks

        

United States

     5,556,391                

Rights

        

Spain

     41,497                

Affiliated Mutual Funds

     91,262,859                
  

 

 

    

 

 

    

 

 

 

Total

   $ 803,253,989      $ 391,064,871      $ 19  
  

 

 

    

 

 

    

 

 

 

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Affiliated Mutual Funds (5.2% represents investments purchased with collateral from securities on loan)

     8.0

Banks

     7.2  

Software

     7.1  

Oil, Gas & Consumable Fuels

     5.5  

Health Care Equipment & Supplies

     5.1  

Pharmaceuticals

     4.8  

IT Services

     4.6  

Internet Software & Services

     4.5  

Insurance

     4.2  

Capital Markets

     3.5  

Chemicals

     3.0  

Aerospace & Defense

     2.7  

Internet & Direct Marketing Retail

     2.5  

Electric Utilities

     2.3  

Machinery

     2.3  

Food & Staples Retailing

     2.2  

Electronic Equipment, Instruments & Components

     2.1  

Building Products

     2.0  

Semiconductors & Semiconductor Equipment

     1.8  

Equity Real Estate Investment Trusts (REITs)

     1.7  

Hotels, Restaurants & Leisure

     1.7  

Life Sciences Tools & Services

     1.4  

Auto Components

     1.3  

Food Products

     1.3  

Industrial Conglomerates

     1.3  

Media

     1.3  

Personal Products

     1.3  

Automobiles

     1.2  

Metals & Mining

     1.1

Specialty Retail

     1.1  

Airlines

     1.0  

Diversified Telecommunication Services

     1.0  

Health Care Providers & Services

     0.9  

Road & Rail

     0.9  

Commercial Services & Supplies

     0.8  

Professional Services

     0.8  

Biotechnology

     0.7  

Communications Equipment

     0.6  

Textiles, Apparel & Luxury Goods

     0.6  

Construction & Engineering

     0.5  

Construction Materials

     0.5  

Containers & Packaging

     0.5  

Household Durables

     0.5  

Multi-Utilities

     0.5  

Trading Companies & Distributors

     0.5  

Air Freight & Logistics

     0.4  

Beverages

     0.4  

Diversified Financial Services

     0.4  

Household Products

     0.4  

Multiline Retail

     0.4  

Tobacco

     0.4  

Wireless Telecommunication Services

     0.4  

Paper & Forest Products

     0.3  

Electrical Equipment

     0.2  

Energy Equipment & Services

     0.2  

Real Estate Management & Development

     0.2  

Distributors

     0.1  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A107


   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Industry Classification (continued):

 

Independent Power & Renewable Electricity Producers

     0.1

Leisure Products

     0.1  

Technology Hardware, Storage & Peripherals

     0.1  

Thrifts & Mortgage Finance

     0.1  

Consumer Finance

     0.0

Gas Utilities

     0.0

Health Care Technology

     0.0

Marine

     0.0
  

 

 

 
     104.6  

Liabilities in excess of other assets

     (4.6 )% 
  

 

 

 
     100.0
  

 

 

 

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts 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, 2018 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

   Unaffiliated investments    $ 41,497         $  
     

 

 

       

 

 

 

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2018 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(1)  

Equity contracts

                              $ 25,007  
                             

 

 

 

 

(1)

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(2)  

Equity contracts

                                   $ 487  
                                  

 

 

 

 

(2)

Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Gross Market
Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(1)
     Net
Amount
 

Securities on Loan

     $ 57,814,802        $ (57,814,802    $  
    

 

 

         

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A108


   GLOBAL PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2018

 

ASSETS  

Investments at value, including securities on loan of $57,814,802:

 

Unaffiliated investments (cost $798,197,859)

  $ 1,103,056,020  

Affiliated investments (cost $91,254,321)

    91,262,859  

Foreign currency, at value (cost $5,005,722)

    4,958,941  

Receivable for investments sold

    7,718,089  

Tax reclaim receivable

    1,613,691  

Dividends and interest receivable

    1,506,089  

Receivable from affiliate

    51,310  

Receivable for Series shares sold

    27,353  

Prepaid expenses

    1,094  
 

 

 

 

Total Assets

    1,210,195,446  
 

 

 

 
LIABILITIES  

Payable to broker for collateral for securities on loan

    59,530,059  

Payable for investments purchased

    6,586,199  

Payable to affiliate

    752,162  

Management fee payable

    694,091  

Payable for Series shares repurchased

    278,828  

Accrued expenses and other liabilities

    236,548  

Affiliated transfer agent fee payable

    980  
 

 

 

 

Total Liabilities

    68,078,867  
 

 

 

 
NET ASSETS   $ 1,142,116,579  
 

 

 

 

Net assets were comprised of:

 

Partners Equity

  $ 1,142,116,579  
 

 

 

 

Net asset value and redemption price per share, $1,142,116,579 / 32,312,519 outstanding shares of beneficial interest

  $ 35.35  
 

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Unaffiliated dividend income (net) (foreign withholding tax $1,167,211, of which $74,456 is reimbursable by an affiliate)

  $ 13,429,109  

Affiliated dividend income

    238,813  

Income from securities lending, net (including affiliated income of $120,738)

    212,038  
 

 

 

 

Total income

    13,879,960  
 

 

 

 
EXPENSES  

Management fee

    4,311,440  

Custodian and accounting fees

    159,058  

Shareholders’ reports

    72,987  

Audit fee

    14,047  

Trustees’ fees

    10,064  

Legal fees and expenses

    6,176  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

    5,297  

Miscellaneous

    32,524  
 

 

 

 

Total expenses

    4,611,593  

Less: Fee waiver and/or expense reimbursement

    (137,959
 

 

 

 

Net expenses

    4,473,634  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     9,406,326  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $(1,698))

    42,313,543  

Foreign currency transactions

    36,396  
 

 

 

 
    42,349,939  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $8,143)

    (18,363,477

Foreign currencies

    (222,953
 

 

 

 
    (18,586,430
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     23,763,509  
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 33,169,835  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 9,406,326     $ 14,091,738  

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

     42,349,939       40,601,021  

Net change in unrealized appreciation (depreciation) on investments and foreign currencies

     (18,586,430     177,030,000  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     33,169,835       231,722,759  
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [227,365 and 246,184 shares, respectively]

     8,076,304       7,749,375  

Series shares repurchased [911,575 and 1,990,951 shares, respectively]

     (32,278,053     (61,897,531
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (24,201,749     (54,148,156
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      212,282        
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      9,180,368       177,574,603  
NET ASSETS:     

Beginning of period

     1,132,936,211       955,361,608  
  

 

 

   

 

 

 

End of period

   $ 1,142,116,579     $ 1,132,936,211  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A109


   GOVERNMENT INCOME PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
LONG-TERM INVESTMENTS — 97.3%

 

ASSET-BACKED SECURITIES — 9.5%

 

Collateralized Loan Obligations — 9.5%

 

Atlas Senior Loan Fund Ltd. (Cayman Islands),

 

Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%

 

3.648%(c)

     01/16/30           250      $ 250,463  

Battalion CLO Ltd. (Cayman Islands),

 

Series 2014-07A, Class A1R, 144A, 3 Month LIBOR + 1.190%(original cost $500,000; purchased 03/22/17)(f)

 

3.543%(c)

     10/17/26           500        499,996  

BlueMountain CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330%

 

3.672%(c)

     04/13/27           1,750        1,747,963  

Catamaran CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%

 

3.622%(c)

     04/22/30           2,000        1,998,701  

CIFC Funding Ltd. (Cayman Islands),

 

Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/24/30           2,000        2,008,478  

Eaton Vance CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class AR, 144A, 3 Month LIBOR + 1.200%

 

3.548%(c)

     07/15/26           2,500        2,499,593  

Flagship CLO Ltd. (Cayman Islands),

 

Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%

 

2.899%

     01/16/26           2,500        2,500,000  

ICG US CLO Ltd. (Cayman Islands),

 

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

 

3.642%(c)

     10/23/29           500        500,177  

KVK CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

 

3.643%(c)

     05/15/26           2,500        2,495,088  

Limerock CLO LLC (Cayman Islands),

 

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200%

 

3.559%(c)

     10/20/26           1,300        1,299,821  

OCP CLO Ltd. (Cayman Islands),

 

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%

 

3.608%(c)

     07/15/30           250        250,596  

OZLM Ltd. (Cayman Islands),

 

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/30/30           2,000        2,001,815  

Palmer Square CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

 

3.631%(c)

     05/21/29           500        500,759  

Regatta Funding Ltd. (Cayman Islands),

 

Series 2017-01A, Class A, 144A, 3 Month LIBOR + 1.250%

 

3.603%(c)

     10/17/30           1,000        1,003,252  

Trinitas CLO Ltd. (Cayman Islands),

 

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

 

4.060%(c)

     10/25/28           500        500,000  

Wellfleet CLO Ltd. (Cayman Islands),

 

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%

 

3.609%(c)

     10/20/29           2,000        2,002,517  
           

 

 

 
              22,059,219  
           

 

 

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES (continued)

 

Small Business Loan — 0.0%

 

Small Business Administration Participation Certificates,

 

Series 1998-20I, Class 1

 

6.000%

     09/01/18           24      $ 24,036  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $22,073,522)

 

     22,083,255  
           

 

 

 
COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.2%

 

Bank,

 

Series 2017-BNK05, Class A3

 

3.020%

     06/15/60           2,800        2,694,363  

Citigroup Commercial Mortgage Trust,

 

Series 2015-GC33, Class A3

 

3.515%

     09/10/58           700        696,291  

Commercial Mortgage Trust,

 

Series 2012-CR05, Class A3

 

2.540%

     12/10/45           1,000        970,935  

Series 2015-CR24, Class A3

 

3.214%

     08/10/48           1,600        1,594,626  

Series 2015-CR25, Class A3

 

3.505%

     08/10/48           1,000        993,437  

Deutsche Bank Commercial Mortgage Trust,

 

Series 2017-C06, Class A3

 

3.269%

     06/10/50           2,800        2,754,000  

Fannie Mae-Aces,

 

Series 2012-M02, Class A2

 

2.717%

     02/25/22           196        193,929  

Series 2015-M01, Class AB2

 

2.465%

     09/25/24           416        403,798  

Series 2015-M03, Class AB2

 

2.625%

     10/25/24           1,480        1,433,678  

Series 2015-M08, Class AB2

 

2.829%(cc)

     01/25/25           1,572        1,537,788  

Series 2015-M10, Class A2

 

3.092%(cc)

     04/25/27           1,600        1,548,898  

Series 2015-M17, Class A2

 

3.036%(cc)

     11/25/25           1,500        1,469,142  

Series 2016-M11, Class A2

 

2.369%(cc)

     07/25/26           1,200        1,114,959  

Series 2016-M13, Class A2

 

2.560%(cc)

     09/25/26           2,100        1,967,097  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K008, Class X1, IO

 

1.679%(cc)

     06/25/20           15,295        366,969  

Series K019, Class X1, IO

 

1.805%(cc)

     03/25/22           16,371        822,155  

Series K020, Class X1, IO

 

1.553%(cc)

     05/25/22           8,647        388,659  

Series K021, Class X1, IO

 

1.590%(cc)

     06/25/22           9,185        437,250  

Series K025, Class X1, IO

 

0.986%(cc)

     10/25/22           26,108        811,673  

Series K060, Class AM

 

3.300%(cc)

     10/25/26           1,930        1,917,343  

Series K064, Class AM

 

3.327%(cc)

     03/25/27           1,100        1,090,328  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A110


   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
                       Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Series K068, Class AM

 

  

3.315%

     08/25/27           1,700      $ 1,674,533  

Series K073, Class A2

 

  

3.350%

     01/25/28           2,200        2,182,157  

Series K076, Class A2

 

  

3.900%

     04/25/28           1,500        1,552,378  

Series K076, Class AM

 

  

3.900%

     04/25/28           425        438,158  

Series K077, Class A2

 

  

3.850%(cc)

     05/25/28           900        929,674  

Series K077, Class AM

 

  

3.850%(cc)

     05/25/28           180        184,920  

Series K151, Class A3

 

  

3.511%

     04/25/30           400        395,275  

Series K710, Class X1, IO

 

  

1.859%(cc)

     05/25/19           7,513        75,659  

Series K711, Class X1, IO

 

  

1.800%(cc)

     07/25/19           7,328        76,147  

Series KS03, Class A4

 

  

3.161%(cc)

     05/25/25           2,600        2,578,337  

Series W5FX, Class AFX

 

  

3.214%(cc)

     04/25/28           1,100        1,079,820  

JPMBB Commercial Mortgage Securities Trust,

 

Series 2013-C17, Class A2

 

3.003%

     01/15/47           611        610,235  

Series 2015-C30, Class A3

 

  

3.322%

     07/15/48           1,600        1,596,217  

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2013-LC11, Class A4

 

2.694%

     04/15/46           1,227        1,194,872  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $40,674,312)

 

     39,775,700  
           

 

 

 
CORPORATE BONDS — 1.8%

 

  

Diversified Financial Services

 

     

Private Export Funding Corp.,

 

Series BB, Gov’t. Gtd. Notes

 

4.300%

     12/15/21           2,160        2,258,377  

Sr. Unsec’d. Notes, 144A

 

2.650%

     02/16/21           1,835        1,825,590  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $4,172,897)

 

     4,083,967  
           

 

 

 
MUNICIPAL BONDS — 0.2%

 

  

California — 0.1%

 

     

California Educational Facilities Authority,

 

Revenue Bonds, Series U-7, BABs

 

5.000%

     06/01/46           125        164,934  
           

 

 

 

Texas — 0.1%

 

     

University of Texas System (The),

 

Revenue Bonds, Series F, Rfdg.

 

5.000%

     08/15/47           275        352,904  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $511,490)

 

     517,838  
           

 

 

 

Interest
Rate

   Maturity
Date
                       Principal
Amount
(000)#
     Value  
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%

 

Merrill Lynch Mortgage Investors Trust,

 

Series 2003-E, Class A1, 1 Month LIBOR + 0.620%

 

2.711%(c)

     10/25/28           22      $ 22,104  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

3.756%(cc)

     02/25/34           100        100,486  
           

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $122,321)

 

     122,590  
           

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.5%

 

Federal Home Loan Mortgage Corp.

 

2.000%

     01/01/32           345        326,317  

2.375%

     02/16/21           1,730        1,716,745  

2.375%

     01/13/22           360        355,275  

2.500%

     03/01/30           638        621,129  

3.000%

     TBA           4,500        4,350,893  

3.000%

     06/01/29           497        495,925  

3.000%

     01/01/37           896        883,217  

3.000%

     06/01/45           622        604,871  

3.500%

     TBA           1,000        993,618  

3.500%

     07/01/42           726        727,735  

3.500%

     10/01/42           1,192        1,195,458  

3.500%

     08/01/43           923        925,289  

3.500%

     10/01/45           669        667,972  

4.000%

     06/01/26           75        77,473  

4.000%

     09/01/26           261        268,076  

4.000%

     09/01/40           447        459,758  

4.000%

     12/01/40           457        470,202  

4.000%

     12/01/40           485        498,908  

4.500%

     TBA           500        520,257  

4.500%

     09/01/39           1,639        1,723,355  

5.000%

     06/01/33           325        347,388  

5.000%

     05/01/34           319        338,933  

5.500%

     05/01/37           64        69,760  

5.500%

     02/01/38           218        235,845  

5.500%

     05/01/38           94        101,729  

6.000%

     09/01/34           74        81,219  

6.000%

     01/01/37           92        100,586  

6.000%

     09/01/38           62        67,917  

6.000%

     08/01/39           75        82,776  

6.500%

     09/01/32           34        37,477  

Federal Home Loan Mortgage Corp., MTN

 

3.208%(s)

     12/11/25           600        472,809  

Federal National Mortgage Assoc.

 

1.000%

     10/24/19           2,300        2,256,215  

2.000%

     08/01/31           327        310,221  

2.375%

     01/19/23           1,100        1,080,115  

2.500%

     06/01/28           2,121        2,076,852  

2.500%

     02/01/43           220        206,674  

2.500%

     12/01/46           742        695,438  

2.750%

     06/22/21           1,750        1,751,554  

3.000%

     08/01/28           1,073        1,072,587  

3.000%

     02/01/31           1,334        1,326,863  

3.000%

     11/01/36           851        839,599  

3.000%

     03/01/43           1,075        1,050,428  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A111


   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
                     Principal
Amount
(000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

3.000%

   07/01/43         999     $ 975,508  

3.000%

   07/01/43         1,204       1,176,759  

3.000%

   11/01/46         483       468,906  

3.500%

   TBA         3,000       3,035,859  

3.500%

   TBA         5,500       5,474,128  

3.500%

   06/01/39         316       316,416  

3.500%

   04/01/42         549       550,960  

3.500%

   06/01/42         913       915,825  

3.500%

   07/01/42         1,001       1,004,358  

3.500%

   06/01/45         2,280       2,275,766  

3.500%

   12/01/46         463       461,960  

4.000%

   TBA         3,250       3,308,684  

4.000%

   09/01/40         1,723       1,769,843  

4.000%

   06/01/42         1,223       1,256,350  

4.000%

   09/01/44         912       931,726  

4.000%

   10/01/46         416       424,496  

4.500%

   05/01/40         2,339       2,461,157  

5.000%

   TBA         500       528,679  

5.000%

   12/01/31         28       29,821  

5.000%

   03/01/34         395       423,561  

5.000%

   06/01/35         174       186,113  

5.000%

   07/01/35         86       91,719  

5.000%

   05/01/36         118       126,119  

5.500%

   02/01/34         236       256,827  

5.500%

   09/01/34         267       291,162  

5.500%

   02/01/35         297       322,673  

5.500%

   06/01/35         72       76,631  

5.500%

   06/01/35         159       171,682  

5.500%

   09/01/35         42       45,347  

5.500%

   09/01/35         107       114,623  

5.500%

   10/01/35         247       269,111  

5.500%

   11/01/35         268       289,057  

5.500%

   11/01/35         408       444,747  

5.500%

   11/01/35         568       620,431  

6.000%

   05/01/21         24       24,360  

6.000%

   12/01/33         11       12,148  

6.000%

   02/01/34         134       147,724  

6.000%

   08/01/34         (r)      550  

6.000%

   11/01/34         1       655  

6.000%

   11/01/34         1       1,136  

6.000%

   12/01/34         1       1,072  

6.000%

   01/01/35         36       38,908  

6.000%

   01/01/36         89       97,186  

6.000%

   05/01/38         53       58,436  

6.500%

   07/01/32         264       291,845  

6.500%

   08/01/32         96       105,991  

6.500%

   10/01/32         287       319,250  

6.500%

   10/01/37         144       160,768  

6.625%

   11/15/30         280       375,570  

7.000%

   12/01/31         1       564  

7.000%

   12/01/31         87       97,543  

7.000%

   11/01/33         11       11,131  

7.000%

   01/01/36         21       23,504  

8.000%

   10/01/23         (r)      220  

8.000%

   09/01/24         1       1,116  

8.000%

   11/01/24         1       1,250  

8.000%

   01/01/26         (r)      451  

9.000%

   02/01/25         9       9,965  

Interest
Rate

   Maturity
Date
                     Principal
Amount
(000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

9.000%

   04/01/25         5     $ 5,761  

Government National Mortgage Assoc.

 

2.500%

   12/20/46         311       295,270  

3.000%

   03/15/45         1,758       1,721,765  

3.000%

   09/20/46         1,753       1,721,254  

3.000%

   10/20/46         438       429,980  

3.000%

   04/20/47         2,201       2,157,528  

3.500%

   01/20/43         1,251       1,265,512  

3.500%

   04/20/43         619       626,259  

3.500%

   03/20/45         1,122       1,128,659  

3.500%

   04/20/45         949       954,849  

3.500%

   07/20/46         2,382       2,394,230  

4.000%

   TBA         1,000       1,023,437  

4.000%

   06/15/40         225       232,108  

4.000%

   08/20/46         909       936,846  

4.000%

   11/20/46         582       600,986  

4.500%

   TBA         750       778,249  

4.500%

   02/20/41         625       656,776  

4.500%

   03/20/41         533       560,010  

4.500%

   06/20/44         410       433,285  

4.500%

   09/20/46         549       577,435  

4.500%

   11/20/46         1,118       1,181,726  

4.500%

   01/20/47         138       144,740  

5.000%

   07/15/33         171       182,156  

5.000%

   09/15/33         240       256,199  

5.000%

   04/15/34         84       87,597  

5.500%

   03/15/34         343       374,519  

5.500%

   03/15/36         78       85,392  

6.500%

   07/15/32         20       21,828  

6.500%

   08/15/32         3       3,026  

6.500%

   08/15/32         3       3,840  

6.500%

   08/15/32         12       13,513  

6.500%

   08/15/32         97       110,177  

7.000%

   05/15/23         5       5,680  

7.000%

   06/15/23         1       945  

7.000%

   06/15/23         1       1,232  

7.000%

   06/15/23         5       4,593  

7.000%

   06/15/23         15       15,575  

7.000%

   07/15/23         1       684  

7.000%

   07/15/23         13       12,973  

7.000%

   08/15/23         1       702  

7.000%

   08/15/23         5       4,838  

7.000%

   08/15/23         9       8,664  

7.000%

   09/15/23         1       1,362  

7.000%

   10/15/23         4       4,239  

7.000%

   10/15/23         5       4,832  

7.000%

   11/15/23         (r)      11  

7.000%

   11/15/23         3       3,355  

7.000%

   11/15/23         9       9,887  

7.000%

   01/15/24         58       60,231  

7.000%

   05/15/24         50       52,239  

7.000%

   08/15/28         49       55,197  

7.500%

   12/15/25         4       4,404  

7.500%

   12/15/25         35       37,858  

7.500%

   02/15/26         6       5,890  

8.500%

   09/15/24         66       70,906  

8.500%

   04/15/25         8       8,458  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A112


   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest
Rate

   Maturity
Date
                      Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes

 

3.000%

     06/30/25          1,380      $ 1,367,523  

Israel Government, USAID Bond, Gov’t. Gtd. Notes

 

  

5.500%

     09/18/23          1,300        1,463,365  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

 

2.194%(s)

     01/15/21          643        599,359  

3.173%(s)

     04/15/30          2,505        1,688,517  

Tennessee Valley Authority, Series E, Sr. Unsec’d. Notes

 

6.750%

     11/01/25          510        632,210  

Tennessee Valley Authority, Sr. Unsec’d. Notes

 

  

2.250%

     03/15/20          365        362,869  

2.875%

     02/01/27          175        170,648  

5.880%

     04/01/36          230        302,004  

7.125%

     05/01/30          530        728,993  
          

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $95,022,952)

 

     94,018,960  
          

 

 

 
U.S. TREASURY OBLIGATIONS — 28.0%

 

U.S. Treasury Bonds

 

  

2.750%

     08/15/47          820        782,491  

U.S. Treasury Notes

 

  

1.750%

     05/15/23          3,540        3,381,945  

1.875%

     04/30/22          6,043        5,863,835  

2.000%

     06/30/24 (k)         6,280        6,005,986  

2.125%

     09/30/21 (k)         9,675        9,517,781  

2.125%

     06/30/22          2,055        2,010,609  

2.125%

     02/29/24          8,515        8,224,958  

2.125%

     05/15/25          15,885        15,200,580  

2.250%

     12/31/24          2,965        2,867,363  

2.500%

     05/31/20          340        339,841  

2.875%

     05/31/25          1,855        1,862,101  

U.S. Treasury Strips Coupon

 

  

2.037%(s)

     02/15/24          1,230        1,049,894  

2.184%(s)

     02/15/28          550        414,940  

2.384%(s)

     05/15/29          565        410,100  

2.404%(s)

     08/15/21 (k)         1,585        1,458,986  

2.499%(s)

     02/15/22          835        757,115  

2.783%(s)

     08/15/29          500        359,891  

2.878%(s)

     05/15/31          500        340,882  

3.042%(s)

     11/15/35          1,000        594,773  

3.202%(s)

     08/15/40          1,000        514,625  

4.138%(s)

     02/15/42          3,725        1,827,339  

U.S. Treasury Strips Principal, PO

 

  

2.543%(s)

     02/15/45          515        233,785  

2.593%(s)

     05/15/43          430        206,101  

2.874%(s)

     05/15/45 (k)         800        361,187  

2.993%(s)

     11/15/43          165        77,860  

3.005%(s)

     11/15/44          715        327,804  
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $65,719,923)

 

     64,992,772  
          

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $228,297,417)

 

     225,595,082  
          

 

 

 
             Shares      Value  
SHORT-TERM INVESTMENTS — 11.3%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Short-Term Bond Fund(w)

     2,417,638      $ 22,411,504  

PGIM Core Ultra Short Bond Fund(w)

     3,852,704        3,852,704  

PGIM Institutional Money Market Fund(w)

     9,374        9,375  
         

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $27,018,175)

 

     26,273,583  
         

 

 

 

TOTAL INVESTMENTS — 108.6%
(cost $255,315,592)

 

     251,868,665  

LIABILITIES IN EXCESS OF OTHER
ASSETS(z) — (8.6)%

 

     (19,870,970
         

 

 

 

NET ASSETS — 100.0%

      $ 231,997,695  
         

 

 

 

See the Glossary for abbreviations used in the semiannual report.

 

#

Principal or notional amounts is shown in U.S. dollars unless otherwise stated.

 

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(f)

Indicates a restricted security; the original cost of such security is $500,000. The value of $499,996, is 0.2% of net assets.

 

(k)

Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

 

(r)

Principal or notional amount is less than $500 par.

 

(s)

Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

(z)

Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A113


   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Futures contracts outstanding at June 30, 2018:

 

Number of
Contracts
 

Type

  Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 

Long Positions:

     
126  

10 Year U.S. Treasury Notes

    Sep. 2018     $ 15,143,625     $ 78,410  
167  

2 Year U.S. Treasury Notes

    Sep. 2018       35,375,297       81,269  
143  

30 Year U.S. Ultra Treasury Bonds

    Sep. 2018       22,817,438       821,779  
312  

5 Year U.S. Treasury Notes

    Sep. 2018       35,448,562       195,832  
       

 

 

 
          1,177,290  
       

 

 

 

Short Positions:

     
120  

90 Day Euro Dollar

    Dec. 2018       29,208,000       208,252  
2  

10 Year U.S. Ultra Treasury Bonds

    Sep. 2018       256,469       (5,183
101  

U.S. Treasury Long Bond

    Sep. 2018       14,645,000       (389,432
       

 

 

 
          (186,363
       

 

 

 
        $ 990,927  
       

 

 

 

A security with a market value of $944,400 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2018.

Inflation swap agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2018
       Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Inflation Swap Agreement:

      
  540          10/25/27          2.160%(T)     

U.S. CPI Urban Consumers NSA
Index(2)(T)

     $ 12        $ (12,914      $ (12,926
                 

 

 

      

 

 

      

 

 

 

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

 

Interest rate swap agreements outstanding at June 30, 2018:

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2018
       Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

      
  413,255          01/30/19          2.261%(T)     

1 Day USOIS(1)(T)

     $        $ (18,491      $ (18,491
  365,370          03/20/19          2.157%(T)     

1 Day USOIS(1)(T)

                69,653          69,653  
  21,265          06/30/19          1.486%(A)     

1 Day USOIS(1)(A)

       (8,090        148,787          156,877  
  4,730          06/30/19          1.502%(A)     

1 Day USOIS(1)(A)

       (2,550        31,789          34,339  
  7,870          09/30/19          1.707%(A)     

1 Day USOIS(1)(A)

       2,185          51,294          49,109  
  11,945          12/31/19          1.840%(A)     

1 Day USOIS(1)(A)

       6,414          83,840          77,426  
  5,295          12/31/19          1.950%(A)     

1 Day USOIS(1)(A)

       1,396          27,125          25,729  
  2,750          12/31/19          2.040%(A)     

1 Day USOIS(1)(A)

       31          9,754          9,723  
  1,495          12/31/19          2.107%(A)     

1 Day USOIS(1)(A)

       (3        3,163          3,166  
  8,570          03/23/21          2.370%(A)     

1 Day USOIS(1)(A)

                7,119          7,119  
  3,860          08/31/21          2.015%(S)     

3 Month LIBOR(2)(Q)

       31,702          (81,264        (112,966
  345          05/31/22          2.353%(A)     

1 Day USOIS(1)(A)

                1,689          1,689  
  17,565          08/15/24          2.170%(S)     

3 Month LIBOR(1)(Q)

       (4,680        622,502          627,182  
  4,670          11/15/24          2.334%(S)     

3 Month LIBOR(1)(Q)

       14,367          152,628          138,261  
  3,785          02/12/25          2.408%(A)     

1 Day USOIS(1)(A)

                12,865          12,865  
  500          02/14/25          —(3)     

—(3)

                439          439  
  590          02/28/25          2.454%(A)     

1 Day USOIS(1)(A)

                1,987          1,987  
  1,920          01/08/26          2.210%(S)     

3 Month LIBOR(1)(Q)

       70,521          80,066          9,545  
  2,102          02/15/27          1.824%(A)     

1 Day USOIS(1)(A)

       29,738          112,496          82,758  
  790          02/15/27          1.899%(A)     

1 Day USOIS(1)(A)

       984          37,471          36,487  
  530          02/15/27          1.965%(A)     

1 Day USOIS(1)(A)

                22,292          22,292  
  1,445          02/15/27          2.067%(A)     

1 Day USOIS(1)(A)

       (911        48,650          49,561  
  260          05/15/27          2.295%(S)     

3 Month LIBOR(1)(Q)

                12,717          12,717  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A114


   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2018 (continued):

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2018
       Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements (continued)

      
  2,525          02/15/36          2.338%(S)     

3 Month LIBOR(2)(Q)

     $ (16,893      $ (208,102      $ (191,209
  145          11/15/43          2.659%(S)     

3 Month LIBOR(1)(Q)

                7,690          7,690  
                 

 

 

      

 

 

      

 

 

 
                  $ 124,211        $ 1,238,159        $ 1,113,948  
                 

 

 

      

 

 

      

 

 

 

Securities with a combined market value of $1,780,963 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared swap contracts at June 30, 2018.

 

(1)

The Portfolio pays the fixed rate and receives the floating rate.

 

(2)

The Portfolio pays the floating rate and receives the fixed rate.

 

(3)

The Portfolio pays the floating rate of 3 Month LIBOR quarterly and receives the floating rate of 1 DAY USOIS plus 38.25 bps quarterly.

Fair Value Measurements:

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—

unadjusted 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, 2018 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

   

Level 3

 

Investments in Securities

       

Asset-Backed Securities

       

Collateralized Loan Obligations

   $      $ 22,059,219     $  

Small Business Loan

            24,036        

Commercial Mortgage-Backed Securities

            39,775,700        

Corporate Bonds

            4,083,967        

Municipal Bonds

            517,838        

Residential Mortgage-Backed Securities

            122,590        

U.S. Government Agency Obligations

            94,018,960        

U.S. Treasury Obligations

            64,992,772        

Affiliated Mutual Funds

     26,273,583               

Other Financial Instruments*

       

Futures Contracts

     990,927               

Centrally Cleared Inflation Swap Agreement

            (12,926      

Centrally Cleared Interest Rate Swap Agreements

            1,113,948        
  

 

 

    

 

 

   

 

 

 

Total

   $ 27,264,510      $ 226,696,104     $  
  

 

 

    

 

 

   

 

 

 

 

*

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.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

U.S. Government Agency Obligations

     40.5

U.S. Treasury Obligations

     28.0  

Commercial Mortgage-Backed Securities

     17.2  

Affiliated Mutual Funds

     11.3  

Collateralized Loan Obligations

     9.5  

Diversified Financial Services

     1.8  

Municipal

     0.2  

Residential Mortgage-Backed Securities

     0.1  

Small Business Loan

     0.0 *% 
  

 

 

 
     108.6  

Liabilities in excess of other assets

     (8.6
  

 

 

 
     100.0
  

 

 

 

 

*

Less than +/- 0.05%

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A115


   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts 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, 2018 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    $ 1,385,542   Due from/to broker — variation margin futures    $ 394,615

Interest rate contracts

   Due from/to broker — variation margin swaps      1,436,614   Due from/to broker — variation margin swaps      335,592
     

 

 

      

 

 

 
      $ 2,822,156        $ 730,207  
     

 

 

      

 

 

 

 

*

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, 2018 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(1)
    Options
Written
     Futures     Swaps  

Interest rate contracts

   $ (37,798   $ 10,858      $ (2,774,705   $ 719,213  
  

 

 

   

 

 

    

 

 

   

 

 

 

 

(1)

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

   Futures      Swaps  

Interest rate contracts

   $ 1,167,980      $ 971,126  
  

 

 

    

 

 

 

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

 

Options

Purchased(1)

 

Options

Written(2)

 

Futures

Contracts-

Long

Positions(2)

 

Futures

Contracts-

Short

Positions(2)

$10,662   $59,333   $157,942,700   $55,186,854

 

Inflation Swap
Agreements(2)

     

Interest Rate

Swap

Agreements(2)

$540,000     $370,461,667

 

(1)

Cost.

 

(2)

Notional Amount in USD.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A116


   GOVERNMENT INCOME PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

 

ASSETS   

Investments at value:

  

Unaffiliated investments (cost $228,297,417)

   $ 225,595,082  

Affiliated investments (cost $27,018,175)

     26,273,583  

Receivable for investments sold

     10,583,370  

Dividends and interest receivable

     1,012,023  

Due from broker-variation margin swaps

     43,397  

Receivable for Series shares sold

     680  

Prepaid expenses

     265  
  

 

 

 

Total Assets

     263,508,400  
  

 

 

 
LIABILITIES   

Payable for investments purchased

     31,172,262  

Accrued expenses and other liabilities

     124,469  

Payable for Series shares repurchased

     111,310  

Management fee payable

     76,364  

Due to broker-variation margin futures

     25,320  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     31,510,705  
  

 

 

 
NET ASSETS    $ 231,997,695  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 231,997,695  
  

 

 

 

Net asset value and redemption price per share $231,997,695 / 18,568,606 outstanding shares of beneficial interest

   $ 12.49  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Interest income

   $ 2,834,950  

Affiliated dividend income

     311,575  

Income from securities lending, net (including affiliated income of $3,189)

     3,275  
  

 

 

 

Total income

     3,149,800  
  

 

 

 
EXPENSES   

Management fee

     469,790  

Shareholders’ reports

     59,289  

Custodian and accounting fees

     42,110  

Audit fee

     17,270  

Trustees’ fees

     6,005  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

     5,297  

Legal fees and expenses

     4,959  

Miscellaneous

     7,872  
  

 

 

 

Total expenses

     612,592  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      2,537,208  
  

 

 

 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS   

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $(315,325))

     (1,855,331

Futures transactions

     (2,774,705

Options written transactions

     10,858  

Swap agreements transactions

     719,213  
  

 

 

 
     (3,899,965
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $286,773)

     (3,356,799

Futures

     1,167,980  

Swap agreements

     971,126  
  

 

 

 
     (1,217,693
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      (5,117,658
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ (2,580,450
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 2,537,208     $ 4,641,829  

Net realized gain (loss) on investment transactions

     (3,899,965     916,943  

Net change in unrealized appreciation (depreciation) on investments

     (1,217,693     1,875,901  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     (2,580,450     7,434,673  
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [981,781 and 3,422,868 shares, respectively]

     12,175,241       42,250,137  

Series shares repurchased [1,757,800 and 2,543,772 shares, respectively]

     (21,744,986     (31,854,985
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (9,569,745     10,395,152  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      (12,150,195     17,829,825  
NET ASSETS:     

Beginning of period

     244,147,890       226,318,065  
  

 

 

   

 

 

 

End of period

   $ 231,997,695     $ 244,147,890  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A117


   GOVERNMENT MONEY MARKET PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Interest

Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
REPURCHASE AGREEMENT(m) — 2.6%

 

Merrill Lynch, 2.12%, dated 06/29/18, due 07/02/18 in the amount of $14,353,535

 

     14,351      $ 14,351,000  
           

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 82.9%

 

Federal Farm Credit Bank, 1 Month LIBOR + (0.100)%

 

1.901%(c)

     04/04/19           17,000        16,998,710  

1.930%(c)

     08/08/18           9,000        9,000,278  

Federal Farm Credit Bank, 1 Month LIBOR + (0.110)%

 

1.963%(c)

     01/15/19           7,000        7,000,000  

Federal Farm Credit Bank, 1 Month LIBOR + 0.040%

 

2.086%(c)

     08/10/18           12,000        12,002,601  

Federal Home Loan Bank

 

1.819%(n)

     07/18/18           7,000        6,994,096  

1.830%(n)

     07/06/18           3,000        2,999,250  

1.864%(n)

     07/13/18           35,800        35,778,128  

1.884%(n)

     07/20/18           15,000        14,985,333  

1.887%(n)

     07/27/18           7,000        6,990,637  

1.888%(n)

     07/12/18           10,000        9,994,317  

1.893%(n)

     07/25/18           7,000        6,991,329  

1.902%(n)

     07/24/18           7,000        6,991,637  

1.918%(n)

     08/08/18           17,000        16,966,166  

1.921%(n)

     08/02/18           8,000        7,986,560  

1.921%(n)

     08/03/18           20,000        19,965,350  

1.921%(n)

     08/06/18           7,000        6,986,770  

1.931%(n)

     08/14/18           16,000        15,962,845  

1.932%(n)

     08/15/18           4,000        3,990,500  

1.932%(n)

     08/20/18           10,000        9,973,611  

1.933%(n)

     08/07/18           9,000        8,982,425  

1.935%(n)

     08/17/18           13,000        12,967,702  

1.964%(n)

     09/14/18           7,000        6,971,883  

1.965%(n)

     09/19/18           14,000        13,939,987  

Federal Home Loan Bank, 1 Month LIBOR + (0.130)%

 

1.917%(c)

     10/12/18           8,000        8,000,000  

1.961%(c)

     10/24/18           7,000        7,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.125)%

 

1.921%(c)

     12/10/18           8,000        8,000,000  

1.960%(c)

     09/17/18           6,000        6,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.080)%

 

1.921%(c)

     02/04/19           7,000        7,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.155)%

 

1.930%(c)

     09/17/18           7,000        7,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.150)%

 

1.935%(c)

     10/18/18           7,000        7,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.100)%

 

1.988%(c)

     12/21/18           15,000        15,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.060)%

 

2.042%(c)

     03/28/19           7,000        7,000,000  

Federal Home Loan Bank, 3 Month LIBOR + (0.270)%

 

2.051%(c)

     10/05/18           14,000        14,007,191  

Federal Home Loan Mortgage Corp.

 

0.950%

     01/30/19           6,000        5,955,780  

Interest

Rate

   Maturity
Date
            Principal
Amount

(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

 

1.831%(n)

     07/18/18           7,000      $ 6,994,050  

1.915%(n)

     09/24/18           8,000        7,964,489  

1.940%(n)

     09/19/18           12,000        11,949,227  

Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.160)%

 

1.925%(c)

     07/19/18           14,000        14,000,000  

Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)%

 

1.930%(c)

     08/08/19           6,000        6,000,000  

Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.150)%

 

1.938%(c)

     08/21/18           7,000        7,000,000  

Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.125)%

 

1.978%(c)

     11/27/18           6,000        6,000,000  

Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.250)%

 

2.109%(c)

     07/24/18           1,000        999,981  

Federal National Mortgage Assoc.

 

1.125%

     07/20/18           5,000        4,998,035  

1.827%(n)

     07/05/18           8,000        7,998,400  

1.848%(n)

     07/11/18           12,000        11,993,933  

1.914%(n)

     09/10/18           8,000        7,970,338  

1.914%(n)

     09/12/18           8,000        7,969,502  

1.914%(n)

     09/14/18           8,000        7,968,667  
           

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

 

     463,189,708  
           

 

 

 
U.S. TREASURY OBLIGATIONS — 11.8%

 

U.S. Treasury Bills

 

1.775%(n)

     07/05/18           1,000        999,758  

1.819%(n)

     07/19/18           15,000        14,986,585  

1.849%(n)

     07/26/18           8,000        7,989,914  

1.870%(n)

     08/02/18           3,000        2,995,104  

1.907%(n)

     08/09/18           9,000        8,981,719  

1.938%(n)

     09/27/18           9,000        8,958,156  

1.941%(n)

     09/20/18           7,000        6,969,996  

1.966%(n)

     09/13/18           14,000        13,944,459  
           

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS

 

     65,825,691  
           

 

 

 

TOTAL INVESTMENTS — 97.3%
(amortized cost $543,366,399)

 

     543,366,399  

OTHER ASSETS IN EXCESS OF LIABILITIES — 2.7%

 

     15,203,673  
           

 

 

 

NET ASSETS — 100.0%

 

   $ 558,570,072  
           

 

 

 

See the Glossary for abbreviations used in the semiannual report.

 

#

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

 

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2018.

 

(m)

The Repurchase Agreement is collateralized by GNMA (coupon rates 4.505%-5.166%, maturity dates 07/20/62-05/20/68), with the value, including accrued interest, of $14,638,020.

 

(n)

Rate shown reflects yield to maturity at purchase date.

 

 

Fair Value Measurements:

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—

unadjusted 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.

 

A118


   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

        

Repurchase Agreement

   $   —      $ 14,351,000      $   —  

U.S. Government Agency Obligations

            463,189,708         

U.S. Treasury Obligations

            65,825,691         
  

 

 

    

 

 

    

 

 

 

Total

   $      $ 543,366,399      $  
  

 

 

    

 

 

    

 

 

 

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2018 were as follows:

 

U.S. Government Agency Obligations

     82.9

U.S. Treasury Obligations

     11.8  

Repurchase Agreement

     2.6  
  

 

 

 
     97.3  

Other assets in excess of liabilities

     2.7  
  

 

 

 
     100.0
  

 

 

 

    

 

 

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Counterparty      Gross Market Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(1)
     Net
Amount
 

Repurchase Agreements

     Merrill Lynch      $ 14,351,000        $ (14,351,000    $   —  
         

 

 

         

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A119


   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2018

 

ASSETS   

Investments, at amortized cost which approximates fair value:

   $ 543,366,399  

Cash

     6,248  

Receivable for investments sold

     23,068,617  

Interest receivable

     255,378  

Receivable for Series shares sold

     21,497  

Prepaid expenses

     737  
  

 

 

 

Total Assets

     566,718,876  
  

 

 

 
LIABILITIES   

Payable for investments purchased

     5,979,847  

Payable for Series shares repurchased

     1,900,166  

Management fee payable

     139,397  

Accrued expenses and other liabilities

     105,256  

Dividends payable

     23,158  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     8,148,804  
  

 

 

 
NET ASSETS    $ 558,570,072  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 558,570,072  
  

 

 

 

Net asset value and redemption price per share $558,570,072 / 55,854,182 outstanding shares of beneficial interest

   $ 10.00  
  

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)   

Interest income

   $ 4,519,041  
  

 

 

 
EXPENSES   

Management fee

     842,077  

Shareholders’ reports

     60,277  

Custodian and accounting fees

     39,131  

Audit fee

     12,212  

Trustees’ fees

     7,523  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

     5,297  

Legal fees and expenses

     5,202  

Miscellaneous

     8,716  
  

 

 

 

Total expenses

     980,435  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      3,538,606  
  

 

 

 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS   

Net realized gain (loss) on investment transactions

     5,690  
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 3,544,296  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 3,538,606     $ 3,628,268  

Net realized gain (loss) on investment transactions

     5,690       8,014  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     3,544,296       3,636,282  
  

 

 

   

 

 

 
DISTRIBUTIONS      (3,546,973     (3,635,165
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [22,333,023 and 39,436,094 shares, respectively]

     223,330,228       394,360,938  

Series shares issued in reinvestment of distributions [352,381 and 363,517 shares, respectively]

     3,523,816       3,635,165  

Series shares repurchased [22,791,935 and 56,260,374 shares, respectively]

     (227,919,348     (562,603,761
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (1,065,304     (164,607,658
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      (1,067,981     (164,606,541
NET ASSETS:     

Beginning of period

     559,638,053       724,244,594  
  

 

 

   

 

 

 

End of period

   $ 558,570,072     $ 559,638,053  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A120


   STOCK INDEX PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

LONG-TERM INVESTMENTS — 97.6%  
COMMON STOCKS — 97.4%    Shares      Value  

Aerospace & Defense — 2.6%

     

Arconic, Inc.

     71,992      $ 1,224,584  

Boeing Co. (The)

     93,116        31,241,349  

General Dynamics Corp.

     47,000        8,761,270  

Harris Corp.

     20,100        2,905,254  

Huntington Ingalls Industries, Inc.

     7,800        1,690,962  

L3 Technologies, Inc.

     13,300        2,557,856  

Lockheed Martin Corp.

     42,098        12,437,012  

Northrop Grumman Corp.

     29,626        9,115,920  

Raytheon Co.

     49,118        9,488,615  

Rockwell Collins, Inc.

     28,000        3,771,040  

Textron, Inc.

     44,550        2,936,291  

TransDigm Group, Inc.

     8,400        2,899,176  

United Technologies Corp.

     126,260        15,786,288  
     

 

 

 
        104,815,617  
     

 

 

 

Air Freight & Logistics — 0.6%

     

C.H. Robinson Worldwide, Inc.(a)

     24,100        2,016,206  

Expeditors International of Washington, Inc.

     30,100        2,200,310  

FedEx Corp.

     41,940        9,522,896  

United Parcel Service, Inc. (Class B Stock)

     116,700        12,397,041  
     

 

 

 
        26,136,453  
     

 

 

 

Airlines — 0.4%

     

Alaska Air Group, Inc.

     21,200        1,280,268  

American Airlines Group, Inc.

     71,600        2,717,936  

Delta Air Lines, Inc.

     110,000        5,449,400  

Southwest Airlines Co.

     91,937        4,677,755  

United Continental Holdings, Inc.*

     41,500        2,893,795  
     

 

 

 
        17,019,154  
     

 

 

 

Auto Components — 0.2%

     

Aptiv PLC

     45,400        4,160,002  

BorgWarner, Inc.

     33,400        1,441,544  

Goodyear Tire & Rubber Co. (The)

     39,900        929,271  
     

 

 

 
        6,530,817  
     

 

 

 

Automobiles — 0.4%

     

Ford Motor Co.

     658,159        7,285,820  

General Motors Co.

     214,900        8,467,060  

Harley-Davidson, Inc.

     28,400        1,195,072  
     

 

 

 
        16,947,952  
     

 

 

 

Banks — 6.0%

     

Bank of America Corp.

     1,608,682        45,348,746  

BB&T Corp.

     132,300        6,673,212  

Citigroup, Inc.

     436,022        29,178,592  

Citizens Financial Group, Inc.

     83,300        3,240,370  

Comerica, Inc.

     29,350        2,668,502  

Fifth Third Bancorp

     117,749        3,379,396  

Huntington Bancshares, Inc.

     183,075        2,702,187  

JPMorgan Chase & Co.

     580,695        60,508,419  

KeyCorp

     179,800        3,513,292  

M&T Bank Corp.

     25,700        4,372,855  

People’s United Financial, Inc.

     58,800        1,063,692  
COMMON STOCKS
(continued)
   Shares      Value  

Banks (continued)

     

PNC Financial Services Group, Inc. (The)

     80,093      $ 10,820,564  

Regions Financial Corp.

     188,312        3,348,187  

SunTrust Banks, Inc.

     79,700        5,261,794  

SVB Financial Group*

     8,700        2,512,212  

U.S. Bancorp

     266,281        13,319,376  

Wells Fargo & Co.

     743,976        41,246,030  

Zions Bancorporation

     33,400        1,759,846  
     

 

 

 
        240,917,272  
     

 

 

 

Beverages — 1.7%

     

Brown-Forman Corp. (Class B Stock)(a)

     44,825        2,196,873  

Coca-Cola Co. (The)

     651,550        28,576,983  

Constellation Brands, Inc. (Class A Stock)

     28,900        6,325,343  

Molson Coors Brewing Co. (Class B Stock)

     31,500        2,143,260  

Monster Beverage Corp.*

     70,800        4,056,840  

PepsiCo, Inc.

     241,394        26,280,565  
     

 

 

 
        69,579,864  
     

 

 

 

Biotechnology — 2.5%

     

AbbVie, Inc.

     260,500        24,135,325  

Alexion Pharmaceuticals, Inc.*

     37,700        4,680,455  

Amgen, Inc.

     113,484        20,948,011  

Biogen, Inc.*

     35,875        10,412,360  

Celgene Corp.*

     123,100        9,776,602  

Gilead Sciences, Inc.

     222,600        15,768,984  

Incyte Corp.*

     29,800        1,996,600  

Regeneron Pharmaceuticals, Inc.*

     13,130        4,529,719  

Vertex Pharmaceuticals, Inc.*

     43,300        7,359,268  
     

 

 

 
        99,607,324  
     

 

 

 

Building Products — 0.3%

     

A.O. Smith Corp.

     24,800        1,466,920  

Allegion PLC

     16,533        1,278,993  

Fortune Brands Home & Security, Inc.

     25,900        1,390,571  

Johnson Controls International PLC

     157,415        5,265,532  

Masco Corp.

     52,530        1,965,672  
     

 

 

 
        11,367,688  
     

 

 

 

Capital Markets — 3.0%

     

Affiliated Managers Group, Inc.

     9,530        1,416,825  

Ameriprise Financial, Inc.

     24,950        3,490,006  

Bank of New York Mellon Corp. (The)

     171,249        9,235,459  

BlackRock, Inc.

     21,080        10,519,763  

Cboe Global Markets, Inc.

     19,300        2,008,551  

Charles Schwab Corp. (The)

     203,600        10,403,960  

CME Group, Inc.

     57,760        9,468,019  

E*TRADE Financial Corp.*

     45,510        2,783,392  

Franklin Resources, Inc.

     54,900        1,759,545  

Goldman Sachs Group, Inc. (The)

     59,920        13,216,554  

Intercontinental Exchange, Inc.

     98,890        7,273,360  

Invesco Ltd.

     68,000        1,806,080  

Moody’s Corp.

     28,420        4,847,315  

Morgan Stanley

     234,610        11,120,514  

MSCI, Inc.

     14,600        2,415,278  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A121


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Capital Markets (continued)

     

Nasdaq, Inc.

     20,100      $ 1,834,527  

Northern Trust Corp.

     36,200        3,724,618  

Raymond James Financial, Inc.

     21,900        1,956,765  

S&P Global, Inc.

     42,680        8,702,025  

State Street Corp.

     62,775        5,843,725  

T. Rowe Price Group, Inc.

     41,700        4,840,953  
     

 

 

 
        118,667,234  
     

 

 

 

Chemicals — 1.8%

     

Air Products & Chemicals, Inc.

     37,200        5,793,156  

Albemarle Corp.

     19,200        1,811,136  

CF Industries Holdings, Inc.

     39,800        1,767,120  

DowDuPont, Inc.

     396,268        26,121,987  

Eastman Chemical Co.

     24,400        2,439,024  

Ecolab, Inc.

     44,300        6,216,619  

FMC Corp.

     23,150        2,065,211  

International Flavors & Fragrances, Inc.

     13,540        1,678,418  

LyondellBasell Industries NV (Class A Stock)

     55,100        6,052,735  

Mosaic Co. (The)

     59,100        1,657,755  

PPG Industries, Inc.

     43,500        4,512,255  

Praxair, Inc.

     48,800        7,717,720  

Sherwin-Williams Co. (The)

     14,000        5,705,980  
     

 

 

 
        73,539,116  
     

 

 

 

Commercial Services & Supplies — 0.3%

 

Cintas Corp.

     14,800        2,739,036  

Republic Services, Inc.

     38,035        2,600,073  

Stericycle, Inc.*

     14,500        946,705  

Waste Management, Inc.

     68,030        5,533,560  
     

 

 

 
        11,819,374  
     

 

 

 

Communications Equipment — 1.0%

     

Cisco Systems, Inc.

     805,875        34,676,801  

F5 Networks, Inc.*

     10,600        1,827,970  

Juniper Networks, Inc.

     57,700        1,582,134  

Motorola Solutions, Inc.

     27,827        3,238,228  
     

 

 

 
        41,325,133  
     

 

 

 

Construction & Engineering — 0.1%

     

Fluor Corp.

     23,700        1,156,086  

Jacobs Engineering Group, Inc.

     20,900        1,326,941  

Quanta Services, Inc.*

     26,200        875,080  
     

 

 

 
        3,358,107  
     

 

 

 

Construction Materials — 0.1%

     

Martin Marietta Materials, Inc.

     10,800        2,411,964  

Vulcan Materials Co.

     22,700        2,929,662  
     

 

 

 
        5,341,626  
     

 

 

 

Consumer Finance — 0.7%

     

American Express Co.

     122,200        11,975,600  

Capital One Financial Corp.

     82,469        7,578,901  

Discover Financial Services

     60,205        4,239,034  

Synchrony Financial

     121,330        4,049,996  
     

 

 

 
        27,843,531  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Containers & Packaging — 0.3%

     

Avery Dennison Corp.

     14,900      $ 1,521,290  

Ball Corp.

     59,100        2,101,005  

International Paper Co.

     70,167        3,654,298  

Packaging Corp. of America

     16,100        1,799,819  

Sealed Air Corp.

     28,620        1,214,919  

WestRock Co.

     43,561        2,483,848  
     

 

 

 
        12,775,179  
     

 

 

 

Distributors — 0.1%

     

Genuine Parts Co.

     25,325        2,324,582  

LKQ Corp.*

     53,200        1,697,080  
     

 

 

 
        4,021,662  
     

 

 

 

Diversified Consumer Services — 0.0%

     

H&R Block, Inc.(a)

     35,900        817,802  
     

 

 

 

Diversified Financial Services — 1.5%

     

Berkshire Hathaway, Inc.
(Class B Stock)*

     326,460        60,933,759  

Jefferies Financial Group, Inc.

     51,700        1,175,658  
     

 

 

 
        62,109,417  
     

 

 

 

Diversified Telecommunication Services — 1.9%

 

  

AT&T, Inc.

     1,230,271        39,504,003  

CenturyLink, Inc.

     163,843        3,054,033  

Verizon Communications, Inc.

     700,538        35,244,067  
     

 

 

 
        77,802,103  
     

 

 

 

Electric Utilities — 1.8%

     

Alliant Energy Corp.

     39,700        1,680,104  

American Electric Power Co., Inc.

     84,040        5,819,770  

Duke Energy Corp.

     119,348        9,438,040  

Edison International

     55,400        3,505,158  

Entergy Corp.

     30,900        2,496,411  

Evergy, Inc.

     41,000        2,302,150  

Eversource Energy

     53,700        3,147,357  

Exelon Corp.

     164,473        7,006,550  

FirstEnergy Corp.

     75,380        2,706,896  

NextEra Energy, Inc.

     79,875        13,341,521  

PG&E Corp.

     87,500        3,724,000  

Pinnacle West Capital Corp.

     19,000        1,530,640  

PPL Corp.

     116,100        3,314,655  

Southern Co. (The)

     171,700        7,951,427  

Xcel Energy, Inc.

     86,295        3,941,955  
     

 

 

 
        71,906,634  
     

 

 

 

Electrical Equipment — 0.5%

     

AMETEK, Inc.

     39,500        2,850,320  

Eaton Corp. PLC

     74,961        5,602,585  

Emerson Electric Co.

     108,100        7,474,034  

Rockwell Automation, Inc.

     21,920        3,643,762  
     

 

 

 
        19,570,701  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.4%

 

Amphenol Corp. (Class A Stock)

     52,100        4,540,515  

Corning, Inc.

     144,100        3,964,191  

FLIR Systems, Inc.

     24,100        1,252,477  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A122


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Electronic Equipment, Instruments & Components (continued)

 

IPG Photonics Corp.*

     6,200      $ 1,367,906  

TE Connectivity Ltd.

     59,900        5,394,594  
     

 

 

 
        16,519,683  
     

 

 

 

Energy Equipment & Services — 0.8%

     

Baker Hughes a GE Co.

     72,048        2,379,745  

Halliburton Co.

     148,500        6,691,410  

Helmerich & Payne, Inc.(a)

     18,900        1,205,064  

National Oilwell Varco, Inc.(a)

     64,400        2,794,960  

Schlumberger Ltd.

     234,898        15,745,213  

TechnipFMC PLC (United Kingdom)

     74,200        2,355,108  
     

 

 

 
        31,171,500  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 2.7%

 

Alexandria Real Estate Equities, Inc.(a)

     17,400        2,195,358  

American Tower Corp.

     74,000        10,668,580  

Apartment Investment & Management Co. (Class A Stock)

     27,374        1,157,920  

AvalonBay Communities, Inc.

     23,418        4,025,320  

Boston Properties, Inc.

     26,500        3,323,630  

Crown Castle International Corp.

     69,300        7,471,926  

Digital Realty Trust, Inc.(a)

     34,900        3,894,142  

Duke Realty Corp.

     60,500        1,756,315  

Equinix, Inc.

     13,355        5,741,181  

Equity Residential

     62,500        3,980,625  

Essex Property Trust, Inc.

     11,370        2,718,226  

Extra Space Storage, Inc.

     21,400        2,135,934  

Federal Realty Investment Trust

     12,400        1,569,220  

GGP, Inc.

     106,000        2,165,580  

HCP, Inc.

     79,600        2,055,272  

Host Hotels & Resorts, Inc.

     124,626        2,625,870  

Iron Mountain, Inc.(a)

     47,830        1,674,528  

Kimco Realty Corp.(a)

     71,800        1,219,882  

Macerich Co. (The)(a)

     18,400        1,045,672  

Mid-America Apartment Communities, Inc.

     19,500        1,963,065  

Prologis, Inc.

     90,328        5,933,646  

Public Storage(a)

     25,650        5,818,959  

Realty Income Corp.

     47,900        2,576,541  

Regency Centers Corp.

     25,300        1,570,624  

SBA Communications Corp.*(a)

     19,830        3,274,330  

Simon Property Group, Inc.

     52,861        8,996,414  

SL Green Realty Corp.(a)

     15,400        1,548,162  

UDR, Inc.

     45,600        1,711,824  

Ventas, Inc.

     60,704        3,457,093  

Vornado Realty Trust(a)

     29,457        2,177,461  

Welltower, Inc.

     63,000        3,949,470  

Weyerhaeuser Co.

     128,930        4,700,788  
     

 

 

 
        109,103,558  
     

 

 

 

Food & Staples Retailing — 1.4%

     

Costco Wholesale Corp.

     74,522        15,573,608  

Kroger Co. (The)

     137,400        3,909,030  

Sysco Corp.

     81,700        5,579,293  

Walgreens Boots Alliance, Inc.

     144,600        8,678,169  

Walmart, Inc.

     246,400        21,104,160  
     

 

 

 
        54,844,260  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Food Products — 1.1%

     

Archer-Daniels-Midland Co.

     95,638      $ 4,383,090  

Campbell Soup Co.(a)

     33,200        1,345,928  

Conagra Brands, Inc.

     68,200        2,436,786  

General Mills, Inc.

     96,800        4,284,368  

Hershey Co. (The)

     23,900        2,224,134  

Hormel Foods Corp.(a)

     46,300        1,722,823  

J.M. Smucker Co. (The)(a)

     19,600        2,106,608  

Kellogg Co.

     42,800        2,990,436  

Kraft Heinz Co. (The)

     101,237        6,359,708  

McCormick & Co., Inc.(a)

     20,400        2,368,236  

Mondelez International, Inc. (Class A Stock)

     253,111        10,377,551  

Tyson Foods, Inc. (Class A Stock)

     50,500        3,476,925  
     

 

 

 
        44,076,593  
     

 

 

 

Health Care Equipment & Supplies — 3.0%

 

Abbott Laboratories

     297,425        18,139,951  

ABIOMED, Inc.*

     6,500        2,658,825  

Align Technology, Inc.*

     12,300        4,208,322  

Baxter International, Inc.

     84,600        6,246,864  

Becton, Dickinson & Co.

     45,349        10,863,806  

Boston Scientific Corp.*

     233,899        7,648,497  

Cooper Cos., Inc. (The)

     8,430        1,984,844  

Danaher Corp.

     104,100        10,272,588  

DENTSPLY SIRONA, Inc.

     39,300        1,720,161  

Edwards Lifesciences Corp.*

     35,750        5,204,127  

Hologic, Inc.*

     47,400        1,884,150  

IDEXX Laboratories, Inc.*

     15,000        3,269,100  

Intuitive Surgical, Inc.*

     19,150        9,162,892  

Medtronic PLC

     230,028        19,692,697  

ResMed, Inc.(a)

     24,200        2,506,636  

Stryker Corp.

     54,700        9,236,642  

Varian Medical Systems, Inc.*

     15,800        1,796,776  

Zimmer Biomet Holdings, Inc.

     34,786        3,876,552  
     

 

 

 
        120,373,430  
     

 

 

 

Health Care Providers & Services — 3.1%

 

Aetna, Inc.

     55,457        10,176,360  

AmerisourceBergen Corp.

     27,800        2,370,506  

Anthem, Inc.

     43,400        10,330,502  

Cardinal Health, Inc.

     53,075        2,591,652  

Centene Corp.*

     33,600        4,139,856  

Cigna Corp.

     41,180        6,998,541  

CVS Health Corp.

     172,038        11,070,645  

DaVita, Inc.*

     24,900        1,729,056  

Envision Healthcare Corp.*

     20,500        902,205  

Express Scripts Holding Co.*

     96,026        7,414,167  

HCA Healthcare, Inc.

     47,900        4,914,540  

Henry Schein, Inc.*

     26,500        1,924,960  

Humana, Inc.

     23,470        6,985,376  

Laboratory Corp. of America Holdings*

     17,400        3,123,822  

McKesson Corp.

     35,207        4,696,614  

Quest Diagnostics, Inc.

     23,300        2,561,602  

UnitedHealth Group, Inc.

     164,300        40,309,362  

Universal Health Services, Inc. (Class B Stock)

     15,100        1,682,744  
     

 

 

 
        123,922,510  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A123


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Health Care Technology — 0.1%

     

Cerner Corp.*

     53,700      $ 3,210,723  
     

 

 

 

Hotels, Restaurants & Leisure — 1.6%

     

Carnival Corp.

     68,900        3,948,659  

Chipotle Mexican Grill, Inc.*

     4,320        1,863,518  

Darden Restaurants, Inc.

     21,050        2,253,613  

Hilton Worldwide Holdings, Inc.

     46,600        3,688,856  

Marriott International, Inc. (Class A Stock)

     51,123        6,472,172  

McDonald’s Corp.

     134,860        21,131,214  

MGM Resorts International

     86,500        2,511,095  

Norwegian Cruise Line Holdings Ltd.*

     34,800        1,644,300  

Royal Caribbean Cruises Ltd.

     29,200        3,025,120  

Starbucks Corp.

     234,600        11,460,210  

Wynn Resorts Ltd.

     13,800        2,309,292  

Yum! Brands, Inc.

     56,800        4,442,896  
     

 

 

 
        64,750,945  
     

 

 

 

Household Durables — 0.3%

     

D.R. Horton, Inc.

     58,300        2,390,300  

Garmin Ltd.

     18,800        1,146,800  

Leggett & Platt, Inc.(a)

     22,700        1,013,328  

Lennar Corp. (Class A Stock)

     46,400        2,436,000  

Mohawk Industries, Inc.*

     10,900        2,335,543  

Newell Brands, Inc.

     80,849        2,085,096  

PulteGroup, Inc.

     45,185        1,299,069  

Whirlpool Corp.(a)

     10,967        1,603,704  
     

 

 

 
        14,309,840  
     

 

 

 

Household Products — 1.3%

     

Church & Dwight Co., Inc.

     41,500        2,206,140  

Clorox Co. (The)

     22,300        3,016,075  

Colgate-Palmolive Co.

     148,100        9,598,361  

Kimberly-Clark Corp.

     59,688        6,287,534  

Procter & Gamble Co. (The)

     427,076        33,337,552  
     

 

 

 
        54,445,662  
     

 

 

 

Independent Power & Renewable Electricity Producers — 0.1%

 

AES Corp.

     110,400        1,480,464  

NRG Energy, Inc.

     50,700        1,556,490  
     

 

 

 
        3,036,954  
     

 

 

 

Industrial Conglomerates — 1.6%

     

3M Co.

     101,070        19,882,490  

General Electric Co.

     1,473,347        20,052,253  

Honeywell International, Inc.

     127,650        18,387,983  

Roper Technologies, Inc.

     17,500        4,828,425  
     

 

 

 
        63,151,151  
     

 

 

 

Insurance — 2.2%

     

Aflac, Inc.

     131,900        5,674,338  

Allstate Corp. (The)

     60,288        5,502,486  

American International Group, Inc.

     152,329        8,076,484  

Aon PLC

     42,025        5,764,569  

Arthur J. Gallagher & Co.

     30,700        2,004,096  

Assurant, Inc.

     9,100        941,759  

Brighthouse Financial, Inc.*

     16,772        672,054  

Chubb Ltd.

     78,830        10,012,987  

Cincinnati Financial Corp.

     25,528        1,706,802  
COMMON STOCKS
(continued)
   Shares      Value  

Insurance (continued)

     

Everest Re Group Ltd.

     7,000      $ 1,613,360  

Hartford Financial Services Group, Inc. (The)

     61,200        3,129,156  

Lincoln National Corp.

     36,863        2,294,722  

Loews Corp.

     46,026        2,222,135  

Marsh & McLennan Cos., Inc.

     86,300        7,074,011  

MetLife, Inc.

     176,500        7,695,400  

Principal Financial Group, Inc.

     45,700        2,419,815  

Progressive Corp. (The)

     98,700        5,838,105  

Torchmark Corp.

     18,375        1,495,909  

Travelers Cos., Inc. (The)

     46,398        5,676,331  

Unum Group

     37,456        1,385,497  

Willis Towers Watson PLC

     22,500        3,411,000  

XL Group Ltd. (Bermuda)

     44,200        2,472,990  
     

 

 

 
        87,084,006  
     

 

 

 

Internet & Direct Marketing Retail — 4.1%

 

Amazon.com, Inc.*

     68,230        115,977,354  

Booking Holdings, Inc.*

     8,350        16,926,201  

Expedia Group, Inc.(a)

     20,800        2,499,952  

Netflix, Inc.*

     73,690        28,844,477  

TripAdvisor, Inc.*(a)

     18,200        1,013,922  
     

 

 

 
        165,261,906  
     

 

 

 

Internet Software & Services — 5.2%

     

Akamai Technologies, Inc.*

     29,400        2,152,962  

Alphabet, Inc. (Class A Stock)*

     50,719        57,271,388  

Alphabet, Inc. (Class C Stock)*

     51,720        57,701,418  

eBay, Inc.*

     160,200        5,808,852  

Facebook, Inc. (Class A Stock)*

     406,920        79,072,694  

Twitter, Inc.*

     105,000        4,585,350  

VeriSign, Inc.*

     15,400        2,116,268  
     

 

 

 
        208,708,932  
     

 

 

 

IT Services — 4.4%

     

Accenture PLC (Class A Stock)

     106,700        17,455,053  

Alliance Data Systems Corp.

     8,310        1,937,892  

Automatic Data Processing, Inc.

     75,300        10,100,742  

Broadridge Financial Solutions, Inc.

     17,500        2,014,250  

Cognizant Technology Solutions Corp. (Class A Stock)

     99,800        7,883,202  

DXC Technology Co.

     48,350        3,897,494  

Fidelity National Information Services, Inc.

     56,500        5,990,695  

Fiserv, Inc.*

     70,400        5,215,936  

FleetCor Technologies, Inc.*

     13,600        2,864,840  

Gartner, Inc.*

     15,300        2,033,370  

Global Payments, Inc.

     27,100        3,021,379  

International Business Machines Corp.

     145,425        20,315,872  

Mastercard, Inc. (Class A Stock)

     156,400        30,735,728  

Paychex, Inc.

     53,950        3,687,483  

PayPal Holdings, Inc.*

     190,000        15,821,300  

Total System Services, Inc.

     27,993        2,365,968  

Visa, Inc. (Class A Stock)(a)

     305,400        40,450,230  

Western Union Co. (The)

     77,404        1,573,623  
     

 

 

 
        177,365,057  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A124


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Leisure Products — 0.1%

     

Hasbro, Inc.

     19,450      $ 1,795,430  

Mattel, Inc.(a)

     57,281        940,554  
     

 

 

 
        2,735,984  
     

 

 

 

Life Sciences Tools & Services — 0.8%

     

Agilent Technologies, Inc.

     54,782        3,387,719  

Illumina, Inc.*

     25,000        6,982,250  

IQVIA Holdings, Inc.*

     24,700        2,465,554  

Mettler-Toledo International, Inc.*

     4,320        2,499,681  

PerkinElmer, Inc.

     18,600        1,362,078  

Thermo Fisher Scientific, Inc.

     68,400        14,168,376  

Waters Corp.*

     13,400        2,594,106  
     

 

 

 
        33,459,764  
     

 

 

 

Machinery — 1.5%

     

Caterpillar, Inc.

     101,500        13,770,505  

Cummins, Inc.

     26,700        3,551,100  

Deere & Co.

     54,750        7,654,050  

Dover Corp.

     26,300        1,925,160  

Flowserve Corp.(a)

     22,500        909,000  

Fortive Corp.

     52,100        4,017,431  

Illinois Tool Works, Inc.

     52,175        7,228,324  

Ingersoll-Rand PLC

     42,800        3,840,444  

PACCAR, Inc.

     60,128        3,725,531  

Parker-Hannifin Corp.

     22,787        3,551,354  

Pentair PLC (United Kingdom)

     28,707        1,207,991  

Snap-on, Inc.(a)

     9,900        1,591,128  

Stanley Black & Decker, Inc.

     25,935        3,444,427  

Xylem, Inc.

     30,400        2,048,352  
     

 

 

 
        58,464,797  
     

 

 

 

Media — 2.2%

     

CBS Corp. (Class B Stock)

     58,968        3,315,181  

Charter Communications, Inc. (Class A Stock)*(a)

     31,680        9,288,893  

Comcast Corp. (Class A Stock)

     786,592        25,808,084  

Discovery, Inc. (Class A Stock)*(a)

     26,300        723,250  

Discovery, Inc. (Class C Stock)*

     52,900        1,348,950  

DISH Network Corp. (Class A Stock)*

     38,600        1,297,346  

Interpublic Group of Cos., Inc. (The)

     64,462        1,510,989  

News Corp. (Class A Stock)

     63,625        986,187  

News Corp. (Class B Stock)

     19,300        305,905  

Omnicom Group, Inc.(a)

     39,500        3,012,665  

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

     178,700        8,879,603  

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

     73,800        3,636,126  

Viacom, Inc. (Class B Stock)

     58,743        1,771,689  

Walt Disney Co. (The)

     254,576        26,682,111  
     

 

 

 
        88,566,979  
     

 

 

 

Metals & Mining — 0.3%

     

Freeport-McMoRan, Inc.

     228,612        3,945,843  

Newmont Mining Corp.

     90,803        3,424,181  

Nucor Corp.

     54,400        3,400,000  
     

 

 

 
        10,770,024  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Multiline Retail — 0.5%

     

Dollar General Corp.

     43,900      $ 4,328,540  

Dollar Tree, Inc.*

     40,647        3,454,995  

Kohl’s Corp.

     28,500        2,077,650  

Macy’s, Inc.

     51,620        1,932,137  

Nordstrom, Inc.(a)

     20,000        1,035,600  

Target Corp.

     90,768        6,909,260  
     

 

 

 
        19,738,182  
     

 

 

 

Multi-Utilities — 0.9%

     

Ameren Corp.

     41,500        2,525,275  

CenterPoint Energy, Inc.

     72,810        2,017,565  

CMS Energy Corp.

     47,800        2,259,984  

Consolidated Edison, Inc.

     52,900        4,125,142  

Dominion Energy, Inc.

     109,884        7,491,891  

DTE Energy Co.

     30,600        3,171,078  

NiSource, Inc.

     57,700        1,516,356  

Public Service Enterprise Group, Inc.

     85,900        4,650,626  

SCANA Corp.

     24,300        936,036  

Sempra Energy

     42,754        4,964,167  

WEC Energy Group, Inc.

     53,876        3,483,084  
     

 

 

 
        37,141,204  
     

 

 

 

Oil, Gas & Consumable Fuels — 5.4%

     

Anadarko Petroleum Corp.

     87,426        6,403,954  

Andeavor

     24,200        3,174,556  

Apache Corp.

     64,550        3,017,712  

Cabot Oil & Gas Corp.

     78,000        1,856,400  

Chevron Corp.

     324,362        41,009,088  

Cimarex Energy Co.

     16,600        1,688,884  

Concho Resources, Inc.*(a)

     25,600        3,541,760  

ConocoPhillips

     199,929        13,919,057  

Devon Energy Corp.

     89,700        3,943,212  

EOG Resources, Inc.

     98,200        12,219,026  

EQT Corp.

     41,600        2,295,488  

Exxon Mobil Corp.

     718,304        59,425,290  

Hess Corp.

     45,275        3,028,445  

HollyFrontier Corp.

     25,200        1,724,436  

Kinder Morgan, Inc.

     320,643        5,665,762  

Marathon Oil Corp.

     142,994        2,982,855  

Marathon Petroleum Corp.

     80,794        5,668,507  

Newfield Exploration Co.*

     34,400        1,040,600  

Noble Energy, Inc.

     82,700        2,917,656  

Occidental Petroleum Corp.

     130,200        10,895,136  

ONEOK, Inc.

     69,940        4,883,910  

Phillips 66

     71,464        8,026,122  

Pioneer Natural Resources Co.

     29,000        5,487,960  

Valero Energy Corp.

     73,800        8,179,254  

Williams Cos., Inc. (The)

     140,400        3,806,244  
     

 

 

 
        216,801,314  
     

 

 

 

Personal Products — 0.2%

     

Coty, Inc. (Class A Stock)(a)

     77,800        1,096,980  

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

     38,100        5,436,489  
     

 

 

 
        6,533,469  
     

 

 

 

Pharmaceuticals — 4.3%

     

Allergan PLC

     56,956        9,495,704  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A125


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Pharmaceuticals (continued)

     

Bristol-Myers Squibb Co.

     276,840      $ 15,320,326  

Eli Lilly & Co.

     163,500        13,951,455  

Johnson & Johnson

     455,196        55,233,483  

Merck & Co., Inc.

     457,603        27,776,502  

Mylan NV*

     87,600        3,165,864  

Nektar Therapeutics*(a)

     25,700        1,254,931  

Perrigo Co. PLC

     22,700        1,655,057  

Pfizer, Inc.

     999,623        36,266,322  

Zoetis, Inc.

     82,900        7,062,251  
     

 

 

 
        171,181,895  
     

 

 

 

Professional Services — 0.3%

     

Equifax, Inc.

     20,500        2,564,755  

IHS Markit Ltd.*

     61,700        3,183,103  

Nielsen Holdings PLC(a)

     57,100        1,766,103  

Robert Half International, Inc.

     21,600        1,406,160  

Verisk Analytics, Inc.*

     26,400        2,841,696  
     

 

 

 
        11,761,817  
     

 

 

 

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc. (Class A Stock)*

     51,100        2,439,514  
     

 

 

 

Road & Rail — 1.0%

     

CSX Corp.

     151,072        9,635,372  

J.B. Hunt Transport Services, Inc.

     14,600        1,774,630  

Kansas City Southern

     17,500        1,854,300  

Norfolk Southern Corp.

     48,100        7,256,847  

Union Pacific Corp.

     133,000        18,843,440  
     

 

 

 
        39,364,589  
     

 

 

 

Semiconductors & Semiconductor Equipment — 3.9%

 

Advanced Micro Devices, Inc.*(a)

     139,200        2,086,608  

Analog Devices, Inc.

     62,823        6,025,982  

Applied Materials, Inc.

     172,500        7,967,775  

Broadcom, Inc.

     69,360        16,829,510  

Intel Corp.

     794,200        39,479,682  

KLA-Tencor Corp.

     26,900        2,758,057  

Lam Research Corp.(a)

     27,600        4,770,660  

Microchip Technology, Inc.(a)

     40,000        3,638,000  

Micron Technology, Inc.*

     196,000        10,278,240  

NVIDIA Corp.

     103,050        24,412,545  

Qorvo, Inc.*

     21,886        1,754,601  

QUALCOMM, Inc.

     251,150        14,094,538  

Skyworks Solutions, Inc.

     31,000        2,996,150  

Texas Instruments, Inc.

     167,000        18,411,750  

Xilinx, Inc.

     43,100        2,812,706  
     

 

 

 
        158,316,804  
     

 

 

 

Software — 5.9%

     

Activision Blizzard, Inc.

     129,200        9,860,544  

Adobe Systems, Inc.*

     83,475        20,352,040  

ANSYS, Inc.*

     14,500        2,525,610  

Autodesk, Inc.*

     37,370        4,898,833  

CA, Inc.

     52,473        1,870,662  

Cadence Design Systems, Inc.*

     48,000        2,078,880  

Citrix Systems, Inc.*

     22,100        2,316,964  

Electronic Arts, Inc.*

     52,200        7,361,244  

Intuit, Inc.

     41,300        8,437,797  

Microsoft Corp.

     1,304,800        128,666,328  
COMMON STOCKS
(continued)
   Shares      Value  

Software (continued)

     

Oracle Corp.

     512,795      $ 22,593,748  

Red Hat, Inc.*

     30,300        4,071,411  

salesforce.com, Inc.*

     117,800        16,067,920  

Symantec Corp.

     105,211        2,172,607  

Synopsys, Inc.*

     25,600        2,190,592  

Take-Two Interactive Software, Inc.*

     18,300        2,165,988  
     

 

 

 
        237,631,168  
     

 

 

 

Specialty Retail — 2.3%

     

Advance Auto Parts, Inc.

     12,560        1,704,392  

AutoZone, Inc.*

     4,710        3,160,080  

Best Buy Co., Inc.

     43,025        3,208,805  

CarMax, Inc.*(a)

     30,800        2,244,396  

Foot Locker, Inc.

     20,900        1,100,385  

Gap, Inc. (The)

     37,187        1,204,487  

Home Depot, Inc. (The)

     196,269        38,292,082  

L Brands, Inc.(a)

     42,296        1,559,876  

Lowe’s Cos., Inc.

     139,625        13,343,961  

O’Reilly Automotive, Inc.*

     14,300        3,912,051  

Ross Stores, Inc.

     65,000        5,508,750  

Tiffany & Co.

     17,300        2,276,680  

TJX Cos., Inc. (The)

     107,600        10,241,368  

Tractor Supply Co.

     21,200        1,621,588  

Ulta Beauty, Inc.*

     10,000        2,334,600  
     

 

 

 
        91,713,501  
     

 

 

 

Technology Hardware, Storage & Peripherals — 4.4%

 

Apple, Inc.

     836,315        154,810,270  

Hewlett Packard Enterprise Co.

     265,366        3,876,997  

HP, Inc.

     277,866        6,304,779  

NetApp, Inc.

     45,600        3,580,968  

Seagate Technology PLC

     48,600        2,744,442  

Western Digital Corp.

     50,868        3,937,692  

Xerox Corp.

     36,002        864,048  
     

 

 

 
        176,119,196  
     

 

 

 

Textiles, Apparel & Luxury Goods — 0.8%

 

Hanesbrands, Inc.(a)

     59,300        1,305,786  

Michael Kors Holdings Ltd.*

     26,400        1,758,240  

NIKE, Inc. (Class B Stock)

     218,900        17,441,952  

PVH Corp.

     13,300        1,991,276  

Ralph Lauren Corp.

     9,500        1,194,340  

Tapestry, Inc.

     48,800        2,279,448  

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

     31,200        701,376  

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

     30,603        645,111  

VF Corp.

     55,744        4,544,251  
     

 

 

 
        31,861,780  
     

 

 

 

Tobacco — 1.0%

  

Altria Group, Inc.

     322,900        18,337,491  

Philip Morris International, Inc.

     263,600        21,283,064  
     

 

 

 
        39,620,555  
     

 

 

 

Trading Companies & Distributors — 0.2%

 

Fastenal Co.(a)

     48,750        2,346,338  

United Rentals, Inc.*

     14,500        2,140,490  

W.W. Grainger, Inc.

     8,720        2,689,248  
     

 

 

 
        7,176,076  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A126


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

COMMON STOCKS
(continued)
  Shares     Value  

Water Utilities — 0.1%

   

American Water Works Co., Inc.

    30,800     $ 2,629,704  
   

 

 

 

TOTAL COMMON STOCKS
(cost $1,195,150,277)

      3,909,184,786  
   

 

 

 
EXCHANGE TRADED FUND — 0.2%

 

iShares Core S&P 500 ETF(a)
(cost $8,739,115)

    34,300       9,365,615  
   

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $1,203,889,392)

      3,918,550,401  
   

 

 

 
SHORT-TERM INVESTMENTS — 5.5%

 

AFFILIATED MUTUAL FUNDS — 5.4%

 

PGIM Core Ultra Short Bond
Fund(w)

    84,804,076       84,804,076  

PGIM Institutional Money Market Fund
(cost $129,499,185; includes $129,253,107 of cash collateral for securities on loan)(b)(w)

    129,505,212       129,518,162  
   

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $214,303,261)

 

    214,322,238  
   

 

 

 

 

Interest
Rate

  Maturity
Date
   

 

    Principal
Amount
(000)#
        
U.S. TREASURY OBLIGATION(k)(n) — 0.1%

 

U.S. Treasury Bills

        

1.890%

    09/20/18         4,200        4,182,500  
        

 

 

 

(cost $4,182,455)

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $218,485,716)

 

     218,504,738  
        

 

 

 

TOTAL INVESTMENTS — 103.1%
(cost $1,422,375,108)

 

     4,137,055,139  

LIABILITIES IN EXCESS OF OTHER
ASSETS(z) — (3.1)%

 

     (123,460,762
        

 

 

 

NET ASSETS — 100.0%

 

   $ 4,013,594,377  
        

 

 

 

See the Glossary for abbreviations used in the semiannual report.

 

*

Non-income producing security.

 

#

Principal 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 $126,097,682; cash collateral of $129,253,107 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

(b)

Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

 

(k)

Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

 

(n)

Rate shown reflects yield to maturity at purchase date.

 

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

(z)

Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

 

 

Futures contracts outstanding at June 30, 2018:

 

Number of
Contracts
  Type     Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 
Long Positions:        
160     S&P 500 E-Mini Index       Sep. 2018     $ 21,772,800     $ (513,900
102     S&P 500 Index       Sep. 2018       69,400,800       (1,579,507
       

 

 

 
        $ (2,093,407
       

 

 

 

A security with a market value of $4,182,500 has been segregated with UBS AG to cover requirements for open future contracts at June 30, 2018.

Fair Value Measurements:

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—

unadjusted 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.

 

A127


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2018 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

    

Level 3

 

Investments in Securities

        

Common Stocks

        

Aerospace & Defense

   $ 104,815,617      $      $  

Air Freight & Logistics

     26,136,453                

Airlines

     17,019,154                

Auto Components

     6,530,817                

Automobiles

     16,947,952                

Banks

     240,917,272                

Beverages

     69,579,864                

Biotechnology

     99,607,324                

Building Products

     11,367,688                

Capital Markets

     118,667,234                

Chemicals

     73,539,116                

Commercial Services & Supplies

     11,819,374                

Communications Equipment

     41,325,133                

Construction & Engineering

     3,358,107                

Construction Materials

     5,341,626                

Consumer Finance

     27,843,531                

Containers & Packaging

     12,775,179                

Distributors

     4,021,662                

Diversified Consumer Services

     817,802                

Diversified Financial Services

     62,109,417                

Diversified Telecommunication Services

     77,802,103                

Electric Utilities

     71,906,634                

Electrical Equipment

     19,570,701                

Electronic Equipment, Instruments & Components

     16,519,683                

Energy Equipment & Services

     31,171,500                

Equity Real Estate Investment Trusts (REITs)

     109,103,558                

Food & Staples Retailing

     54,844,260                

Food Products

     44,076,593                

Health Care Equipment & Supplies

     120,373,430                

Health Care Providers & Services

     123,922,510                

Health Care Technology

     3,210,723                

Hotels, Restaurants & Leisure

     64,750,945                

Household Durables

     14,309,840                

Household Products

     54,445,662                

Independent Power & Renewable Electricity Producers

     3,036,954                

Industrial Conglomerates

     63,151,151                

Insurance

     87,084,006                

Internet & Direct Marketing Retail

     165,261,906                

Internet Software & Services

     208,708,932                

IT Services

     177,365,057                

Leisure Products

     2,735,984                

Life Sciences Tools & Services

     33,459,764                

Machinery

     58,464,797                

Media

     88,566,979                

Metals & Mining

     10,770,024                

Multiline Retail

     19,738,182                

Multi-Utilities

     37,141,204                

Oil, Gas & Consumable Fuels

     216,801,314                

Personal Products

     6,533,469                

Pharmaceuticals

     171,181,895                

Professional Services

     11,761,817                

Real Estate Management & Development

     2,439,514                

Road & Rail

     39,364,589                

Semiconductors & Semiconductor Equipment

     158,316,804                

Software

     237,631,168                

Specialty Retail

     91,713,501                

Technology Hardware, Storage & Peripherals

     176,119,196                

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A128


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

 

    

Level 1

   

Level 2

    

Level 3

 

Investments in Securities (continued)

       

Common Stocks (continued)

       

Textiles, Apparel & Luxury Goods

   $ 31,861,780     $      $  

Tobacco

     39,620,555               

Trading Companies & Distributors

     7,176,076               

Water Utilities

     2,629,704               

Exchange Traded Fund

     9,365,615               

Affiliated Mutual Funds

     214,322,238               

U.S. Treasury Obligation

           4,182,500         

Other Financial Instruments*

       

Futures Contracts

     (2,093,407             
  

 

 

   

 

 

    

 

 

 

Total

   $ 4,130,779,232     $ 4,182,500      $  
  

 

 

   

 

 

    

 

 

 

 

*

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.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2018 were as follows:

 

Banks

     6.0

Software

     5.9  

Oil, Gas & Consumable Fuels

     5.4  

Affiliated Mutual Funds (3.2% represents investments purchased with collateral from securities on loan)

     5.4  

Internet Software & Services

     5.2  

IT Services

     4.4  

Technology Hardware, Storage & Peripherals

     4.4  

Pharmaceuticals

     4.3  

Internet & Direct Marketing Retail

     4.1  

Semiconductors & Semiconductor Equipment

     3.9  

Health Care Providers & Services

     3.1  

Health Care Equipment & Supplies

     3.0  

Capital Markets

     3.0  

Equity Real Estate Investment Trusts (REITs)

     2.7  

Aerospace & Defense

     2.6  

Biotechnology

     2.5  

Specialty Retail

     2.3  

Media

     2.2  

Insurance

     2.2  

Diversified Telecommunication Services

     1.9  

Chemicals

     1.8  

Electric Utilities

     1.8  

Beverages

     1.7  

Hotels, Restaurants & Leisure

     1.6  

Industrial Conglomerates

     1.6  

Diversified Financial Services

     1.5  

Machinery

     1.5  

Food & Staples Retailing

     1.4  

Household Products

     1.3  

Food Products

     1.1  

Communications Equipment

     1.0  

Tobacco

     1.0  

Road & Rail

     1.0  

Multi-Utilities

     0.9  

Life Sciences Tools & Services

     0.8  

Textiles, Apparel & Luxury Goods

     0.8

Energy Equipment & Services

     0.8  

Consumer Finance

     0.7  

Air Freight & Logistics

     0.6  

Multiline Retail

     0.5  

Electrical Equipment

     0.5  

Airlines

     0.4  

Automobiles

     0.4  

Electronic Equipment, Instruments & Components

     0.4  

Household Durables

     0.3  

Containers & Packaging

     0.3  

Commercial Services & Supplies

     0.3  

Professional Services

     0.3  

Building Products

     0.3  

Metals & Mining

     0.3  

Exchange Traded Fund

     0.2  

Trading Companies & Distributors

     0.2  

Personal Products

     0.2  

Auto Components

     0.2  

Construction Materials

     0.1  

U.S. Treasury Obligation

     0.1  

Distributors

     0.1  

Construction & Engineering

     0.1  

Health Care Technology

     0.1  

Independent Power & Renewable Electricity Producers

     0.1  

Leisure Products

     0.1  

Water Utilities

     0.1  

Real Estate Management & Development

     0.1  

Diversified Consumer Services

     0.0
  

 

 

 
     103.1  

Liabilities in excess of other assets

     (3.1
  

 

 

 
     100.0
  

 

 

 

 

*

Less than +/- 0.05%

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A129


   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2018 (unaudited)

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts 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, 2018 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    $ 2,093,407
     

 

 

       

 

 

 

 

*

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, 2018 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

   $ 4,011,610  
  

 

 

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

 

Derivatives not accounted for as hedging

instruments, carried at fair value                

   Futures  

Equity contracts

   $ (2,508,235
  

 

 

 

For the six months ended June 30, 2018, the Portfolio’s average volume of derivative activities is as follows:

 

Futures
Contracts-
Long
Positions(1)

$82,284,550

 

(1)

Notional Amount in USD.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

     Gross Market
Value of
Recognized
Assets/(Liabilities)
       Collateral
Pledged/(Received)(1)
     Net Amount  

Securities on Loan

     $   126,097,682        $ (126,097,682    $  
    

 

 

         

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A130


   STOCK INDEX PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2018

 

ASSETS  

Investments at value, including securities on loan of $126,097,682:

 

Unaffiliated investments (cost $1,208,071,847)

  $ 3,922,732,901  

Affiliated investments (cost $214,303,261)

    214,322,238  

Cash

    22,732  

Receivable for investments sold

    4,233,459  

Dividends receivable

    3,278,145  

Due from broker-variation margin futures

    70,350  

Receivable for Series shares sold

    11,074  

Prepaid expenses

    3,761  
 

 

 

 

Total Assets

    4,144,674,660  
 

 

 

 
LIABILITIES  

Payable to broker for collateral for securities on loan

    129,253,107  

Management fee payable

    1,002,017  

Payable for Series shares repurchased

    478,389  

Accrued expenses and other liabilities

    345,790  

Affiliated transfer agent fee payable

    980  
 

 

 

 

Total Liabilities

    131,080,283  
 

 

 

 
NET ASSETS   $ 4,013,594,377  
 

 

 

 

Net assets were comprised of:

 

Partners Equity

  $ 4,013,594,377  
 

 

 

 

Net asset value and redemption price per share $4,013,594,377 / 65,916,938 outstanding shares of beneficial interest

  $ 60.89  
 

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2018

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Unaffiliated dividend income (net of $10 foreign withholding tax)

  $ 37,085,517  

Affiliated dividend income

    734,865  

Income from securities lending, net (including affiliated income of $172,914)

    175,531  

Interest income

    33,590  
 

 

 

 

Total income

    38,029,503  
 

 

 

 
EXPENSES  

Management fee

    5,987,395  

Custodian and accounting fees

    119,603  

Shareholders’ reports

    60,980  

Trustees’ fees

    23,189  

Audit fee

    12,212  

Legal fees and expenses

    10,080  

Transfer agent’s fees and expenses (including affiliated expense of $2,941)

    5,297  

Miscellaneous

    34,957  
 

 

 

 

Total expenses

    6,253,713  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     31,775,790  
 

 

 

 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS  

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $(6,132))

    40,144,682  

Futures transactions

    4,011,610  
 

 

 

 
    44,156,292  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $18,977)

    27,633,630  

Futures

    (2,508,235
 

 

 

 
    25,125,395  
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS     69,281,687  
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 101,057,477  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2018
    Year Ended
December 31, 2017
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 31,775,790     $ 61,230,148  

Net realized gain (loss) on investment transactions

     44,156,292       53,386,531  

Net change in unrealized appreciation (depreciation) on investments

     25,125,395       589,671,144  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     101,057,477       704,287,823  
  

 

 

   

 

 

 
DISTRIBUTIONS            (129,595,196
  

 

 

   

 

 

 
SERIES SHARE TRANSACTIONS     

Series shares sold [2,482,029 and 2,742,922 shares, respectively]

     148,502,436       149,785,094  

Series shares issued in reinvestment of distributions [0 and 2,421,435 shares, respectively]

           129,595,196  

Series shares repurchased [2,715,167 and 4,202,101 shares, respectively]

     (164,252,124     (230,911,603
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS

     (15,749,688     48,468,687  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      85,307,789       623,161,314  
NET ASSETS:     

Beginning of period

     3,928,286,588       3,305,125,274  
  

 

 

   

 

 

 

End of period

   $ 4,013,594,377     $ 3,928,286,588  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A131


   Glossary  
SCHEDULE OF INVESTMENTS    as of June 30, 2018

 

The following abbreviations are used in the preceding Portfolios’ descriptions:

Currency

 

AUD   Austrailian Dollars
BRL   Brazilian Real
EUR   Euro
GBP   British Pounds
USD   US Dollar
ZAR   South African Rand

Exchange

 

NYSE   New York Stock Exchange
OTC   Over-the-counter

Index

 

CDS   Credit Derivative Index

Other

 

A   Annual payment frequency for swaps
M   Monthly payment frequency for swaps
Q   Quarterly payment frequency for swaps
S   Semiannual payment frequency for swaps
T   Swap payment upon termination
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.
ABS   Asset-Backed Security
Aces   Alternative Credit Enhancements Securities
BABs   Build America Bonds
bps   Basis Points
BROIS   Brazil Overnight Index Swap
CAS   Connecticut Avenue Securities
CDS   Credit Default Swaps
CLO   Collateralized Loan Obligation
CMBX   Commercial Mortgage Backed Securities index
CMT   Constant Maturity Treasury
CPI   Consumer Price Index
CVA   Certificate Van Aandelen (Bearer)
EAFE   Europe, Australia, Far East
EMTN   Euro Medium Term Note
ETF   Exchange Traded Fund
EURIBOR   Euro Interbank Offered Rate
FHLMC   Federal Home Loan Mortgage Corp.
GMTN   Global Medium Term Note
GNMA   Government National Mortgage Association
GO   General Obligations
HICP   Harmonised Index of Consumer Prices
IO   Interest Only (Principal amount represents notional)
LIBOR   London Interbank Offered Rate
MSCI   Morgan Stanley Capital International
MTN   Medium Term Note
NASDAQ   National Association of Securities Dealers Automated Quotations
NSA   Non-Seasonally Adjusted
PIK   Payment-in-Kind
PO   Principal Only
PRFC   Preference Shares
REIT(s)   Real Estate Investment Trust(s)
Rfdg.   Refunding
RSP   Savings Shares
S&P   Standard & Poor
STACR   Structured Agency Credit Risk
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.

 

A132


NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

 

1.   General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 8 Portfolios listed below together with their investment objectives.

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.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

 

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 and liabilities 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 PGIM Investments LLC (“PGIM Investments” or “the Manager”). Pursuant to the Board’s delegation, a Valuation Committee has been established as two persons, being one or more officers of the Portfolio, including: the Portfolio’s Treasurer (or the Treasurer’s direct reports); and the Portfolio’s Chief or Deputy Chief Compliance Officer (or Vice-President-level direct reports of the Chief or Deputy Chief Compliance Officer). Under the current valuation procedures, the Valuation Committee of the Board is responsible for supervising the valuation of portfolio securities and other assets and liabilities. 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.

For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

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 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

 

B1


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.

Foreign equities traded on foreign securities exchanges are generally 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 is 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 for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

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 classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on 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. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values 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 on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans 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. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange,

 

B2


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 Manager 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 unaffiliated 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 its net assets (the Government Money Market Portfolio may invest up to 5%) 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 transaction costs 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 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.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain 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 CAS by Fannie Mae and STACR securities 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.

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 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 Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do 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 Portfolios do 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 Portfolios do 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.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of 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 Portfolios’ 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.

 

B3


Forward and Cross 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 forward and cross currency contract 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. 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.

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 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 of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a 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 options written 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. The Portfolio, as purchaser of an OTC option, bears 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.

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.

 

B4


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 value of equities, prevailing interest rates or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolios 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. Since futures contracts are exchange-traded, 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.

Bank Loans:    Each Portfolio may invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.

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 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 transactions, 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 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 Portfolio may be delayed or limited.

Forward Rate Agreements:    Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements:    Certain Portfolios may enter into credit default, interest rate, total return and other types 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 exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. 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 objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.

Inflation Swaps:    Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

 

B5


Credit Default Swaps (“CDS”):    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, and as such, have entered into CDS contracts 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. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to 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 receives 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 pays 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 favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is 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.Amaster 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

 

B6


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.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) 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 a 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, 2018, 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, forward rate agreements, 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 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. Such warrants and rights are held as long positions by the Portfolios 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:    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.

Delayed-Delivery Transactions:    Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into

 

B7


account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

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 an affiliated money market 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. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. 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 in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned 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 and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Mortgage 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. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively REITS):    Certain Portfolios invest in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

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 specific identification method. 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 an 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.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership 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 Portfolio’s shareholders (Participating Insurance Companies). Each Portfolio is 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, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

 

B8


Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. 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.

 

3.   Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadvisers’ performance of such services. PGIM Investments has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”), Jennison Associates LLC (“Jennison”), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), 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. PGIM Investments pays for the services of the Subadvisers, cost of compensation of officers, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to PGIM Investments 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     Effective
Management Fee
 

Conservative Balanced Portfolio

     0.55     0.55

Diversified Bond Portfolio

     0.40       0.40  

Equity Portfolio

     0.45       0.45  

Flexible Managed Portfolio

     0.60       0.60  

Global Portfolio

     0.75       0.73

Government Income Portfolio

     0.40       0.40  

Government Money Market Portfolio

     0.30       0.30  
     0.30% up to $4 billion    

Stock Index Portfolio

     0.25% over $4 billion       0.30  

 

  *

PGIM Investments has contractually agreed, through June 30, 2019, to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio.

At June 30, 2018, 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

Government Money Market Portfolio

   PFI

Stock Index Portfolio

   QMA

The Series Fund, on behalf of the Portfolios, 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 Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ 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 Portfolios. 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 PGIM Investments, which acts as the administrator of the

 

B9


Class II shares of the Portfolios. The administration fee paid to PGIM Investments is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements 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 within realized gain (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2018, brokerage commission recaptured under these agreements was as follows:

 

Portfolio

   Amount  

Equity Portfolio

   $ 106,102  

Global Portfolio

     10,435  

PIMS, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholy-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

 

4.   Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

Effective June 11, 2018, the Series’ names were changed by replacing “Prudential” with “PGIM” in each Series’ name. The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of the Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

For the reporting period ended June 30, 2018, PGIM, Inc. was compensated by PGIM Investments for managing the Portfolio’s securities lending cash collateral as subadviser to the Money Market Fund:

 

Portfolio

   Amount  

Conservative Balanced Portfolio

   $ 19,954  

Diversified Bond Portfolio

     6,790  

Equity Portfolio

     106,184  

Flexible Managed Portfolio

     37,766  

Global Portfolio

     21,852  

Government Income Portfolio

     429  

Stock Index Portfolio

     47,593  

In February 2016, Prudential, the parent company of the Investment Manager (PGIM Investments) 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 the 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 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 Series Fund. The amount of opportunity loss payment to each of the Portfolios is disclosed in the Portfolio’s “Financial Highlights” as “Capital Contributions”.

In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.

The SEC Staff and other regulators continue to review the matter.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for timing differences arising from circumstances in which the Portfolios are subject to a foreign withholding tax rate on

 

B10


dividend and interest income in excess of the treaty rate due to their tax status as partnerships (hereinafter referred to as “excess withholding tax”). Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) for various dates beginning from July 6, 2011 through February 28, 2018. The amount of each Portfolio’s opportunity loss was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Portfolios’ independent trustees. The aggregate opportunity loss payment to each affected Portfolio is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

Prudential has further retained a consultant to conduct an analysis to determine if the Portfolios are entitled to additional excess withholding tax and related opportunity loss related to their status as tax partnerships from Prudential for the period beginning from January 2, 2006 through February 28, 2018. That review is considering detriments to the Portfolios arising from both timing differences (i.e., jurisdictions in which the Portfolio is subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio is subject to a higher withholding tax rate due to its tax status which is not reclaimable). The review remains ongoing as of the date of this report, but it is expected that additional amounts will be due the Portfolios from Prudential. Upon completion, the results of this review will be subject to the same independent review as described in the preceding paragraph and Prudential will reimburse the affected Portfolios as appropriate.

During the reporting period, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax within approximately 30 days of the pay date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status. Prudential is working to implement a process to reimburse the affected Portfolios in a more timely manner, which will be reviewed and tested by a third-party consultant retained by Prudential.

In cases in which the excess withholding tax is due to timing differences and is reclaimable, the affected Portfolios have the ability to file a reclaim with the relevant foreign tax authority to recover the difference between the treaty rate tax and the tax withheld. To avoid a Portfolio receiving and retaining a duplicate payment for the same reclaim, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received compensation from Prudential will be payable to Prudential. Pending reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities”. It is in the Portfolio’s discretion whether to file a reclaim with the relevant foreign tax authority. To the extent that there are costs associated with the filing of any such reclaim, those costs are borne by Prudential.

The following Portfolios have been reimbursed by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes. The following amounts have been accrued or paid:

 

Portfolio

   2017 Withholding Tax      2018 Withholding Tax  

Conservative Balanced Portfolio

   $ 29,305      $ 13,468  

Equity Portfolio

     343,486         

Flexible Managed Portfolio

     25,175        11,593  

Global Portfolio

     114,519        74,456  

The following Portfolios have been reimbursed by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes. The following amounts have been paid:

 

      2018 Payments  

Conservative Balanced Portfolio

   $ 209,325  

Equity Portfolio

     542,976  

Flexible Managed Portfolio

     262,968  

Global Portfolio

     785,352  

Certain 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

 

B11


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. For the period ended June 30, 2018 no such transactions were entered into by the Portfolios.

 

5.   Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the six months ended June 30, 2018, were as follows:

 

      Cost of Purchases      Proceeds from Sales  

Conservative Balanced Portfolio

   $ 1,122,459,212      $ 1,252,237,246  

Diversified Bond Portfolio

     253,307,888        212,507,295  

Equity Portfolio

     689,118,480        945,833,347  

Flexible Managed Portfolio

     2,642,746,815        2,792,076,846  

Global Portfolio

     157,828,962        182,965,585  

Government Income Portfolio

     301,906,099        322,158,141  

Stock Index Portfolio

     100,140,768        108,998,605  

A summary of the cost of purchases and proceeds from sales of shares of affiliated mutual funds for the six months ended June 30, 2018, is presented as follows:

 

Affiliated
Mutual
Funds*

  Value,
Beginning
of Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain (Loss)
    Realized
Gain (Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Conservative Balanced Portfolio

 

           

PGIM Core Short-Term Bond Fund

  $ 102,386,530     $ 1,128,528     $ 37,100,000     $ 2,811,052     $ (2,921,575   $ 66,304,535       7,152,593     $ 959,725  

PGIM Core Ultra Short Bond Fund

    255,703,495       328,771,857       276,662,738                   307,812,614       307,812,614       2,074,968  

PGIM Institutional Money Market Fund

    45,333,840       132,610,315       124,693,195       6,696       (1,889     53,255,767       53,250,441       82,723 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 403,423,865     $ 462,510,700     $ 438,455,933     $ 2,817,748     $ (2,923,464   $ 427,372,916       $ 3,117,416  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Affiliated
Mutual
Funds*

  Value,
Beginning
of Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain (Loss)
    Realized
Gain (Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Diversified Bond Portfolio

 

           

PGIM Core Short-Term Bond Fund

  $ 54,598,691     $ 539,300     $ 19,300,000     $ 1,141,429     $ (1,200,366   $ 35,779,054       3,859,661     $ 539,300  

PGIM Core Ultra Short Bond Fund

    45,727,273       227,130,550       256,471,182                   16,386,641       16,386,641       180,713  

PGIM Institutional Money Market Fund

    11,557,301       74,078,632       69,857,840       1,989       (2,108     15,777,974       15,776,396       37,584 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 111,883,265     $ 301,748,482     $ 345,629,022     $ 1,143,418     $ (1,202,474   $ 67,943,669       $ 757,597  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

B12


Affiliated
Mutual
Funds*

  Value,
Beginning
of Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain (Loss)
    Realized
Gain (Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Equity Portfolio

 

           

PGIM Core Ultra Short Bond Fund

  $ 93,453,847     $ 423,778,725     $ 339,257,607     $     $     $ 177,974,965       177,974,965     $ 1,005,392  

PGIM Institutional Money Market Fund

    281,455,354       950,889,963       919,378,769       43,915       4,524       313,014,987       312,983,688       528,260 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 374,909,201     $ 1,374,668,688     $ 1,258,636,376     $ 43,915     $ 4,524     $ 490,989,952       $ 1,533,652  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Affiliated
Mutual
Funds*

  Value,
Beginning
of Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain (Loss)
    Realized
Gain (Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Flexible Managed Portfolio

 

           

PGIM Core Short-Term Bond Fund

  $ 133,262,040     $ 1,481,465     $ 48,900,000     $ 3,706,956     $ (3,850,809   $ 85,699,652       9,244,838     $ 1,233,866  

PGIM Core Ultra Short Bond Fund

    173,027,546       511,084,519       441,247,166                   242,864,899       242,864,899       1,481,465  

PGIM Institutional Money Market Fund

    78,205,811       273,055,965       256,610,441       14,777       (6,154     94,659,958       94,650,493       162,095 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 384,495,397     $ 785,621,949     $ 746,757,607     $ 3,721,733     $ (3,856,963   $ 423,224,509       $ 2,877,426  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Affiliated
Mutual
Funds*

  Value,
Beginning
of Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain (Loss)
    Realized
Gain (Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Global Portfolio

 

           

PGIM Core Ultra Short Bond Fund

  $ 22,911,237     $ 116,439,278     $ 107,747,077     $     $     $ 31,603,438       31,603,438     $ 238,813  

PGIM Institutional Money Market Fund

    49,761,429       193,073,137       183,181,590       8,143       (1,698     59,659,421       59,653,455       120,738 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 72,672,666     $ 309,512,415     $ 290,928,667     $ 8,143     $ (1,698   $ 91,262,859       $ 359,551  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Affiliated
Mutual
Funds*

  Value,
Beginning
of Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain (Loss)
    Realized
Gain (Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Government Income Portfolio

 

           

PGIM Core Short-Term Bond Fund

  $ 26,643,269     $ 296,996     $ 4,500,000     $ 286,773     $ (315,534   $ 22,411,504       2,417,638     $ 296,996  

PGIM Core Ultra Short Bond Fund

    2,764,602       40,777,988       39,689,886                   3,852,704       3,852,704       14,579  

PGIM Institutional Money Market Fund

    958,151       19,700,278       20,649,263             209       9,375       9,374       3,189 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 30,366,022     $ 60,775,262     $ 64,839,149     $ 286,773     $ (315,325   $ 26,273,583       $ 314,764  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

B13


Affiliated
Mutual
Funds*

  Value,
Beginning of
Period
    Cost of
Purchases
    Proceeds
from Sales
    Change in
Unrealized
Gain
(Loss)
    Realized
Gain
(Loss)
    Value,
End
of Period
    Shares,
End
of Period
    Dividend
Income
 

Stock Index Portfolio

 

           

PGIM Core Ultra Short Bond Fund

  $ 59,834,393     $ 211,613,707     $ 186,644,024     $     $     $ 84,804,076       84,804,076     $ 734,865  

PGIM Institutional Money Market Fund

    119,913,547       263,266,199       253,674,429       18,977       (6,132     129,518,162       129,505,212       172,914 ** 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
  $ 179,747,940     $ 474,879,906     $ 440,318,453     $ 18,977     $ (6,132   $ 214,322,238       $ 907,779  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

  *

The Funds did not have any capital gain distributions during the reporting period.

  **

This amount is included in “Income from securities lending, net” on the Statement of Operations.

 

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 nontaxable return of capital distributions. After each fiscal year each shareholder of record 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.

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.

 

7.   Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is 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 5, 2017 through October 4, 2018. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCAs is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.

Other affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available

 

B14


funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.

The following Portfolios utilized the SCA during the reporting period ended June 30, 2018. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

 

Portfolio

   Average
Balance
Outstanding
     Weighted
Average
Interest Rates
    Number
of Days
Outstanding
     Maximum
Balance
Outstanding
     Balance
Outstanding at
June 30, 2018
 

Conservative Balanced Portfolio

   $ 15,613,000        3.25     3      $ 15,613,000      $  

Flexible Managed Portfolio

     7,550,706        3.17       17        24,984,000         

Government Income Portfolio

     1,232,556        2.93       9        8,587,000         

 

8.   Capital and Ownership

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the 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 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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. 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, 2018, the Equity Portfolio has Class II shares outstanding.

As of June 30, 2018, 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.

In addition, the following number of shareholders held the following percentage of outstanding shares of Portfolio on behalf of multiple beneficial owners.

 

      Number of
Shareholders
     % of Outstanding
Shares
     % held by an
Affiliate
of Prudential
 

Conservative Balanced Portfolio

     3        100        100  

Diversified Bond Portfolio

     3        98        98  

Equity Portfolio

     3        100        100  

Flexible Managed Portfolio

     3        100        100  

Global Portfolio

     2        98        98  

Government Income Portfolio

     2        98        98  

Government Money Market Portfolio

     2        96        96  

Stock Index Portfolio

     3        100        100  

 

B15


Transactions in shares of beneficial interest of the Equity Portfolio were as follows:

Equity Portfolio:

 

Class I:

   Shares     Amount  

Period ended June 30, 2018:

    

Series shares sold

     235,942     $ 12,884,671  

Series shares repurchased

     (3,312,849     (179,875,648

Capital contributions

           276,606  
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (3,076,907   $ (166,714,371
  

 

 

   

 

 

 

Year ended December 31, 2017:

    

Series shares sold

     167,133     $ 7,721,540  

Series shares repurchased

     (5,811,087     (268,966,449
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (5,643,954   $ (261,244,909
  

 

 

   

 

 

 

Class II:

            

Period ended June 30, 2018:

    

Series shares sold

     8,984     $ 496,222  

Series shares repurchased

     (11,653     (639,022

Capital contributions

           128  
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (2,669   $ (142,672
  

 

 

   

 

 

 

Year ended December 31, 2017:

    

Series shares sold

     85     $ 3,938  

Series shares repurchased

     (8,919     (427,848
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (8,834   $ (423,910
  

 

 

   

 

 

 

 

9.   Other Risks

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:

Bond Obligations Risk:    The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk:    Derivatives involve special risks and costs and may result in losses to the Portfolios. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. The Portfolios’ use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or close out of derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. Generally, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.

Emerging Markets Risk:    The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility. Emerging market countries may have policies that restrict investment by non-US investors, or that prevent non-US investors from withdrawing their money at will.

Foreign Securities Risk:    The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which each Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of each Portfolio’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

 

B16


Geographic Concentration Risk:    The Portfolio’s performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Interest Rate Risk:    The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk. The Portfolios investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.

Liquidity Risk:    The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. When there is no willing buyer and investments cannot be readily sold at the desired time or price, the Portfolios may have to accept a lower price or may not be able to sell the instrument at all. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.

Market and Credit Risk:    Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.

Mortgage-Backed and Other Asset-Backed Securities Risk:    Mortgage-related securities are usually pass-through instruments that pay investors a share of all interest and principal payments from an underlying pool of fixed or adjustable rate mortgages. Asset-backed securities are another type of pass-through instruments that pays interest based upon the cash flow of an underlying pool of assets, such as automobile loans or credit card receivables. Asset-backed securities can also be collateralized by a portfolio of corporate bonds including junk bonds or other securities. The values of mortgage-backed and asset-backed securities vary with changes in interest rates and are particularly sensitive to prepayments (the risk is that the underlying debt instruments may be partially or wholly prepaid during periods of falling interest rates, which could require the Portfolios to reinvest in lower yielding debt instruments) or extensions (the risk is that rising interest rates may cause the underlying debt instruments to be repaid more slowly by the debtor, causing the value of the securities to fall). Asset-backed securities are also subject to liquidity risk.

Municipal Bonds Risk:    Municipal bonds are subject to credit risk, market risk and interest rate risk. The Portfolios’ holdings, share price, yield and total return may also fluctuate in response to municipal bond market movements. Municipal bonds are also subject to the risk that potential future legislative changes could affect the market for and value of municipal bonds, which may adversely affect the Portfolios’ yield or the value of the Portfolios’ investments in municipal bonds.

Non-diversification Risk:    The Portfolio is non-diversified, meaning that the Portfolio may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

Risks of Investments in Bank Loans:    The Portfolios’ ability to receive payments of principal and interest and other amounts in connection with loans (whether through participations, assignments or otherwise) will depend primarily on the financial condition of the borrower. The failure by the Portfolios scheduled interest or principal payments on a loan because of a default, bankruptcy or any other reason would adversely affect the income of the Portfolios and would likely reduce the value of its assets. Even with loans secured by collateral, there is the risk that the value of the collateral may decline, may be insufficient to meet the obligations of the borrower, or be difficult to liquidate. In the event of a default, the Portfolios may have difficulty collecting on any collateral and would not have the ability to collect on any collateral for an uncollateralized loan. Further, the Portfolios’ access to collateral, if any, may be limited by bankruptcy laws.

 

B17


Risks of Investing in Real Estate Investment Trusts (REITs):    Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, Including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. REITs (especially mortgage REITs) are subject to interest rate risks. REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each REIT in which it invests, in addition to the expenses of the Portfolio.

Risks of Investing in Treasury Inflation Protected Securities (TIPS):    The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if a Portfolio purchases TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, it may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period a Portfolio holds TIPS, the Portfolio may earn less on the security than on a conventional bond.

US Government and Agency Securities Risk:    US Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all US Government securities are insured or guaranteed by the full faith and credit of the US Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of US Government securities may be affected by changes in the credit rating of the US Government.

 

B18


Financial Highlights

(unaudited)

 

 

       Conservative Balanced Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018     2017      2016     2015      2014      2013  

Per Share Operating Performance(a):

                 

Net Asset Value, beginning of period

     $ 27.17     $ 24.18      $ 22.54     $ 22.45      $ 20.63      $ 17.77  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.26       0.45        0.42       0.39        0.36        0.35  

Net realized and unrealized gain (loss) on investments

       (0.12     2.54        1.20       (0.30      1.46        2.51  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       0.14       2.99        1.62       0.09        1.82        2.86  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Capital Contributions

       (b)(c)             0.02 (d)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 27.31     $ 27.17      $ 24.18     $ 22.54      $ 22.45      $ 20.63  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(e):

       0.52 %(f)      12.37      7.28 %(g)      0.40      8.82      16.09

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 2,520.6     $ 2,594.7      $ 2,473.2     $ 2,554.3      $ 2,574.4      $ 2,504.4  

Ratios to average net assets(h):

                 

Expenses after waivers and/or expense reimbursement

       0.58 %(i)      0.58      0.58     0.58      0.58      0.58

Expenses before waivers and/or expense reimbursement

       0.58 %(i)      0.58      0.58     0.58      0.58      0.58

Net investment income (loss)

       1.89 %(i)      1.75      1.79     1.70      1.66      1.84

Portfolio turnover rate(j)(k)

       56 %(l)      136      185     208      134      196
       Diversified Bond Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018(a)     2017(a)      2016(a)     2015(a)      2014(a)      2013  

Per Share Operating Performance:

                 

Net Asset Value, beginning of period

     $ 13.14     $ 12.28      $ 11.64     $ 11.66      $ 11.01      $ 11.88  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.21       0.42        0.43       0.41        0.43        0.48  

Net realized and unrealized gain (loss) on investments

       (0.43     0.44        0.21       (0.43      0.34        (0.56
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       (0.22     0.86        0.64       (0.02      0.77        (0.08
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Less Distributions:

                                 (0.12      (0.79

Capital Contributions

                    (c)(d)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 12.92     $ 13.14      $ 12.28     $ 11.64      $ 11.66      $ 11.01  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(e):

       (1.67 )%      7.00      5.50 %(m)      (0.17 )%       7.09      (0.71 )% 

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 1,142.8     $ 1,145.1      $ 1,104.6     $ 1,084.9      $ 1,067.9      $ 1,197.5  

Ratios to average net assets(h):

                 

Expenses after waivers and/or expense reimbursement

       0.44 %(i)      0.44      0.44     0.46      0.44      0.44

Expenses before waivers and/or expense reimbursement

       0.44 %(i)      0.44      0.44     0.46      0.44      0.44

Net investment income (loss)

       3.34 %(i)      3.28      3.52     3.48      3.73      4.10

Portfolio turnover rate(j)

       31 %(l)      71      49     81      50      111

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

 

(c)

Less than $0.005 per share.

 

(d)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(e)

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.

 

(f)

Total return for the period includes the impact of the capital contribution, which was not material to the total return.

 

(g)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%

 

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(i)

Annualized.

 

(j)

The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

 

(k)

The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(l)

Not annualized.

 

(m)

Total return for the year includes the impact of the capital contribution, which was not material to the total return.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1


Financial Highlights

(unaudited)

 

 

       Equity Portfolio  
       Class I  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018(a)     2017(a)      2016(a)     2015(a)      2014(a)      2013  

Per Share Operating Performance:

                 

Net Asset Value, beginning of period

     $ 51.52     $ 40.96      $ 39.47     $ 38.56      $ 35.81      $ 26.81  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.26       0.41        0.38       0.34        0.19        0.27  

Net realized and unrealized gain (loss) on investments

       2.81       10.15        1.07       0.57        2.56        8.73  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       3.07       10.56        1.45       0.91        2.75        9.00  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Capital Contributions

       (b)(c)             0.04 (d)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 54.59     $ 51.52      $ 40.96     $ 39.47      $ 38.56      $ 35.81  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(e)

       5.96 %(f)      25.78      3.78 %(g)      2.36      7.68      33.57

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 4,510.7     $ 4,415.6      $ 3,741.7     $ 3,846.2      $ 4,017.6      $ 3,970.9  

Ratios to average net assets(h):

                 

Expenses after waivers and/or expense reimbursement

       0.47 %(i)      0.47      0.47     0.47      0.47      0.47

Expenses before waivers and/or expense reimbursement

       0.47 %(i)      0.47      0.47     0.47      0.47      0.47

Net investment income (loss)

       0.98 %(i)      0.89      1.01     0.86      0.52      0.86

Portfolio turnover rate(j)

       16 %(k)      55      39     37      51      45
       Equity Portfolio  
       Class II  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018(a)     2017(a)      2016(a)     2015(a)      2014(a)      2013  

Per Share Operating Performance:

                 

Net Asset Value, beginning of period

     $ 51.04     $ 40.74      $ 39.42     $ 38.66      $ 36.05      $ 27.10  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.16       0.23        0.23       0.18        0.04        0.13  

Net realized and unrealized gain (loss) on investments

       2.78       10.07        1.05       0.58        2.57        8.82  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       2.94       10.30        1.28       0.76        2.61        8.95  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Capital Contributions

       (b)(c)             0.04 (d)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 53.98     $ 51.04      $ 40.74     $ 39.42      $ 38.66      $ 36.05  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(e)

       5.76 %(f)      25.28      3.35 %(g)      1.97      7.24      33.03

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 1.6     $ 1.7      $ 1.7     $ 2.0      $ 2.2      $ 2.3  

Ratios to average net assets(h):

                 

Expenses after waivers and/or expense reimbursement

       0.87 %(i)      0.87      0.87     0.87      0.87      0.87

Expenses before waivers and/or expense reimbursement

       0.87 %(i)      0.87      0.87     0.87      0.87      0.87

Net investment income (loss)

       0.60 %(i)      0.50      0.61     0.46      0.11      0.47

Portfolio turnover rate(j)

       16 %(k)      55      39     37      51      45

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

 

(c)

Less than $0.005 per share.

 

(d)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(e)

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.

 

(f)

Total return for the period includes the impact of capital contribution, which was not material to the total return.

 

(g)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively.

 

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(i)

Annualized.

 

(j)

The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

 

(k)

Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2


Financial Highlights

(unaudited)

 

 

       Flexible Managed Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018     2017      2016     2015      2014      2013  

Per Share Operating Performance(a):

                 

Net Asset Value, beginning of period

     $ 29.88     $ 25.99      $ 23.95     $ 23.71      $ 21.35      $ 17.77  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.25       0.45        0.44       0.42        0.37        0.36  

Net realized and unrealized gain (loss) on investments

       (0.03     3.44        1.58       (0.18      1.99        3.22  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       0.22       3.89        2.02       0.24        2.36        3.58  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Capital Contributions

       (b)(c)             0.02 (d)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 30.10     $ 29.88      $ 25.99     $ 23.95      $ 23.71      $ 21.35  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(e):

       0.74 %(f)      14.97      8.52 %(g)      1.01      11.05      20.15

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 4,135.4     $ 4,229.7      $ 3,889.8     $ 3,768.8      $ 3,943.8      $ 3,730.6  

Ratios to average net assets(h):

                 

Expenses after waivers and/or expense reimbursement

       0.62 %(i)      0.62      0.63     0.63      0.63      0.63

Expenses before waivers and/or expense reimbursement

       0.62 %(i)      0.62      0.63     0.63      0.63      0.63

Net investment income (loss)

       1.67 %(i)      1.62      1.78     1.74      1.66      1.86

Portfolio turnover rate(j)(k)

       70 %(l)      175      203     213      161      210
       Global Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018(a)     2017(a)      2016(a)     2015(a)      2014(a)      2013  

Per Share Operating Performance:

                 

Net Asset Value, beginning of period

     $ 34.33     $ 27.50      $ 26.33     $ 25.72      $ 24.91      $ 19.57  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.29       0.42        0.34       0.34        0.37        0.31  

Net realized and unrealized gain (loss) on investments

       0.72       6.41        0.81       0.27        0.44        5.03  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       1.01       6.83        1.15       0.61        0.81        5.34  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Capital Contributions

       0.01 (b)             0.02 (d)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 35.35     $ 34.33      $ 27.50     $ 26.33      $ 25.72      $ 24.91  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(e):

       2.97 %(m)      24.84      4.44 %(n)      2.37      3.25      27.29

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 1,142.1     $ 1,132.9      $ 955.4     $ 965.3      $ 719.2      $ 744.5  

Ratios to average net assets(h):

                 

Expenses after waivers and/or expense reimbursement

       0.78 %(i)      0.79      0.80     0.81      0.81      0.84

Expenses before waivers and/or expense reimbursement

       0.80 %(i)      0.81      0.81     0.82      0.82      0.84

Net investment income (loss)

       1.64 %(i)      1.34      1.29     1.28      1.45      1.29

Portfolio turnover rate(j)

       14 %(l)      33      40     33      37      70

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

 

(c)

Less than $0.005 per share.

 

(d)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(e)

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.

 

(f)

Total return for the period includes the impact of the capital contribution, which was not material to the total return.

 

(g)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

 

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(i)

Annualized.

 

(j)

The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

 

(k)

The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(l)

Not annualized.

 

(m)

Total return for the period includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 2.94%.

 

(n)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C3


Financial Highlights

(unaudited)

 

 

       Government Income Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018(a)     2017(a)      2016(a)     2015(a)     2014     2013  

Per Share Operating Performance:

               

Net Asset Value, beginning of period

     $ 12.62     $ 12.26      $ 12.00     $ 11.92     $ 11.30     $ 12.15  
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Income (Loss) From Investment Operations:

               

Net investment income (loss)

       0.13       0.23        0.20       0.18       0.21       0.21  

Net realized and unrealized gain (loss) on investments

       (0.26     0.13        0.06       (0.10     0.45       (0.49
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

       (0.13     0.36        0.26       0.08       0.66       (0.28
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                                (0.04     (0.57

Capital Contributions

                    (b)(c)                   
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, end of period

     $ 12.49     $ 12.62      $ 12.26     $ 12.00     $ 11.92     $ 11.30  
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(d):

       (1.03 )%      2.94      2.17 %(e)      0.67     5.86     (2.34 )% 

Ratios/Supplemental Data:

               

Net assets, end of period (millions)

     $ 232.0     $ 244.1      $ 226.3     $ 231.8     $ 339.2     $ 341.1  

Ratios to average net assets(f):

               

Expenses after waivers and/or expense reimbursement

       0.52 %(g)      0.53      0.51     0.48     0.47     0.49

Expenses before waivers and/or expense reimbursement

       0.52 %(g)      0.53      0.51     0.48     0.47     0.49

Net investment income (loss)

       2.16 %(g)      1.84      1.60     1.48     1.73     1.78

Portfolio turnover rate(h)(i)

       160 %(j)      495      705     746     830     1,135
       Government Money Market Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018(a)     2017(a)      2016(a)     2015(a)     2014     2013  

Per Share Operating Performance:

               

Net Asset Value, beginning of period

     $ 10.00     $ 10.00      $ 10.00     $ 10.00     $ 10.00     $ 10.00  
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Income (Loss) From Investment Operations:

               

Net investment income (loss) and realized gains (losses)

       0.06       0.06        0.01       (c)      (c)      (c) 

Less Distributions:

       (0.06     (0.06      (0.01     (c)      (c)      (c) 
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, end of period

     $ 10.00     $ 10.00      $ 10.00     $ 10.00     $ 10.00     $ 10.00  
    

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(d):

       0.62     0.56      0.10     %(k)      %(k)      %(k) 

Ratios/Supplemental Data:

               

Net assets, end of period (millions)

     $ 558.6     $ 559.6      $ 724.2     $ 650.8     $ 823.6     $ 866.0  

Ratios to average net assets:

               

Expenses after waivers and/or expense reimbursement

       0.35 %(g)      0.35      0.35     0.19     0.16     0.17

Expenses before waivers and/or expense reimbursement

       0.35 %(g)      0.35      0.35     0.44     0.44     0.44

Net investment income (loss)

       1.26 %(g)      0.55      0.09     0.00 %(k)      0.00 %(k)      0.00 %(k) 

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(c)

Less than $0.005 per share.

 

(d)

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.

 

(e)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 0.00%.

 

(f)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(g)

Annualized.

 

(h)

The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

 

(i)

The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(j)

Not annualized.

 

(k)

Less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C4


Financial Highlights

(unaudited)

 

 

       Stock Index Portfolio  
       Six Months Ended     Year Ended December 31,  
       June 30, 2018     2017      2016     2015      2014      2013  

Per Share Operating Performance(a):

                 

Net Asset Value, beginning of period

     $ 59.38     $ 50.70      $ 48.59     $ 49.33      $ 47.02      $ 35.65  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                 

Net investment income (loss)

       0.48       0.92        0.89       0.86        0.79        0.73  

Net realized and unrealized gain (loss) on investments

       1.03       9.75        4.52       (0.26      5.20        10.64  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total from investment operations

       1.51       10.67        5.41       0.60        5.99        11.37  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Less Distributions:

             (1.99      (3.37     (1.34      (3.68       

Capital Contributions

                    0.07 (b)                     
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Asset Value, end of period

     $ 60.89     $ 59.38      $ 50.70     $ 48.59      $ 49.33      $ 47.02  
    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(c):

       2.54     21.46      11.83 %(d)      1.18      13.31      31.89

Ratios/Supplemental Data:

                 

Net assets, end of period (millions)

     $ 4,013.6     $ 3,928.3      $ 3,305.1     $ 3,010.1      $ 3,312.7      $ 2,890.5  

Ratios to average net assets(e):

                 

Expenses after waivers and/or expense reimbursement

       0.31 %(f)      0.32      0.32     0.32      0.32      0.32

Expenses before waivers and/or expense reimbursement

       0.31 %(f)      0.32      0.34     0.37      0.37      0.37

Net investment income (loss)

       1.59 %(f)      1.69      1.84     1.74      1.67      1.77

Portfolio turnover rate(g)

       3 %(h)      4      5     9      5      3

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential Financial, Inc., in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(c)

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.

 

(d)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

 

(e)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(f)

Annualized.

 

(g)

The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

 

(h)

Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C5


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 eight individuals, six 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 four standing committees: the Audit Committee, the Nominating and Governance Committee, and two Investment Committees. 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 PGIM Investments LLC (“PGIM Investments”) 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, 2018 and on June 19-21, 2018 and approved the renewal of the agreements through July 31, 2019, 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 PGIM Investments 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 PGIM Investments and the subadviser, the performance of VCA-10, the profitability of PGIM Investments 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 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 PGIM Investments 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, 2018 and on June 19-21, 2018.

The Committee determined that the overall arrangements between VCA-10 and PGIM Investments, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PGIM Investments and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, 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 PGIM Investments and Jennison. The Committee considered the services provided by PGIM Investments, 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 PGIM Investments’ oversight of the subadviser, the Committee noted that PGIM Investments’ Strategic Investment Research Group (“SIRG”), which is a business unit of PGIM Investments, is responsible for monitoring and reporting to PGIM Investments’ senior management on the performance and operations of the subadviser. The Committee also considered that PGIM Investments 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 PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.


The Committee considered the qualifications, backgrounds and responsibilities of PGIM Investments’ 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 PGIM Investments’ and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PGIM Investments and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PGIM Investments and Jennison. The Committee noted that Jennison is affiliated with PGIM Investments.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments 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 PGIM Investments and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Committee was provided with information on the profitability of PGIM Investments and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PGIM Investments 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 PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Committee received and discussed information concerning economies of scale that PGIM Investments may realize as VCA-10’s assets grow beyond current levels. During the course of time, the Committee has considered information regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PGIM Investments’ investment in VCA-10 over time. The Committee noted that, while VCA-10 does not have breakpoints in its management fees, economies of scale can be shared with VCA-10 in other 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 PGIM Investments’ 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 PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PGIM Investments and Jennison

The Committee considered potential ancillary benefits that might be received by PGIM Investments and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PGIM Investments included benefits to its reputation or other intangible benefits resulting from PGIM Investments’ 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 PGIM Investments 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, 2017. 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, 2017. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PGIM Investments 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, which was used to consider performance, and the Peer Group, which was used to consider fees and expenses, were objectively determined by Broadridge, an independent provider of mutual fund data. In certain circumstances PGIM Investments also may have provided supplemental Peer Universe of Peer Group information for reasons addressed with the Committee. 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
   1st Quartile    4th Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 4th Quartile

 

 

The Committee noted that VCA-10 outperformed its benchmark index over the one-year period, though it underperformed over the three-, five- and ten-year periods.

 

 

The Board considered PGIM Investments’ explanation that VCA-10’s fourth quartile ranking for net total expenses was attributable to the fact that, because it was organized as a managed separate account, VCA-10 charged both an administrative fee as well as a management fee, while the other funds included in the Peer Group were organized as open-end mutual funds which charged only a management fee, with the administrative fee charged at the product level. In this regard, the Board noted PGIM Investments’ assertion that if VCA-10’s administrative fee was excluded, VCA-10 would have ranked in the first quartile for net total expenses.

 

 

The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its 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-10 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 PGIM Investments LLC (“PGIM Investments”) 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 12-13, 2018 (“the Meeting”) and approved the renewal of the agreements through July 31, 2019, 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 PGIM Investments 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 PGIM Investments and subadviser personnel such as portfolio managers.

The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, 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 PGIM Investments and each subadviser. The Board considered the services provided by PGIM Investments, 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 PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, 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 PGIM Investments 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 PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.


The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ 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 PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income 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 PGIM Investments.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments 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 PGIM Investments and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments 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 PGIM Fixed Income, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PGIM Investments 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 PGIM Investments’ 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.

Other Benefits to PGIM Investments and the Subadvisers

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments 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 PGIM Investments 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 PGIM Investments 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, 2017, 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 2017. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments 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 PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments 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

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   3rd Quartile    1st Quartile    2nd Quartile    1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 3rd 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

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    2nd 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.


Equity Portfolio

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   1st Quartile    3rd Quartile    4th Quartile    4th 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, though it underperformed over the three-, five-, and ten-year 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.

 

Flexible Managed Portfolio

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   3rd Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 3rd 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.

 

Global Portfolio

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   2nd Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees:*
Net Total Expenses:*

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

The Board noted that PGIM Investments had contractually agreed to waive 0.024% of its management fee through June 30, 2019.

 

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.

 

*Note:

Quartiles for Actual Management Fees and Net Total Expenses are unavailable because the peer group consists of four funds.

 

Government Income Portfolio

Gross 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: 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.


Government Money Market Portfolio

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   3rd Quartile    2nd Quartile    2nd Quartile    2nd 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 noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%.

 

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

Gross Performance

  

1 Year

   3 Years    5 Years    10 Years
   2nd Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th 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.

**********

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

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, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.

This report does not include separate account financials for the VCA-11 and 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 VCA-10’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (800) 458-6333 to obtain a description of VCA-10’s proxy voting policies and procedures. Information regarding how the VCA-10 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 VCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 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 (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 07102-3714

 

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U.S. Postage

PAID

Prudential


 

 

 

©2018 Prudential Financial, Inc. and its related entities. PGIM 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.

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 14, 2018

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 14, 2018
By:   /s/ Brian D. Nee
  Brian D. Nee
  Treasurer and Principal Financial and Accounting Officer
Date:   August 14, 2018