N-CSRS 1 d583247dncsrs.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:    Andrew R. French
     655 Broad Street, 17th Floor
     Newark, New Jersey 07102
Registrant’s telephone number, including area code:    800-225-1852
Date of fiscal year end:    12/31/2019
Date of reporting period:    06/30/2019

 


Item 1 – Reports to Stockholders

 


The MEDLEY Program

 

 

SEMIANNUAL REPORT   

June 30, 2019

 

 

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, 2019, 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, 2019

 

 

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, 2019

 

 

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, 2019


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

 

Presentation of Portfolio Holdings — unaudited

  June 30, 2019

 

VCA-10

 

Ten Largest Holdings   Line of Business     (% of Net Assets

JPMorgan Chase & Co.

 

Banks

    2.8%  

Microsoft Corp.

 

Software

    2.8%  

Walt Disney Co. (The)

 

Entertainment

    2.5%  

Alphabet, Inc. (Class A Stock)

 

Interactive Media & Services

    2.4%  

AstraZeneca PLC, ADR

 

Pharmaceuticals

    2.2%  

Chevron Corp.

 

Oil, Gas & Consumable Fuels

    2.2%  

Amazon.com, Inc.

 

Internet & Direct Marketing Retail

    2.0%  

Mastercard, Inc. (Class A Stock)

 

IT Services

    2.0%  

Pfizer, Inc.

 

Pharmaceuticals

    2.0%  

QUALCOMM, Inc.

 

Semiconductors & Semiconductor Equipment

    1.9%  

 

For a complete list of holdings, please 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, 2019

 

LONG-TERM INVESTMENTS — 97.2%  
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 3.0%

 

Airbus SE (France)

     7,583      $ 1,074,762  

Boeing Co. (The)

     5,407        1,968,202  

United Technologies Corp.

     12,792        1,665,519  
     

 

 

 
        4,708,483  
     

 

 

 

Automobiles — 0.5%

 

Tesla, Inc.*

     3,247        725,575  
     

 

 

 

Banks — 9.6%

 

Bank of America Corp.

     100,039        2,901,131  

BB&T Corp.

     20,701        1,017,040  

Citigroup, Inc.

     38,574        2,701,337  

JPMorgan Chase & Co.

     39,297        4,393,405  

PNC Financial Services Group, Inc. (The)

     13,234        1,816,763  

SunTrust Banks, Inc.

     16,396        1,030,489  

Wells Fargo & Co.

     22,662        1,072,366  
     

 

 

 
        14,932,531  
     

 

 

 

Beverages — 0.7%

 

PepsiCo, Inc.

     8,114        1,063,989  
     

 

 

 

Building Products — 1.1%

 

Johnson Controls International PLC

     41,593        1,718,207  
     

 

 

 

Capital Markets — 0.9%

 

Goldman Sachs Group, Inc. (The)

     6,606        1,351,587  
     

 

 

 

Chemicals — 2.2%

 

FMC Corp.

     13,549        1,123,889  

Linde PLC (United Kingdom)

     11,661        2,341,529  
     

 

 

 
        3,465,418  
     

 

 

 

Communications Equipment — 2.2%

 

Cisco Systems, Inc.

     48,356        2,646,524  

Nokia OYJ (Finland), ADR

     158,873        795,953  
     

 

 

 
        3,442,477  
     

 

 

 

Consumer Finance — 2.0%

 

Capital One Financial Corp.

     21,436        1,945,103  

SLM Corp.

     120,914        1,175,284  
     

 

 

 
        3,120,387  
     

 

 

 

Diversified Telecommunication Services — 1.5%

 

Verizon Communications, Inc.

     39,775        2,272,346  
     

 

 

 

Electric Utilities — 3.0%

 

American Electric Power Co., Inc.

     29,822        2,624,634  

Exelon Corp.

     43,643        2,092,246  
     

 

 

 
        4,716,880  
     

 

 

 

Electrical Equipment — 0.7%

 

Emerson Electric Co.

     16,208        1,081,398  
     

 

 

 

Energy Equipment & Services — 0.3%

 

Schlumberger Ltd.

     11,412        453,513  
     

 

 

 

Entertainment — 4.0%

 

Netflix, Inc.*

     6,213        2,282,159  

Walt Disney Co. (The)

     28,169        3,933,519  
     

 

 

 
        6,215,678  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Equity Real Estate Investment Trusts (REITs) — 2.5%

 

American Campus Communities, Inc.

     23,244      $ 1,072,943  

American Tower Corp.

     8,428        1,723,105  

Boston Properties, Inc.

     8,158        1,052,382  
     

 

 

 
        3,848,430  
     

 

 

 

Food & Staples Retailing — 1.8%

 

Walmart, Inc.

     24,826        2,743,025  
     

 

 

 

Food Products — 1.9%

 

Conagra Brands, Inc.

     29,738        788,651  

Mondelez International, Inc. (Class A Stock)

     41,122        2,216,476  
     

 

 

 
        3,005,127  
     

 

 

 

Health Care Equipment & Supplies — 1.6%

 

Intuitive Surgical, Inc.*

     2,141        1,123,062  

Zimmer Biomet Holdings, Inc.

     12,111        1,425,949  
     

 

 

 
        2,549,011  
     

 

 

 

Health Care Providers & Services — 1.0%

 

Laboratory Corp. of America Holdings*

     8,998        1,555,754  
     

 

 

 

Hotels, Restaurants & Leisure — 1.0%

 

McDonald’s Corp.

     7,458        1,548,728  
     

 

 

 

Household Products — 1.6%

 

Procter & Gamble Co. (The)

     22,280        2,443,002  
     

 

 

 

Insurance — 3.0%

 

Brighthouse Financial, Inc.*

     13,876        509,111  

Chubb Ltd. (Switzerland)

     16,238        2,391,695  

MetLife, Inc.

     36,002        1,788,219  
     

 

 

 
        4,689,025  
     

 

 

 

Interactive Media & Services — 4.4%

 

Alphabet, Inc. (Class A Stock)*

     3,479        3,767,061  

Facebook, Inc. (Class A Stock)*

     11,378        2,195,954  

Tencent Holdings Ltd. (China), ADR

     21,174        958,335  
     

 

 

 
        6,921,350  
     

 

 

 

Internet & Direct Marketing Retail — 3.2%

 

Alibaba Group Holding Ltd. (China), ADR*

     11,464        1,942,575  

Amazon.com, Inc.*

     1,641        3,107,447  
     

 

 

 
        5,050,022  
     

 

 

 

IT Services — 4.8%

 

Adyen NV (Netherlands), 144A*

     2,902        2,241,908  

Mastercard, Inc. (Class A Stock)

     11,647        3,080,981  

PayPal Holdings, Inc.*

     19,675        2,252,000  
     

 

 

 
        7,574,889  
     

 

 

 

Life Sciences Tools & Services — 1.6%

 

Illumina, Inc.*

     6,694        2,464,396  
     

 

 

 

Media — 2.3%

 

Comcast Corp. (Class A Stock)

     55,914        2,364,044  

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

     43,908        1,164,879  
     

 

 

 
        3,528,923  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

 
   STATEMENT OF NET ASSETS (Unaudited)  

June 30, 2019

 

COMMON STOCKS
(continued)
   Shares      Value  

Multi-Utilities — 1.1%

 

Ameren Corp.

     23,224      $ 1,744,355  
     

 

 

 

Oil, Gas & Consumable Fuels — 6.3%

 

Anadarko Petroleum Corp.

     7,602        536,397  

Chevron Corp.

     27,702        3,447,237  

Noble Energy, Inc.

     46,670        1,045,408  

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

     34,920        2,272,244  

Suncor Energy, Inc. (Canada)

     48,738        1,518,676  

Williams Cos., Inc. (The)

     35,593        998,028  
     

 

 

 
        9,817,990  
     

 

 

 

Pharmaceuticals — 8.1%

 

Allergan PLC

     2,010        336,534  

AstraZeneca PLC (United Kingdom), ADR

     84,634        3,493,691  

Bristol-Myers Squibb Co.

     21,564        977,927  

Elanco Animal Health, Inc.*

     19,807        669,477  

Eli Lilly & Co.

     17,159        1,901,046  

Merck & Co., Inc.

     26,209        2,197,625  

Pfizer, Inc.

     70,555        3,056,443  
     

 

 

 
        12,632,743  
     

 

 

 

Road & Rail — 1.3%

     

Union Pacific Corp.

     11,790        1,993,807  
     

 

 

 

Semiconductors & Semiconductor Equipment — 5.0%

 

Broadcom, Inc.

     6,248        1,798,549  

NVIDIA Corp.

     10,772        1,769,086  

QUALCOMM, Inc.

     39,778        3,025,912  

Texas Instruments, Inc.

     10,138        1,163,437  
     

 

 

 
        7,756,984  
     

 

 

 

Software — 7.7%

 

Adobe, Inc.*

     8,198        2,415,541  

Microsoft Corp.

     32,278        4,323,961  

PTC, Inc.*

     12,898        1,157,724  

salesforce.com, Inc.*

     17,887        2,713,994  

SAP SE (Germany), ADR

     10,726        1,467,317  
     

 

 

 
        12,078,537  
     

 

 

 

Specialty Retail — 1.7%

 

Lowe’s Cos., Inc.

     11,400        1,150,374  

Ross Stores, Inc.

     15,606        1,546,867  
     

 

 

 
        2,697,241  
     

 

 

 

Technology Hardware, Storage & Peripherals — 0.5%

 

Apple, Inc.

     4,378        866,494  
     

 

 

 

Textiles, Apparel & Luxury Goods — 3.1%

 

Lululemon Athletica, Inc. (Canada)*

     13,340        2,404,001  

NIKE, Inc. (Class B Stock)

     18,834        1,581,114  

Tapestry, Inc.

     25,350        804,356  
     

 

 

 
        4,789,471  
     

 

 

 

TOTAL COMMON STOCKS
(cost $103,190,964)

 

     151,567,773  
     

 

 

 
     Shares      Value  
SHORT-TERM INVESTMENT — 1.8%

 

AFFILIATED MUTUAL FUND

     

PGIM Core Ultra Short Bond Fund
(cost $2,857,846)(a)

     2,857,846      $ 2,857,846  
     

 

 

 

TOTAL INVESTMENTS — 99.0%
(cost $106,048,810)

 

     154,425,619  
     

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0%

     

Cash

        123,672  

Receivable for Securities Sold

        1,665,751  

Dividends and Interests Receivable

        114,972  

Tax Reclaim Receivable

        8,058  

Payable for Pending Capital Transactions

        (6,163

Payable for Securities Purchased

        (292,566
     

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES

        1,613,724  
     

 

 

 

NET ASSETS — 100.0%

      $ 156,039,343  
     

 

 

 

NET ASSETS, representing:

     

Equity of Participants

      $ 156,060,781  

Equity of The Prudential Insurance Company of America

        (21,438
     

 

 

 
      $ 156,039,343  
     

 

 

 

 

*

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.

The following abbreviations are used in the semiannual report:

 

144A   Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers.
ADR   American Depositary Receipt

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.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

 
   STATEMENT OF NET ASSETS (Unaudited)  

June 30, 2019

 

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

    

Level 3

 

Investments in Securities

        

Common Stocks

        

Aerospace & Defense

   $ 3,633,721      $ 1,074,762      $  

Automobiles

     725,575                

Banks

     14,932,531                

Beverages

     1,063,989                

Building Products

     1,718,207                

Capital Markets

     1,351,587                

Chemicals

     3,465,418                

Communications Equipment

     3,442,477                

Consumer Finance

     3,120,387                

Diversified Telecommunication Services

     2,272,346                

Electric Utilities

     4,716,880                

Electrical Equipment

     1,081,398                

Energy Equipment & Services

     453,513                

Entertainment

     6,215,678                

Equity Real Estate Investment Trusts (REITs)

     3,848,430                

Food & Staples Retailing

     2,743,025                

Food Products

     3,005,127                

Health Care Equipment & Supplies

     2,549,011                

Health Care Providers & Services

     1,555,754                

Hotels, Restaurants & Leisure

     1,548,728                

Household Products

     2,443,002                

Insurance

     4,689,025                

Interactive Media & Services

     6,921,350                

Internet & Direct Marketing Retail

     5,050,022                

IT Services

     5,332,981        2,241,908         

Life Sciences Tools & Services

     2,464,396                

Media

     3,528,923                

Multi-Utilities

     1,744,355                

Oil, Gas & Consumable Fuels

     9,817,990                

Pharmaceuticals

     12,632,743                

Road & Rail

     1,993,807                

Semiconductors & Semiconductor Equipment

     7,756,984                

Software

     12,078,537                

Specialty Retail

     2,697,241                

Technology Hardware, Storage & Peripherals

     866,494                

Textiles, Apparel & Luxury Goods

     4,789,471                

Affiliated Mutual Fund

     2,857,846                
  

 

 

    

 

 

    

 

 

 

Total

   $ 151,108,949      $ 3,316,670      $   —  
  

 

 

    

 

 

    

 

 

 

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, 2019 were as follows (unaudited):

 

Banks

     9.6

Pharmaceuticals

     8.1  

Software

     7.7  

Oil, Gas & Consumable Fuels

     6.3  

Semiconductors & Semiconductor Equipment

     5.0  

IT Services

     4.8  

Interactive Media & Services

     4.4  

Entertainment

     4.0  

Internet & Direct Marketing Retail

     3.2  

Textiles, Apparel & Luxury Goods

     3.1

Electric Utilities

     3.0  

Aerospace & Defense

     3.0  

Insurance

     3.0  

Equity Real Estate Investment Trusts (REITs)

     2.5  

Media

     2.3  

Chemicals

     2.2  

Communications Equipment

     2.2  

Consumer Finance

     2.0  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

 
   STATEMENT OF NET ASSETS (Unaudited)  

June 30, 2019

 

Industry Classification (cont.):

      

Food Products

     1.9

Affiliated Mutual Fund

     1.8  

Food & Staples Retailing

     1.8  

Specialty Retail

     1.7  

Health Care Equipment & Supplies

     1.6  

Life Sciences Tools & Services

     1.6  

Household Products

     1.6  

Diversified Telecommunication Services

     1.5  

Road & Rail

     1.3  

Multi-Utilities

     1.1  

Building Products

     1.1  

Health Care Providers & Services

     1.0

Hotels, Restaurants & Leisure

     1.0  

Capital Markets

     0.9  

Electrical Equipment

     0.7  

Beverages

     0.7  

Technology Hardware, Storage & Peripherals

     0.5  

Automobiles

     0.5  

Energy Equipment & Services

     0.3  
  

 

 

 
     99.0  

Other assets in excess of liabilities

     1.0  
  

 

 

 
     100.0
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL STATEMENTS OF VCA-10

 

 
   STATEMENT OF OPERATIONS (Unaudited)  

Six Months Ended June 30, 2019

 

          

INVESTMENT INCOME

  

Unaffiliated Dividend Income (net of $15,614 foreign withholding tax)

   $ 1,491,023  

Affiliated Dividend Income

     36,376  

Total Income

     1,527,399  

EXPENSES

  

Fees Charged to Participants for Investment Management Services

     (190,230

Fees Charged to Participants for Administrative Expenses:

  

Standard Contract

     (512,323

0.50% Contract

     (5,035

0.45% Contract

     (9,391

Total Expenses

     (716,979

NET INVESTMENT INCOME

     810,420  

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

        

Net Realized Gain (Loss) on:

  

Investment Transactions

     7,036,276  

Foreign Currency Transactions

     (1,616
       7,034,660  

Net Change in Unrealized Appreciation (Depreciation) on:

  

Investments

     15,024,023  

Foreign Currencies

     351  
       15,024,374  

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS

     22,059,034  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 22,869,454  

 

 
   STATEMENT OF CHANGES IN NET ASSETS (unaudited)  

 

      Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 

OPERATIONS

    

Net Investment Income

   $ 810,420     $ 1,438,401  

Net Realized Gain on Investment and Foreign Currency Transactions

     7,034,660       6,674,962  

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

     15,024,374       (19,633,762

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     22,869,454       (11,520,399

CAPITAL TRANSACTIONS

    

Purchase Payments and Transfers In

     358,151       1,510,220  

Withdrawals and Transfers Out

     (6,506,859     (16,167,899

NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS

     (6,148,708     (14,657,679

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

     8,085       (4,785

TOTAL INCREASE (DECREASE) IN NET ASSETS

     16,728,831       (26,182,863

NET ASSETS

    

Beginning of period

     139,310,512       165,493,375  

End of period

   $ 156,039,343     $ 139,310,512  

Accumulation Unit Values and Equity of Participants as of June 30, 2019

 

Standard Contract:

  

Accumulation Unit Value and Equity of Participants, $ 142,120,531/ 6,791,108 Accumulation Units

   $ 20.9274  
  

 

 

 

0.50% Contract:

  

Accumulation Unit Value and Equity of Participants, $ 4,208,154/ 179,287 Accumulation Units

   $ 23.4716  
  

 

 

 

0.45% Contract:

  

Accumulation Unit Value and Equity of Participants, $ 9,732,096/ 412,899 Accumulation Units

   $ 23.5702  
  

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.


FINANCIAL HIGHLIGHTS FOR VCA-10

 

 
   INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited)  

(For an Accumulation Unit outstanding throughout the period)

 

     Six Months Ended June 30, 2019     Year Ended December 31, 2018  
      Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
 

Investment Income

   $ 0.2012     $ 0.2255     $ 0.2262     $ 0.3666     $ 0.4087     $ 0.4102  

Expenses

            

Investment management fee

     (0.0249     (0.0279     (0.0280     (0.0500     (0.0558     (0.0560

Administrative expenses

     (0.0744     (0.0279     (0.0224     (0.1497     (0.0558     (0.0448

Net Investment Income

     0.1019       0.1697       0.1758       0.1669       0.2971       0.3094  

Capital Changes

            

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

     2.8784       3.2226       3.2356       (1.7016     (1.9064     (1.9142

Net Increase (Decrease) in Accumulation Unit Value

     2.9803       3.3923       3.4114       (1.5347     (1.6093     (1.6048

Accumulation Unit Value

            

Beginning of period

     17.9471       20.0793       20.1588       19.4818       21.6886       21.7635  

End of period

   $ 20.9274     $ 23.4716     $ 23.5702     $ 17.9471     $ 20.0793     $ 20.1588  

Total Return**

     16.61     16.89     16.92     (7.88 )%      (7.42 )%      (7.37 )% 

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***

     1.03 %†      1.53 %†      1.58 %†      0.84     1.34     1.39

Portfolio Turnover Rate

     26 %††      26 %††      26 %††      36     36     36

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

     6,791       179       413       7,081       181       427  

 

*

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, 2017     Year Ended December 31, 2016  
      Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
 

Investment Income

   $ 0.2909     $ 0.3229     $ 0.3239     $ 0.2736     $ 0.3019     $ 0.3027  

Expenses

            

Investment management fee

     (0.0440     (0.0489     (0.0491     (0.0369     (0.0407     (0.0408

Administrative expenses

     (0.1318     (0.0489     (0.0392     (0.1103     (0.0407     (0.0327

Net Investment Income

     0.1151       0.2251       0.2356       0.1264       0.2205       0.2292  

Capital Changes

            

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

     3.4389       3.8193       3.8316       0.8068       0.8955       0.8983  

Net Increase (Decrease) in Accumulation Unit Value

     3.5540       4.0444       4.0672       0.9332       1.1160       1.1275  

Accumulation Unit Value

            

Beginning of year

     15.9278       17.6442       17.6963       14.9946       16.5282       16.5688  

End of year

   $ 19.4818     $ 21.6886     $ 21.7635     $ 15.9278     $ 17.6442     $ 17.6963  

Total Return**

     22.31     22.92     22.98     6.22     6.75     6.80

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***

     0.65     1.15     1.20     0.85     1.34     1.39

Portfolio Turnover Rate

     49     49     49     42     42     42

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

     7,755       190       474       8,606       212       522  

 

*

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.

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, 2015     Year Ended December 31, 2014  
      Standard
Contract
    0.50%
Contract
    0.45%
Contract
    Standard
Contract
    0.50%
Contract
    0.45%
Contract
 

Investment Income

   $ 0.2397     $ 0.2631     $ 0.2637     $ 0.1871     $ 0.2046     $ 0.2049  

Expenses

            

Investment management fee

     (0.0384     (0.0422     (0.0423     (0.0362     (0.0397     (0.0398

Administrative expenses

     (0.1149     (0.0422     (0.0339     (0.1086     (0.0397     (0.0318

Net Investment Income

     0.0864       0.1787       0.1875       0.0423       0.1252       0.1333  

Capital Changes

            

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

     (0.3479     (0.3837     (0.3847     1.4515       1.5879       1.5907  

Net Increase (Decrease) in Accumulation Unit Value

     (0.2615     (0.2050     (0.1972     1.4938       1.7131       1.7240  

Accumulation Unit Value

            

Beginning of year

     15.2561       16.7332       16.7660       13.7623       15.0201       15.0420  

End of year

   $ 14.9946     $ 16.5282     $ 16.5688     $ 15.2561     $ 16.7332     $ 16.7660  

Total Return**

     (1.71 )%      (1.23 )%      (1.18 )%      10.85     11.41     11.46

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***

     0.57     1.06     1.11     0.29     0.78     0.83

Portfolio Turnover Rate

     47     47     47     70     70     70

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

     9,595       219       609       10,646       242       657  

 

*

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.

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.

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 assets, (the “0.45% Contracts”). The financial statements show separate Accumulation Unit 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 (“ASC”) 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, the Manager has established a Valuation Committee responsible for supervising the fair 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 and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

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 up to the time the Account is valued. 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.

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Account has adopted a Committee approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Account limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Account 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.

Restricted Securities:    Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Account’s LRMP 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. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Account’s investments in restricted 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-date or for certain foreign securities, when the Account becomes aware of such dividends. 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 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 account of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge (explained below), 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 account 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 account 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 account or on the last business day of each calendar year. Such amounts are reflected as withdrawals 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 six months ended June 30, 2019, no such transactions were entered into by the Account.

During the six months ended June 30, 2019, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. Through the Account’s investment in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated Dividend Income”.


Note 5:   Portfolio Securities

For the six months ended June 30, 2019, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $38,301,103 and $43,544,193, respectively.

A summary of the cost of purchases and proceeds from sales of shares of an affiliated mutual fund for the six months ended June 30, 2019, is presented as follows:

 

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
     Income  
 

PGIM Core Ultra Short Bond Fund*

 
  $4,141,450      $ 18,708,727      $ 19,992,331      $      $      $ 2,857,846        2,857,846      $ 36,376  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  *

The Account did not have any capital gain distributions during reporting period.

 

Note 6:   Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2019 and the year ended December 31, 2018, respectively, are as follows:

 

Standard Contracts

   Units     Amount  

Six months ended June 30, 2019:

    

Account units issued

     16,779     $ 336,980  

Account units redeemed

     (306,982     (6,124,936
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (290,203   $ (5,787,956
  

 

 

   

 

 

 

Year ended December 31, 2018:

    

Account units issued

     75,584     $ 1,510,220  

Account units redeemed

     (749,659     (14,934,615
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (674,075   $ (13,424,395
  

 

 

   

 

 

 

0.50% Contracts

   Units     Amount  

Six months ended June 30, 2019:

    

Account units issued

     1,003     $ 21,171  

Account units redeemed

     (3,058     (67,722
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (2,055   $ (46,551
  

 

 

   

 

 

 

Year ended December 31, 2018:

    

Account units issued

         $  

Account units redeemed

     (8,262     (184,802
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (8,262   $ (184,802
  

 

 

   

 

 

 

0.45% Contracts

   Units     Amount  

Six months ended June 30, 2019:

    

Account units issued

         $  

Account units redeemed

     (14,003     (314,201
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (14,003   $ (314,201
  

 

 

   

 

 

 

Year ended December 31, 2018:

    

Account units issued

         $  

Account units redeemed

     (47,009     (1,048,482
  

 

 

   

 

 

 

Net increase (decrease) in units outstanding

     (47,009   $ (1,048,482
  

 

 

   

 

 

 

 

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, 2019, $25,868 in participant loans were withdrawn from VCA-10 and $23,196 of principal and interest was repaid to VCA-10. For the year ended December 31, 2018, $87,410 in participant loans were withdrawn from VCA-10 and $62,549 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, 2019, PICA has advised the Account that it received $378 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:   Risks of Investing in the Account

The Account’s risks include, but are not limited to, some or all of the risks discussed below:

Equity and Equity-Related Securities Risks:    The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Account invests could go down. The Account’s holdings can vary significantly from broad market indexes and the performance of the Account can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

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.

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.

 

Note 10:   Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Account’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.


The Prudential Series Fund

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

Each Subaccount of VCA-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, 2019

 

Conservative Balanced Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets
Microsoft Corp.   Software     2.0%  
Apple, Inc.   Technology Hardware, Storage & Peripherals     1.7%  
Amazon.com, Inc.   Internet & Direct Marketing Retail     1.5%  
Federal National Mortgage Assoc., 3.500%, TBA   U.S. Government Agency Obligations     1.1%  
Facebook, Inc. (Class A Stock)   Interactive Media & Services     0.9%  
Berkshire Hathaway, Inc. (Class B Stock)   Diversified Financial Services     0.8%  
Johnson & Johnson   Pharmaceuticals     0.8%  
JPMorgan Chase & Co.   Banks     0.7%  
Alphabet, Inc. (Class C Stock)   Interactive Media & Services     0.7%  
Alphabet, Inc. (Class A Stock)   Interactive Media & Services     0.6%  

 

Diversified Bond Portfolio

 

Credit Quality     (% of Net Assets
AAA     34.6%  
AA     4.8%  
A     13.8%  
BBB     21.4%  
BB     6.2%  
B     6.4%  
CCC     0.9%  
C     0.2%  
NR     6.9%  
Cash & Equivalents     4.8%  
Total     100.0%  

 

Equity Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets
Microsoft Corp.   Software     3.8%  
Amazon.com, Inc.   Internet & Direct Marketing Retail     3.3%  
AstraZeneca PLC (United Kingdom), ADR   Pharmaceuticals     2.6%  
Mastercard, Inc. (Class A Stock)   IT Services     2.5%  
Boeing Co. (The)   Aerospace & Defense     2.4%  
salesforce.com, Inc.   Software     2.1%  
JPMorgan Chase & Co.   Banks     2.1%  
Alphabet, Inc. (Class A Stock)   Interactive Media & Services     2.0%  
Facebook, Inc. (Class A Stock)   Interactive Media & Services     1.9%  
American Electric Power Co., Inc.   Electric Utilities     1.9%  

 

Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.

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

 

Presentation of Portfolio Holdings — unaudited (continued)

  June 30, 2019

 

 

Flexible Managed Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets
Microsoft Corp.   Software     2.9%  
Apple, Inc.   Technology Hardware, Storage & Peripherals     1.8%  
Facebook, Inc. (Class A Stock)   Interactive Media & Services     1.5%  
Amazon.com, Inc.   Internet & Direct Marketing Retail     1.3%  
Bank of America Corp.   Banks     1.1%  
Visa, Inc. (Class A Stock)   IT Services     1.1%  
Cisco Systems, Inc.   Communications Equipment     1.0%  
Chevron Corp.   Oil, Gas & Consumable Fuels     1.0%  
Verizon Communications, Inc.   Diversified Telecommunication Services     0.9%  
Merck & Co., Inc.   Pharmaceuticals     0.9%  

 

Global Portfolio

 

Ten Largest Holdings   Line of Business   Country     (% of Net Assets
Microsoft Corp.   Software   United States     2.5%  
Thermo Fisher Scientific, Inc.   Life Sciences Tools & Services   United States     1.5%  
Visa, Inc. (Class A Stock)   IT Services   United States     1.5%  
Amazon.com, Inc.   Internet & Direct Marketing Retail   United States     1.5%  
Zoetis, Inc.   Pharmaceuticals   United States     1.4%  
PayPal Holdings, Inc.   IT Services   United States     1.3%  
SBA Communications Corp.   Equity Real Estate Investment Trusts (REITs)   United States     1.3%  
Roper Technologies, Inc.   Industrial Conglomerates   United States     1.3%  
Danaher Corp.   Health Care Equipment & Supplies   United States     1.1%  
Intuitive Surgical, Inc.   Health Care Equipment & Supplies   United States     1.1%  

 

Government Income Portfolio

 

Credit Quality     (% of Net Assets
AAA     93.5%  
AA     2.3%  
A     0.0%  
BBB     0.0%  
NR     (1.0)%  
Cash & Equivalents     5.2%  
Total     100.0%  

 

Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.

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

 

Presentation of Portfolio Holdings — unaudited (continued)

  June 30, 2019

 

 

Government Money Market Portfolio

 

Ten Largest Holdings   Interest Rate   Maturity Date     (% of Net Assets
Federal Home Loan Bank   2.342%   07/17/2019     4.9%  
U.S. Treasury Bills   2.520%   09/05/2019     4.5%  
State Street Bank & Trust Co.   2.500%   07/01/2019     4.4%  
Federal Home Loan Bank   2.411%   08/02/2019     4.0%  
U.S. Treasury Bills   2.503%   08/15/2019     3.7%  
Federal Home Loan Bank   2.382%   11/08/2019     3.6%  
Credit Agricole Corporate & Investment Bank   2.680%   07/03/2019     3.6%  
U.S. Treasury Bills   2.301%   10/03/2019     3.5%  
U.S. Treasury Bills   2.399%   07/18/2019     2.3%  
U.S. Treasury Bills   2.348%   08/06/2019     2.3%  

Holdings reflect only short-term investments.

 

Stock Index Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets
Microsoft Corp.   Software     4.1%  
Apple, Inc.   Technology Hardware, Storage & Peripherals     3.5%  
Amazon.com, Inc.   Internet & Direct Marketing Retail     3.1%  
Facebook, Inc. (Class A Stock)   Interactive Media & Services     1.9%  
Berkshire Hathaway, Inc. (Class B Stock)   Diversified Financial Services     1.7%  
Johnson & Johnson   Pharmaceuticals     1.5%  
JPMorgan Chase & Co.   Banks     1.5%  
Alphabet, Inc. (Class C Stock)   Interactive Media & Services     1.3%  
Alphabet, Inc. (Class A Stock)   Interactive Media & Services     1.3%  
Exxon Mobil Corp.   Oil, Gas & Consumable Fuels     1.3%  

 

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, 2019

 

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, 2019 through June 30, 2019.

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, 2019
     Ending
Account Value
June 30, 2019
     Annualized Expense
Ratio based on the
Six-Month period
    Expenses Paid
During the
Six-Month period*
 
Conservative Balanced (Class I)    Actual    $ 1,000.00      $ 1,113.20        0.59   $ 3.09  
     Hypothetical    $ 1,000.00      $ 1,021.87        0.59   $ 2.96  
Diversified Bond (Class I)    Actual    $ 1,000.00      $ 1,077.00        0.44   $ 2.27  
     Hypothetical    $ 1,000.00      $ 1,022.61        0.44   $ 2.21  
Equity (Class I)    Actual    $ 1,000.00      $ 1,184.20        0.47   $ 2.55  
     Hypothetical    $ 1,000.00      $ 1,022.46        0.47   $ 2.36  
Equity (Class II)    Actual    $ 1,000.00      $ 1,181.90        0.87   $ 4.71  
     Hypothetical    $ 1,000.00      $ 1,020.48        0.87   $ 4.36  
Flexible Managed (Class I)    Actual    $ 1,000.00      $ 1,121.90        0.63   $ 3.31  
     Hypothetical    $ 1,000.00      $ 1,021.67        0.63   $ 3.16  
Global (Class I)    Actual    $ 1,000.00      $ 1,187.90        0.77   $ 4.18  
     Hypothetical    $ 1,000.00      $ 1,020.98        0.77   $ 3.86  
Government Income (Class I)    Actual    $ 1,000.00      $ 1,049.60        0.52   $ 2.64  
     Hypothetical    $ 1,000.00      $ 1,022.22        0.52   $ 2.61  
Government Money Market (Class I)    Actual    $ 1,000.00      $ 1,010.40        0.35   $ 1.74  
     Hypothetical    $ 1,000.00      $ 1,023.06        0.35   $ 1.76  
Stock Index (Class I)    Actual    $ 1,000.00      $ 1,183.10        0.31   $ 1.68  
     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, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.


 
   GLOSSARY  

 

The following abbreviations are used in the Portfolios’ descriptions:

 

AUD   Australian Dollar
CNH   Chinese Renminbi
EUR   Euro
GBP   British Pound
JPY   Japanese Yen
USD   US Dollar

 

144A   Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers.
A   Annual payment frequency for swaps
ABS   Asset-Backed Security
Aces   Alternative Credit Enhancements Securities
ADR   American Depositary Receipt
BABs   Build America Bonds
BKNT   Bank Notes
CLO   Collateralized Loan Obligation
CMS   Constant Maturity Swap
CNX   CRISIL NSE Index
CVA   Certificate Van Aandelen (Bearer)
CVT   Convertible Security
EAFE   Europe, Australasia, Far East
EMTN   Euro Medium Term Note
EONIA   Euro Overnight Index Average
ETF   Exchange-Traded Fund
EURIBOR   Euro Interbank Offered Rate
FHLMC   Federal Home Loan Mortgage Corporation
GMTN   Global Medium Term Note
IO   Interest Only (Principal amount represents notional)
LIBOR   London Interbank Offered Rate
M   Monthly payment frequency for swaps
MSCI   Morgan Stanley Capital International
MTN   Medium Term Note
MUNIPSA   Municipal Swap Weekly Yield Index
OTC   Over-the-counter
PO   Principal Only
PRFC   Preference Shares
Q   Quarterly payment frequency for swaps
REIT(s)   Real Estate Investment Trust(s)
RSP   Savings Shares
S   Semiannual payment frequency for swaps
S&P   Standard & Poor’s
SLM   Student Loan Mortgage
SONIA   Sterling Overnight Index Average
SPDR   Standard & Poor’s Depositary Receipts
STACR   Structured Agency Credit Risk
Strips   Separate Trading of Registered Interest and Principal 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.

 

A1


 
   CONSERVATIVE BALANCED PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

LONG-TERM INVESTMENTS — 88.8%         
COMMON STOCKS — 48.7%    Shares      Value  

Aerospace & Defense — 1.3%

 

Airbus SE (France)

     1,062      $ 150,692  

Arconic, Inc.

     19,180        495,228  

Boeing Co. (The)

     25,850        9,409,659  

General Dynamics Corp.

     13,300        2,418,206  

Huntington Ingalls Industries, Inc.

     2,200        494,428  

L3 Technologies, Inc.

     3,900        956,163  

L3Harris Technologies, Inc.

     5,900        1,115,867  

Lockheed Martin Corp.

     12,180        4,427,917  

MTU Aero Engines AG (Germany)

     682        162,726  

Northrop Grumman Corp.

     8,362        2,701,846  

Raytheon Co.

     13,900        2,416,932  

Textron, Inc.

     11,500        609,960  

TransDigm Group, Inc.*

     2,500        1,209,500  

United Technologies Corp.

     39,802        5,182,220  
     

 

 

 
        31,751,344  
     

 

 

 

Air Freight & Logistics — 0.3%

     

C.H. Robinson Worldwide, Inc.(a)

     6,600        556,710  

Expeditors International of Washington, Inc.

     8,600        652,396  

FedEx Corp.

     11,780        1,934,158  

SG Holdings Co. Ltd. (Japan)

     200        5,672  

United Parcel Service, Inc. (Class B Stock)

     34,100        3,521,507  
     

 

 

 
        6,670,443  
     

 

 

 

Airlines — 0.2%

     

Alaska Air Group, Inc.(a)

     6,500        415,415  

American Airlines Group, Inc.

     18,800        613,068  

Delta Air Lines, Inc.

     30,300        1,719,525  

Japan Airlines Co. Ltd. (Japan)

     200        6,391  

Southwest Airlines Co.

     24,400        1,239,032  

United Continental Holdings, Inc.*

     11,000        963,050  
     

 

 

 
        4,956,481  
     

 

 

 

Auto Components — 0.1%

     

Aptiv PLC

     12,700        1,026,541  

BorgWarner, Inc.

     9,600        403,008  

Bridgestone Corp. (Japan)

     900        35,498  

Cie Generale des Etablissements Michelin SCA (France)

     1,307        165,586  

Toyota Industries Corp. (Japan)

     200        11,050  
     

 

 

 
        1,641,683  
     

 

 

 

Automobiles — 0.2%

     

Ferrari NV (Italy)

     166        26,917  

Fiat Chrysler Automobiles NV (United Kingdom)

     1,497        20,845  

Ford Motor Co.

     191,485        1,958,891  

General Motors Co.

     64,200        2,473,626  

Harley-Davidson, Inc.(a)

     7,900        283,057  

Honda Motor Co. Ltd. (Japan)

     2,500        64,735  

Isuzu Motors Ltd. (Japan)

     900        10,259  

Mazda Motor Corp. (Japan)

     900        9,400  

Peugeot SA (France)

     6,857        168,991  

Toyota Motor Corp. (Japan)

     2,700        167,939  

Volkswagen AG (Germany)

     45        7,738  
     

 

 

 
        5,192,398  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Banks — 2.7%

     

Banco Bilbao Vizcaya Argentaria SA (Spain)

     33,200      $ 185,456  

Bank Leumi Le-Israel BM (Israel)

     2,297        16,579  

Bank of America Corp.

     440,321        12,769,309  

Barclays PLC (United Kingdom)

     93,787        178,702  

BB&T Corp.(a)

     37,400        1,837,462  

BNP Paribas SA (France)

     1,557        73,970  

BOC Hong Kong Holdings Ltd. (China)

     5,500        21,631  

Citigroup, Inc.

     116,335        8,146,940  

Citizens Financial Group, Inc.

     23,600        834,496  

Comerica, Inc.

     8,200        595,648  

Commerzbank AG (Germany)

     1,553        11,182  

Commonwealth Bank of Australia (Australia)

     236        13,719  

Credit Agricole SA (France)

     1,822        21,836  

DBS Group Holdings Ltd. (Singapore)

     7,900        151,555  

DNB ASA (Norway)

     8,050        149,904  

Erste Group Bank AG (Austria)*

     1,237        45,929  

Fifth Third Bancorp

     37,321        1,041,256  

First Republic Bank

     8,200        800,730  

Hang Seng Bank Ltd. (Hong Kong)

     1,100        27,315  

HSBC Holdings PLC (United Kingdom)

     14,599        121,859  

Huntington Bancshares, Inc.

     50,836        702,553  

Intesa Sanpaolo SpA (Italy)

     22,914        49,027  

Israel Discount Bank Ltd. (Israel)
(Class A Stock)

     10,860        44,353  

JPMorgan Chase & Co.

     160,545        17,948,931  

KBC Group NV (Belgium)

     377        24,746  

KeyCorp.

     48,500        860,875  

Lloyds Banking Group PLC (United Kingdom)

     109,687        78,974  

M&T Bank Corp.

     6,800        1,156,476  

Mitsubishi UFJ Financial Group, Inc. (Japan)

     43,900        208,872  

People’s United Financial, Inc.(a)

     16,500        276,870  

PNC Financial Services Group, Inc. (The)

     22,233        3,052,146  

Raiffeisen Bank International AG (Austria)

     4,372        102,685  

Regions Financial Corp.

     48,603        726,129  

Resona Holdings, Inc. (Japan)

     3,200        13,346  

Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)

     15,624        144,454  

Societe Generale SA (France)

     2,267        57,286  

Sumitomo Mitsui Financial Group, Inc. (Japan)

     2,100        74,264  

Sumitomo Mitsui Trust Holdings, Inc. (Japan)

     3,100        112,626  

SunTrust Banks, Inc.

     21,700        1,363,845  

SVB Financial Group*

     2,700        606,393  

U.S. Bancorp

     73,785        3,866,334  

United Overseas Bank Ltd. (Singapore)

     2,100        40,533  

Wells Fargo & Co.

     200,464        9,485,956  

Zions Bancorp NA

     9,450        434,511  
     

 

 

 
        68,477,663  
     

 

 

 

Beverages — 0.9%

 

Asahi Group Holdings Ltd. (Japan)

     2,000        90,078  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Beverages (continued)

 

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

     8,475      $ 469,769  

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

     162        21,457  

Coca-Cola Co. (The)

     188,601        9,603,563  

Coca-Cola European Partners PLC (United Kingdom)

     3,100        175,150  

Constellation Brands, Inc.
(Class A Stock)(a)

     8,200        1,614,908  

Diageo PLC (United Kingdom)

     297        12,790  

Molson Coors Brewing Co.
(Class B Stock)

     9,700        543,200  

Monster Beverage Corp.*

     19,200        1,225,536  

PepsiCo, Inc.

     69,307        9,088,227  

Treasury Wine Estates Ltd. (Australia)

     1,144        12,008  
     

 

 

 
        22,856,686  
     

 

 

 

Biotechnology — 1.1%

 

AbbVie, Inc.

     72,300        5,257,656  

Alexion Pharmaceuticals, Inc.*

     10,900        1,427,682  

Amgen, Inc.

     30,537        5,627,359  

Biogen, Inc.*

     9,660        2,259,184  

Celgene Corp.*

     35,100        3,244,644  

Gilead Sciences, Inc.

     62,500        4,222,500  

Incyte Corp.*

     9,100        773,136  

Regeneron Pharmaceuticals, Inc.*

     3,940        1,233,220  

Vertex Pharmaceuticals, Inc.*

     12,600        2,310,588  
     

 

 

 
        26,355,969  
     

 

 

 

Building Products — 0.1%

 

A.O. Smith Corp.

     6,800        320,688  

Allegion PLC

     4,633        512,178  

Fortune Brands Home & Security, Inc.

     6,600        377,058  

Geberit AG (Switzerland)

     57        26,609  

Johnson Controls International PLC

     43,222        1,785,501  

Kingspan Group PLC (Ireland)

     229        12,433  

Masco Corp.

     14,400        565,056  
     

 

 

 
        3,599,523  
     

 

 

 

Capital Markets — 1.3%

 

3i Group PLC (United Kingdom)

     12,082        170,910  

Affiliated Managers Group, Inc.

     2,800        257,992  

Ameriprise Financial, Inc.

     6,720        975,475  

ASX Ltd. (Australia)

     297        17,178  

Bank of New York Mellon Corp. (The)

     43,058        1,901,011  

BlackRock, Inc.

     6,000        2,815,800  

Cboe Global Markets, Inc.

     5,600        580,328  

Charles Schwab Corp. (The)

     58,150        2,337,048  

CME Group, Inc.(a)

     17,600        3,416,336  

E*TRADE Financial Corp.

     11,720        522,712  

Franklin Resources, Inc.(a)

     13,700        476,760  

Goldman Sachs Group, Inc. (The)

     16,800        3,437,280  

Hong Kong Exchanges & Clearing Ltd. (Hong Kong)

     4,800        169,764  

Intercontinental Exchange, Inc.

     27,855        2,393,859  

Invesco Ltd.

     19,200        392,832  

Macquarie Group Ltd. (Australia)

     495        43,567  

Moody’s Corp.

     8,350        1,630,839  

Morgan Stanley

     64,880        2,842,393  
COMMON STOCKS
(continued)
   Shares      Value  

Capital Markets (continued)

 

MSCI, Inc.

     4,200      $ 1,002,918  

Nasdaq, Inc.

     5,600        538,552  

Northern Trust Corp.

     10,600        954,000  

Raymond James Financial, Inc.

     6,500        549,575  

S&P Global, Inc.

     12,200        2,779,038  

State Street Corp.

     18,600        1,042,716  

T. Rowe Price Group, Inc.

     11,600        1,272,636  
     

 

 

 
        32,521,519  
     

 

 

 

Chemicals — 1.0%

 

Air Liquide SA (France)

     91        12,739  

Air Products & Chemicals, Inc.

     10,800        2,444,796  

Albemarle Corp.(a)

     5,100        359,091  

Arkema SA (France)

     457        42,549  

Celanese Corp.

     6,300        679,140  

CF Industries Holdings, Inc.

     10,700        499,797  

Corteva, Inc.*

     36,847        1,089,566  

Covestro AG (Germany), 144A

     462        23,508  

Dow, Inc.

     36,847        1,816,926  

DuPont de Nemours, Inc.

     36,847        2,766,104  

Eastman Chemical Co.

     7,100        552,593  

Ecolab, Inc.

     12,500        2,468,000  

FMC Corp.

     6,800        564,060  

International Flavors & Fragrances, Inc.(a)

     4,600        667,414  

Israel Chemicals Ltd. (Israel)

     20,175        105,764  

Linde PLC (United Kingdom)

     27,100        5,441,680  

LyondellBasell Industries NV (Class A Stock)

     14,900        1,283,337  

Mitsubishi Chemical Holdings Corp. (Japan)

     2,000        14,002  

Mitsubishi Gas Chemical Co., Inc. (Japan)

     7,500        100,281  

Mosaic Co. (The)

     15,600        390,468  

PPG Industries, Inc.

     11,600        1,353,836  

Sherwin-Williams Co. (The)

     4,050        1,856,074  

Shin-Etsu Chemical Co. Ltd. (Japan)

     2,000        186,799  

Showa Denko KK (Japan)

     200        5,919  

Solvay SA (Belgium)

     110        11,423  

Teijin Ltd. (Japan)

     700        11,951  
     

 

 

 
        24,747,817  
     

 

 

 

Commercial Services & Supplies — 0.2%

 

Cintas Corp.

     4,400        1,044,076  

Copart, Inc.*(a)

     9,800        732,452  

Republic Services, Inc.

     10,965        950,008  

Rollins, Inc.

     6,600        236,742  

Waste Management, Inc.

     19,142        2,208,412  
     

 

 

 
        5,171,690  
     

 

 

 

Communications Equipment — 0.6%

     

Arista Networks, Inc.*

     2,600        675,012  

Cisco Systems, Inc.

     214,100        11,717,693  

F5 Networks, Inc.*

     2,900        422,327  

Juniper Networks, Inc.

     16,500        439,395  

Motorola Solutions, Inc.

     8,089        1,348,679  

Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)

     4,747        45,097  
     

 

 

 
        14,648,203  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Construction & Engineering — 0.1%

 

ACS Actividades de Construccion y Servicios SA (Spain)

     2,769      $ 110,576  

CIMIC Group Ltd. (Australia)

     150        4,715  

Eiffage SA (France)

     119        11,759  

Jacobs Engineering Group, Inc.

     5,900        497,901  

Kajima Corp. (Japan)

     700        9,630  

Obayashi Corp. (Japan)

     14,300        141,149  

Quanta Services, Inc.

     7,400        282,606  

Shimizu Corp. (Japan)

     4,800        39,917  

Taisei Corp. (Japan)

     300        10,920  

Vinci SA (France)

     774        79,285  
     

 

 

 
        1,188,458  
     

 

 

 

Construction Materials — 0.1%

 

CRH PLC (Ireland)

     1,147        37,513  

HeidelbergCement AG (Germany)

     900        72,930  

Martin Marietta Materials, Inc.

     3,100        713,341  

Vulcan Materials Co.

     6,600        906,246  
     

 

 

 
        1,730,030  
     

 

 

 

Consumer Finance — 0.3%

 

American Express Co.

     33,900        4,184,616  

Capital One Financial Corp.

     22,961        2,083,481  

Discover Financial Services

     16,140        1,252,303  

Synchrony Financial

     31,972        1,108,469  
     

 

 

 
        8,628,869  
     

 

 

 

Containers & Packaging — 0.2%

 

Amcor PLC (United Kingdom)*

     75,650        869,219  

Avery Dennison Corp.

     4,300        497,424  

Ball Corp.

     16,400        1,147,836  

International Paper Co.

     19,373        839,238  

Packaging Corp. of America

     4,800        457,536  

Sealed Air Corp.

     8,000        342,240  

Westrock Co.

     12,344        450,186  
     

 

 

 
        4,603,679  
     

 

 

 

Distributors — 0.0%

 

Genuine Parts Co.

     7,200        745,776  

LKQ Corp.*

     15,000        399,150  
     

 

 

 
        1,144,926  
     

 

 

 

Diversified Consumer Services — 0.0%

 

H&R Block, Inc.

     8,600        251,980  
     

 

 

 

Diversified Financial Services — 0.8%

 

Berkshire Hathaway, Inc. (Class B Stock)*

     95,640        20,387,579  

Jefferies Financial Group, Inc.

     13,300        255,759  

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

     13,300        70,699  

ORIX Corp. (Japan)

     9,700        144,903  
     

 

 

 
        20,858,940  
     

 

 

 

Diversified Telecommunication Services — 1.0%

 

AT&T, Inc.

     357,036        11,964,276  

CenturyLink, Inc.(a)

     42,679        501,905  

Deutsche Telekom AG (Germany)

     13,269        229,596  

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

     6,000        9,523  
COMMON STOCKS
(continued)
   Shares      Value  

Diversified Telecommunication Services (continued)

 

Nippon Telegraph & Telephone Corp. (Japan)

     4,100      $ 191,152  

Swisscom AG (Switzerland)

     36        18,084  

Telecom Italia SpA (Italy), RSP

     22,010        11,421  

Telefonica SA (Spain)

     7,056        57,957  

Telenor ASA (Norway)

     1,139        24,172  

Telstra Corp. Ltd. (Australia)

     35,919        97,044  

Verizon Communications, Inc.

     203,976        11,653,149  
     

 

 

 
        24,758,279  
     

 

 

 

Electric Utilities — 1.0%

 

Alliant Energy Corp.

     10,600        520,248  

American Electric Power Co., Inc.

     24,160        2,126,322  

Chubu Electric Power Co., Inc. (Japan)

     900        12,636  

Duke Energy Corp.

     35,661        3,146,727  

Edison International

     16,000        1,078,560  

Enel SpA (Italy)

     35,323        246,686  

Entergy Corp.

     9,000        926,370  

Evergy, Inc.

     12,500        751,875  

Eversource Energy(a)

     15,600        1,181,856  

Exelon Corp.

     48,613        2,330,507  

FirstEnergy Corp.

     24,706        1,057,664  

Iberdrola SA (Spain)

     9,375        93,433  

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

     10,100        115,825  

NextEra Energy, Inc.

     23,500        4,814,210  

Pinnacle West Capital Corp.

     5,900        555,131  

PPL Corp.

     35,600        1,103,956  

Southern Co. (The)

     50,700        2,802,696  

Xcel Energy, Inc.(a)

     25,510        1,517,590  
     

 

 

 
        24,382,292  
     

 

 

 

Electrical Equipment — 0.2%

 

AMETEK, Inc.

     11,500        1,044,660  

Eaton Corp. PLC

     20,737        1,726,977  

Emerson Electric Co.

     30,100        2,008,272  

Legrand SA (France)

     364        26,624  

Rockwell Automation, Inc.

     6,200        1,015,746  

Schneider Electric SE (France)

     840        76,202  
     

 

 

 
        5,898,481  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.2%

 

Amphenol Corp. (Class A Stock)

     14,600        1,400,724  

Corning, Inc.

     38,500        1,279,355  

FLIR Systems, Inc.

     6,100        330,010  

Halma PLC (United Kingdom)

     2,716        69,789  

Hexagon AB (Sweden)
(Class B Stock)

     386        21,454  

Hitachi Ltd. (Japan)

     2,000        73,416  

IPG Photonics Corp.*

     1,700        262,225  

Keysight Technologies, Inc.*

     9,400        844,214  

Kyocera Corp. (Japan)

     500        32,753  

TE Connectivity Ltd.

     16,600        1,589,948  

Venture Corp. Ltd. (Singapore)

     400        4,819  
     

 

 

 
        5,908,707  
     

 

 

 

Energy Equipment & Services — 0.2%

 

Baker Hughes a GE Co.

     25,098        618,163  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Energy Equipment & Services (continued)

 

Halliburton Co.

     41,700      $ 948,258  

Helmerich & Payne, Inc.

     5,400        273,348  

National Oilwell Varco, Inc.

     18,400        409,032  

Schlumberger Ltd.

     67,924        2,699,300  

TechnipFMC PLC (United Kingdom)

     20,600        534,364  
     

 

 

 
        5,482,465  
     

 

 

 

Entertainment — 1.0%

 

Activision Blizzard, Inc.

     37,300        1,760,560  

Electronic Arts, Inc.*

     14,700        1,488,522  

Netflix, Inc.*

     21,570        7,923,092  

Nexon Co. Ltd. (Japan)*

     800        11,623  

Nintendo Co. Ltd. (Japan)

     100        36,769  

Take-Two Interactive Software, Inc.*(a)

     5,800        658,474  

Viacom, Inc. (Class B Stock)

     16,934        505,819  

Vivendi SA (France)

     1,613        44,376  

Walt Disney Co. (The)

     85,592        11,952,067  
     

 

 

 
        24,381,302  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 1.4%

 

Alexandria Real Estate Equities, Inc.

     5,600        790,104  

American Tower Corp.

     22,000        4,497,900  

Apartment Investment & Management Co. (Class A Stock)

     7,936        397,752  

AvalonBay Communities, Inc.

     7,275        1,478,134  

Boston Properties, Inc.

     7,800        1,006,200  

Crown Castle International Corp.

     20,400        2,659,140  

Dexus (Australia)

     1,497        13,661  

Digital Realty Trust, Inc.(a)

     10,300        1,213,237  

Duke Realty Corp.

     16,500        521,565  

Equinix, Inc.

     4,354        2,195,679  

Equity Residential

     18,400        1,396,928  

Essex Property Trust, Inc.

     3,350        977,965  

Extra Space Storage, Inc.(a)

     6,400        679,040  

Federal Realty Investment Trust

     3,700        476,412  

Goodman Group (Australia)

     17,915        189,181  

HCP, Inc.

     23,400        748,332  

Host Hotels & Resorts, Inc.

     34,082        620,974  

Iron Mountain, Inc.(a)

     13,102        410,093  

Kimco Realty Corp.(a)

     18,700        345,576  

Land Securities Group PLC (United Kingdom)

     13,409        141,962  

Link REIT (Hong Kong)

     500        6,148  

Macerich Co. (The)(a)

     5,500        184,195  

Mid-America Apartment Communities, Inc. (Class A Stock)

     5,800        683,008  

Mirvac Group (Australia)

     5,038        11,070  

Nippon Building Fund, Inc. (Japan)

     2        13,699  

Prologis, Inc.

     30,877        2,473,248  

Public Storage

     7,600        1,810,092  

Realty Income Corp.

     15,000        1,034,550  

Regency Centers Corp.

     8,700        580,638  

SBA Communications Corp.*

     5,500        1,236,620  

Simon Property Group, Inc.(a)

     15,193        2,427,234  

SL Green Realty Corp.

     4,300        345,591  

UDR, Inc.

     13,200        592,548  

Ventas, Inc.(a)

     17,918        1,224,695  

Vornado Realty Trust

     8,525        546,452  
COMMON STOCKS
(continued)
   Shares      Value  

Equity Real Estate Investment Trusts (REITs) (continued)

 

Welltower, Inc.(a)

     18,900      $ 1,540,917  

Weyerhaeuser Co.

     35,818        943,446  
     

 

 

 
        36,413,986  
     

 

 

 

Food & Staples Retailing — 0.7%

 

Costco Wholesale Corp.

     21,600        5,708,016  

ICA Gruppen AB (Sweden)

     123        5,284  

J Sainsbury PLC (United Kingdom)

     54,920        136,633  

Koninklijke Ahold Delhaize NV (Netherlands)

     6,472        145,471  

Kroger Co. (The)

     37,992        824,806  

Seven & i Holdings Co. Ltd. (Japan)

     200        6,774  

Sysco Corp.

     23,200        1,640,704  

Tesco PLC (United Kingdom)

     26,835        77,226  

Walgreens Boots Alliance, Inc.(a)

     39,300        2,148,531  

Walmart, Inc.

     69,800        7,712,202  

Wm Morrison Supermarkets PLC (United Kingdom)

     19,660        50,285  

Woolworths Group Ltd. (Australia)

     1,131        26,370  
     

 

 

 
        18,482,302  
     

 

 

 

Food Products — 0.6%

 

Archer-Daniels-Midland Co.

     27,026        1,102,661  

Associated British Foods PLC (United Kingdom)

     550        17,217  

Campbell Soup Co.(a)

     9,000        360,630  

Chocoladefabriken Lindt & Spruengli AG (Switzerland)

     2        14,538  

Conagra Brands, Inc.

     23,000        609,960  

General Mills, Inc.

     29,300        1,538,836  

Hershey Co. (The)

     6,800        911,404  

Hormel Foods Corp.(a)

     13,300        539,182  

J.M. Smucker Co. (The)(a)

     5,600        645,064  

Kellogg Co.(a)

     12,700        680,339  

Kraft Heinz Co. (The)

     29,717        922,416  

Lamb Weston Holdings, Inc.

     7,400        468,864  

McCormick & Co., Inc.(a)

     6,500        1,007,565  

MEIJI Holdings Co. Ltd. (Japan)

     200        14,305  

Mondelez International, Inc.
(Class A Stock)

     70,753        3,813,587  

Nestle SA (Switzerland)

     5,038        521,487  

Orkla ASA (Norway)

     1,233        10,944  

Tate & Lyle PLC (United Kingdom)

     15,337        143,877  

Toyo Suisan Kaisha Ltd. (Japan)

     1,400        57,711  

Tyson Foods, Inc. (Class A Stock)

     15,400        1,243,396  

WH Group Ltd. (Hong Kong), 144A

     13,000        13,211  

Wilmar International Ltd. (Singapore)

     55,600        152,015  
     

 

 

 
        14,789,209  
     

 

 

 

Gas Utilities — 0.0%

     

Atmos Energy Corp.

     5,400        570,024  

Tokyo Gas Co. Ltd. (Japan)

     600        14,137  
     

 

 

 
        584,161  
     

 

 

 

Health Care Equipment & Supplies — 1.7%

 

Abbott Laboratories

     86,500        7,274,650  

ABIOMED, Inc.*

     2,160        562,658  

Alcon, Inc. (Switzerland)*

     337        20,867  

Align Technology, Inc.*

     3,600        985,320  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Health Care Equipment & Supplies (continued)

 

Baxter International, Inc.

     23,400      $ 1,916,460  

Becton, Dickinson & Co.

     13,210        3,329,052  

Boston Scientific Corp.*

     67,967        2,921,222  

Cooper Cos., Inc. (The)

     2,440        822,012  

Danaher Corp.

     30,800        4,401,936  

DENTSPLY SIRONA, Inc.

     11,800        688,648  

Edwards Lifesciences Corp.*

     10,200        1,884,348  

Hologic, Inc.*

     13,600        653,072  

Hoya Corp. (Japan)

     2,000        153,742  

IDEXX Laboratories, Inc.*

     4,400        1,211,452  

Intuitive Surgical, Inc.*

     5,860        3,073,863  

Medtronic PLC

     65,790        6,407,288  

ResMed, Inc.

     7,100        866,413  

Smith & Nephew PLC
(United Kingdom)

     2,449        53,035  

Sonova Holding AG (Switzerland)

     86        19,559  

Stryker Corp.

     15,200        3,124,816  

Teleflex, Inc.

     2,400        794,760  

Varian Medical Systems, Inc.*

     4,600        626,198  

Zimmer Biomet Holdings, Inc.

     10,100        1,189,174  
     

 

 

 
        42,980,545  
     

 

 

 

Health Care Providers & Services — 1.3%

 

Alfresa Holdings Corp. (Japan)

     2,900        71,738  

AmerisourceBergen Corp.

     8,100        690,606  

Anthem, Inc.

     12,800        3,612,288  

Cardinal Health, Inc.

     14,150        666,465  

Centene Corp.*

     20,800        1,090,752  

Cigna Corp.

     18,700        2,946,185  

CVS Health Corp.

     63,583        3,464,638  

DaVita, Inc.*

     6,400        360,064  

Fresenius Medical Care AG & Co. KGaA (Germany)

     468        36,806  

Fresenius SE & Co. KGaA (Germany)

     778        42,228  

HCA Healthcare, Inc.

     13,100        1,770,727  

Henry Schein, Inc.*(a)

     7,700        538,230  

Humana, Inc.

     6,650        1,764,245  

Laboratory Corp. of America Holdings*

     5,000        864,500  

McKesson Corp.

     9,430        1,267,298  

Medipal Holdings Corp. (Japan)

     6,700        148,091  

Quest Diagnostics, Inc.

     6,800        692,308  

Ramsay Health Care Ltd. (Australia)

     220        11,157  

Sonic Healthcare Ltd. (Australia)

     698        13,256  

Suzuken Co. Ltd. (Japan)

     300        17,629  

UnitedHealth Group, Inc.

     47,260        11,531,912  

Universal Health Services, Inc.
(Class B Stock)

     4,300        560,677  

WellCare Health Plans, Inc.*

     2,500        712,675  
     

 

 

 
        32,874,475  
     

 

 

 

Health Care Technology — 0.1%

 

Cerner Corp.

     16,400        1,202,120  
     

 

 

 

Hotels, Restaurants & Leisure — 0.9%

 

Aristocrat Leisure Ltd. (Australia)

     876        18,882  

Carnival Corp.

     19,300        898,415  

Chipotle Mexican Grill, Inc.*

     1,200        879,456  

Compass Group PLC
(United Kingdom)

     5,475        131,275  
COMMON STOCKS
(continued)
   Shares      Value  

Hotels, Restaurants & Leisure (continued)

 

Darden Restaurants, Inc.

     6,450      $ 785,159  

Flutter Entertainment PLC (Ireland)

     114        8,584  

Hilton Worldwide Holdings, Inc.

     14,400        1,407,456  

Marriott International, Inc.
(Class A Stock)

     13,828        1,939,930  

McDonald’s Corp.

     37,600        7,808,016  

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

     200        8,821  

MGM Resorts International

     23,800        679,966  

Norwegian Cruise Line Holdings Ltd.*

     10,900        584,567  

Oriental Land Co. Ltd. (Japan)

     300        37,209  

Royal Caribbean Cruises Ltd.

     8,400        1,018,164  

Sands China Ltd. (Macau)

     3,600        17,228  

Sodexo SA (France)

     137        16,008  

Starbucks Corp.

     61,000        5,113,630  

TUI AG (Germany)

     591        5,808  

Wynn Resorts Ltd.

     4,700        582,753  

Yum! Brands, Inc.

     15,000        1,660,050  
     

 

 

 
        23,601,377  
     

 

 

 

Household Durables — 0.2%

 

Barratt Developments PLC
(United Kingdom)

     1,516        11,023  

Berkeley Group Holdings PLC
(United Kingdom)

     3,268        154,895  

D.R. Horton, Inc.

     16,300        703,019  

Garmin Ltd.

     6,000        478,800  

Leggett & Platt, Inc.

     4,900        188,013  

Lennar Corp. (Class A Stock)

     13,600        659,056  

Mohawk Industries, Inc.*

     3,340        492,550  

Newell Brands, Inc.

     18,514        285,486  

Persimmon PLC (United Kingdom)

     458        11,625  

PulteGroup, Inc.

     11,922        376,974  

Sekisui House Ltd. (Japan)

     1,000        16,517  

Sony Corp. (Japan)

     1,900        99,496  

Taylor Wimpey PLC (United Kingdom)

     5,073        10,171  

Whirlpool Corp.

     3,426        487,725  
     

 

 

 
        3,975,350  
     

 

 

 

Household Products — 0.8%

 

Church & Dwight Co., Inc.

     11,900        869,414  

Clorox Co. (The)(a)

     6,500        995,215  

Colgate-Palmolive Co.

     42,300        3,031,641  

Essity AB (Sweden) (Class B Stock)

     917        28,172  

Henkel AG & Co. KGaA (Germany)

     143        13,136  

Kimberly-Clark Corp.

     16,900        2,252,432  

Procter & Gamble Co. (The)

     123,125        13,500,656  
     

 

 

 
        20,690,666  
     

 

 

 

Independent Power & Renewable Electricity Producers — 0.0%

 

AES Corp.

     30,700        514,532  

NRG Energy, Inc.

     13,300        467,096  
     

 

 

 
        981,628  
     

 

 

 

Industrial Conglomerates — 0.7%

 

3M Co.

     28,300        4,905,522  

CK Hutchison Holdings Ltd.
(Hong Kong)

     10,000        98,455  

General Electric Co.

     426,730        4,480,665  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A6


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Industrial Conglomerates (continued)

 

Honeywell International, Inc.

     35,812      $ 6,252,417  

Roper Technologies, Inc.

     5,200        1,904,552  
     

 

 

 
        17,641,611  
     

 

 

 

Insurance — 1.2%

 

Aflac, Inc.

     36,800        2,017,008  

Ageas (Belgium)

     278        14,451  

AIA Group Ltd. (Hong Kong)

     18,200        196,797  

Allianz SE (Germany)

     1,261        304,124  

Allstate Corp. (The)

     16,300        1,657,547  

American International Group, Inc.

     42,639        2,271,806  

Aon PLC

     11,800        2,277,164  

Arthur J Gallagher & Co.

     8,500        744,515  

Assurant, Inc.

     3,000        319,140  

Aviva PLC (United Kingdom)

     5,779        30,587  

Baloise Holding AG (Switzerland)

     74        13,099  

Chubb Ltd.

     22,486        3,311,963  

Cincinnati Financial Corp.

     7,737        802,095  

Everest Re Group Ltd.

     2,200        543,796  

Hartford Financial Services Group, Inc. (The)

     17,700        986,244  

Insurance Australia Group Ltd. (Australia)

     3,582        20,762  

Japan Post Holdings Co. Ltd. (Japan)

     6,700        75,894  

Legal & General Group PLC (United Kingdom)

     50,315        172,391  

Lincoln National Corp.

     10,018        645,660  

Loews Corp.

     13,675        747,612  

Marsh & McLennan Cos., Inc.

     24,800        2,473,800  

Medibank Private Ltd. (Australia)

     37,931        92,879  

MetLife, Inc.

     47,800        2,374,226  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)

     229        57,491  

NN Group NV (Netherlands)

     3,330        133,996  

Principal Financial Group, Inc.(a)

     13,100        758,752  

Progressive Corp. (The)

     28,600        2,285,998  

QBE Insurance Group Ltd. (Australia)

     2,045        16,967  

Swiss Life Holding AG (Switzerland)

     52        25,799  

Tokio Marine Holdings, Inc. (Japan)

     900        45,150  

Torchmark Corp.

     5,025        449,537  

Travelers Cos., Inc. (The)

     12,935        1,934,041  

Unum Group

     9,910        332,481  

Willis Towers Watson PLC

     6,340        1,214,364  

Zurich Insurance Group AG (Switzerland)

     492        171,014  
     

 

 

 
        29,519,150  
     

 

 

 

Interactive Media & Services — 2.3%

 

Alphabet, Inc. (Class A Stock)*

     14,740        15,960,472  

Alphabet, Inc. (Class C Stock)*

     15,163        16,389,838  

Auto Trader Group PLC (United Kingdom), 144A

     18,153        126,351  

Facebook, Inc. (Class A Stock)*

     117,820        22,739,260  

TripAdvisor, Inc.*(a)

     5,150        238,394  

Twitter, Inc.*

     36,800        1,284,320  
     

 

 

 
        56,738,635  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Internet & Direct Marketing Retail — 1.8%

 

Amazon.com, Inc.*

     20,370      $ 38,573,243  

Booking Holdings, Inc.*

     2,210        4,143,109  

eBay, Inc.

     42,100        1,662,950  

Expedia Group, Inc.

     5,950        791,529  

Rakuten, Inc. (Japan)

     6,300        75,157  
     

 

 

 
        45,245,988  
     

 

 

 

IT Services — 2.6%

 

Accenture PLC (Class A Stock)

     31,300        5,783,301  

Adyen NV (Netherlands), 144A*

     83        64,119  

Akamai Technologies, Inc.*

     8,000        641,120  

Alliance Data Systems Corp.

     2,240        313,891  

Automatic Data Processing, Inc.

     21,400        3,538,062  

Broadridge Financial Solutions, Inc.

     6,000        766,080  

Capgemini SE (France)

     134        16,651  

Cognizant Technology Solutions Corp. (Class A Stock)

     28,200        1,787,598  

DXC Technology Co.

     13,128        724,009  

Fidelity National Information Services, Inc.

     15,900        1,950,612  

Fiserv, Inc.*(a)

     19,200        1,750,272  

FleetCor Technologies, Inc.*

     4,200        1,179,570  

Gartner, Inc.*

     4,400        708,136  

Global Payments, Inc.

     7,900        1,265,027  

International Business Machines Corp.

     43,700        6,026,230  

Jack Henry & Associates, Inc.

     3,400        455,328  

Mastercard, Inc. (Class A Stock)

     44,300        11,718,679  

Obic Co. Ltd. (Japan)

     700        79,490  

Paychex, Inc.(a)

     15,500        1,275,495  

PayPal Holdings, Inc.*

     57,500        6,581,450  

Total System Services, Inc.

     7,996        1,025,647  

VeriSign, Inc.*

     5,200        1,087,632  

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

     86,200        14,960,010  

Western Union Co. (The)(a)

     18,910        376,120  

Wirecard AG (Germany)

     918        155,515  
     

 

 

 
        64,230,044  
     

 

 

 

Leisure Products — 0.0%

 

Bandai Namco Holdings, Inc. (Japan)

     300        14,581  

Hasbro, Inc.

     5,700        602,376  
     

 

 

 
        616,957  
     

 

 

 

Life Sciences Tools & Services — 0.5%

 

Agilent Technologies, Inc.

     16,014        1,195,765  

Illumina, Inc.*

     7,400        2,724,310  

IQVIA Holdings, Inc.*

     7,800        1,255,020  

Mettler-Toledo International, Inc.*

     1,300        1,092,000  

PerkinElmer, Inc.

     5,900        568,406  

QIAGEN NV*

     310        12,585  

Thermo Fisher Scientific, Inc.

     19,780        5,808,990  

Waters Corp.*

     3,500        753,340  
     

 

 

 
        13,410,416  
     

 

 

 

Machinery — 0.8%

 

Alfa Laval AB (Sweden)

     446        9,733  

Alstom SA (France)

     1,417        65,740  

Amada Holdings Co. Ltd. (Japan)

     1,400        15,803  

Atlas Copco AB (Sweden)
(Class A Stock)

     1,031        32,944  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A7


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Machinery (continued)

 

Atlas Copco AB (Sweden)
(Class B Stock)

     585      $ 16,794  

Caterpillar, Inc.

     28,200        3,843,378  

CNH Industrial NV (United Kingdom)

     1,531        15,703  

Cummins, Inc.

     7,100        1,216,514  

Daifuku Co. Ltd. (Japan)

     200        11,287  

Deere & Co.

     15,680        2,598,333  

Dover Corp.

     7,500        751,500  

Flowserve Corp.

     6,100        321,409  

Fortive Corp.

     14,450        1,177,964  

Illinois Tool Works, Inc.(a)

     14,800        2,231,988  

Ingersoll-Rand PLC

     11,900        1,507,373  

Mitsubishi Heavy Industries Ltd. (Japan)

     1,800        78,518  

PACCAR, Inc.

     16,843        1,206,969  

Parker-Hannifin Corp.

     6,365        1,082,114  

Pentair PLC

     7,677        285,584  

Sandvik AB (Sweden)

     10,227        187,646  

Schindler Holding AG (Switzerland)

     71        15,520  

SKF AB (Sweden) (Class B Stock)

     581        10,683  

Snap-on, Inc.(a)

     2,800        463,792  

Stanley Black & Decker, Inc.

     7,697        1,113,063  

Volvo AB (Sweden) (Class B Stock)

     11,123        176,508  

Wabtec Corp.(a)

     7,151        513,156  

Xylem, Inc.

     9,000        752,760  

Yangzijiang Shipbuilding Holdings Ltd. (China)

     143,700        162,723  
     

 

 

 
        19,865,499  
     

 

 

 

Marine — 0.0%

 

AP Moller — Maersk A/S (Denmark) (Class A Stock)

     5        5,808  
     

 

 

 

Media — 0.7%

 

CBS Corp. (Class B Stock)

     17,034        849,997  

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

     8,580        3,390,644  

Comcast Corp. (Class A Stock)

     222,380        9,402,226  

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

     7,800        239,460  

Discovery, Inc. (Class C Stock)*

     16,600        472,270  

DISH Network Corp. (Class A Stock)*

     11,400        437,874  

Fox Corp. (Class A Stock)

     17,700        648,528  

Fox Corp. (Class B Stock)

     8,233        300,751  

Hakuhodo DY Holdings, Inc. (Japan)

     900        15,201  

I-CABLE Communications Ltd. (Hong Kong)*

     3,831        49  

Interpublic Group of Cos., Inc. (The)

     18,831        425,392  

News Corp. (Class A Stock)

     16,175        218,201  

News Corp. (Class B Stock)

     4,800        67,008  

Omnicom Group, Inc.(a)

     11,000        901,450  

Pearson PLC (United Kingdom)

     1,202        12,505  

Publicis Groupe SA (France)

     319        16,853  

RTL Group SA (Luxembourg)

     138        7,063  
     

 

 

 
        17,405,472  
     

 

 

 

Metals & Mining — 0.2%

 

Anglo American PLC (South Africa)

     7,358        210,128  

ArcelorMittal (Luxembourg)

     7,430        133,351  

BHP Group Ltd. (Australia)

     4,524        130,784  
COMMON STOCKS
(continued)
   Shares      Value  

Metals & Mining (continued)

 

BHP Group PLC (Australia)

     2,908      $ 74,419  

BlueScope Steel Ltd. (Australia)

     821        6,955  

Boliden AB (Sweden)

     420        10,760  

Fortescue Metals Group Ltd. (Australia)

     11,390        72,230  

Freeport-McMoRan, Inc.

     69,788        810,239  

JFE Holdings, Inc. (Japan)

     700        10,325  

Newcrest Mining Ltd. (Australia)

     1,187        26,707  

Newmont Goldcorp Corp.

     41,600        1,600,352  

Nippon Steel Corp. (Japan)

     1,100        18,952  

Nucor Corp.

     15,000        826,500  

Rio Tinto Ltd. (Australia)

     568        41,446  

Rio Tinto PLC (Australia)

     2,256        139,766  

South32 Ltd. (Australia)

     7,203        16,069  
     

 

 

 
        4,128,983  
     

 

 

 

Multiline Retail — 0.2%

 

Dollar General Corp.

     12,900        1,743,564  

Dollar Tree, Inc.*

     11,665        1,252,704  

Harvey Norman Holdings Ltd. (Australia)

     8,697        24,894  

Kohl’s Corp.(a)

     8,300        394,665  

Macy’s, Inc.

     14,674        314,904  

Next PLC (United Kingdom)

     214        15,019  

Nordstrom, Inc.(a)

     4,800        152,928  

Target Corp.

     25,600        2,217,216  

Wesfarmers Ltd. (Australia)

     1,540        39,098  
     

 

 

 
        6,154,992  
     

 

 

 

Multi-Utilities — 0.5%

 

AGL Energy Ltd. (Australia)

     10,885        152,881  

Ameren Corp.

     12,200        916,342  

CenterPoint Energy, Inc.

     24,000        687,120  

CMS Energy Corp.

     13,900        804,949  

Consolidated Edison, Inc.

     15,800        1,385,344  

Dominion Energy, Inc.

     39,215        3,032,104  

DTE Energy Co.

     9,100        1,163,708  

E.ON SE (Germany)

     6,644        72,103  

Engie SA (France)

     2,790        42,283  

National Grid PLC (United Kingdom)

     5,356        56,836  

NiSource, Inc.

     17,300        498,240  

Public Service Enterprise Group, Inc.

     24,500        1,441,090  

Sempra Energy

     13,419        1,844,307  

WEC Energy Group, Inc.

     15,513        1,293,319  
     

 

 

 
        13,390,626  
     

 

 

 

Oil, Gas & Consumable Fuels — 2.2%

 

Anadarko Petroleum Corp.

     24,554        1,732,530  

Apache Corp.(a)

     17,614        510,278  

BP PLC (United Kingdom)

     12,525        87,397  

Cabot Oil & Gas Corp.

     19,400        445,424  

Chevron Corp.

     93,222        11,600,546  

Cimarex Energy Co.

     4,600        272,918  

Concho Resources, Inc.

     9,600        990,528  

ConocoPhillips

     55,577        3,390,197  

Devon Energy Corp.

     20,300        578,956  

Diamondback Energy, Inc.

     7,000        762,790  

Eni SpA (Italy)

     4,231        70,433  

EOG Resources, Inc.

     28,500        2,655,060  

Exxon Mobil Corp.

     207,699        15,915,974  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A8


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Oil, Gas & Consumable Fuels (continued)

 

Hess Corp.

     12,700      $ 807,339  

HollyFrontier Corp.

     8,200        379,496  

Kinder Morgan, Inc.

     95,398        1,991,910  

Marathon Oil Corp.

     37,182        528,356  

Marathon Petroleum Corp.

     33,019        1,845,102  

Neste OYJ (Finland)

     3,906        132,913  

Noble Energy, Inc.

     21,900        490,560  

Occidental Petroleum Corp.

     36,800        1,850,304  

OMV AG (Austria)

     227        11,079  

ONEOK, Inc.

     19,900        1,369,319  

Phillips 66

     20,638        1,930,479  

Pioneer Natural Resources Co.

     8,550        1,315,503  

Repsol SA (Spain)

     6,886        108,093  

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

     6,913        225,887  

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

     5,707        186,996  

Santos Ltd. (Australia)

     28,789        143,499  

Snam SpA (Italy)

     22,896        113,770  

TOTAL SA (France)

     1,298        72,718  

Valero Energy Corp.

     20,500        1,755,005  

Williams Cos., Inc. (The)

     58,400        1,637,536  

Woodside Petroleum Ltd. (Australia)

     1,430        36,562  
     

 

 

 
        55,945,457  
     

 

 

 

Paper & Forest Products — 0.0%

 

Oji Holdings Corp. (Japan)

     23,900        138,462  
     

 

 

 

Personal Products — 0.1%

 

Coty, Inc. (Class A Stock)

     14,700        196,980  

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

     10,700        1,959,277  

L’Oreal SA (France)

     387        110,199  

Unilever NV (United Kingdom), CVA

     4,089        248,944  

Unilever PLC (United Kingdom)

     1,882        116,945  
     

 

 

 
        2,632,345  
     

 

 

 

Pharmaceuticals — 2.3%

 

Allergan PLC

     15,375        2,574,236  

Astellas Pharma, Inc. (Japan)

     5,900        84,178  

AstraZeneca PLC (United Kingdom)

     255        20,836  

Bayer AG (Germany)

     870        60,164  

Bristol-Myers Squibb Co.

     80,070        3,631,174  

Chugai Pharmaceutical Co. Ltd. (Japan)

     200        13,080  

Eisai Co. Ltd. (Japan)

     400        22,655  

Eli Lilly & Co.

     42,400        4,697,496  

GlaxoSmithKline PLC (United Kingdom)

     3,085        61,762  

H. Lundbeck A/S (Denmark)

     1,316        51,951  

Johnson & Johnson

     130,978        18,242,616  

Merck & Co., Inc.

     126,533        10,609,792  

Merck KGaA (Germany)

     204        21,328  

Mylan NV*

     23,300        443,632  

Nektar Therapeutics*

     7,200        256,176  

Novartis AG (Switzerland)

     4,893        446,598  

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

     2,741        139,839  

Ono Pharmaceutical Co. Ltd. (Japan)

     600        10,770  
COMMON STOCKS
(continued)
   Shares      Value  

Pharmaceuticals (continued)

 

Perrigo Co. PLC

     5,700      $ 271,434  

Pfizer, Inc.

     272,170        11,790,404  

Recordati SpA (Italy)

     354        14,758  

Roche Holding AG (Switzerland)

     1,628        458,389  

Sanofi (France)

     3,289        284,248  

Shionogi & Co. Ltd. (Japan)

     2,700        155,797  

UCB SA (Belgium)

     171        14,180  

Zoetis, Inc.

     23,500        2,667,015  
     

 

 

 
        57,044,508  
     

 

 

 

Professional Services — 0.2%

 

Equifax, Inc.(a)

     5,900        797,916  

IHS Markit Ltd.*

     17,800        1,134,216  

Intertek Group PLC (United Kingdom)

     250        17,471  

Nielsen Holdings PLC

     17,000        384,200  

Recruit Holdings Co. Ltd. (Japan)

     3,500        117,211  

RELX PLC (United Kingdom)

     2,940        71,393  

Robert Half International, Inc.

     5,700        324,957  

Verisk Analytics, Inc.

     8,200        1,200,972  

Wolters Kluwer NV (Netherlands)

     2,115        153,997  
     

 

 

 
        4,202,333  
     

 

 

 

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc. (Class A Stock)*

     15,100        774,630  

CK Asset Holdings Ltd. (Hong Kong)

     3,500        27,357  

Daiwa House Industry Co. Ltd. (Japan)

     900        26,272  

Henderson Land Development Co. Ltd. (Hong Kong)

     2,200        12,129  

Hongkong Land Holdings Ltd. (Hong Kong)

     21,100        135,953  

Hysan Development Co. Ltd. (Hong Kong)

     2,000        10,342  

Mitsubishi Estate Co. Ltd. (Japan)

     1,800        33,571  

Sumitomo Realty & Development Co. Ltd. (Japan)

     500        17,878  

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

     12,500        153,992  

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

     2,000        14,096  
     

 

 

 
        1,206,220  
     

 

 

 

Road & Rail — 0.5%

 

Aurizon Holdings Ltd. (Australia)

     3,073        11,659  

Central Japan Railway Co. (Japan)

     200        40,092  

CSX Corp.(a)

     38,000        2,940,060  

East Japan Railway Co. (Japan)

     300        28,112  

J.B. Hunt Transport Services, Inc.

     3,800        347,358  

Kansas City Southern

     5,200        633,464  

Norfolk Southern Corp.

     13,100        2,611,223  

Union Pacific Corp.

     35,500        6,003,405  

West Japan Railway Co. (Japan)

     300        24,290  
     

 

 

 
        12,639,663  
     

 

 

 

Semiconductors & Semiconductor Equipment — 1.8%

 

Advanced Micro Devices, Inc.*(a)

     41,200        1,251,244  

Analog Devices, Inc.

     18,058        2,038,206  

Applied Materials, Inc.

     46,500        2,088,315  

Broadcom, Inc.

     19,480        5,607,513  

Intel Corp.

     220,400        10,550,548  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A9


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Semiconductors & Semiconductor Equipment (continued)

 

KLA-Tencor Corp.

     8,150      $ 963,330  

Lam Research Corp.

     7,550        1,418,192  

Maxim Integrated Products, Inc.

     13,400        801,588  

Microchip Technology, Inc.(a)

     11,800        1,023,060  

Micron Technology, Inc.*

     54,900        2,118,591  

NVIDIA Corp.

     29,750        4,885,842  

NXP Semiconductors NV (Netherlands)

     400        39,044  

Qorvo, Inc.*

     6,007        400,126  

QUALCOMM, Inc.

     59,400        4,518,558  

Skyworks Solutions, Inc.

     9,000        695,430  

STMicroelectronics NV (Switzerland)

     929        16,495  

SUMCO Corp. (Japan)

     400        4,783  

Texas Instruments, Inc.

     46,000        5,278,960  

Tokyo Electron Ltd. (Japan)

     400        56,275  

Xilinx, Inc.(a)

     12,800        1,509,376  
     

 

 

 
        45,265,476  
     

 

 

 

Software — 3.3%

 

Adobe, Inc.*

     24,000        7,071,600  

ANSYS, Inc.*

     4,100        839,762  

Autodesk, Inc.*

     10,800        1,759,320  

Cadence Design Systems, Inc.*

     13,600        963,016  

Check Point Software Technologies Ltd. (Israel)*

     200        23,122  

Citrix Systems, Inc.

     6,500        637,910  

CyberArk Software Ltd. (Israel)*

     1,000        127,840  

Dassault Systemes SE (France)

     973        155,380  

Fortinet, Inc.*

     7,200        553,176  

Intuit, Inc.

     12,700        3,318,891  

Micro Focus International PLC (United Kingdom)

     1,096        28,751  

Microsoft Corp.

     377,500        50,569,900  

Nice Ltd. (Israel)*

     94        12,803  

Oracle Corp.

     123,700        7,047,189  

Red Hat, Inc.*

     8,700        1,633,512  

salesforce.com, Inc.*

     37,700        5,720,221  

SAP SE (Germany)

     337        46,299  

Symantec Corp.

     30,578        665,377  

Synopsys, Inc.*

     7,400        952,306  

Temenos AG (Switzerland)*

     101        18,087  
     

 

 

 
        82,144,462  
     

 

 

 

Specialty Retail — 1.1%

 

ABC-Mart, Inc. (Japan)

     300        19,558  

Advance Auto Parts, Inc.

     3,500        539,490  

AutoZone, Inc.*

     1,300        1,429,311  

Best Buy Co., Inc.

     11,425        796,665  

CarMax, Inc.*(a)

     8,200        712,006  

Fast Retailing Co. Ltd. (Japan)

     200        121,229  

Foot Locker, Inc.

     5,500        230,560  

Gap, Inc. (The)

     9,500        170,715  

Hennes & Mauritz AB (Sweden)
(Class B Stock)

     1,359        24,165  

Home Depot, Inc. (The)

     55,050        11,448,748  

L Brands, Inc.(a)

     10,906        284,647  

Lowe’s Cos., Inc.

     39,300        3,965,763  

O’Reilly Automotive, Inc.*

     3,900        1,440,348  
COMMON STOCKS
(continued)
   Shares      Value  

Specialty Retail (continued)

 

Ross Stores, Inc.

     18,200      $ 1,803,984  

Tiffany & Co.(a)

     5,220        488,801  

TJX Cos., Inc. (The)

     60,700        3,209,816  

Tractor Supply Co.(a)

     6,000        652,800  

Ulta Beauty, Inc.*

     2,900        1,005,981  
     

 

 

 
        28,344,587  
     

 

 

 

Technology Hardware, Storage & Peripherals — 1.9%

 

Apple, Inc.

     218,590        43,263,333  

FUJIFILM Holdings Corp. (Japan)

     3,400        172,918  

Hewlett Packard Enterprise Co.

     67,448        1,008,348  

HP, Inc.

     75,148        1,562,327  

Konica Minolta, Inc. (Japan)

     3,200        31,265  

NEC Corp. (Japan)

     400        15,790  

NetApp, Inc.(a)

     12,100        746,570  

Ricoh Co. Ltd. (Japan)

     3,300        33,030  

Seagate Technology PLC

     12,100        570,152  

Western Digital Corp.(a)

     14,703        699,128  

Xerox Corp.

     9,290        328,959  
     

 

 

 
        48,431,820  
     

 

 

 

Textiles, Apparel & Luxury Goods — 0.4%

 

adidas AG (Germany)

     619        191,258  

Capri Holdings Ltd.*

     7,600        263,568  

Hanesbrands, Inc.(a)

     15,400        265,188  

Hermes International (France)

     43        31,035  

Kering SA (France)

     273        161,110  

LVMH Moet Hennessy Louis Vuitton SE (France)

     699        297,622  

Moncler SpA (Italy)

     242        10,383  

NIKE, Inc. (Class B Stock)

     61,700        5,179,715  

PVH Corp.

     3,700        350,168  

Ralph Lauren Corp.

     2,500        283,975  

Swatch Group AG (The) (Switzerland)

     77        4,177  

Tapestry, Inc.

     13,400        425,182  

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

     7,500        190,125  

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

     7,374        163,703  

VF Corp.

     15,800        1,380,130  
     

 

 

 
        9,197,339  
     

 

 

 

Tobacco — 0.4%

 

Altria Group, Inc.

     91,900        4,351,465  

British American Tobacco PLC (United Kingdom)

     5,436        190,058  

Imperial Brands PLC (United Kingdom)

     4,429        103,962  

Japan Tobacco, Inc. (Japan)

     1,500        33,104  

Philip Morris International, Inc.

     76,200        5,983,986  
     

 

 

 
        10,662,575  
     

 

 

 

Trading Companies & Distributors — 0.1%

 

Ashtead Group PLC (United Kingdom)

     1,613        46,268  

Fastenal Co.

     27,400        892,966  

ITOCHU Corp. (Japan)

     2,600        49,762  

Marubeni Corp. (Japan)

     2,400        15,923  

Mitsubishi Corp. (Japan)

     2,100        55,448  

Mitsui & Co. Ltd. (Japan)

     10,300        167,994  

Sumitomo Corp. (Japan)

     10,300        156,385  

United Rentals, Inc.*

     4,100        543,783  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A10


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Trading Companies & Distributors (continued)

 

W.W. Grainger, Inc.

     2,300      $ 616,929  
     

 

 

 
        2,545,458  
     

 

 

 

Transportation Infrastructure — 0.0%

 

Aena SME SA (Spain), 144A

     681        135,032  

Fraport AG Frankfurt Airport Services Worldwide (Germany)

     869        74,827  

Kamigumi Co. Ltd. (Japan)

     5,700        135,076  
     

 

 

 
        344,935  
     

 

 

 

Water Utilities — 0.0%

 

American Water Works Co., Inc.(a)

     9,100        1,055,600  

United Utilities Group PLC (United Kingdom)

     1,042        10,355  
     

 

 

 
        1,065,955  
     

 

 

 

Wireless Telecommunication Services — 0.0%

 

KDDI Corp. (Japan)

     3,600        91,535  

NTT DOCOMO, Inc. (Japan)

     2,000        46,648  

SoftBank Group Corp. (Japan)

     1,200        57,592  

Vodafone Group PLC (United Kingdom)

     3,646        5,980  
     

 

 

 
        201,755  
     

 

 

 

TOTAL COMMON STOCKS
(cost $371,809,484)

 

     1,224,753,177  
     

 

 

 
EXCHANGE-TRADED FUNDS — 0.3%

 

  

iShares Core S&P 500 ETF

     22,300        6,572,925  

iShares MSCI EAFE ETF

     3,259        214,214  
     

 

 

 

TOTAL EXCHANGE-TRADED FUNDS
(cost $5,859,562)

 

     6,787,139  
     

 

 

 
PREFERRED STOCKS — 0.1%

 

  

Automobiles — 0.0%

     

Bayerische Motoren Werke AG (Germany) (PRFC)

     75        4,661  

Porsche Automobil Holding SE (Germany) (PRFC)

     227        14,760  
     

 

 

 
        19,421  
     

 

 

 

Banks — 0.0%

 

Citigroup Capital XIII, 8.953% (Capital Security, fixed to floating preferred)(a)

     20,000        551,800  
     

 

 

 

Capital Markets — 0.1%

 

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

     30,000        793,500  
     

 

 

 

Health Care Equipment & Supplies — 0.0%

 

Sartorius AG (Germany) (PRFC)

     55        11,289  
     

 

 

 

Household Products — 0.0%

 

Henkel AG & Co. KGaA (Germany) (PRFC)

     245        23,941  
     

 

 

 

TOTAL PREFERRED STOCKS
(cost $1,310,609)

 

     1,399,951  
     

 

 

 
RIGHTS* — 0.0%    Units      Value  

Construction & Engineering

     

ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/10/19
(cost $4,573)

     2,769      $ 4,345  
     

 

 

 

Interest
Rate

   Maturity
Date
    

 

     Principal
Amount
(000)#
        
ASSET-BACKED SECURITIES — 7.9%

 

Automobiles — 2.3%

 

        

AmeriCredit Automobile Receivables Trust,

 

Series 2018-01, Class C

 

3.500%

     01/18/24           1,200        1,232,156  

Series 2019-01, Class B

 

3.130%

     02/18/25           600        611,162  

Series 2019-01, Class C

 

3.360%

     02/18/25           700        717,143  

Series 2019-02, Class C

 

2.740%

     04/18/25           1,400        1,405,889  

Avis Budget Rental Car Funding AESOP LLC,

 

Series 2015-01A, Class A, 144A

 

2.500%

     07/20/21           1,700        1,701,531  

Series 2015-02A, Class A, 144A

 

2.630%

     12/20/21           3,200        3,208,122  

Series 2018-01A, Class A, 144A

 

3.700%

     09/20/24           1,300        1,355,096  

Series 2018-02A, Class A, 144A

 

4.000%

     03/20/25           1,100        1,162,590  

Series 2019-02A, Class A, 144A

 

3.350%

     09/22/25           2,000        2,061,294  

Drive Auto Receivables Trust,

 

Series 2018-01, Class B

 

2.880%

     02/15/22           386        386,050  

Series 2019-03, Class B

 

2.650%

     02/15/24           900        903,211  

Ford Credit Auto Owner Trust,

 

Series 2017-01, Class A, 144A

 

2.620%

     08/15/28           800        809,506  

Series 2017-02, Class A, 144A

 

2.360%

     03/15/29           4,200        4,209,341  

Series 2018-01, Class A, 144A

 

3.190%

     07/15/31           700        721,497  

Series 2018-02, Class A, 144A

 

        

3.470%

     01/15/30           2,200        2,304,356  

Series 2019-01, Class A, 144A

 

        

3.520%

     07/15/30           3,900        4,078,486  

Ford Credit Floorplan Master Owner Trust,

 

  

Series 2017-03, Class A

 

        

2.480%

     09/15/24           3,300        3,336,908  

Series 2018-02, Class A

 

        

3.170%

     03/15/25           9,700        10,042,966  

Ford Credit Floorplan Master Owner Trust A,

 

  

Series 2019-02, Class A

 

        

3.060%

     04/15/26           1,000        1,030,721  

GM Financial Consumer Automobile Receivables Trust,

 

Series 2018-04, Class C

 

        

3.620%

     06/17/24           300        309,210  

OneMain Direct Auto Receivables Trust,

 

Series 2017-01A, Class A, 144A

 

        

2.160%

     10/15/20           69        69,038  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A11


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Automobiles (continued)

 

        

Series 2017-02A, Class B, 144A

 

        

2.550%

     11/14/23           2,300      $ 2,296,600  

Series 2017-02A, Class C, 144A

 

        

2.820%

     07/15/24           600        600,857  

Series 2018-01A, Class A, 144A

 

        

3.430%

     12/16/24           3,800        3,853,482  

Series 2019-01A, Class A, 144A

 

        

3.630%

     09/14/27           3,600        3,723,427  

Santander Drive Auto Receivables Trust,

 

Series 2018-02, Class C

 

        

3.350%

     07/17/23           30        30,284  

Series 2018-04, Class C

 

        

3.560%

     07/15/24           1,500        1,522,772  

Toyota Auto Loan Extended Note Trust,

 

Series 2019-01A, Class A, 144A

 

        

2.560%

     11/25/31           4,100        4,148,047  
           

 

 

 
              57,831,742  
           

 

 

 

Collateralized Loan Obligations — 3.1%

 

  

ArrowMark Colorado Holdings (Cayman Islands),

 

  

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

 

3.877%(c)

     07/15/29           500        500,013  

Battalion CLO Ltd. (Cayman Islands),

 

        

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

 

3.941%(c)

     07/18/30           1,000        1,001,431  

Benefit Street Partners CLO Ltd. (Cayman Islands),

 

  

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

 

3.847%(c)

     07/15/29           1,000        1,000,588  

Brookside Mill CLO Ltd. (Cayman Islands),

 

  

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

 

3.408%(c)

     01/17/28           1,000        992,999  

Canyon Capital CLO Ltd. (Cayman Islands),

 

  

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

 

3.847%(c)

     04/15/29           2,500        2,492,951  

CIFC Funding Ltd. (Cayman Islands),

 

        

Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%

 

3.788%(c)

     10/17/31           7,000        6,976,089  

Galaxy CLO Ltd. (Cayman Islands),

 

        

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

 

3.308%(c)

     11/15/26           975        973,028  

Greenwood Park CLO Ltd. (Cayman Islands),

 

  

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

 

3.607%(c)

     04/15/31           1,000        988,241  

Highbridge Loan Management Ltd. (Cayman Islands),

 

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

 

3.565%(c)

     02/05/31           250        247,793  

ICG US CLO Ltd. (Cayman Islands),

 

        

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)

 

3.732%(c)

     10/19/28           7,000        6,992,743  

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

 

3.872%(c)

     10/23/29           1,250        1,248,907  

Jackson Mill CLO Ltd. (Cayman Islands),

 

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

 

3.427%(c)

     04/15/27           1,250        1,245,119  

Interest
Rate

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

 

Collateralized Loan Obligations (continued)

 

  

Jamestown CLO Ltd. (Cayman Islands),

 

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%)

 

3.893%(c)

     04/20/32           4,750      $ 4,753,748  

Jefferson Mill CLO Ltd. (Cayman Islands),

 

  

Series 2015-01A, Class AR, 3 Month LIBOR + 1.175%

 

3.756%(c)

     10/20/31           4,250        4,218,368  

MidOcean Credit CLO (Cayman Islands),

 

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

 

3.712%(c)

     04/21/31           3,500        3,467,289  

Mountain View CLO Ltd. (Cayman Islands),

 

  

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

 

3.717%(c)

     07/15/31           2,500        2,476,261  

Ocean Trails CLO Ltd. (Cayman Islands),

 

Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400%

 

3.942%(c)

     04/17/30           1,750        1,751,886  

OCP CLO Ltd. (Cayman Islands),

 

        

Series 2019-17A, Class A1, 144A

 

—%(p)

     07/20/32           7,000        7,000,000  

OZLM Ltd. (Cayman Islands),

 

        

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

 

3.668%(c)

     04/17/31           3,000        2,966,214  

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

 

3.833%(c)

     10/30/30           750        749,897  

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

 

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

 

3.748%(c)

     11/14/29           500        498,829  

Sound Point CLO Ltd. (Cayman Islands),

 

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

 

3.472%(c)

     07/20/27           1,000        1,000,008  

Telos CLO Ltd. (Cayman Islands),

 

        

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

 

3.888%(c)

     07/17/26           2,500        2,500,419  

TIAA CLO Ltd. (Cayman Islands),

 

        

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200%

 

3.792%(c)

     07/20/31           1,750        1,739,825  

TICP CLO Ltd. (Cayman Islands),

 

        

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

 

3.827%(c)

     07/15/29           1,000        999,582  

Trimaran Cavu Ltd. (Cayman Islands),

 

  

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460%

 

3.927%(c)

     07/20/32           7,500        7,503,865  

Trinitas CLO Ltd. (Cayman Islands),

 

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

 

3.900%(c)

     07/25/29           1,000        1,001,960  

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

 

3.790%(c)

     01/25/31           1,750        1,736,563  

Venture CLO Ltd. (Cayman Islands),

 

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

 

3.477%(c)

     07/15/27           1,000        1,000,021  

Wellfleet CLO Ltd. (Cayman Islands),

 

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

 

3.912%(c)

     04/20/29           1,500        1,499,384  

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

 

3.738%(c)

     01/17/31           2,000        1,989,067  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A12


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Collateralized Loan Obligations (continued)

 

  

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%

 

3.792%(c)

     10/20/31           3,750      $ 3,727,180  

Zais CLO Ltd. (Cayman Islands),

 

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

 

3.967%(c)

     07/15/29           1,250        1,255,034  
           

 

 

 
              78,495,302  
           

 

 

 

Consumer Loans — 0.2%

 

OneMain Financial Issuance Trust,

 

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

 

3.201%(c)

     09/14/32           2,600        2,605,371  

Oportun Funding X LLC,

 

Series 2018-C, Class A, 144A

 

        

4.100%

     10/08/24           1,100        1,128,099  

Oportun Funding XII LLC,

 

Series 2018-D, Class A, 144A

 

        

4.150%

     12/09/24           800        822,644  
           

 

 

 
              4,556,114  
           

 

 

 

Credit Cards — 0.2%

 

Citibank Credit Card Issuance Trust,

 

Series 2018-A07, Class A7

 

        

3.960%

     10/13/30           4,300        4,774,757  
           

 

 

 

Equipment — 0.3%

 

MMAF Equipment Finance LLC,

 

Series 2017-B, Class A4, 144A

 

        

2.410%

     11/15/24           1,300        1,309,236  

Series 2017-B, Class A5, 144A

 

        

2.720%

     06/15/40           2,100        2,138,848  

Series 2018-A, Class A4, 144A

 

        

3.390%

     01/10/25           1,200        1,239,289  

Series 2018-A, Class A5, 144A

 

        

3.610%

     03/10/42           500        523,852  

Series 2019-A, Class A5, 144A

 

        

3.080%

     11/12/41           1,600        1,646,110  
           

 

 

 
              6,857,335  
           

 

 

 

Home Equity Loans — 0.1%

 

CDC Mortgage Capital Trust,

 

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

 

4.054%(c)

     03/25/33           98        98,975  

Morgan Stanley ABS Capital I, Inc. Trust,

 

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

 

3.604%(c)

     05/25/33           59        59,662  

Morgan Stanley Dean Witter Capital I, Inc. Trust,

 

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

 

3.304%(c)

     07/25/32           65        64,932  

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

 

3.679%(c)

     09/25/32           1,627        1,630,194  
           

 

 

 
              1,853,763  
           

 

 

 

Other — 0.2%

 

Park Avenue Funding Trust,

 

Series 2019-02, Class PT, 144A

 

        

—%(p)

     11/27/20           2,070        2,070,000  

Sierra Timeshare Receivables Funding LLC,

 

Series 2018-02A, Class A, 144A

 

        

3.500%

     06/20/35           1,262        1,297,776  

Interest
Rate

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

 

Other (continued)

 

  

TH MSR Issuer Trust,

 

Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800%

 

5.204%(c)

     06/25/24           2,240      $ 2,240,000  
           

 

 

 
              5,607,776  
           

 

 

 

Residential Mortgage-Backed Securities — 0.7%

 

Credit-Based Asset Servicing & Securitization LLC,

 

Series 2005-CB06, Class A3

 

        

3.649%

     07/25/35           199        198,743  

CSMC Trust,

 

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

 

5.590%(c)

     12/26/46           2,375        2,386,367  

Series 2018-RPL08, Class A1, 144A

 

  

4.125%(cc)

     07/25/58           1,278        1,294,677  

CWABS, Inc., Asset-Backed Certificates,

 

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

 

3.154%(c)

     03/25/34           770        773,925  

Equity One Mortgage Pass-Through Trust,

 

Series 2004-03, Class M1

 

        

4.498%

     07/25/34           246        254,337  

Legacy Mortgage Asset Trust,

 

Series 2019-GS02, Class A1, 144A

 

  

3.750%

     01/25/59           193        194,890  

Series 2019-GS03, Class A1, 144A

 

  

3.750%

     04/25/59           196        198,308  

Series 2019-GS04, Class A1, 144A

 

  

3.438%

     05/25/59           1,094        1,101,987  

Series 2019-SL01, Class A, 144A

 

4.000%

     12/28/54           183        184,192  

Long Beach Mortgage Loan Trust,

 

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

 

3.199%(c)

     06/25/34           176        174,952  

Mill City Mortgage Loan Trust,

 

Series 2017-03, Class A1, 144A

 

2.750%(cc)

     01/25/61           1,455        1,460,274  

TFS (Spain),

 

Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%

 

2.900%(c)

     03/16/23         EUR  2,001        2,270,758  

Towd Point Mortgage Trust,

 

Series 2017-04, Class A1, 144A

 

2.750%(cc)

     06/25/57           896        900,580  

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

 

3.004%(c)

     02/25/57           2,583        2,575,841  

Series 2017-06, Class A1, 144A

 

2.750%(cc)

     10/25/57           2,193        2,209,878  

Series 2018-02, Class A1, 144A

 

3.250%(cc)

     03/25/58           210        213,374  

Series 2018-03, Class A1, 144A

 

3.750%(cc)

     05/25/58           94        97,697  

Series 2018-05, Class A1, 144A

 

3.250%(cc)

     07/25/58           728        742,932  
           

 

 

 
              17,233,712  
           

 

 

 

Student Loans — 0.8%

 

Commonbond Student Loan Trust,

 

Series 2017-BGS, Class A1, 144A

 

2.680%

     09/25/42           1,959        1,959,747  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A13


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Student Loans (continued)

 

  

Series 2018-AGS, Class A1, 144A

 

3.210%

     02/25/44           1,329      $ 1,355,046  

Series 2018-CGS, Class A1, 144A

 

3.870%

     02/25/46           536        556,315  

Series 2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)

 

3.204%(c)

     02/25/46           652        649,108  

Laurel Road Prime Student Loan Trust,

 

Series 2017-C, Class A2B, 144A

 

2.810%

     11/25/42           1,451        1,467,928  

Series 2018-B, Class A2FX, 144A

 

3.540%

     05/26/43           2,200        2,253,752  

Navient Private Education Refi Loan Trust,

 

Series 2018-A, Class A2, 144A

 

3.190%

     02/18/42           3,300        3,353,045  

Series 2018-CA, Class A2, 144A

 

3.520%

     06/16/42           1,200        1,232,448  

Series 2019-CA, Class A2, 144A

 

3.130%

     02/15/68           1,400        1,429,800  

SoFi Professional Loan Program LLC,

 

Series 2019-A, Class A2FX, 144A

 

3.690%

     06/15/48           2,600        2,728,944  

Series 2019-B, Class A2FX, 144A

 

3.090%

     08/17/48           1,400        1,422,750  

SoFi Professional Loan Program Trust,

 

Series 2018-B, Class A1FX, 144A

 

2.640%

     08/25/47           1,246        1,249,122  

Series 2018-B, Class A2FX, 144A

 

3.340%

     08/25/47           2,200        2,258,293  
           

 

 

 
              21,916,298  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $196,567,823)

 

     199,126,799  
           

 

 

 
BANK LOANS — 0.0%

 

Software

           

First Data Corp.,

 

2022D New Dollar Term Loan, 1 Month LIBOR + 2.000%

 

4.404%(c)

     07/08/22           736        735,095  

2024A New Dollar Term Loan, 1 Month LIBOR + 2.000%

 

4.404%(c)

     04/26/24           500        499,444  
           

 

 

 

TOTAL BANK LOANS
(cost $1,233,569)

 

     1,234,539  
           

 

 

 
COMMERCIAL MORTGAGE-BACKED
SECURITIES — 8.0%

 

Assurant Commercial Mortgage Trust,

 

Series 2016-01A, Class AS, 144A

 

3.172%

     05/15/49           3,100        3,106,573  

BBCMS Mortgage Trust,

 

Series 2018-C02, Class A4

 

4.047%

     12/15/51           3,850        4,236,784  

Benchmark Mortgage Trust,

 

Series 2018-B03, Class A4

 

3.761%

     04/10/51           3,600        3,889,424  

Interest
Rate

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

 

CFCRE Commercial Mortgage Trust,

 

Series 2016-C04, Class A3

 

3.014%

     05/10/58           2,500      $ 2,546,643  

Citigroup Commercial Mortgage Trust,

 

Series 2013-GC11, Class A3

 

2.815%

     04/10/46           888        906,008  

Series 2014-GC21, Class A4

 

3.575%

     05/10/47           1,058        1,108,456  

Series 2016-C01, Class A3

 

2.944%

     05/10/49           2,700        2,760,705  

Series 2017-P07, Class A3

 

3.442%

     04/14/50           4,000        4,212,582  

Commercial Mortgage Trust,

 

Series 2014-CR15, Class A2

 

2.928%

     02/10/47           590        589,578  

Series 2014-CR18, Class A4

 

3.550%

     07/15/47           2,100        2,195,321  

Series 2014-LC17, Class A4

 

3.648%

     10/10/47           5,000        5,286,394  

CSAIL Commercial Mortgage Trust,

 

Series 2015-C04, Class A3

 

3.544%

     11/15/48           2,500        2,628,496  

Series 2017-C08, Class A3

 

3.127%

     06/15/50           3,800        3,888,621  

Fannie Mae-Aces,

 

Series 2015-M08, Class AB2

 

2.829%(cc)

     01/25/25           2,158        2,225,039  

Series 2015-M17, Class A2

 

3.035%(cc)

     11/25/25           3,000        3,107,568  

Series 2016-M07, Class AB2

 

2.385%

     09/25/26           1,800        1,793,158  

Series 2017-M01, Class A2

 

2.496%(cc)

     10/25/26           1,600        1,597,763  

Series 2017-M04, Class A2

 

2.672%(cc)

     12/25/26           8,600        8,670,755  

Series 2017-M08, Class A2

 

3.061%(cc)

     05/25/27           5,900        6,139,212  

Series 2018-M04, Class A2

 

3.144%(cc)

     03/25/28           3,075        3,203,454  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K020, Class X1, IO

 

1.535%(cc)

     05/25/22           19,074        649,895  

Series K021, Class X1, IO

 

1.568%(cc)

     06/25/22           5,271        192,974  

Series K055, Class X1, IO

 

1.499%(cc)

     03/25/26           4,599        356,221  

Series K064, Class AM

 

3.327%(cc)

     03/25/27           4,200        4,451,501  

Series K068, Class AM

 

3.315%

     08/25/27           4,100        4,345,526  

Series K069, Class A2

 

3.187%(cc)

     09/25/27           3,500        3,693,145  

Series K069, Class AM

 

3.248%(cc)

     09/25/27           750        790,249  

Series K070, Class A2

 

3.303%(cc)

     11/25/27           5,200        5,532,925  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A14


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Series K070, Class AM

 

3.364%

     12/25/27           1,100      $ 1,171,034  

Series K072, Class A2

 

3.444%

     12/25/27           1,400        1,504,142  

Series K075, Class AM

 

3.650%(cc)

     02/25/28           2,550        2,760,833  

Series K076, Class A2

 

3.900%

     04/25/28           6,200        6,885,704  

Series K076, Class AM

 

3.900%

     04/25/28           1,825        2,014,826  

Series K077, Class A2

 

3.850%(cc)

     05/25/28           3,470        3,834,128  

Series K077, Class AM

 

3.850%(cc)

     05/25/28           690        758,919  

Series K080, Class AM

 

3.986%(cc)

     07/25/28           5,150        5,713,136  

Series K081, Class AM

 

3.900%(cc)

     08/25/28           2,600        2,869,943  

Series K086, Class AM

 

3.919%(cc)

     12/25/28           800        888,430  

Series K157, Class A2

 

3.990%(cc)

     05/25/33           3,100        3,482,981  

Series K711, Class X1, IO

 

1.686%(cc)

     07/25/19           1,512        189  

Series W5FX, Class AFX

 

3.336%(cc)

     04/25/28           1,630        1,704,161  

GS Mortgage Securities Trust,

 

Series 2015-GC28, Class A4

 

3.136%

     02/10/48           3,000        3,101,233  

Series 2015-GC34, Class A3

 

3.244%

     10/10/48           4,800        4,993,977  

Series 2016-GS03, Class A3

 

2.592%

     10/10/49           4,200        4,210,766  

Series 2016-GS04, Class A3

 

3.178%

     11/10/49           4,000        4,151,411  

JPMBB Commercial Mortgage Securities Trust,

 

Series 2014-C25, Class A4A1

 

3.408%

     11/15/47           1,100        1,146,310  

Series 2015-C27, Class A3A1

 

2.920%

     02/15/48           5,000        5,090,805  

JPMCC Commercial Mortgage Securities Trust,

 

Series 2017-JP06, Class A3

 

3.109%

     07/15/50           5,581        5,735,852  

JPMDB Commercial Mortgage Securities Trust,

 

Series 2016-C02, Class A3A

 

2.881%

     06/15/49           2,500        2,548,822  

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2012-CBX, Class A3

 

3.139%

     06/15/45           37        36,870  

Series 2012-LC09, Class A4

 

2.611%

     12/15/47           153        153,007  

Series 2013-LC11, Class A4

 

2.694%

     04/15/46           498        506,059  

LB-UBS Commercial Mortgage Trust,

 

Series 2007-C06, Class AM

 

6.114%(cc)

     07/15/40           12        12,275  

Interest
Rate

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

 

Morgan Stanley Bank of America Merrill Lynch Trust,

 

Series 2013-C08, Class A3

 

2.863%

     12/15/48           1,081      $ 1,101,461  

Morgan Stanley Capital I Trust,

 

Series 2015-UBS08, Class A3

 

3.540%

     12/15/48           5,000        5,278,617  

Series 2016-UB11, Class A3

 

2.531%

     08/15/49           6,300        6,266,441  

Series 2019-H06, Class A3

 

3.158%

     06/15/52           5,000        5,136,974  

UBS Commercial Mortgage Trust,

 

Series 2017-C02, Class ASB

 

3.264%

     08/15/50           2,500        2,596,573  

Series 2017-C05, Class A4

 

3.212%

     11/15/50           5,000        5,172,082  

Series 2018-C09, Class A3

 

3.854%

     03/15/51           1,800        1,946,324  

Series 2018-C14, Class A3

 

4.180%

     12/15/51           2,900        3,216,288  

UBS-Barclays Commercial Mortgage Trust,

 

Series 2012-C04, Class A4

 

2.792%

     12/10/45           1,400        1,420,566  

Series 2013-C05, Class A3

 

2.920%

     03/10/46           2,676        2,730,531  

Series 2013-C06, Class A3

 

2.971%

     04/10/46           1,498        1,531,934  

Wells Fargo Commercial Mortgage Trust,

 

Series 2016-NXS06, Class A3

 

2.642%

     11/15/49           4,500        4,503,834  

Series 2017-C38, Class A4

 

3.190%

     07/15/50           3,300        3,411,674  

Series 2019-C49, Class A3

 

3.749%

     03/15/52           7,300        7,745,081  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $194,131,411)

 

     201,439,163  
           

 

 

 
CORPORATE BONDS — 11.5%

 

Aerospace & Defense — 0.2%

 

Embraer Netherlands Finance BV (Brazil),

 

Gtd. Notes

 

5.050%

     06/15/25           706        761,604  

Embraer Overseas Ltd. (Brazil),

 

Gtd. Notes, 144A

 

5.696%

     09/16/23           765        837,683  

General Dynamics Corp.,

 

Gtd. Notes

 

3.000%

     05/11/21           1,790        1,818,984  

United Technologies Corp.,

 

Sr. Unsec’d. Notes

 

4.125%

     11/16/28           910        999,727  
           

 

 

 
              4,417,998  
           

 

 

 

Agriculture — 0.1%

 

BAT Capital Corp. (United Kingdom),

 

Gtd. Notes

 

3.222%

     08/15/24           2,685        2,702,633  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A15


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Airlines — 0.2%

 

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

 

Pass-Through Certificates

 

3.375%

     11/01/28           2,115      $ 2,150,444  

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

 

Pass-Through Certificates

 

6.703%

     12/15/22           13        13,847  

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

 

Pass-Through Certificates

 

7.250%

     05/10/21           412        417,557  

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

 

Pass-Through Certificates

 

4.750%

     07/12/22           323        332,034  

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

 

Pass-Through Certificates

 

4.000%

     04/29/26           293        306,110  

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

 

Pass-Through Certificates

 

6.821%

     02/10/24           214        235,332  

Delta Air Lines, Inc.,

 

Sr. Unsec’d. Notes

 

2.875%

     03/13/20           1,300        1,301,579  
           

 

 

 
              4,756,903  
           

 

 

 

Auto Manufacturers — 0.4%

 

BMW US Capital LLC (Germany),

 

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

 

3.014%(c)

     04/12/21           355        355,306  

Gtd. Notes, 144A

 

3.100%

     04/12/21           480        485,616  

Daimler Finance North America LLC (Germany),

 

Gtd. Notes, 144A

 

3.100%

     05/04/20           875        879,658  

3.350%

     05/04/21           1,455        1,475,468  

Ford Motor Co.,

 

Sr. Unsec’d. Notes

 

5.291%

     12/08/46           665        618,558  

Ford Motor Credit Co. LLC,

 

Sr. Unsec’d. Notes

 

3.336%

     03/18/21           515        517,644  

General Motors Co.,

 

Sr. Unsec’d. Notes

 

6.250%

     10/02/43           740        787,738  

6.600%

     04/01/36           585        647,597  

General Motors Financial Co., Inc.,

 

Gtd. Notes, 3 Month LIBOR + 0.850%

 

3.442%(c)

     04/09/21           820        819,626  

Gtd. Notes

 

3.550%

     04/09/21           620        629,028  

3.950%

     04/13/24           1,700        1,736,824  

Harley-Davidson Financial Services, Inc.,

 

Gtd. Notes, 144A, MTN

 

2.850%

     01/15/21           2,300        2,304,500  
           

 

 

 
              11,257,563  
           

 

 

 

Interest
Rate

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

 

Banks — 3.3%

 

Banco Santander SA (Spain),

 

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

 

3.724%(c)

     04/12/23          400      $ 398,318  

Sr. Unsec’d. Notes

 

3.848%

     04/12/23          800        830,480  

Bank of America Corp.,

 

Jr. Sub. Notes, Series DD

 

6.300%(ff)

     (rr)         275        306,982  

Jr. Sub. Notes, Series JJ

 

5.125%(ff)

     (rr)         1,145        1,152,156  

Sr. Unsec’d. Notes, GMTN

 

3.300%

     01/11/23          1,520        1,566,780  

Sr. Unsec’d. Notes, MTN

 

3.499%(ff)

     05/17/22          2,275        2,318,843  

3.824%(ff)

     01/20/28          615        651,007  

4.000%

     04/01/24          745        793,883  

Sub. Notes, MTN

 

4.000%

     01/22/25          1,700        1,788,072  

4.450%

     03/03/26          4,790        5,166,700  

Bank of America NA,

 

Sub. Notes

 

6.000%

     10/15/36          805        1,061,259  

Bank of Montreal (Canada),

 

Sr. Unsec’d. Notes, MTN

 

2.900%

     03/26/22          970        984,848  

Barclays PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

3.650%

     03/16/25          610        613,074  

3.684%

     01/10/23          320        324,191  

4.375%

     01/12/26          323        334,263  

Sr. Unsec’d. Notes, MTN

 

4.972%(ff)

     05/16/29          705        751,940  

Citigroup, Inc.,

 

Jr. Sub. Notes, Series Q

 

5.950%(ff)

     (rr)         1,590        1,635,029  

Jr. Sub. Notes, Series R

 

6.125%(ff)

     (rr)         945        970,987  

Jr. Sub. Notes, Series T

 

6.250%(ff)

     (rr)         640        702,906  

Sr. Unsec’d. Notes

 

3.200%

     10/21/26          670        683,295  

3.700%

     01/12/26          1,610        1,694,846  

3.887%(ff)

     01/10/28          560        592,462  

8.125%

     07/15/39          365        583,860  

Sub. Notes

 

4.450%

     09/29/27          1,485        1,599,946  

4.750%

     05/18/46          440        497,668  

Credit Suisse Group AG (Switzerland),

 

Sr. Unsec’d. Notes, 144A

 

4.282%

     01/09/28          980        1,034,572  

Deutsche Bank AG (Germany),

 

Sr. Unsec’d. Notes, GMTN

 

3.375%

     05/12/21          1,240        1,234,720  

Sr. Unsec’d. Notes, Series D

 

5.000%

     02/14/22          1,350        1,391,601  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A16


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Banks (continued)

 

Discover Bank,

 

Sr. Unsec’d. Notes

 

4.250%

     03/13/26          595      $ 630,497  

Sub. Notes

 

7.000%

     04/15/20          485        501,561  

Goldman Sachs Group, Inc. (The),

 

Jr. Sub. Notes, Series M

 

5.375%(ff)

     (rr)         1,800        1,802,250  

Jr. Sub. Notes, Series O

 

5.300%(ff)

     (rr)         560        584,500  

Sr. Unsec’d. Notes

 

3.750%

     02/25/26          1,165        1,216,047  

3.814%(ff)

     04/23/29          440        459,873  

3.850%

     01/26/27          2,625        2,743,638  

5.750%

     01/24/22          3,265        3,528,759  

Sub. Notes

 

6.750%

     10/01/37          225        294,289  

HSBC Holdings PLC (United Kingdom),

 

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

 

3.120%(c)

     05/18/21          1,530        1,531,209  

Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240%

 

4.693%(c)

     03/08/21          920        946,641  

Sr. Unsec’d. Notes

 

4.875%

     01/14/22          1,230        1,302,766  

ING Groep NV (Netherlands),

 

Sr. Unsec’d. Notes

 

3.550%

     04/09/24          400        413,776  

JPMorgan Chase & Co.,

 

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

 

6.053%(c)

     (rr)         1,435        1,434,225  

Jr. Sub. Notes, Series X

 

6.100%(ff)

     (rr)         1,175        1,265,851  

Sr. Unsec’d. Notes

 

3.782%(ff)

     02/01/28          270        286,230  

3.964%(ff)

     11/15/48          2,240        2,376,619  

4.005%(ff)

     04/23/29          1,360        1,467,067  

4.250%

     10/15/20          1,660        1,700,979  

Sub. Notes

 

3.875%

     09/10/24          3,525        3,705,951  

JPMorgan Chase Bank NA,

 

Sr. Unsec’d. Notes

 

3.086%(ff)

     04/26/21          3,000        3,016,860  

Lloyds Bank PLC (United Kingdom),

 

Gtd. Notes

 

3.300%

     05/07/21          1,400        1,421,900  

Gtd. Notes, 144A, MTN

 

5.800%

     01/13/20          1,770        1,801,589  

Manufacturers & Traders Trust Co.,

 

Sr. Unsec’d. Notes

 

2.900%

     02/06/25          2,385        2,435,341  

Morgan Stanley,

 

Jr. Sub. Notes, Series H

 

5.450%(ff)

     (rr)         640        638,400  

Sr. Unsec’d. Notes

 

4.375%

     01/22/47          930        1,035,182  

Interest
Rate

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

 

Banks (continued)

 

Sr. Unsec’d. Notes, GMTN

 

3.750%

     02/25/23           610      $ 637,217  

3.772%(ff)

     01/24/29           1,295        1,358,637  

3.875%

     01/27/26           550        584,657  

4.431%(ff)

     01/23/30           455        503,348  

Sr. Unsec’d. Notes, MTN

 

3.591%(ff)

     07/22/28           1,030        1,072,488  

Sub. Notes, GMTN

 

4.350%

     09/08/26           3,050        3,270,596  

Royal Bank of Canada (Canada),

 

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

 

2.973%(c)

     04/30/21           1,620        1,624,511  

Sr. Unsec’d. Notes, GMTN

 

3.200%

     04/30/21           360        366,393  

Royal Bank of Scotland Group PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

4.445%(ff)

     05/08/30           1,570        1,625,142  

State Bank of India (India),

 

Sr. Unsec’d. Notes, 144A

 

4.375%

     01/24/24           1,255        1,311,462  
           

 

 

 
              82,561,139  
           

 

 

 

Beverages — 0.1%

 

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),

 

Gtd. Notes

 

4.700%

     02/01/36           1,220        1,338,304  

Keurig Dr. Pepper, Inc.,

 

Gtd. Notes

 

3.551%

     05/25/21           830        847,887  
           

 

 

 
              2,186,191  
           

 

 

 

Building Materials — 0.1%

 

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

4.750%

     01/15/28           300        297,750  

5.375%

     11/15/24           1,135        1,174,725  
           

 

 

 
              1,472,475  
           

 

 

 

Chemicals — 0.3%

 

Celanese US Holdings LLC,

 

Gtd. Notes

 

5.875%

     06/15/21           1,160        1,229,343  

CF Industries, Inc.,

 

Gtd. Notes

 

5.375%

     03/15/44           445        417,321  

CNAC HK Finbridge Co. Ltd. (China),

 

        

Gtd. Notes

           

3.500%

     07/19/22           2,675        2,692,220  

Dow Chemical Co. (The),

 

        

Sr. Unsec’d. Notes

 

        

5.250%

     11/15/41           5        5,477  

9.400%

     05/15/39           30        47,628  

Sr. Unsec’d. Notes, 144A

 

        

4.800%

     05/15/49           345        372,010  

LyondellBasell Industries NV,

 

        

Sr. Unsec’d. Notes

 

        

4.625%

     02/26/55           620        626,840  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A17


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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          265      $ 300,097  

5.625%

     11/15/43          295        324,610  

NOVA Chemicals Corp. (Canada),

 

       

Sr. Unsec’d. Notes, 144A

 

       

4.875%

     06/01/24          875        905,625  

SASOL Financing USA LLC (South Africa),

 

  

Gtd. Notes

          

5.875%

     03/27/24          600        650,188  

6.500%

     09/27/28          405        454,603  

Union Carbide Corp.,

 

       

Sr. Unsec’d. Notes

 

       

7.500%

     06/01/25          500        602,931  
          

 

 

 
             8,628,893  
          

 

 

 

Commercial Services — 0.1%

 

       

ERAC USA Finance LLC,

 

       

Gtd. Notes, 144A

 

       

4.200%

     11/01/46          875        891,120  

7.000%

     10/15/37          390        532,683  

United Rentals North America, Inc.,

 

       

Gtd. Notes

          

4.875%

     01/15/28          735        749,700  

5.250%

     01/15/30          265        272,288  

5.875%

     09/15/26          375        399,375  
          

 

 

 
             2,845,166  
          

 

 

 

Computers — 0.1%

 

       

Apple, Inc.,

          

Sr. Unsec’d. Notes

 

       

3.200%

     05/13/25          2,400        2,508,762  

Hewlett Packard Enterprise Co.,

 

       

Sr. Unsec’d. Notes, 144A

 

       

2.100%

     10/04/19          150        149,790  
          

 

 

 
             2,658,552  
          

 

 

 

Diversified Financial Services — 0.4%

 

Capital One Financial Corp.,

 

       

Sr. Unsec’d. Notes

 

       

2.500%

     05/12/20          1,625        1,626,685  

3.450%

     04/30/21          3,215        3,273,377  

CDP Financial, Inc. (Canada),

 

       

Gtd. Notes, 144A

 

       

3.150%

     07/24/24          1,050        1,104,957  

Discover Financial Services,

 

       

Sr. Unsec’d. Notes

 

       

3.850%

     11/21/22          900        938,524  

Jefferies Group LLC,

 

       

Sr. Unsec’d. Notes

 

       

6.500%

     01/20/43          465        504,822  

Lehman Brothers Holdings, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

6.875%

     05/02/18 (d)         700        12,180  

Sr. Unsec’d. Notes, MTN

 

       

5.250%

     02/06/12 (d)         1,850        30,895  

Interest
Rate

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

 

Diversified Financial Services (continued)

 

Private Export Funding Corp.,

 

        

U.S. Gov’t. Gtd. Notes, Series GG

 

2.450%

     07/15/24           285      $ 292,378  

U.S. Gov’t. Gtd. Notes, Series NN

 

3.250%

     06/15/25           255        271,011  

Synchrony Financial,

 

        

Sr. Unsec’d. Notes

 

        

2.700%

     02/03/20           2,175        2,175,185  
           

 

 

 
              10,230,014  
           

 

 

 

Electric — 1.2%

           

Avista Corp.,

           

First Mortgage

           

4.350%

     06/01/48           845        930,382  

Baltimore Gas & Electric Co.,

 

        

Sr. Unsec’d. Notes

 

        

6.350%

     10/01/36           530        713,833  

Berkshire Hathaway Energy Co.,

 

        

Sr. Unsec’d. Notes

 

        

5.950%

     05/15/37           335        432,432  

CenterPoint Energy Houston Electric LLC,

 

  

General Ref. Mortgage, Series K2

 

6.950%

     03/15/33           300        423,155  

Consolidated Edison Co. of New York, Inc.,

 

  

Sr. Unsec’d. Notes, Series 09-C

 

        

5.500%

     12/01/39           145        182,177  

Dominion Energy, Inc.,

 

        

Jr. Sub. Notes

           

4.104%

     04/01/21           2,470        2,528,730  

DTE Electric Co.,

 

        

General Ref. Mortgage, Series A

 

4.050%

     05/15/48           1,075        1,189,202  

Duke Energy Carolinas LLC,

 

        

First Mortgage

 

        

6.050%

     04/15/38           530        708,172  

El Paso Electric Co.,

 

        

Sr. Unsec’d. Notes

 

        

6.000%

     05/15/35           845        1,029,948  

Eversource Energy,

 

        

Sr. Unsec’d. Notes

 

        

4.500%

     11/15/19           605        609,089  

Exelon Corp.,

           

Jr. Sub. Notes

 

        

3.497%

     06/01/22           2,397        2,455,684  

Exelon Generation Co. LLC,

 

        

Sr. Unsec’d. Notes

 

        

5.200%

     10/01/19           400        402,426  

6.250%

     10/01/39           1,375        1,625,971  

FirstEnergy Transmission LLC,

 

        

Sr. Unsec’d. Notes, 144A

 

        

5.450%

     07/15/44           265        314,853  

Florida Power & Light Co.,

 

        

First Mortgage

           

5.950%

     10/01/33           380        493,647  

Iberdrola International BV (Spain),

 

        

Gtd. Notes

           

6.750%

     09/15/33           140        172,936  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A18


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Electric (continued)

 

Indiana Michigan Power Co.,

 

       

Sr. Unsec’d. Notes

 

       

3.850%

     05/15/28          2,105      $ 2,259,136  

Israel Electric Corp. Ltd. (Israel),

 

       

Sr. Sec’d. Notes, 144A

 

       

9.375%

     01/28/20          1,000        1,037,980  

Sr. Sec’d. Notes, 144A, GMTN

 

       

4.250%

     08/14/28          575        597,862  

Monongahela Power Co.,

 

       

First Mortgage, 144A

 

       

4.100%

     04/15/24          1,560        1,664,511  

Niagara Mohawk Power Corp.,

 

       

Sr. Unsec’d. Notes, 144A

 

       

4.881%

     08/15/19          545        546,428  

Northern States Power Co.,

 

       

First Mortgage

          

3.600%

     09/15/47          1,035        1,055,665  

Ohio Power Co.,

          

Sr. Unsec’d. Notes

 

       

4.000%

     06/01/49          465        500,949  

PPL Capital Funding, Inc.,

 

       

Gtd. Notes

          

4.000%

     09/15/47          980        945,523  

5.000%

     03/15/44          495        550,222  

PSEG Power LLC,

 

       

Gtd. Notes

          

3.000%

     06/15/21 (a)         1,260        1,273,464  

Public Service Electric & Gas Co.,

 

       

First Mortgage, MTN

 

       

3.000%

     05/15/27          675        687,115  

3.700%

     05/01/28          850        914,687  

Sr. Sec’d. Notes, MTN

 

       

5.800%

     05/01/37          515        664,964  

San Diego Gas & Electric Co.,

 

       

First Mortgage

          

4.150%

     05/15/48          1,010        1,052,400  

Southern California Edison Co.,

 

       

First Ref. Mortgage

 

       

4.000%

     04/01/47          350        348,560  

First Ref. Mortgage, Series C

 

       

3.600%

     02/01/45          690        641,043  

Vistra Operations Co. LLC,

 

       

Gtd. Notes, 144A

 

       

5.000%

     07/31/27          495        512,944  

Xcel Energy, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

4.800%

     09/15/41          480        521,409  
          

 

 

 
             29,987,499  
          

 

 

 

Electronics — 0.0%

 

       

FLIR Systems, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

3.125%

     06/15/21          650        656,356  
          

 

 

 

Engineering & Construction — 0.1%

 

  

Mexico City Airport Trust (Mexico),

 

Sr. Sec’d. Notes, 144A

 

       

5.500%

     07/31/47          1,350        1,344,938  
          

 

 

 

Interest
Rate

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

 

Foods — 0.2%

           

Conagra Brands, Inc.,

 

        

Sr. Unsec’d. Notes

 

        

3.800%

     10/22/21           2,470      $ 2,538,814  

Kraft Heinz Foods Co.,

 

        

Gtd. Notes

           

4.375%

     06/01/46           360        342,043  

Mars, Inc.,

           

Gtd. Notes, 144A

 

        

3.950%

     04/01/49           1,120        1,205,056  
           

 

 

 
              4,085,913  
           

 

 

 

Forest Products & Paper — 0.1%

 

Georgia-Pacific LLC,

 

        

Gtd. Notes, 144A

 

        

5.400%

     11/01/20           275        285,822  

International Paper Co.,

 

        

Sr. Unsec’d. Notes

 

        

6.000%

     11/15/41           1,270        1,488,660  
           

 

 

 
              1,774,482  
           

 

 

 

Gas — 0.2%

           

Dominion Energy Gas Holdings LLC,

 

Sr. Unsec’d. Notes

 

        

4.800%

     11/01/43           45        50,742  

NiSource, Inc.,

           

Sr. Unsec’d. Notes

 

        

3.490%

     05/15/27           2,355        2,435,969  

Piedmont Natural Gas Co., Inc.,

 

        

Sr. Unsec’d. Notes

 

        

3.500%

     06/01/29           2,090        2,186,961  
           

 

 

 
              4,673,672  
           

 

 

 

Healthcare-Products — 0.1%

 

        

Abbott Laboratories,

 

        

Sr. Unsec’d. Notes

 

        

4.900%

     11/30/46           1,445        1,785,672  

Becton, Dickinson & Co.,

 

        

Sr. Unsec’d. Notes

 

        

3.734%

     12/15/24           372        390,206  

Medtronic Global Holdings SCA,

 

        

Gtd. Notes

           

1.625%

     03/07/31         EUR  200        244,227  

2.250%

     03/07/39         EUR  300        385,702  
           

 

 

 
              2,805,807  
           

 

 

 

Healthcare-Services — 0.1%

 

        

Aetna, Inc.,

           

Sr. Unsec’d. Notes

 

        

6.625%

     06/15/36           480        590,547  

Anthem, Inc.,

           

Sr. Unsec’d. Notes

 

        

4.625%

     05/15/42           330        359,227  

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

 

  

Gtd. Notes, 144A

 

        

4.125%

     10/15/20           435        441,003  

HCA, Inc.,

           

Sr. Sec’d. Notes

 

        

5.125%

     06/15/39           665        691,414  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A19


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Healthcare-Services (continued)

 

        

Kaiser Foundation Hospitals,

 

        

Gtd. Notes

           

4.150%

     05/01/47           670      $ 750,553  

Laboratory Corp. of America Holdings,

 

  

Sr. Unsec’d. Notes

 

        

3.200%

     02/01/22           160        162,622  

New York and Presbyterian Hospital (The),

 

  

Unsec’d. Notes

 

        

4.024%

     08/01/45           340        376,813  
           

 

 

 
              3,372,179  
           

 

 

 

Home Builders — 0.0%

 

        

Taylor Morrison Communities, Inc.,

 

        

Gtd. Notes, 144A

 

        

5.875%

     06/15/27           405        412,088  
           

 

 

 

Housewares — 0.1%

 

        

Newell Brands, Inc.,

 

        

Sr. Unsec’d. Notes

 

        

4.200%

     04/01/26           2,010        1,997,602  
           

 

 

 

Insurance — 0.3%

 

        

AXIS Specialty Finance LLC,

 

        

Gtd. Notes

           

5.875%

     06/01/20           990        1,020,664  

Hartford Financial Services Group, Inc. (The),

 

  

Sr. Unsec’d. Notes

 

        

5.125%

     04/15/22           635        680,787  

Liberty Mutual Group, Inc.,

 

        

Gtd. Notes, 144A

 

        

6.500%

     05/01/42           215        284,992  

7.000%

     03/15/34           910        1,192,807  

Lincoln National Corp.,

 

        

Sr. Unsec’d. Notes

 

        

6.300%

     10/09/37           701        891,804  

Markel Corp.,

           

Sr. Unsec’d. Notes

 

        

5.000%

     03/30/43           165        173,611  

New York Life Insurance Co.,

 

        

Sub. Notes, 144A

 

        

6.750%

     11/15/39           650        925,642  

Principal Financial Group, Inc.,

 

        

Gtd. Notes

           

4.625%

     09/15/42           105        116,093  

Teachers Insurance & Annuity Association of America,

 

  

Sub. Notes, 144A

 

        

4.270%

     05/15/47           1,430        1,548,377  

6.850%

     12/16/39           122        172,920  

Unum Group,

           

Sr. Unsec’d. Notes

 

        

5.625%

     09/15/20           315        326,877  

W.R. Berkley Corp.,

 

        

Sr. Unsec’d. Notes

 

        

6.150%

     08/15/19           575        577,228  
           

 

 

 
              7,911,802  
           

 

 

 

Interest
Rate

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

 

Lodging — 0.0%

 

       

Marriott International, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

3.250%

     09/15/22          805      $ 823,231  
          

 

 

 

Machinery-Diversified — 0.0%

 

       

Xylem, Inc.,

          

Sr. Unsec’d. Notes

 

       

4.875%

     10/01/21          1,060        1,112,463  
          

 

 

 

Media — 0.5%

          

AMC Networks, Inc.,

 

       

Gtd. Notes

          

5.000%

     04/01/24          1,225        1,260,219  

Charter Communications Operating LLC/Charter Communications Operating Capital,

 

Sr. Sec’d. Notes

 

       

6.384%

     10/23/35          630        739,880  

6.484%

     10/23/45          1,000        1,178,309  

Comcast Cable Holdings LLC,

 

       

Gtd. Notes

          

9.875%

     06/15/22          1,440        1,737,613  

Comcast Corp.,

          

Gtd. Notes

          

4.150%

     10/15/28 (a)         1,455        1,603,629  

4.250%

     10/15/30          500        558,008  

Discovery Communications LLC,

 

       

Gtd. Notes

          

5.000%

     09/20/37          677        707,173  

Time Warner Cable LLC,

 

       

Sr. Sec’d. Notes

 

       

5.500%

     09/01/41          270        283,075  

Viacom, Inc.,

          

Sr. Unsec’d. Notes

 

       

5.250%

     04/01/44          340        370,755  

Videotron Ltd. (Canada),

 

       

Gtd. Notes

          

5.000%

     07/15/22          850        890,375  

Walt Disney Co. (The),

 

       

Gtd. Notes, 144A

 

       

6.150%

     03/01/37          250        339,653  

6.900%

     08/15/39          35        51,583  

7.625%

     11/30/28          1,265        1,710,538  
          

 

 

 
             11,430,810  
          

 

 

 

Mining — 0.0%

          

BHP Billiton Finance USA Ltd. (Australia),

 

  

Gtd. Notes, 144A

 

       

6.250%(ff)

     10/19/75          315        327,994  
          

 

 

 

Miscellaneous Manufacturing — 0.1%

 

Actuant Corp.,

          

Gtd. Notes

          

5.625%

     06/15/22          1,040        1,047,800  

Pentair Finance Sarl,

 

       

Gtd. Notes

          

4.500%

     07/01/29          2,415        2,471,553  
          

 

 

 
             3,519,353  
          

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A20


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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

 

       

2.125%

     09/27/21          865      $ 857,431  

2.750%

     01/06/23          385        387,768  

North American Development Bank (Supranational Bank),

 

Sr. Unsec’d. Notes

 

       

2.400%

     10/26/22          855        857,453  

4.375%

     02/11/20          800        809,560  
          

 

 

 
             2,912,212  
          

 

 

 

Oil & Gas — 0.8%

 

       

Anadarko Petroleum Corp.,

 

       

Sr. Unsec’d. Notes

 

       

4.677%(s)

     10/10/36          1,000        472,450  

4.850%

     03/15/21          287        297,095  

6.450%

     09/15/36          1,040        1,278,619  

Antero Resources Corp.,

 

       

Gtd. Notes

          

5.000%

     03/01/25 (a)         950        876,375  

Cenovus Energy, Inc. (Canada),

 

       

Sr. Unsec’d. Notes

 

       

5.400%

     06/15/47 (a)         850        922,438  

Concho Resources, Inc.,

 

       

Gtd. Notes

          

4.875%

     10/01/47          150        167,901  

Continental Resources, Inc.,

 

       

Gtd. Notes

          

4.500%

     04/15/23          2,141        2,249,509  

Devon Energy Corp.,

 

       

Sr. Unsec’d. Notes

 

       

5.600%

     07/15/41          225        267,085  

Encana Corp. (Canada),

 

       

Gtd. Notes

          

6.500%

     02/01/38          240        293,922  

Gazprom OAO Via Gaz Capital SA (Russia),

 

  

Sr. Unsec’d. Notes, 144A

 

       

4.950%

     07/19/22          255        267,271  

6.510%

     03/07/22          440        475,186  

Helmerich & Payne, Inc.,

 

       

Gtd. Notes

          

4.650%

     03/15/25          1,555        1,646,237  

KazMunayGas National Co. JSC (Kazakhstan),

 

  

Sr. Unsec’d. Notes, 144A

 

       

4.750%

     04/24/25 (a)         400        426,451  

Newfield Exploration Co.,

 

       

Gtd. Notes

          

5.750%

     01/30/22          80        85,624  

Noble Energy, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

5.050%

     11/15/44          595        632,909  

Petrobras Global Finance BV (Brazil),

 

  

Gtd. Notes

          

5.299%

     01/27/25          535        567,635  

5.750%

     02/01/29          610        635,864  

6.250%

     03/17/24          515        563,307  

Interest
Rate

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

 

Oil & Gas (continued)

 

        

Petroleos Mexicanos (Mexico),

 

        

Gtd. Notes

           

5.375%

     03/13/22           330      $ 332,492  

5.500%

     01/21/21           1,295        1,309,893  

6.350%

     02/12/48           458        393,193  

6.500%

     06/02/41           955        847,085  

8.625%

     12/01/23           350        384,943  

Gtd. Notes, MTN

 

        

6.750%

     09/21/47           1,805        1,607,352  

6.875%

     08/04/26           1,000        1,012,400  

Sinopec Group Overseas Development 2015 Ltd. (China),

 

Gtd. Notes, 144A

 

        

2.500%

     04/28/20           1,000        999,974  

Valero Energy Corp.,

 

        

Sr. Unsec’d. Notes

 

        

4.000%

     04/01/29           580        607,238  
           

 

 

 
              19,620,448  
           

 

 

 

Oil & Gas Services — 0.1%

 

        

Schlumberger Holdings Corp.,

 

        

Sr. Unsec’d. Notes, 144A

 

        

3.000%

     12/21/20           559        563,584  

3.900%

     05/17/28           1,317        1,370,510  

4.000%

     12/21/25           139        147,132  

Schlumberger Investment SA,

 

        

Gtd. Notes, 144A

 

        

3.300%

     09/14/21           100        101,986  
           

 

 

 
              2,183,212  
           

 

 

 

Packaging & Containers — 0.0%

 

        

Ball Corp.,

           

Gtd. Notes

           

4.375%

     12/15/20           465        475,230  

WestRock RKT LLC,

 

        

Gtd. Notes

           

4.900%

     03/01/22           675        713,541  
           

 

 

 
              1,188,771  
           

 

 

 

Pharmaceuticals — 0.6%

 

        

AbbVie, Inc.,

           

Sr. Unsec’d. Notes

 

        

3.600%

     05/14/25           950        981,519  

4.500%

     05/14/35           1,595        1,645,391  

Allergan Funding SCS,

 

        

Gtd. Notes

           

4.550%

     03/15/35           1,770        1,787,132  

Bayer US Finance II LLC (Germany),

 

        

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

 

  

2.979%(c)

     06/25/21           805        799,595  

Gtd. Notes, 144A

 

        

3.500%

     06/25/21           350        355,069  

Bristol-Myers Squibb Co.,

 

        

Sr. Unsec’d. Notes, 144A

 

        

4.125%

     06/15/39           280        301,956  

4.250%

     10/26/49           1,990        2,199,746  

Cigna Corp.,

           

Gtd. Notes, 144A

 

        

4.375%

     10/15/28           1,870        2,017,478  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A21


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Pharmaceuticals (continued)

 

        

CVS Health Corp.,

 

        

Sr. Unsec’d. Notes

 

        

4.780%

     03/25/38           230      $ 239,930  

5.050%

     03/25/48           194        206,633  

5.125%

     07/20/45           781        832,870  

5.300%

     12/05/43           170        184,284  

Shire Acquisitions Investments Ireland DAC,

 

  

Gtd. Notes

           

2.400%

     09/23/21           2,570        2,566,844  
           

 

 

 
              14,118,447  
           

 

 

 

Pipelines — 0.4%

 

        

DCP Midstream Operating LP,

 

        

Gtd. Notes, 144A

 

        

5.350%

     03/15/20           473        479,504  

Energy Transfer Operating LP,

 

        

Gtd. Notes

           

4.650%

     06/01/21           610        632,759  

4.950%

     06/15/28           795        869,188  

Enterprise Products Operating LLC,

 

        

Gtd. Notes

           

3.750%

     02/15/25           1,055        1,116,094  

MPLX LP,

           

Sr. Unsec’d. Notes

 

        

4.000%

     02/15/25           1,140        1,190,444  

4.875%

     06/01/25           2,275        2,472,520  

5.200%

     03/01/47           25        26,871  

ONEOK Partners LP,

 

        

Gtd. Notes

           

6.650%

     10/01/36           130        159,253  

ONEOK, Inc.,

           

Gtd. Notes

           

4.950%

     07/13/47           640        674,164  

Western Midstream Operating LP,

 

        

Sr. Unsec’d. Notes

 

        

4.000%

     07/01/22           1,315        1,332,099  

5.300%

     03/01/48           80        74,222  

Williams Cos., Inc. (The),

 

        

Sr. Unsec’d. Notes

 

        

4.850%

     03/01/48           230        245,993  

4.900%

     01/15/45           1,100        1,152,664  
           

 

 

 
              10,425,775  
           

 

 

 

Real Estate Investment Trusts (REITs) — 0.0%

 

GLP Capital LP/GLP Financing II, Inc.,

 

Gtd. Notes

           

4.875%

     11/01/20           240        244,166  

5.375%

     04/15/26           725        784,051  

Simon Property Group LP,

 

        

Sr. Unsec’d. Notes

 

        

3.375%

     03/15/22           190        195,149  
           

 

 

 
              1,223,366  
           

 

 

 

Retail — 0.3%

           

AutoZone, Inc.,

           

Sr. Unsec’d. Notes

 

        

3.750%

     04/18/29           1,820        1,892,571  

Interest
Rate

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

 

Retail (continued)

 

       

Dollar Tree, Inc.,

          

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

 

  

3.288%(c)

     04/17/20          795      $ 795,092  

Sr. Unsec’d. Notes

 

       

4.000%

     05/15/25          3,395        3,538,936  

L Brands, Inc.,

          

Gtd. Notes

          

5.625%

     02/15/22          525        548,683  

5.625%

     10/15/23          475        492,570  

Macy’s Retail Holdings, Inc.,

 

       

Gtd. Notes

          

3.875%

     01/15/22          300        305,284  

Sally Holdings LLC/Sally Capital, Inc.,

 

       

Gtd. Notes

          

5.625%

     12/01/25 (a)         1,020        1,000,824  
          

 

 

 
             8,573,960  
          

 

 

 

Savings & Loans — 0.1%

 

       

People’s United Financial, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

3.650%

     12/06/22          1,195        1,230,096  
          

 

 

 

Semiconductors — 0.1%

 

       

Broadcom, Inc.,

          

Gtd. Notes, 144A

 

       

3.125%

     04/15/21          830        835,374  

3.125%

     10/15/22          640        644,030  
          

 

 

 
             1,479,404  
          

 

 

 

Software — 0.1%

 

       

Fidelity National Information Services, Inc.,

 

  

Sr. Unsec’d. Notes

 

       

3.625%

     10/15/20          915        928,516  

Microsoft Corp.,

          

Sr. Unsec’d. Notes

 

       

4.000%

     02/12/55          360        404,696  

Oracle Corp.,

          

Sr. Unsec’d. Notes

 

       

4.300%

     07/08/34          700        796,523  
          

 

 

 
             2,129,735  
          

 

 

 

Telecommunications — 0.5%

 

       

AT&T Corp.,

          

Gtd. Notes

          

8.750%

     11/15/31          10        13,897  

AT&T, Inc.,

          

Sr. Unsec’d. Notes

 

       

3.400%

     05/15/25          2,130        2,189,651  

3.600%

     07/15/25          250        259,308  

3.800%

     02/15/27          1,200        1,248,810  

4.300%

     02/15/30          225        240,821  

4.500%

     05/15/35          225        235,532  

4.550%

     03/09/49          4        4,083  

4.850%

     03/01/39          3,615        3,879,729  

5.350%

     09/01/40          113        127,548  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A22


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Telecommunications (continued)

 

       

British Telecommunications PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

       

9.625%

     12/15/30          350      $ 527,877  

Sprint Communications, Inc.,

 

       

Gtd. Notes, 144A

 

       

7.000%

     03/01/20 (a)         400        410,000  

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

 

Sr. Sec’d. Notes, 144A

 

       

3.360%

     03/20/23          788        787,705  

Verizon Communications, Inc.,

 

       

Sr. Unsec’d. Notes

 

       

4.125%

     08/15/46          520        542,822  

4.500%

     08/10/33          865        974,480  

4.862%

     08/21/46          615        716,038  

Sr. Unsec’d. Notes, 144A

 

       

4.016%

     12/03/29          1,365        1,477,942  
          

 

 

 
             13,636,243  
          

 

 

 

Transportation — 0.1%

 

       

Burlington Northern Santa Fe LLC,

 

       

Sr. Unsec’d. Notes

 

       

6.700%

     08/01/28          735        959,749  

CSX Corp.,

          

Sr. Unsec’d. Notes

 

       

6.150%

     05/01/37          690        890,928  

Norfolk Southern Corp.,

 

       

Sr. Unsec’d. Notes

 

       

5.590%

     05/17/25          120        136,645  
          

 

 

 
             1,987,322  
          

 

 

 

TOTAL CORPORATE BONDS
(cost $279,222,324)

 

     290,662,707  
          

 

 

 
MUNICIPAL BONDS — 0.6%

 

Alabama — 0.0%

 

       

Alabama Economic Settlement Authority,

 

Revenue Bonds, BABs

 

       

4.263%

     09/15/32          180        197,602  
          

 

 

 

California — 0.2%

 

       

Bay Area Toll Authority,

 

       

Revenue Bonds, BABs

 

       

6.263%

     04/01/49          1,305        1,956,665  

State of California,

 

       

General Obligation, BABS

          

7.300%

     10/01/39          1,250        1,878,937  

7.500%

     04/01/34          350        528,290  

7.550%

     04/01/39          245        387,864  

7.625%

     03/01/40          205        323,478  
          

 

 

 
             5,075,234  
          

 

 

 

Colorado — 0.0%

 

       

Regional Transportation District,

 

       

Revenue Bonds, Series 2010-B, BABs

 

5.844%

     11/01/50          565        806,667  
          

 

 

 

Interest
Rate

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

 

Illinois — 0.2%

           

Chicago O’Hare International Airport,

 

        

Revenue Bonds, BABs

 

        

6.395%

     01/01/40           970      $ 1,372,269  

State of Illinois,

           

General Obligation, Series D, BABs

 

        

5.000%

     11/01/22           2,305        2,522,200  
           

 

 

 
              3,894,469  
           

 

 

 

New Jersey — 0.1%

 

        

New Jersey Turnpike Authority,

 

        

Revenue Bonds, Series F, BABs

 

        

7.414%

     01/01/40           1,000        1,546,950  
           

 

 

 

New York — 0.1%

 

        

New York City Transitional Finance Authority Future Tax Secured Revenue,

 

Revenue Bonds, BABs

 

        

5.767%

     08/01/36           1,100        1,371,799  
           

 

 

 

Ohio — 0.0%

           

Ohio State University (The),

 

        

Revenue Bonds, Series C, BABs

 

        

4.910%

     06/01/40           415        515,273  

Ohio Water Development Authority Water Pollution Control Loan Fund,

 

Revenue Bonds, BABs

 

        

4.879%

     12/01/34           275        321,395  
           

 

 

 
              836,668  
           

 

 

 

Oregon — 0.0%

           

State of Oregon Department of Transportation Highway,

 

Revenue Bonds, Series A, BABs

 

        

5.834%

     11/15/34           425        560,142  
           

 

 

 

Pennsylvania — 0.0%

 

        

Pennsylvania Turnpike Commission,

 

        

Revenue Bonds, Series B, BABs

 

        

5.511%

     12/01/45           505        665,539  
           

 

 

 

Virginia — 0.0%

 

        

University of Virginia,

 

        

Revenue Bonds, Taxable, Series C

 

        

4.179%

     09/01/2117           355        402,414  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $11,713,815)

 

           15,357,484  
           

 

 

 
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.8%

 

Alternative Loan Trust,

 

        

Series 2004-18CB, Class 3A1

 

        

5.250%

     09/25/19           31        30,732  

Banc of America Funding Trust,

 

        

Series 2015-R04, Class 4A1, 144A

 

        

3.500%(cc)

     01/27/30           451        450,251  

Banc of America Mortgage Trust,

 

        

Series 2005-A, Class 2A1

 

        

4.503%(cc)

     02/25/35           122        123,619  

Bellemeade Re Ltd. (Bermuda),

 

        

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

 

4.104%(c)

     10/25/27           359        361,223  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A23


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

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

 

4.004%(c)

     04/25/28           233      $ 233,841  

Series 2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%

 

3.354%(c)

     08/25/28           392        392,390  

Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%

 

3.754%(c)

     08/25/28           300        300,000  

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%

 

4.004%(c)

     08/25/28           300        299,640  

Series 2019-02A, Class M1A, 144A, 1 Month LIBOR + 1.000%

 

3.404%(c)

     04/25/29           520        520,596  

Central Park Funding Trust,

 

        

Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)

 

3.940%(c)

     11/01/23           3,500        3,499,997  

Chase Mortgage Finance Trust,

 

        

Series 2007-A01, Class 1A5

 

        

4.791%(cc)

     02/25/37           237        241,808  

CIM Trust,

           

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

 

4.440%(c)

     12/25/57           1,937        1,946,691  

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

 

4.440%(c)

     01/25/57           2,314        2,358,431  

Series 2017-06, Class A1, 144A

 

3.015%(cc)

     06/25/57           2,210        2,210,542  

Series 2017-08, Class A1, 144A

 

3.000%(cc)

     12/25/65           2,133        2,128,735  

CSMC Trust,

           

Series 2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400%

 

3.829%(c)

     08/25/37           719        718,359  

Series 2018-RPL09, Class A, 144A

 

3.850%(cc)

     09/25/57           1,823        1,884,334  

Eagle Re Ltd. (Bermuda),

 

        

Series 2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%

 

3.654%(c)

     04/25/29           150        150,092  

Fannie Mae Connecticut Avenue Securities,

 

  

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

 

3.854%(c)

     01/25/29           283        283,888  

Freddie Mac Structured Agency Credit Risk Debt Notes,

 

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

 

3.704%(c)

     03/25/29           743        744,890  

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

 

4.654%(c)

     11/25/28           451        455,333  

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

 

3.604%(c)

     07/25/29           1,349        1,354,702  

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

 

3.154%(c)

     03/25/30           3,171        3,174,468  

Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750%

 

3.161%(c)

     02/25/49           600        600,000  

Gosforth Funding PLC (United Kingdom),

 

  

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%

 

2.971%(c)

     08/25/60           1,298        1,298,314  

Holmes Master Issuer PLC (United Kingdom),

 

  

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

 

2.957%(c)

     10/15/54           1,417        1,417,467  

Interest
Rate

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

 

Home Re Ltd. (Bermuda),

 

        

Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650%

 

4.054%(c)

     05/25/29           420      $ 420,000  

JPMorgan Mortgage Trust,

 

        

Series 2007-A01, Class 4A1

 

4.661%(cc)

     07/25/35           113        116,248  

Lanark Master Issuer PLC (United Kingdom),

 

  

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

 

2.943%(c)

     12/22/69           980        980,114  

LSTAR Securities Investment Trust,

 

        

Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500%

 

3.940%(c)

     04/01/24           154        153,665  

MetLife Securitization Trust,

 

        

Series 2018-01A, Class A, 144A

 

3.750%(cc)

     03/25/57           631        657,455  

Mill City Mortgage Loan Trust,

 

        

Series 2019-01, Class A1, 144A

 

3.250%(cc)

     10/25/69           790        805,399  

New Residential Mortgage Loan Trust,

 

  

Series 2018-01A, Class A1A, 144A

 

4.000%(cc)

     12/25/57           1,309        1,356,740  

Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)

 

3.154%(c)

     01/25/48           548        547,190  

Oaktown Re Ltd. (Bermuda),

 

        

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%

 

3.954%(c)

     07/25/28           500        499,635  

Park Avenue Funding Trust,

 

        

Series 2019-01, Class PT, 144A, 1 Month LIBOR + 1.500%

 

3.937%(c)

     11/27/20           10,080        10,080,011  

Seasoned Credit Risk Transfer Trust,

 

        

Series 2019-02, Class MA

 

3.500%

     08/25/58           1,576        1,636,461  

STACR Trust,

           

Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%

 

3.154%(c)

     09/25/48           947        947,847  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

4.566%(cc)

     02/25/34           176        178,454  

Washington Mutual Mortgage Pass-Through Certificates,

 

Series 2005-01, Class 3A

 

5.000%

     03/25/20           25        25,215  
           

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $45,340,119)

 

     45,584,777  
           

 

 

 
SOVEREIGN BONDS — 1.1%

 

Abu Dhabi Government International Bond (United Arab Emirates),

 

Sr. Unsec’d. Notes, 144A

 

3.125%

     10/11/27           2,420        2,510,339  

Colombia Government International Bond (Colombia),

 

Sr. Unsec’d. Notes

 

4.000%

     02/26/24           220        230,340  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A24


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

4.375%

     07/12/21           400      $ 414,004  

7.375%

     09/18/37           450        612,005  

Export-Import Bank of India (India),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     02/01/28           745        764,615  

Export-Import Bank of Korea (South Korea),

 

Sr. Unsec’d. Notes

 

5.125%

     06/29/20           265        272,317  

Finnvera OYJ (Finland),

 

Gov’t. Gtd. Notes, 144A, MTN

 

2.375%

     06/04/25           400        405,302  

Hungary Government International Bond (Hungary),

 

Sr. Unsec’d. Notes

 

6.375%

     03/29/21           1,760        1,878,624  

Indonesia Government International Bond (Indonesia),

 

Sr. Unsec’d. Notes

 

3.375%

     07/30/25           EUR 1,200        1,543,272  

4.450%

     02/11/24           355        376,960  

Sr. Unsec’d. Notes, 144A, MTN

 

5.875%

     01/15/24           750        840,635  

Sr. Unsec’d. Notes, EMTN

 

2.150%

     07/18/24           EUR 1,510        1,826,381  

4.750%

     01/08/26           350        380,796  

Japan Bank for International Cooperation (Japan),

 

Gov’t. Gtd. Notes

 

3.375%

     10/31/23           200        210,453  

Japan Finance Organization for Municipalities (Japan),

 

Sr. Unsec’d. Notes, 144A, MTN

 

2.125%

     10/25/23           1,000        996,794  

2.625%

     04/20/22           1,400        1,417,857  

3.000%

     03/12/24           200        207,162  

Panama Government International Bond (Panama),

 

Sr. Unsec’d. Notes

 

4.000%

     09/22/24           395        420,086  

4.500%

     04/16/50           340        381,228  

Province of Manitoba (Canada),

 

Sr. Unsec’d. Notes

 

2.600%

     04/16/24           420        430,538  

Province of Ontario (Canada),

 

Sr. Unsec’d. Notes

 

3.400%

     10/17/23           490        517,501  

Qatar Government International Bond (Qatar),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     04/23/23           800        839,040  

4.817%

     03/14/49           690        790,768  

5.103%

     04/23/48           665        792,181  

Romanian Government International Bond (Romania),

 

Sr. Unsec’d. Notes, EMTN

 

4.125%

     03/11/39         EUR  1,270        1,653,514  

Saudi Government International Bond (Saudi Arabia),

 

Sr. Unsec’d. Notes, 144A

 

5.250%

     01/16/50           1,125        1,278,653  

Sr. Unsec’d. Notes, 144A, MTN

 

2.375%

     10/26/21           980        978,216  

2.875%

     03/04/23           1,285        1,299,456  

4.000%

     04/17/25           750        797,813  

Interest
Rate

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

 

Tokyo Metropolitan Government (Japan),

 

Sr. Unsec’d. Notes, 144A

 

2.500%

     06/08/22          1,200     $ 1,210,849  

3.250%

     06/01/23          600       624,106  

Turkey Government International Bond (Turkey),

 

Sr. Unsec’d. Notes

 

7.000%

     06/05/20          1,260       1,288,426  

Uruguay Government International Bond (Uruguay),

 

Sr. Unsec’d. Notes

 

5.100%

     06/18/50 (a)         490       550,642  
         

 

 

 

TOTAL SOVEREIGN BONDS
(cost $27,414,761)

 

    28,740,873  
         

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.7%

 

Federal Home Loan Bank

 

5.500%

     07/15/36 (k)         850       1,186,385  

Federal Home Loan Mortgage Corp.

 

2.000%

     01/01/32          941       931,933  

2.500%

     03/01/30          544       548,994  

3.000%

     10/01/28          409       419,394  

3.000%

     06/01/29          789       807,251  

3.000%

     01/01/37          248       252,794  

3.000%

     06/01/42          395       402,199  

3.000%

     10/01/42          922       938,930  

3.000%

     01/01/43          830       845,052  

3.000%

     07/01/43          2,180       2,218,870  

3.500%

     06/01/42          397       412,460  

3.500%

     01/01/47          880       908,226  

4.000%

     06/01/26          521       545,356  

4.000%

     09/01/26          179       186,307  

4.000%

     03/01/38          483       504,107  

4.000%

     10/01/39          652       687,675  

4.000%

     12/01/40          428       451,482  

4.000%

     10/01/41          454       479,538  

4.000%

     01/01/42          155       163,537  

4.500%

     07/01/19          (r)      162  

4.500%

     07/01/20          14       13,920  

4.500%

     02/01/39          90       96,254  

4.500%

     09/01/39          156       168,066  

4.500%

     10/01/39          1,413       1,518,737  

4.500%

     12/01/39          135       144,601  

4.500%

     07/01/41          269       286,059  

4.500%

     07/01/41          1,777       1,909,832  

4.500%

     08/01/41          129       135,483  

4.500%

     08/01/41          229       243,564  

4.500%

     08/01/41          496       533,072  

4.500%

     10/01/41          150       158,063  

4.500%

     12/01/47          455       479,527  

4.500%

     08/01/48          1,344       1,411,740  

5.000%

     05/01/34          20       21,962  

5.000%

     05/01/34          307       335,369  

5.000%

     10/01/35          7       8,014  

5.000%

     07/01/37          476       518,895  

5.000%

     05/01/39          67       72,922  

5.500%

     12/01/33          45       48,426  

5.500%

     01/01/34          45       48,791  

5.500%

     06/01/34          79       88,109  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A25


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

5.500%

     07/01/34          193      $ 214,288  

5.500%

     05/01/37          53        58,469  

5.500%

     02/01/38          430        469,549  

5.500%

     05/01/38          47        50,898  

5.500%

     07/01/38          118        128,343  

6.000%

     03/01/32          190        209,610  

6.000%

     12/01/33          52        56,733  

6.000%

     11/01/36          54        61,294  

6.000%

     01/01/37          46        52,136  

6.000%

     05/01/37          26        29,110  

6.000%

     02/01/38          4        4,914  

6.000%

     08/01/39          68        77,664  

6.750%

     03/15/31 (k)         550        799,895  

7.000%

     05/01/31          11        11,913  

7.000%

     06/01/31          14        14,278  

7.000%

     08/01/31          112        124,984  

7.000%

     10/01/31          7        6,955  

Federal National Mortgage Assoc.

 

       

2.000%

     08/01/31          856        848,111  

2.500%

     01/01/28          801        807,958  

2.500%

     10/01/43          702        699,935  

2.500%

     12/01/46          1,459        1,448,265  

3.000%

     TBA          4,000        4,030,859  

3.000%

     02/01/27          1,638        1,676,782  

3.000%

     08/01/30          1,096        1,120,012  

3.000%

     11/01/36          2,270        2,312,059  

3.000%

     12/01/42          1,659        1,687,417  

3.000%

     11/01/46          1,365        1,382,437  

3.000%

     02/01/47          1,876        1,900,212  

3.000%

     03/01/47          941        952,843  

3.500%

     TBA          26,000        26,576,515  

3.500%

     02/01/33          3,121        3,225,950  

3.500%

     06/01/39          562        577,859  

3.500%

     01/01/42          4,628        4,804,930  

3.500%

     05/01/42          2,402        2,492,648  

3.500%

     07/01/42          882        915,290  

3.500%

     08/01/42          370        383,793  

3.500%

     08/01/42          1,127        1,169,585  

3.500%

     09/01/42          514        533,802  

3.500%

     09/01/42          1,849        1,919,588  

3.500%

     11/01/42          328        340,114  

3.500%

     03/01/43          2,574        2,680,028  

3.500%

     04/01/43          611        634,718  

3.500%

     04/01/43          955        991,591  

3.500%

     01/01/46          1,975        2,036,649  

3.500%

     11/01/46          2,152        2,215,758  

3.500%

     09/01/47          1,377        1,418,106  

3.500%

     05/01/48          2,668        2,740,400  

4.000%

     10/01/41          2,935        3,095,478  

4.000%

     09/01/44          2,723        2,851,038  

4.000%

     02/01/47          936        975,315  

4.000%

     09/01/47          2,242        2,336,034  

4.000%

     11/01/47          846        894,108  

4.500%

     07/01/33          55        58,318  

4.500%

     08/01/33          46        49,234  

4.500%

     09/01/33          105        112,412  

Interest
Rate

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

 

4.500%

     10/01/33           10     $ 10,716  

4.500%

     10/01/33           34       37,136  

4.500%

     10/01/33           135       144,237  

4.500%

     01/01/35           2       1,802  

4.500%

     07/01/39           935       1,004,254  

4.500%

     08/01/39           1,425       1,529,366  

4.500%

     03/01/41           487       522,981  

4.500%

     11/01/47           4,300       4,527,346  

5.000%

     03/01/34           250       271,733  

5.000%

     06/01/35           92       100,605  

5.000%

     07/01/35           123       134,245  

5.000%

     09/01/35           78       85,106  

5.000%

     11/01/35           100       109,750  

5.000%

     02/01/36           116       126,778  

5.000%

     05/01/36           58       63,047  

5.500%

     09/01/33           251       278,425  

5.500%

     10/01/33           79       87,111  

5.500%

     12/01/33           59       65,454  

5.500%

     01/01/34           1       1,438  

5.500%

     12/01/34           187       207,680  

5.500%

     10/01/35           710       788,576  

5.500%

     03/01/36           134       148,449  

5.500%

     05/01/36           120       132,352  

5.500%

     04/01/37           102       113,252  

6.000%

     05/01/21           21       21,831  

6.000%

     08/01/22           29       29,699  

6.000%

     04/01/33           17       18,714  

6.000%

     06/01/33           6       6,620  

6.000%

     10/01/33           310       346,011  

6.000%

     11/01/33           6       6,377  

6.000%

     11/01/33           16       17,200  

6.000%

     11/01/33           48       52,287  

6.000%

     01/01/34           295       334,060  

6.000%

     02/01/34           70       78,935  

6.000%

     03/01/34           32       34,923  

6.000%

     03/01/34           60       65,877  

6.000%

     07/01/34           178       201,246  

6.000%

     08/01/34           1       676  

6.000%

     10/01/34           3       3,672  

6.000%

     11/01/34           3       2,873  

6.000%

     11/01/34           34       37,329  

6.000%

     12/01/34           23       25,391  

6.000%

     01/01/35           68       75,145  

6.000%

     01/01/35           194       213,031  

6.000%

     02/01/35           4       4,429  

6.000%

     02/01/35           77       84,538  

6.000%

     02/01/35           258       295,306  

6.000%

     03/01/35           2       2,511  

6.000%

     04/01/35           1       1,026  

6.000%

     07/01/36           46       51,945  

6.000%

     02/01/37           77       86,824  

6.000%

     05/01/37           29       32,365  

6.000%

     06/01/37           1       838  

6.000%

     08/01/37           (r)      205  

6.000%

     08/01/37           17       19,174  

6.000%

     09/01/37           (r)      380  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A26


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

6.000%

     10/01/37          36      $ 40,582  

6.000%

     05/01/38          69        78,500  

6.000%

     06/01/38          2        2,719  

6.250%

     05/15/29 (k)         1,245        1,680,519  

6.500%

     07/01/32          44        48,466  

6.500%

     09/01/32          2        1,833  

6.500%

     09/01/32          14        15,318  

6.500%

     09/01/32          63        70,751  

6.500%

     09/01/32          65        72,989  

6.500%

     09/01/32          90        100,299  

6.500%

     04/01/33          103        119,765  

6.500%

     11/01/33          22        24,403  

6.500%

     01/01/34          44        48,685  

6.500%

     09/01/34          61        68,036  

6.500%

     10/01/34          109        121,274  

6.500%

     09/01/36          62        73,026  

6.500%

     10/01/36          29        33,257  

6.500%

     11/01/36          22        24,090  

6.500%

     01/01/37          40        44,363  

6.500%

     01/01/37          109        121,331  

6.625%

     11/15/30 (k)         800        1,143,734  

7.000%

     02/01/32          31        35,335  

7.000%

     05/01/32          15        18,176  

7.000%

     06/01/32          20        22,240  

7.000%

     07/01/32          57        64,538  

7.125%

     01/15/30 (k)         3,195        4,634,166  

Government National Mortgage Assoc.

 

2.500%

     03/20/43          304        308,430  

2.500%

     12/20/46          743        747,107  

3.000%

     12/20/44          333        341,373  

3.000%

     03/15/45          1,045        1,066,975  

3.000%

     11/20/45          948        970,906  

3.000%

     03/20/46          2,176        2,228,051  

3.000%

     07/20/46          4,040        4,136,158  

3.000%

     08/20/46          1,510        1,545,378  

3.000%

     11/20/46          764        782,365  

3.000%

     12/20/46          1,368        1,400,138  

3.000%

     01/20/47          389        398,185  

3.000%

     04/20/47          1,617        1,654,795  

3.500%

     TBA          7,500        7,741,406  

3.500%

     12/20/42          1,372        1,431,464  

3.500%

     05/20/43          421        439,657  

3.500%

     04/20/45          1,836        1,904,603  

3.500%

     07/20/46          6,994        7,238,396  

4.000%

     06/15/40          87        92,494  

4.000%

     05/20/41          74        77,877  

4.000%

     12/20/42          696        736,333  

4.000%

     08/20/44          329        345,699  

4.000%

     11/20/45          749        789,851  

4.000%

     12/20/45          1,978        2,086,069  

4.000%

     09/20/47          8,289        8,641,904  

4.500%

     04/15/40          621        669,547  

4.500%

     01/20/41          530        565,626  

4.500%

     02/20/41          883        941,677  

4.500%

     03/20/41          445        475,097  

4.500%

     06/20/44          661        704,938  

Interest
Rate

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

 

4.500%

     09/20/46           601     $ 639,114  

4.500%

     11/20/46           907       968,783  

4.500%

     03/20/47           617       652,469  

4.500%

     05/20/48           1,728       1,801,713  

4.500%

     08/20/48           3,014       3,148,842  

5.000%

     10/20/37           101       110,789  

5.000%

     04/20/45           666       730,259  

5.500%

     08/15/33           248       265,582  

5.500%

     08/15/33           277       298,167  

5.500%

     09/15/33           79       84,632  

5.500%

     12/15/33           27       28,562  

5.500%

     03/15/34           159       170,051  

5.500%

     12/15/34           319       358,583  

5.500%

     07/15/35           72       81,150  

5.500%

     04/15/36           130       142,010  

6.000%

     11/15/23           (r)      362  

6.000%

     05/15/32           (r)      249  

6.000%

     04/15/33           7       8,464  

6.000%

     12/15/33           103       112,718  

6.000%

     01/15/34           21       23,309  

6.000%

     01/15/34           35       39,230  

6.000%

     01/15/34           66       75,469  

6.000%

     06/20/34           116       132,913  

6.000%

     07/15/34           85       97,088  

6.500%

     10/15/23           1       992  

6.500%

     12/15/23           3       3,851  

6.500%

     01/15/24           (r)      479  

6.500%

     01/15/24           1       1,259  

6.500%

     01/15/24           3       3,534  

6.500%

     01/15/24           11       11,764  

6.500%

     01/15/24           13       14,662  

6.500%

     01/15/24           15       17,030  

6.500%

     01/15/24           33       35,892  

6.500%

     01/15/24           53       57,784  

6.500%

     02/15/24           2       2,703  

6.500%

     02/15/24           5       5,097  

6.500%

     02/15/24           5       5,517  

6.500%

     02/15/24           6       6,467  

6.500%

     02/15/24           11       11,821  

6.500%

     02/15/24           11       12,563  

6.500%

     03/15/24           1       1,402  

6.500%

     03/15/24           3       2,977  

6.500%

     03/15/24           3       3,878  

6.500%

     04/15/24           (r)      376  

6.500%

     04/15/24           1       1,491  

6.500%

     04/15/24           2       2,079  

6.500%

     04/15/24           2       2,110  

6.500%

     04/15/24           2       2,573  

6.500%

     04/15/24           7       7,309  

6.500%

     04/15/24           12       13,299  

6.500%

     05/15/24           4       4,247  

6.500%

     05/15/24           5       5,062  

6.500%

     05/15/24           18       19,940  

6.500%

     10/15/24           17       18,660  

6.500%

     11/15/28           5       5,530  

6.500%

     08/15/31           5       6,062  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A27


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

6.500%

     12/15/31          11     $ 11,709  

6.500%

     02/15/32          36       40,362  

6.500%

     06/15/32          23       25,212  

6.500%

     07/15/32          39       42,892  

6.500%

     08/15/32          5       5,875  

6.500%

     08/15/32          7       8,003  

6.500%

     08/15/32          8       8,429  

6.500%

     08/15/32          26       29,223  

6.500%

     08/15/32          195       227,799  

6.500%

     08/15/34          25       28,957  

6.500%

     06/15/35          40       45,676  

6.500%

     09/15/36          59       70,420  

8.000%

     01/15/24          7       7,214  

8.000%

     07/15/24          (r)      429  

Hashemite Kingdom of Jordan Government, USAID Bond, Gov’t.

 

Gtd. Notes

         

3.000%

     06/30/25          915       960,738  

Tennessee Valley Authority, Sr. Unsec’d. Notes

 

7.125%

     05/01/30          510       735,750  
         

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $189,770,459)

 

    192,721,019  
         

 

 

 
U.S. TREASURY OBLIGATIONS — 1.1%

 

U.S. Treasury Bonds

 

      

3.000%

     02/15/49          960       1,054,350  

3.750%

     11/15/43 (h)         3,500       4,308,555  

U.S. Treasury Inflation Indexed Bonds, TIPS

 

0.875%

     01/15/29          5,784       6,087,932  

U.S. Treasury Notes

 

      

2.000%

     11/30/20          1,335       1,337,764  

2.000%

     05/31/24          5,580       5,645,609  

2.250%

     11/15/27          2,220       2,272,725  

2.375%

     08/15/24          1,645       1,693,193  

2.375%

     05/15/29          1,935       1,999,626  

2.500%

     12/31/20          735       742,120  

U.S. Treasury Strips Coupon

 

2.241%(s)

     05/15/28          1,055       878,647  

2.280%(s)

     02/15/29          1,055       862,956  
         

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $26,258,897)

 

    26,883,477  
         

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $1,350,637,406)

 

    2,234,695,450  
         

 

 

 
     Shares         
SHORT-TERM INVESTMENTS — 15.7%

 

AFFILIATED MUTUAL FUNDS — 15.6%

 

PGIM Core Short-Term Bond Fund(w)

     6,632,201        61,215,213  

PGIM Core Ultra Short Bond Fund(w)

     261,032,487        261,032,487  

PGIM Institutional Money Market Fund (cost $70,308,630; includes $70,164,199 of cash collateral for securities on loan)(b)(w)

     70,304,496        70,325,588  
     

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $392,584,547)

 

     392,573,288  
     

 

 

 

Interest
Rate

 

Maturity
Date

   Principal
Amount
(000)#
    Value  
U.S. TREASURY OBLIGATION — 0.1%

 

U.S. Treasury Bills

 

 

2.172%(n)

  09/19/19(k)      1,895     $ 1,886,251  
      

 

 

 

(cost $1,885,904)

 

 
OPTIONS PURCHASED*~ — 0.0%

 

 

(cost $467,591)

 

    670,884  
      

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $394,938,042)

 

    395,130,423  
      

 

 

 

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.5%
(cost $1,745,575,448)

 

    2,629,825,873  
      

 

 

 
OPTIONS WRITTEN*~ — (0.0)%

 

 

(premiums received $171,629)

 

    (45,238
      

 

 

 

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.5%
(cost $1,745,403,819)

 

    2,629,780,635  

LIABILITIES IN EXCESS OF
OTHER ASSETS(z) — (4.5)%

 

    (112,517,934
      

 

 

 

NET ASSETS — 100.0%

 

  $ 2,517,262,701  
      

 

 

 

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

 

*

Non-income producing security.

 

#

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

 

~

See tables subsequent to the Schedule of Investments for options detail.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $(409,696) 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 $69,221,246; cash collateral of $70,164,199 (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, 2019.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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.

 

(ff)

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

 

(h)

Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A28


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

(k)

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

 

(n)

Rate shown reflects yield to maturity at purchased date.

 

(p)

Interest rate not available as of June 30, 2019.

 

(r)

Less than $500 par.

 

(rr)

Perpetual security with no stated maturity date.

 

(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) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

Forward Commitment Contract:

 

U.S. Government Agency Obligations

   Interest
Rate
     Maturity
Date
     Settlement
Date
     Principal
Amount
(000)#
    Value  

Federal National Mortgage Assoc.
(proceeds receivable $1,971,719)

     2.500%        TBA        08/13/19        (2,000   $ (1,983,125
             

 

 

 

Options Purchased:

Exchange Traded

 

Description

   Call/
Put
     Expiration
Date
     Strike      Contracts    Notional
Amount
(000)#
     Value  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 123.00      129      129      $ 2,016  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 126.00      129      129        10,078  

2 Year U.S. Treasury Notes Futures

     Put        08/23/19      $ 107.00      397      794        43,422  

Eurodollar 1 Year Mid Curve

     Put        07/12/19      $ 97.75      181      453        1,131  

Eurodollar 1 Year Mid Curve

     Put        07/12/19      $ 98.13      439      1,098        8,231  

Eurodollar 1 Year Mid Curve

     Put        07/12/19      $ 98.25      181      453        9,050  

Eurodollar 1 Year Mid Curve

     Put        08/16/19      $ 97.75      181      453        1,131  

Eurodollar 1 Year Mid Curve

     Put        08/16/19      $ 98.25      181      453        26,019  

Eurodollar 1 Year Mid Curve

     Put        09/13/19      $ 97.75      181      453        2,263  

Eurodollar 1 Year Mid Curve

     Put        09/13/19      $ 98.25      181      453        36,200  
                 

 

 

 

Total Exchange Traded (cost $445,058)

 

   $ 139,541  
                 

 

 

 

OTC Traded

 

Description

   Call/
Put
     Counterparty    Expiration
Date
     Strike     Contracts      Notional
Amount
(000)#
     Value  

2-Year 10 CMS Curve CAP

     Call      Morgan Stanley & Co. International PLC      11/21/19        0.13            400      $ 3,896  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      11/21/19        0.12            600        6,197  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      07/12/21        0.11            2,424        35,101  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      07/13/21        0.11            2,357        34,022  

2-Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      08/16/21        0.15            5,892        79,860  

2-Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      08/20/21        0.15            11,696        166,279  

2-Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      09/13/21        0.14            11,860        172,816  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      11/09/21        0.21            2,357        32,906  
                   

 

 

 

Total OTC Traded (cost $16,597)

 

   $ 531,077  
                   

 

 

 

OTC Swaptions

 

Description

   Call/
Put
    

Counterparty

   Expiration
Date
     Strike     Receive     Pay     Notional
Amount
(000)#
     Value  

30-Year Interest Rate Swap, 08/19/49
(cost $5,936)

     Put      Citibank, N.A.      08/15/19        2.66     3 Month LIBOR (Q)      2.66 %(S)      530      $ 266  
                    

 

 

 

Total Options Purchased (cost $467,591)

 

   $ 670,884  
                    

 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A29


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Options Written:

Exchange Traded

 

Description

   Call/
Put
     Expiration
Date
     Strike      Contracts      Notional
Amount
(000)#
     Value  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 124.50        258        258      $ (4,031

Eurodollar 1 Year Mid Curve

     Put        07/12/19      $ 97.88        439        1,098        (2,744

Eurodollar 1 Year Mid Curve

     Put        07/12/19      $ 98.00        362        905        (2,263

Eurodollar 1 Year Mid Curve

     Put        08/16/19      $ 98.00        362        905        (13,575

Eurodollar 1 Year Mid Curve

     Put        09/13/19      $ 98.00        362        905        (22,625
                 

 

 

 

Total Options Written (premiums received $171,629)

 

   $ (45,238
                 

 

 

 

Futures contracts outstanding at June 30, 2019:

 

Number of
Contracts

  

Type

   Expiration
Date
     Current
Notional
Amount
     Value /
Unrealized
Appreciation
(Depreciation)
 

Long Positions:

           

   417

   2 Year U.S. Treasury Notes      Sep. 2019      $ 89,729,930      $ 515,493  

1,365

   5 Year U.S. Treasury Notes      Sep. 2019        161,283,281        2,227,138  

   231

   10 Year U.S. Ultra Treasury Notes      Sep. 2019        31,906,875        1,021,956  

   562

   30 Year U.S. Ultra Treasury Bonds      Sep. 2019        99,790,125        4,684,155  

        6

   Mini MSCI EAFE Index      Sep. 2019        576,990        10,300  

   145

   S&P 500 E-Mini Index      Sep. 2019        21,345,450        212,073  

     22

   S&P 500 Index      Sep. 2019        16,193,100        271,342  
           

 

 

 
              8,942,457  
           

 

 

 

Short Positions:

           

       5

   10 Year Euro-Bund      Sep. 2019        982,113        (15,162

   118

   10 Year U.S. Treasury Notes      Sep. 2019        15,100,313        (10,232

   475

   20 Year U.S. Treasury Bonds      Sep. 2019        73,907,031        (2,891,051
           

 

 

 
              (2,916,445
           

 

 

 
            $ 6,026,012  
           

 

 

 

Forward foreign currency exchange contracts outstanding at June 30, 2019:

 

Purchase Contracts

  

Counterparty

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

OTC Forward Foreign Currency Exchange Contracts:

 

     

Euro,

                 

Expiring 07/02/19

   The Toronto-Dominion Bank      EUR 6,596      $ 7,516,153      $ 7,503,214      $   —      $ (12,939
        

 

 

    

 

 

    

 

 

    

 

 

 

 

Sale Contracts

  

Counterparty

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

OTC Forward Foreign Currency Exchange Contracts:

 

     

Euro,

               

Expiring 07/02/19

   Citibank, N.A.     EUR 6,596      $ 7,407,063     $ 7,503,214      $      $ (96,151

Expiring 08/02/19

   The Toronto-Dominion Bank     EUR 6,596        7,535,190       7,522,822        12,368         
       

 

 

   

 

 

    

 

 

    

 

 

 
        $ 14,942,253     $ 15,026,036      $ 12,368      $ (96,151
       

 

 

   

 

 

    

 

 

    

 

 

 
             $ 12,368      $ (109,090
            

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A30


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Credit default swap agreement outstanding at June 30, 2019:

 

Reference Entity/Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Value at
Trade
Date
     Value at
June 30,
2019
     Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

 

  

CDX.NA.IG.32.V1

     06/20/29        1.000%(Q)        15,600      $ 218,791      $ 37,253      $ (181,538
           

 

 

    

 

 

    

 

 

 

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.

Forward rate agreement outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date(5)
     Fixed
Rate
    

Floating
Rate

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

Counterparty

 

OTC Forward Rate Agreement^:

  79,800        07/15/19        —(3)      —(3)    $ (128,467   $   —      $ (128,467  

Citigroup Global Market, Inc.

  151,200        07/24/19        —(4)      —(4)      (281,229            (281,229  

Citigroup Global Market, Inc.

           

 

 

   

 

 

    

 

 

   
            $ (409,696   $      $ (409,696  
           

 

 

   

 

 

    

 

 

   

 

(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 or receives payments based on CMM102 minus 7 Year CMS minus 1.366% upon termination.

 

(4)

The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.338% upon termination.

 

(5)

The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

Interest rate swap agreements outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Value at
Trade Date
     Value at
June 30,
2019
     Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

 
EUR 2,835        05/11/24        0.050%(A)     

1 Day EONIA(1)(A)

   $ (31,287    $ (74,546    $ (43,259
EUR 940        05/11/39        1.100%(A)     

1 Day EONIA(1)(A)

     (8,537      (129,502      (120,965
  17,640        03/23/21        2.370%(A)     

1 Day USOIS(1)(A)

            (232,138      (232,138
  7,968        03/31/21        2.173%(A)     

1 Day USOIS(2)(A)

     (2,753      79,504        82,257  
  570        05/31/22        2.353%(A)     

1 Day USOIS(1)(A)

            (13,360      (13,360
  22,000        03/29/24        1.949%(A)     

1 Day USOIS(1)(A)

            (418,711      (418,711

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A31


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2019 (continued):

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Value at
Trade Date
     Value at
June 30,
2019
     Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements (continued):

 
  14,815        08/15/24        2.170%(S)     

3 Month LIBOR(1)(Q)

   $ 32,653      $ (371,260    $ (403,913
  11,300        11/15/24        2.334%(S)     

3 Month LIBOR(1)(Q)

     35,176        (324,795      (359,971
  7,455        02/12/25        2.408%(A)     

1 Day USOIS(1)(A)

            (352,993      (352,993
  1,180        02/28/25        2.454%(A)     

1 Day USOIS(1)(A)

            (59,485      (59,485
  4,758        05/31/25        2.998%(S)     

3 Month LIBOR(1)(Q)

     (3,258      (326,355      (323,097
  2,620        07/31/25        2.802%(A)     

1 Day USOIS(1)(A)

            (197,378      (197,378
  3,685        07/31/25        3.105%(S)     

3 Month LIBOR(1)(Q)

     2,907        (311,353      (314,260
  11,431        07/31/25        3.109%(S)     

3 Month LIBOR(1)(Q)

     657        (968,965      (969,622
  27,645        01/08/26        2.210%(S)     

3 Month LIBOR(1)(Q)

     216,719        (811,819      (1,028,538
  615        01/31/26        2.236%(S)     

3 Month LIBOR(1)(Q)

            (16,349      (16,349
  4,251        01/31/26        2.269%(A)     

1 Day USOIS(1)(A)

     (15,685      (188,698      (173,013
  125        04/30/26        1.876%(S)     

3 Month LIBOR(1)(Q)

     (492      (624      (132
  5,668        02/15/27        1.824%(A)     

1 Day USOIS(1)(A)

     62,809        (76,226      (139,035
  1,185        02/15/27        1.899%(A)     

1 Day USOIS(1)(A)

     1,503        (22,728      (24,231
  925        02/15/27        1.965%(A)     

1 Day USOIS(1)(A)

            (22,388      (22,388
  3,150        02/15/27        2.067%(A)     

1 Day USOIS(1)(A)

     (1,997      (100,882      (98,885
  525        05/15/27        2.295%(S)     

3 Month LIBOR(1)(Q)

            (16,447      (16,447
  13,836        08/15/28        2.579%(A)     

1 Day USOIS(1)(A)

     (209,164      (1,083,478      (874,314
  4,601        08/15/28        2.835%(S)     

3 Month LIBOR(1)(Q)

     (18,250      (375,539      (357,289
  145        11/15/43        2.659%(S)     

3 Month LIBOR(1)(Q)

            (13,066      (13,066
           

 

 

    

 

 

    

 

 

 
            $ 61,001      $ (6,429,581    $ (6,490,582
           

 

 

    

 

 

    

 

 

 

 

(1)

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

 

(2)

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

 

      Premiums
Paid
     Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Forward Rate Agreements

   $   —      $   —      $   —      $ (409,696

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

 

Broker

   Cash and/or Foreign Currency      Securities Market Value  

Citigroup Global Markets Inc.

   $   —      $ 7,354,787  

Goldman Sachs & Co. LLC

            1,886,251  
  

 

 

    

 

 

 

Total

   $      $ 9,241,038  
  

 

 

    

 

 

 

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.

 

A32


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

 

     Level 1      Level 2     Level 3  

Investments in Securities

       

Common Stocks

   $ 1,203,876,596      $ 20,876,581     $  

Exchange-Traded Funds

     6,787,139               

Preferred Stocks

     1,345,300        54,651        

Rights

            4,345        

Asset-Backed Securities

       

Automobiles

            57,831,742        

Collateralized Loan Obligations

            78,495,302        

Consumer Loans

            4,556,114        

Credit Cards

            4,774,757        

Equipment

            6,857,335        

Home Equity Loans

            1,853,763        

Other

            5,607,776        

Residential Mortgage-Backed Securities

            17,233,712        

Student Loans

            21,916,298        

Bank Loans

            1,234,539        

Commercial Mortgage-Backed Securities

            201,439,163        

Corporate Bonds

            290,662,707        

Municipal Bonds

            15,357,484        

Residential Mortgage-Backed Securities

            45,584,777        

Sovereign Bonds

            28,740,873        

U.S. Government Agency Obligations

            192,721,019        

U.S. Treasury Obligations

            28,769,728        

Affiliated Mutual Funds

     392,573,288               

Options Purchased

     139,541        531,343        

Options Written

            (45,238      

Other Financial Instruments*

       

Forward Commitment Contract

            (1,983,125      

Futures Contracts

     6,026,012               

OTC Forward Foreign Currency Exchange Contracts

            (96,722      

Centrally Cleared Credit Default Swap Agreement

            (181,538      

OTC Forward Rate Agreements

                  (409,696

Centrally Cleared Interest Rate Swap Agreements.

            (6,490,582      
  

 

 

    

 

 

   

 

 

 

Total

   $ 1,610,747,876      $ 1,016,306,804     $ (409,696
  

 

 

    

 

 

   

 

 

 

 

*

Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at the net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value.

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, 2019 were as follows:

 

Affiliated Mutual Funds (2.8% represents investments purchased with collateral from securities on loan)

     15.6

Commercial Mortgage-Backed Securities

     8.0  

U.S. Government Agency Obligations

     7.7  

Banks

     6.0  

Software

     3.4  

Collateralized Loan Obligations

     3.1  

Pharmaceuticals

     2.9  

IT Services

     2.6  

Automobiles

     2.5  

Residential Mortgage-Backed Securities

     2.5  

Interactive Media & Services

     2.3  

Oil, Gas & Consumable Fuels

     2.2  

Technology Hardware, Storage & Peripherals

     1.9  

Semiconductors & Semiconductor Equipment

     1.8  

Internet & Direct Marketing Retail

     1.8

Health Care Equipment & Supplies

     1.7  

Insurance

     1.5  

Aerospace & Defense

     1.5  

Equity Real Estate Investment Trusts (REITs)

     1.4  

Capital Markets

     1.4  

Chemicals

     1.3  

Health Care Providers & Services

     1.3  

Diversified Financial Services

     1.2  

Electric

     1.2  

Media

     1.2  

U.S. Treasury Obligations

     1.2  

Sovereign Bonds

     1.1  

Specialty Retail

     1.1  

Biotechnology

     1.1  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A33


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Industry Classification (con’t)

      

Beverages

     1.0

Diversified Telecommunication Services

     1.0  

Electric Utilities

     1.0  

Entertainment

     1.0  

Hotels, Restaurants & Leisure

     0.9  

Student Loans

     0.8  

Household Products

     0.8  

Machinery

     0.8  

Oil & Gas

     0.8  

Food & Staples Retailing

     0.7  

Industrial Conglomerates

     0.7  

Municipal Bonds

     0.6  

Food Products

     0.6  

Communications Equipment

     0.6  

Telecommunications

     0.5  

Life Sciences Tools & Services

     0.5  

Multi-Utilities

     0.5  

Road & Rail

     0.5  

Auto Manufacturers

     0.4  

Tobacco

     0.4  

Pipelines

     0.4  

Airlines

     0.4  

Textiles, Apparel & Luxury Goods

     0.4  

Consumer Finance

     0.3  

Retail

     0.3  

Equipment

     0.3  

Exchange-Traded Funds

     0.3  

Air Freight & Logistics

     0.3  

Multiline Retail

     0.2  

Electronic Equipment, Instruments & Components

     0.2  

Electrical Equipment

     0.2  

Other

     0.2  

Energy Equipment & Services

     0.2  

Commercial Services & Supplies

     0.2  

Credit Cards

     0.2  

Gas

     0.2  

Containers & Packaging

     0.2  

Consumer Loans

     0.2  

Professional Services

     0.2  

Metals & Mining

     0.2  

Foods

     0.2  

Household Durables

     0.2  

Building Products

     0.1  

Miscellaneous Manufacturing

     0.1  

Healthcare-Services

     0.1  

Multi-National

     0.1

Commercial Services

     0.1  

Healthcare-Products

     0.1  

Agriculture

     0.1  

Computers

     0.1  

Personal Products

     0.1  

Trading Companies & Distributors

     0.1  

Oil & Gas Services

     0.1  

Housewares

     0.1  

Transportation

     0.1  

Home Equity Loans

     0.1  

Forest Products & Paper

     0.1  

Construction Materials

     0.1  

Auto Components

     0.1  

Semiconductors

     0.1  

Building Materials

     0.1  

Engineering & Construction

     0.1  

Savings & Loans

     0.1  

Real Estate Management & Development

     0.1  

Health Care Technology

     0.1  

Construction & Engineering

     0.1  

Real Estate Investment Trusts (REITs)

     0.0

Packaging & Containers

     0.0

Distributors

     0.0

Machinery-Diversified

     0.0

Water Utilities

     0.0

Independent Power & Renewable Electricity Producers

     0.0

Lodging

     0.0

Options Purchased

     0.0

Electronics

     0.0

Leisure Products

     0.0

Gas Utilities

     0.0

Home Builders

     0.0

Transportation Infrastructure

     0.0

Mining

     0.0

Diversified Consumer Services

     0.0

Wireless Telecommunication Services

     0.0

Paper & Forest Products

     0.0

Marine

     0.0
  

 

 

 
     104.5  

Options Written

     (0.0 )* 

Liabilities in excess of other assets

     (4.5
  

 

 

 
     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, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. 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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A34


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

 

    

Asset Derivatives

   

Liability Derivatives

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Statement of Assets and
Liabilities Location

   Fair Value    

Statement of Assets and
Liabilities Location

   Fair Value  

Credit contracts

      $     Due from/to broker-variation margin swaps    $ 181,538

Equity contracts

   Due from/to broker-variation margin futures      493,715         

Equity contracts

   Unaffiliated investments      4,345           

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      12,368     Unrealized depreciation on OTC forward foreign currency exchange contracts      109,090  

Interest rate contracts

   Due from/to broker-variation margin futures      8,448,742   Due from/to broker-variation margin futures      2,916,445

Interest rate contracts

   Due from/to broker-variation margin swaps      82,257   Due from/to broker-variation margin swaps      6,572,839

Interest rate contracts

   Unaffiliated investments      670,884     Options written outstanding, at value      45,238  

Interest rate contracts

            Unrealized depreciation on OTC forward rate agreements      409,696  
     

 

 

      

 

 

 
      $ 9,712,311        $ 10,234,846  
     

 

 

      

 

 

 

 

*

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, 2019 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        Forward
Currency
Contracts
       Forward
Rate
Agreements
       Swaps  

Credit contracts

     $        $        $        $        $        $ (153,728

Equity contracts

                         4,314,666                             

Foreign exchange contracts

                                  169,985                    

Interest rate contracts

       2,742          36,717          9,534,337                   31,445          835,570  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 2,742        $ 36,717        $ 13,849,003        $ 169,985        $ 31,445        $ 681,842  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

(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)      Options
Purchased(2)
    Options
Written
       Futures        Forward
Currency
Exchange
Contracts
    Forward
Rate
Agreements
    Swaps  

Credit contracts

     $      $     $        $        $     $     $ (964,748

Equity contracts

       (126                     1,327,677                       

Foreign exchange contracts

                                      (32,818            

Interest rate contracts

              (135,200     126,391          968,331                (363,769     (7,393,320
    

 

 

    

 

 

   

 

 

      

 

 

      

 

 

   

 

 

   

 

 

 

Total

     $ (126    $ (135,200   $ 126,391        $ 2,296,008        $ (32,818   $ (363,769   $ (8,358,068
    

 

 

    

 

 

   

 

 

      

 

 

      

 

 

   

 

 

   

 

 

 

 

(2)

Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, 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)
    Forward Foreign
Currency Exchange
Contracts—
Purchased(3)
 
$204,406   $1,668,833   $ 403,217,924     $ 90,741,656     $ 2,505,384  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A35


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

 

Forward Foreign
Currency Exchange
Contracts—Sold(3)

 

Forward Rate
Agreements(2)

 

Interest Rate
Swap
Agreements(2)

 

Inflation Swap
Agreements(2)

 

Credit Default
Swap Agreements—
Buy Protection(2)

$9,379,361   $196,066,667   $194,949,261   2,360,000   $31,200,000

 

(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 derivatives 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

     $ 69,221,246        $ (69,221,246    $   —  
    

 

 

         

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, N.A.

   $ 418,955      $      $ 418,955      $ (260,000    $ 158,955  

Barclays Bank PLC

     108,226               108,226               108,226  

Citibank, N.A.

     266        (96,151      (95,885             (95,885

Citigroup Global Market, Inc.

            (409,696      (409,696      358,326        (51,370

Morgan Stanley & Co. International PLC

     3,896               3,896               3,896  

The Toronto-Dominion Bank

     12,368        (12,939      (571             (571
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 543,711      $ (518,786    $ 24,925      $ 98,326      $ 123,251  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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.

 

A36


 
   CONSERVATIVE BALANCED PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

 

ASSETS   

Investments at value, including securities on loan of $69,221,246:

  

Unaffiliated investments (cost $1,352,990,901).

   $ 2,237,252,585  

Affiliated investments (cost $392,584,547)

     392,573,288  

Foreign currency, at value (cost $128,396)

     128,723  

Receivable for investments sold

     65,444,488  

Dividends and interest receivable

     6,704,180  

Tax reclaim receivable

     437,507  

Due from broker-variation margin futures

     172,455  

Due from broker-variation margin swaps

     84,292  

Unrealized appreciation on OTC forward foreign currency exchange contracts

     12,368  

Receivable from affiliate

     1,555  

Receivable for Portfolio shares sold

     325  

Prepaid expenses

     5,256  
  

 

 

 

Total Assets

     2,702,817,022  
  

 

 

 
LIABILITIES   

Payable for investments purchased

     109,977,316  

Payable to broker for collateral for securities on loan

     70,164,199  

Forward commitment contracts, at value (proceeds receivable $1,971,719)

     1,983,125  

Management fee payable.

     1,125,025  

Payable for Portfolio shares repurchased

     679,208  

Accrued expenses and other liabilities

     471,317  

Unrealized depreciation on OTC forward rate agreements

     409,696  

Payable to custodian.

     298,083  

Payable to affiliate

     225,783  

Unrealized depreciation on OTC forward foreign currency exchange contracts

     109,090  

Due to broker-variation margin futures

     65,261  

Options written outstanding, at value (proceeds received $171,629)

     45,238  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     185,554,321  
  

 

 

 
NET ASSETS    $ 2,517,262,701  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 2,517,262,701  
  

 

 

 

Net asset value and redemption price per share, $2,517,262,701 / 85,324,295 outstanding shares of beneficial interest

   $ 29.50  
  

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Interest income

  $ 16,032,243  

Unaffiliated dividend income (net of $59,171 foreign withholding tax, of which $6,877 is reimbursable by an affiliate)

    12,340,548  

Affiliated dividend income

    4,706,147  

Income from securities lending, net (including affiliated income of $51,639)

    62,280  
 

 

 

 

Total income

    33,141,218  
 

 

 

 
EXPENSES  

Management fee.

    6,754,121  

Custodian and accounting fees

    174,632  

Shareholders’ reports

    170,436  

Audit fee.

    23,767  

Trustees’ fees

    18,270  

Legal fees and expenses.

    9,477  

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

    5,297  

Miscellaneous

    29,751  
 

 

 

 

Total expenses

    7,185,751  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     25,955,467  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $(1,048))

    34,078,212  

Futures transactions.

    13,849,003  

Forward rate agreement transactions

    31,445  

Forward currency contract transactions

    169,985  

Options written transactions

    36,717  

Swap agreements transactions

    681,842  

Foreign currency transactions

    (5,931
 

 

 

 
    48,841,273  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $148,673)

    195,878,315  

Futures

    2,296,008  

Forward rate agreements

    (363,769

Forward currency contracts.

    (32,818

Options written

    126,391  

Swap agreements.

    (8,358,068

Foreign currencies

    2,015  
 

 

 

 
    189,548,074  
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     238,389,347  
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 264,344,814  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 25,955,467     $ 49,177,630  

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

     48,841,273       69,751,675  

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

     189,548,074       (177,772,406
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     264,344,814       (58,843,101
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [109,474 and 303,199 shares, respectively]

     3,106,903       8,272,676  

Portfolio shares repurchased [4,217,024 and 6,356,332 shares, respectively]

     (119,975,738     (174,377,090
  

 

 

   

 

 

 

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

     (116,868,835     (166,104,414
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      13,184       55,261  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      147,489,163       (224,892,254
NET ASSETS:     

Beginning of period

     2,369,773,538       2,594,665,792  
  

 

 

   

 

 

 

End of period.

   $ 2,517,262,701     $ 2,369,773,538  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A37


 
   DIVERSIFIED BOND PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
LONG-TERM INVESTMENTS — 96.0%

 

ASSET-BACKED SECURITIES — 26.1%

 

Automobiles — 0.8%

 

        

Ford Credit Floorplan Master Owner Trust,

 

Series 2018-04, Class A

 

4.060%

     11/15/30           3,300      $ 3,539,047  

Hertz Vehicle Financing II LP,

 

Series 2015-01A, Class A, 144A

 

2.730%

     03/25/21           400        400,435  

Series 2019-02A, Class A, 144A

 

3.420%

     05/25/25           200        204,380  

OneMain Direct Auto Receivables Trust,

 

Series 2019-01A, Class A, 144A

 

3.630%

     09/14/27           3,500        3,619,999  

Series 2019-01A, Class B, 144A

 

        

3.950%

     11/14/28           800        831,158  
           

 

 

 
              8,595,019  
           

 

 

 

Collateralized Loan Obligations — 18.0%

 

  

ArrowMark Colorado Holdings (Cayman Islands),

 

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

 

3.877%(c)

     07/15/29           250        250,007  

Atlas Senior Loan Fund Ltd. (Cayman Islands),

 

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

 

3.861%(c)

     07/16/29           500        498,780  

Atrium (Cayman Islands),

 

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

 

3.422%(c)

     04/22/27           8,250        8,231,456  

Ballyrock CLO Ltd. (Cayman Islands),

 

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350%

 

3.947%(c)

     10/15/28           2,500        2,500,371  

Battalion CLO Ltd.,

 

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

 

3.595%(c)

     05/17/31           3,000        2,959,092  

Benefit Street Partners CLO Ltd. (Cayman Islands),

 

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

 

3.847%(c)

     10/15/30           4,500        4,492,595  

Brookside Mill CLO Ltd. (Cayman Islands),

 

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

 

3.938%(c)

     01/17/28           2,500        2,450,453  

Carlyle US CLO Ltd. (Cayman Islands),

 

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

 

3.777%(c)

     01/15/30           4,000        3,988,141  

Catamaran CLO Ltd. (Cayman Islands),

 

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

 

3.852%(c)

     04/22/30           7,750        7,732,483  

CIFC Funding Ltd. (Cayman Islands),

 

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

 

3.561%(c)

     04/24/31           1,500        1,480,839  

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

 

3.702%(c)

     01/22/31           3,750        3,724,302  

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

 

3.462%(c)

     04/19/29           5,000        4,961,846  

Elevation CLO Ltd. (Cayman Islands),

 

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

 

3.827%(c)

     10/15/29           7,500        7,487,282  

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

 

3.817%(c)

     07/15/30           5,250        5,236,509  

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%

 

3.607%(c)

     04/15/31           6,000      $ 5,929,447  

Greywolf CLO Ltd. (Cayman Islands),

 

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

 

3.616%(c)

     04/26/31           3,500        3,451,756  

Highbridge Loan Management Ltd. (Cayman Islands),

 

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

 

3.565%(c)

     02/05/31           4,000        3,964,696  

ICG US CLO Ltd. (Cayman Islands),

 

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

 

3.610%(c)

     04/25/31           2,500        2,465,785  

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

 

3.872%(c)

     10/23/29           1,250        1,248,907  

Mariner CLO Ltd. (Cayman Islands),

 

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

 

3.690%(c)

     04/25/31           5,750        5,712,382  

MidOcean Credit CLO (Cayman Islands),

 

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

 

3.712%(c)

     04/21/31           9,750        9,658,877  

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

 

3.670%(c)

     02/20/31           4,000        3,974,650  

Mountain View CLO LLC (Cayman Islands),

 

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

 

3.811%(c)

     01/16/31           4,000        3,967,554  

Mountain View CLO Ltd. (Cayman Islands),

 

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

 

3.853%(c)

     10/12/30           8,000        7,978,924  

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

 

3.717%(c)

     07/15/31           6,000        5,943,025  

Neuberger Berman CLO Ltd. (Cayman Islands),

 

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

 

3.447%(c)

     01/15/28           3,000        2,989,061  

OCP CLO Ltd. (Cayman Islands),

 

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

 

3.857%(c)

     07/15/30           750        750,385  

OZLM Ltd. (Cayman Islands),

 

Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280%

 

3.872%(c)

     10/20/31           2,750        2,740,850  

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

 

3.833%(c)

     10/30/30           1,250        1,249,829  

Palmer Square CLO Ltd. (Cayman Islands),

 

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

 

3.718%(c)

     01/17/31           4,000        3,980,161  

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

 

3.862%(c)

     07/20/30           1,000        999,488  

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

 

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

 

3.748%(c)

     11/14/29           3,500        3,491,805  

Romark WM-R Ltd. (Cayman Islands),

 

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

 

3.622%(c)

     04/20/31           4,000        3,954,705  

Shackleton CLO Ltd. (Cayman Islands),

 

Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100%

 

3.665%(c)

     05/07/31           4,955        4,925,951  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A38


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (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%

 

3.656%(c)

     01/26/31           3,500      $ 3,462,056  

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

 

3.472%(c)

     07/20/27           4,000        4,000,030  

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

 

3.812%(c)

     10/20/30           5,750        5,732,659  

Telos CLO Ltd. (Cayman Islands),

 

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

 

3.828%(c)

     01/17/30           3,500        3,492,992  

TICP CLO Ltd. (Cayman Islands),

 

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

 

3.892%(c)

     07/20/27           6,000        5,884,791  

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

 

3.732%(c)

     01/20/31           3,000        2,979,260  

Trinitas CLO Ltd. (Cayman Islands),

 

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

 

3.997%(c)

     07/15/27           5,000        4,956,447  

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

 

3.790%(c)

     01/25/31           4,000        3,969,287  

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

 

4.180%(c)

     01/25/31           1,500        1,479,260  

Venture CLO Ltd. (Cayman Islands),

 

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

 

3.477%(c)

     07/15/27           5,000        5,000,107  

Voya CLO Ltd. (Cayman Islands),

 

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

 

3.807%(c)

     10/15/30           7,500        7,490,559  

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

 

3.550%(c)

     04/25/31           3,000        2,961,702  

Wellfleet CLO Ltd. (Cayman Islands),

 

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

 

3.912%(c)

     04/20/29           1,750        1,749,282  

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

 

3.842%(c)

     10/20/29           1,000        998,761  

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

 

3.738%(c)

     01/17/31           6,500        6,464,468  

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%

 

3.792%(c)

     10/20/31           2,750        2,733,266  

York CLO Ltd. (Cayman Islands),

 

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

 

3.742%(c)

     01/22/31           2,000        1,988,312  

Zais CLO Ltd. (Cayman Islands),

 

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

 

3.967%(c)

     07/15/29           1,000        1,004,027  

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

 

3.547%(c)

     04/15/29           8,500        8,421,931  
           

 

 

 
              210,141,591  
           

 

 

 

Consumer Loans — 1.7%

 

Lendmark Funding Trust,

 

Series 2017-01A, Class A, 144A

 

2.830%

     12/22/25           971        967,964  

Series 2018-02A, Class A, 144A

 

4.230%

     04/20/27           1,400        1,452,931  

Series 2019-01A, Class A, 144A

 

3.000%

     12/20/27           2,100        2,099,519  

Interest
Rate

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

 

Consumer Loans (continued)

 

Mariner Finance Issuance Trust,

 

Series 2019-AA, Class A, 144A

 

2.960%

     07/20/32           700      $ 699,868  

OneMain Financial Issuance Trust,

 

Series 2016-01A, Class A, 144A

 

3.660%

     02/20/29           1,343        1,348,782  

Series 2017-01A, Class B, 144A

 

2.790%

     09/14/32           500        499,181  

Series 2017-01A, Class C, 144A

 

3.350%

     09/14/32           500        501,479  

Series 2018-01A, Class A, 144A

 

3.300%

     03/14/29           1,030        1,043,327  

Oportun Funding IX LLC,

 

Series 2018-B, Class A, 144A

 

3.910%

     07/08/24           1,200        1,220,590  

Series 2018-B, Class C, 144A

 

5.430%

     07/08/24           500        506,718  

Oportun Funding VI LLC,

 

Series 2017-A, Class A, 144A

 

3.230%

     06/08/23           1,250        1,249,544  

Oportun Funding VII LLC,

 

Series 2017-B, Class A, 144A

 

3.220%

     10/10/23           3,000        3,001,401  

Oportun Funding VIII LLC,

 

Series 2018-A, Class A, 144A

 

3.610%

     03/08/24           1,140        1,151,579  

Oportun Funding X LLC,

 

Series 2018-C, Class A, 144A

 

4.100%

     10/08/24           1,400        1,435,762  

Oportun Funding XII LLC,

 

Series 2018-D, Class A, 144A

 

4.150%

     12/09/24           1,000        1,028,305  

PNMAC GMSR Issuer Trust,

 

Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850%

 

5.254%(c)

     02/25/23           740        741,183  

Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650%

 

5.054%(c)

     08/25/25           1,200        1,204,235  
           

 

 

 
              20,152,368  
           

 

 

 

Credit Cards — 0.3%

 

        

Citibank Credit Card Issuance Trust,

 

Series 2018-A07, Class A7

 

3.960%

     10/13/30           2,700        2,998,104  
           

 

 

 

Home Equity Loans — 1.0%

 

        

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

 

Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500%

 

4.339%(c)

     01/25/33           1,473        1,475,206  

Ameriquest Mortgage Securities, Inc., Floating Rate Mortgage Pass-Through Certificates,

 

Series 2001-02, Class M3, 1 Month LIBOR + 2.925%

 

5.329%(c)

     10/25/31           233        249,479  

Argent Securities, Inc., Asset-Backed Pass-Through Certificates,

 

Series 2003-W02, Class M4, 1 Month LIBOR + 5.625%

 

4.274%(c)

     09/25/33           1,940        1,906,567  

Series 2004-W06, Class M1, 1 Month LIBOR + 0.825%

 

3.229%(c)

     05/25/34           481        483,667  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A39


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (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%

 

3.639%(c)

     06/15/33           723      $ 730,543  

Bear Stearns Asset-Backed Securities Trust,

 

Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900%

 

3.304%(c)

     03/25/34           2,131        2,142,827  

Centex Home Equity Loan Trust,

 

Series 2004-B, Class AF6

 

4.686%

     03/25/34           232        233,828  

Merrill Lynch Mortgage Investors Trust,

 

Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200%

 

3.604%(c)

     08/25/35           209        210,302  

Morgan Stanley ABS Capital I, Inc. Trust,

 

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

 

3.604%(c)

     05/25/33           443        444,478  

Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020%

 

3.424%(c)

     10/25/33           355        355,400  

New Century Home Equity Loan Trust,

 

Series 2003-04, Class M1, 1 Month LIBOR + 1.125%

 

3.529%(c)

     10/25/33           1,592        1,598,091  

Residential Asset Securities Trust,

 

Series 2004-KS01, Class AI5

 

5.721%(cc)

     02/25/34           489        501,109  

Securitized Asset-Backed Receivables LLC Trust,

 

Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780%

 

3.184%(c)

     02/25/34           1,571        1,578,728  
           

 

 

 
              11,910,225  
           

 

 

 

Other — 0.0%

           

PNMAC FMSR Issuer Trust,

 

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

 

4.754%(c)

     04/25/23           120        121,770  

TH MSR Issuer Trust,

 

Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800%

 

5.204%(c)

     06/25/24           140        140,000  
           

 

 

 
              261,770  
           

 

 

 

Residential Mortgage-Backed Securities — 2.5%

 

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,

 

Series 2004-R08, Class M1, 1 Month LIBOR + 0.960%

 

3.364%(c)

     09/25/34           111        110,676  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 

Series 2004-W010, Class A2, 1 Month LIBOR + 0.780%

 

3.184%(c)

     10/25/34           1,153        1,150,052  

Credit Suisse Mortgage Trust,

 

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

 

5.590%(c)

     12/26/46           2,903        2,917,305  

Series 2018-RPL08, Class A1, 144A

 

4.125%(cc)

     07/25/58           1,452        1,471,647  

Series 2019-06R, 144A

 

3.813%(s)

     10/25/46           1,420        1,420,000  

Equity One Mortgage Pass-Through Trust,

 

Series 2004-03, Class M1

 

4.498%(cc)

     07/25/34           311        321,752  

Fremont Home Loan Trust,

 

Series 2003-B, Class M1, 1 Month LIBOR + 1.050%

 

3.454%(c)

     12/25/33           116        114,826  

Interest
Rate

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

 

Residential Mortgage-Backed Securities (continued)

 

Legacy Mortgage Asset Trust,

 

Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750%

 

4.180%(c)

     01/28/70           621      $ 631,731  

Series 2019-GS01, Class A1, 144A

 

4.000%

     01/25/59           1,023        1,038,920  

Series 2019-GS02, Class A1, 144A

 

3.750%

     01/25/59           1,063        1,071,895  

Series 2019-GS03, Class A1, 144A

 

3.750%

     04/25/59           490        495,771  

Series 2019-GS04, Class A1, 144A

 

3.438%

     05/25/59           1,591        1,602,891  

Series 2019-SL01, Class A, 144A

 

4.000%(cc)

     12/28/54           733        736,769  

Long Beach Mortgage Loan Trust,

 

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

 

3.154%(c)

     02/25/34           1,397        1,392,664  

Merrill Lynch Mortgage Investors Trust,

 

Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520%

 

2.924%(c)

     06/25/35           731        729,163  

Structured Asset Investment Loan Trust,

 

Series 2004-07, Class A8, 1 Month LIBOR + 1.200%

 

3.604%(c)

     08/25/34           1,400        1,411,521  

TFS (Spain),

 

Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%

 

2.900%(c)

     03/16/23         EUR  4,114        4,668,849  

Towd Point Mortgage Trust,

 

Series 2017-04, Class A1, 144A

 

2.750%(cc)

     06/25/57           2,227        2,237,156  

Series 2017-06, Class A1, 144A

 

        

2.750%(cc)

     10/25/57           2,478        2,496,774  

Series 2018-02, Class A1, 144A

 

        

3.250%(cc)

     03/25/58           394        401,143  

Series 2018-03, Class A1, 144A

 

        

3.750%(cc)

     05/25/58           180        186,513  

Series 2018-05, Class A1, 144A

 

        

3.250%(cc)

     07/25/58           546        557,199  

Series 2018-06, Class A1A, 144A

 

        

3.750%(cc)

     03/25/58           1,979        2,033,038  
           

 

 

 
              29,198,255  
           

 

 

 

Student Loans — 1.8%

 

Earnest Student Loan Program LLC,

 

Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400%

 

3.804%(c)

     01/25/41           135        136,172  

Laurel Road Prime Student Loan Trust,

 

Series 2018-A, Class A, 144A

 

—%(p)

     02/25/43           2,980        3,748,486  

Series 2018-C, Class A, 144A

 

        

—%(p)

     08/25/43           3,399        3,460,157  

Series 2018-D, Class A, 144A

 

        

—%(p)

     11/25/43           3,485        3,625,026  

SLM Student Loan Trust,

 

Series 2004-02X, Class A6, 3 Month EURIBOR + 0.550%

 

0.239%(c)

     07/25/39         EUR  2,100        2,308,903  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A40


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Student Loans (continued)

 

Sofi Alternative Trust,

 

Series 2019-B, Class PT, 144A

 

—%(p)

     12/15/45           7,700      $ 8,106,906  
           

 

 

 
              21,385,650  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $302,011,508)

 

     304,642,982  
           

 

 

 
BANK LOANS — 0.6%

 

        

Chemicals — 0.0%

 

        

Avantor, Inc. (United Kingdom),

 

Initial B-2 Euro Term Loan, 1 Month EURIBOR + 3.250%

 

3.250%(c)

     11/21/24         EUR 173        197,304  
           

 

 

 

Computers — 0.1%

 

        

McAfee LLC,

 

Second Lien Initial Loan, 1 Month LIBOR + 8.500%

 

10.902%(c)

     09/29/25           437        441,875  

Term B USD Loan, 1 Month LIBOR + 3.750%

 

  

6.152%(c)

     09/30/24           525        523,605  
           

 

 

 
              965,480  
           

 

 

 

Diversified Financial Services — 0.0%

 

  

EG Finco Ltd. (United Kingdom),

 

Second Lien Term Loan, 3 Month EURIBOR + 7.750%

 

8.750%(c)

     04/20/26         EUR  374        427,164  
           

 

 

 

Electric — 0.1%

           

Vistra Operations Co. LLC,

 

2018 Incremental Term Loan, 1 -3 Month LIBOR + 2.000%

 

4.376%(c)

     12/31/25           518        517,036  

Initial Term B-1 Loan, 1 Month LIBOR + 2.000%

 

  

4.402%(c)

     08/04/23           271        270,384  
           

 

 

 
              787,420  
           

 

 

 

Foods — 0.2%

           

Sigma Bidco BV (Netherlands),

 

Facility B4 Loan, 3 Month GBP LIBOR + 4.000%

 

4.853%(c)

     07/02/25         GBP  1,550        1,909,779  
           

 

 

 

Pharmaceuticals — 0.1%

 

        

Nidda Healthcare Holding AG (Germany),

 

Facility C GBP, 3 Month GBP LIBOR + 4.500%

 

5.303%(c)

     08/21/24         GBP  1,000        1,272,331  
           

 

 

 

Retail — 0.0%

           

EG America LLC (United Kingdom),

 

Second Lien Facility (USD), 3 Month LIBOR + 8.000%

 

10.330%(c)

     04/20/26           665        656,250  
           

 

 

 

Software — 0.1%

 

        

First Data Corp.,

 

2022D New Dollar Term Loan, 1 Month LIBOR + 2.000%

 

4.404%(c)

     07/08/22           1,252        1,250,493  
           

 

 

 

TOTAL BANK LOANS
(cost $7,773,701)

 

     7,466,221  
           

 

 

 
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.2%

 

Banc of America Commercial Mortgage Trust,

 

Series 2016-UB10, Class A3

 

2.903%

     07/15/49           2,300        2,341,406  

Interest
Rate

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

 

BANK,

 

Series 2017-BNK05, Class A4

 

3.131%

     06/15/60           4,400      $ 4,546,931  

Series 2017-BNK06, Class A4

 

3.254%

     07/15/60           3,300        3,438,374  

Series 2017-BNK08, Class A3

 

3.229%

     11/15/50           1,950        2,029,363  

Series 2019-BN18, Class A3

 

3.325%

     05/15/62           1,500        1,570,636  

BBCMS Mortgage Trust,

 

Series 2016-ETC, Class A, 144A

 

2.937%

     08/14/36           1,170        1,178,139  

Series 2016-ETC, Class B, 144A

 

3.189%

     08/14/36           510        507,224  

Series 2016-ETC, Class C, 144A

 

3.391%

     08/14/36           430        427,781  

Series 2016-ETC, Class D, 144A

 

3.729%(cc)

     08/14/36           1,560        1,549,590  

Benchmark Mortgage Trust,

 

Series 2019-B09, Class A4

 

3.751%

     03/15/52           3,400        3,679,094  

Cantor Commercial Real Estate Lending,

 

Series 2019-CF01, Class A5

 

3.786%

     05/15/52           4,000        4,316,921  

CD Mortgage Trust,

 

Series 2017-CD05, Class A3

 

3.171%

     08/15/50           3,500        3,621,383  

Citigroup Commercial Mortgage Trust,

 

Series 2016-GC37, Class A4

 

3.314%

     04/10/49           1,600        1,671,736  

CityLine Commercial Mortgage Trust,

 

Series 2016-CLNE, Class B, 144A

 

2.871%(cc)

     11/10/31           2,400        2,405,600  

Series 2016-CLNE, Class C, 144A

 

2.871%(cc)

     11/10/31           900        891,910  

Commercial Mortgage Trust,

 

Series 2014-UBS04, Class A4

 

3.420%

     08/10/47           3,200        3,346,269  

Series 2014-UBS05, Class A4

 

3.838%

     09/10/47           3,600        3,837,631  

Series 2015-DC01, Class A4

 

        

3.078%

     02/10/48           5,000        5,127,999  

Series 2015-LC21, Class A4

 

        

3.708%

     07/10/48           820        873,398  

Series 2015-PC01, Class A5

 

        

3.902%

     07/10/50           1,570        1,679,244  

Series 2016-COR01, Class A3

 

2.826%

     10/10/49           2,500        2,528,390  

Series 2016-DC02, Class A5

 

        

3.765%

     02/10/49           240        256,247  

Series 2017-COR02, Class A2

 

3.239%

     09/10/50           4,500        4,664,796  

Credit Suisse Mortgage Trust,

 

Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150%

 

4.544%(c)

     05/15/36           2,600        2,608,954  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A41


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

CSAIL Commercial Mortgage Trust,

 

Series 2019-C16, Class A2

 

3.067%

     06/15/52           1,200      $ 1,214,920  

DBJPM Mortgage Trust,

 

Series 2017-C06, Class A4

 

3.071%

     06/10/50           2,800        2,880,681  

DBWF Mortgage Trust,

 

Series 2016-85T, Class D, 144A

 

3.935%(cc)

     12/10/36           1,400        1,424,624  

Eleven Madison Mortgage Trust,

 

Series 2015-11MD, Class C, 144A

 

3.673%(cc)

     09/10/35           3,000        3,104,975  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K008, Class X1, IO

 

1.658%(cc)

     06/25/20           7,471        78,432  

Series K020, Class X1, IO

 

        

1.535%(cc)

     05/25/22           26,171        891,716  

Series K021, Class X1, IO

 

        

1.568%(cc)

     06/25/22           14,920        546,214  

Series K025, Class X1, IO

 

        

0.954%(cc)

     10/25/22           10,132        242,099  

Series K027, Class X1, IO

 

        

0.890%(cc)

     01/25/23           128,240        2,948,139  

Series K044, Class X1, IO

 

        

0.869%(cc)

     01/25/25           81,908        2,796,100  

Series K053, Class X1, IO

 

        

1.026%(cc)

     12/25/25           88,622        4,385,423  

Series K055, Class X1, IO

 

        

1.499%(cc)

     03/25/26           13,798        1,068,662  

Series K711, Class X1, IO

 

        

1.686%(cc)

     07/25/19           2,419        302  

GS Mortgage Securities Corp. II,

 

Series 2015-GC30, Class A3

 

3.119%

     05/10/50           3,025        3,126,521  

GS Mortgage Securities Trust,

 

Series 2017-GS06, Class A2

 

3.164%

     05/10/50           3,400        3,516,886  

Series 2019-GC38, Class A3

 

        

3.703%

     02/10/52           5,800        6,248,546  

IMT Trust,

 

Series 2017-APTS, Class AFX, 144A

 

3.478%

     06/15/34           310        324,646  

JPMBB Commercial Mortgage Securities Trust,

 

Series 2014-C21, Class A4

 

3.493%

     08/15/47           3,160        3,314,503  

JPMDB Commercial Mortgage Securities Trust,

 

Series 2016-C02, Class A3A

 

2.881%

     06/15/49           1,070        1,090,896  

Series 2017-C05, Class A4

 

        

3.414%

     03/15/50           1,975        2,076,349  

Series 2017-C07, Class A4

 

        

3.147%

     10/15/50           3,600        3,721,217  

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

Series 2018-AON, Class E, 144A

 

4.767%(cc)

     07/05/31           5,875        6,141,240  

Interest
Rate

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

 

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2012-LC09, Class A4

 

2.611%

     12/15/47           204      $ 204,010  

Series 2016-JP02, Class A3

 

        

2.559%

     08/15/49           2,900        2,896,129  

Morgan Stanley Bank of America Merrill Lynch Trust,

 

Series 2012-C05, Class XA, IO, 144A

 

1.615%(cc)

     08/15/45           37,493        1,330,367  

Series 2013-C08, Class A3

 

        

2.863%

     12/15/48           1,531        1,560,403  

Series 2013-C09, Class A3

 

        

2.834%

     05/15/46           2,037        2,068,767  

Series 2013-C10, Class A3

 

        

4.103%(cc)

     07/15/46           4,545        4,814,067  

Series 2016-C30, Class A5

 

        

2.860%

     09/15/49           2,000        2,030,241  

Morgan Stanley Capital I Trust,

 

Series 2017-H01, Class A4

 

3.259%

     06/15/50           2,750        2,860,492  

Series 2017-HR02, Class A3

 

        

3.330%

     12/15/50           5,500        5,747,591  

Shops at Crystals Trust,

 

Series 2016-CSTL, Class A, 144A

 

3.126%

     07/05/36           140        141,934  

UBS Commercial Mortgage Trust,

 

Series 2017-C02, Class A3

 

3.225%

     08/15/50           4,400        4,552,811  

Series 2017-C07, Class A3

 

        

3.418%

     12/15/50           5,600        5,868,490  

Series 2018-C10, Class A3

 

        

4.048%

     05/15/51           2,200        2,413,742  

UBS-Barclays Commercial Mortgage Trust,

 

Series 2013-C05, Class A3

 

2.920%

     03/10/46           3,846        3,925,139  

Wells Fargo Commercial Mortgage Trust,

 

Series 2014-LC016, Class A4

 

3.548%

     08/15/50           4,300        4,499,349  

Series 2016-C032, Class A3

 

        

3.294%

     01/15/59           2,250        2,343,926  

Series 2016-C34, Class A3

 

        

2.834%

     06/15/49           2,500        2,528,771  

Series 2016-C35, Class A3

 

        

2.674%

     07/15/48           4,600        4,616,617  

Series 2017-C40, Class A3

 

        

3.317%

     10/15/50           1,370        1,428,142  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $161,973,539)

 

     166,073,095  
           

 

 

 
CORPORATE BONDS — 37.4%

 

Aerospace & Defense — 0.7%

 

        

Bombardier, Inc. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

7.500%

     12/01/24           1,600        1,632,000  

7.500%

     03/15/25           1,250        1,253,500  

7.875%

     04/15/27           1,375        1,376,719  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A42


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Aerospace & Defense (continued)

 

General Dynamics Corp.,

 

      

Gtd. Notes

         

3.000%

     05/11/21          2,115     $ 2,149,246  

United Technologies Corp.,

 

      

Sr. Unsec’d. Notes

 

      

4.125%

     11/16/28          1,115       1,224,941  
         

 

 

 
            7,636,406  
         

 

 

 

Agriculture — 0.2%

 

      

BAT Capital Corp. (United Kingdom),

 

 

Gtd. Notes

         

3.222%

     08/15/24          2,810       2,828,454  
         

 

 

 

Airlines — 0.5%

 

      

American Airlines 2016-1 Class AA Pass-Through Trust,

 

Pass-Through Certificates, Series AA

 

 

3.575%

     07/15/29          1,616       1,675,520  

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

 

Pass-Through Certificates

 

      

6.703%

     12/15/22          (r)      261  

Continental Airlines 2007-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

      

5.983%

     10/19/23          1,233       1,307,862  

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

 

Pass-Through Certificates

 

      

4.750%

     07/12/22          247       252,978  

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

 

Pass-Through Certificates

 

      

6.821%

     02/10/24          793       873,084  

Delta Air Lines, Inc.,

 

Sr. Unsec’d. Notes

 

      

2.875%

     03/13/20          1,180       1,181,433  

United Airlines 2007-1 Class A Pass-Through Trust,

 

Pass-Through Certificates

 

      

6.636%

     01/02/24 (a)         574       609,488  
         

 

 

 
            5,900,626  
         

 

 

 

Apparel — 0.2%

 

      

Hanesbrands Finance Luxembourg SCA,

 

 

Gtd. Notes, 144A

 

      

3.500%

     06/15/24        EUR  575       716,757  

PVH Corp.,

         

Sr. Unsec’d. Notes, 144A

 

      

3.625%

     07/15/24        EUR  1,250       1,589,882  
         

 

 

 
            2,306,639  
         

 

 

 

Auto Manufacturers — 0.7%

 

BMW US Capital LLC (Germany),

 

      

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

 

 

3.014%(c)

     04/12/21          425       425,366  

Gtd. Notes, 144A

 

      

3.100%

     04/12/21          570       576,669  

Daimler Finance North America LLC (Germany),

 

 

Gtd. Notes, 144A

 

      

3.100%

     05/04/20          1,030       1,035,483  

3.350%

     05/04/21          1,715       1,739,126  

Interest
Rate

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

 

Auto Manufacturers (continued)

 

Ford Motor Co.,

          

Sr. Unsec’d. Notes

 

       

5.291%

     12/08/46          290      $ 269,747  

General Motors Co.,

 

       

Sr. Unsec’d. Notes

 

       

4.875%

     10/02/23          1,350        1,431,681  

6.250%

     10/02/43          1,455        1,548,863  

6.600%

     04/01/36          210        232,471  

General Motors Financial Co., Inc.,

 

       

Gtd. Notes, 3 Month LIBOR + 0.850%

 

3.442%(c)

     04/09/21          610        609,721  

Gtd. Notes

          

3.550%

     04/09/21          460        466,698  
          

 

 

 
             8,335,825  
          

 

 

 

Auto Parts & Equipment — 0.5%

 

Adient Global Holdings Ltd.,

 

       

Gtd. Notes, 144A

 

       

3.500%

     08/15/24        EUR  701        661,599  

Adient US LLC,

          

Sr. Sec’d. Notes, 144A

 

       

7.000%

     05/15/26 (a)         250        256,875  

American Axle & Manufacturing, Inc.,

 

  

Gtd. Notes

          

6.500%

     04/01/27 (a)         1,225        1,221,937  

Cooper-Standard Automotive, Inc.,

 

       

Gtd. Notes, 144A

 

       

5.625%

     11/15/26          1,200        1,065,000  

Dana Financing Luxembourg Sarl,

 

       

Gtd. Notes, 144A

 

       

5.750%

     04/15/25          875        897,969  

LKQ Italia Bondco SpA,

 

       

Gtd. Notes, 144A

 

       

3.875%

     04/01/24        EUR  1,275        1,604,157  
          

 

 

 
             5,707,537  
          

 

 

 

Banks — 11.6%

          

Banco Santander SA (Spain),

 

       

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

 

3.724%(c)

     04/12/23          400        398,318  

Sr. Unsec’d. Notes

 

       

3.848%

     04/12/23          600        622,860  

Bank of America Corp.,

 

       

Jr. Sub. Notes, Series JJ

 

       

5.125%(ff)

     (rr)         1,655        1,665,344  

Sr. Unsec’d. Notes, GMTN

 

       

3.300%

     01/11/23          5,870        6,050,659  

3.593%(ff)

     07/21/28          740        771,561  

Sr. Unsec’d. Notes, MTN

 

       

3.499%(ff)

     05/17/22          385        392,420  

3.824%(ff)

     01/20/28          1,715        1,815,410  

3.974%(ff)

     02/07/30          1,840        1,972,299  

4.078%(ff)

     04/23/40          2,340        2,495,370  

4.125%

     01/22/24          3,750        4,010,740  

4.271%(ff)

     07/23/29          910        993,898  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A43


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Banks (continued)

 

Sub. Notes, MTN

 

4.000%

     01/22/25          1,117      $ 1,174,868  

4.450%

     03/03/26          1,735        1,871,446  

Bank of Montreal (Canada),

 

Sr. Unsec’d. Notes, MTN

 

2.900%

     03/26/22          1,245        1,264,058  

Barclays PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

3.650%

     03/16/25          700        703,528  

3.684%

     01/10/23          480        486,287  

Sr. Unsec’d. Notes, MTN

 

4.972%(ff)

     05/16/29          1,050        1,119,911  

BNP Paribas SA (France),

 

Sr. Unsec’d. Notes, 144A

 

4.400%

     08/14/28          420        455,039  

Sr. Unsec’d. Notes, 144A, MTN

 

3.500%

     03/01/23          855        879,510  

BPCE SA (France),

 

Sr. Unsec’d. Notes, 144A, MTN

 

3.500%

     10/23/27          300        305,453  

Sub. Notes, 144A, MTN

 

4.500%

     03/15/25          1,500        1,580,951  

Citibank NA,

 

Sr. Unsec’d. Notes, BKNT

 

3.050%

     05/01/20          4,120        4,142,303  

Citigroup, Inc.,

 

Jr. Sub. Notes, Series Q

 

5.950%(ff)

     (rr)         1,355        1,393,374  

Jr. Sub. Notes, Series R

 

6.125%(ff)

     (rr)         1,085        1,114,838  

Sr. Unsec’d. Notes

 

3.200%

     10/21/26          3,255        3,319,589  

3.887%(ff)

     01/10/28          1,710        1,809,124  

8.125%

     07/15/39          1,060        1,695,592  

Sub. Notes

 

4.450%

     09/29/27          2,630        2,833,574  

Credit Suisse AG (Switzerland),

 

Sr. Unsec’d. Notes, MTN

 

3.625%

     09/09/24          1,050        1,106,031  

Deutsche Bank AG (Germany),

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290%

 

3.855%(c)

     02/04/21          1,025        1,016,428  

Sr. Unsec’d. Notes

 

4.250%

     02/04/21          950        958,394  

Sr. Unsec’d. Notes, GMTN

 

3.375%

     05/12/21          900        896,168  

Sr. Unsec’d. Notes, MTN

 

3.700%

     05/30/24          159        156,430  

Sr. Unsec’d. Notes, Series D

 

5.000%

     02/14/22          1,350        1,391,601  

Dexia Credit Local SA (France),

 

Gov’t. Liquid Gtd. Notes, 144A

 

2.875%

     01/29/22          500        510,552  

Discover Bank,

 

Sr. Unsec’d. Notes

 

3.450%

     07/27/26          280        284,862  

4.250%

     03/13/26          1,150        1,218,607  

Interest
Rate

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

 

Banks (continued)

 

Sub. Notes

 

7.000%

     04/15/20          2,005      $ 2,073,463  

Goldman Sachs Group, Inc. (The),

 

Jr. Sub. Notes, Series M

 

5.375%(ff)

     (rr)         1,950        1,952,437  

Sr. Unsec’d. Notes

 

3.272%(ff)

     09/29/25          4,063        4,158,057  

3.750%

     02/25/26          125        130,477  

3.814%(ff)

     04/23/29          1,060        1,107,875  

3.850%

     01/26/27          1,765        1,844,770  

5.750%

     01/24/22          4,200        4,539,292  

Sr. Unsec’d. Notes, Series D, MTN

 

6.000%

     06/15/20          2,420        2,500,509  

HSBC Holdings PLC (United Kingdom),

 

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

 

3.120%(c)

     05/18/21          1,785        1,786,410  

Sr. Unsec’d. Notes

 

4.583%(ff)

     06/19/29          1,000        1,093,662  

JPMorgan Chase & Co.,

 

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

 

6.053%(c)

     (rr)         4,397        4,394,626  

Jr. Sub. Notes, Series X

 

6.100%(ff)

     (rr)         1,450        1,562,114  

Sr. Unsec’d. Notes

 

2.750%

     06/23/20          5,400        5,421,371  

2.950%

     10/01/26          1,740        1,771,241  

3.200%

     01/25/23          470        482,292  

3.200%

     06/15/26          3,020        3,107,984  

3.509%(ff)

     01/23/29          1,435        1,491,877  

3.782%(ff)

     02/01/28          965        1,023,006  

3.964%(ff)

     11/15/48          985        1,045,076  

4.005%(ff)

     04/23/29          1,200        1,294,471  

4.250%

     10/15/20          600        614,812  

Sub. Notes

 

4.250%

     10/01/27          420        454,883  

KeyCorp,

 

Sr. Unsec’d. Notes, MTN

 

5.100%

     03/24/21          1,155        1,207,541  

Lloyds Bank PLC (United Kingdom),

 

Gtd. Notes, 144A, MTN

 

5.800%

     01/13/20          2,650        2,697,295  

Morgan Stanley,

 

Jr. Sub. Notes, Series H

 

5.450%(ff)

     (rr)         975        972,563  

Sr. Unsec’d. Notes

 

4.375%

     01/22/47          895        996,224  

5.750%

     01/25/21          1,920        2,016,630  

Sr. Unsec’d. Notes, GMTN

 

3.125%

     01/23/23          1,190        1,216,854  

3.750%

     02/25/23          395        412,624  

3.772%(ff)

     01/24/29          1,875        1,967,139  

4.431%(ff)

     01/23/30          1,340        1,482,388  

5.500%

     07/28/21          2,080        2,209,923  

5.625%

     09/23/19          2,635        2,653,275  

Sr. Unsec’d. Notes, MTN

 

3.125%

     07/27/26          2,725        2,776,816  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A44


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Banks (continued)

 

Sub. Notes, GMTN

 

4.350%

     09/08/26          750      $ 804,245  

PNC Financial Services Group, Inc. (The),

 

Sub. Notes

 

3.900%

     04/29/24          975        1,026,591  

Royal Bank of Canada (Canada),

 

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

 

2.973%(c)

     04/30/21          1,920        1,925,347  

Sr. Unsec’d. Notes, GMTN

 

3.200%

     04/30/21          5,215        5,307,605  

Santander UK Group Holdings PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

2.875%

     10/16/20          1,550        1,552,542  

Sumitomo Mitsui Banking Corp. (Japan),

 

Bank Gtd. Notes, 3 Month LIBOR + 0.350%

 

2.938%(c)

     01/17/20          1,820        1,822,413  

UBS Group Funding Switzerland AG (Switzerland),

 

Gtd. Notes, 144A

 

2.859%(ff)

     08/15/23          1,100        1,109,616  

3.491%

     05/23/23          2,970        3,044,775  
          

 

 

 
             135,930,508  
          

 

 

 

Beverages — 0.1%

 

  

Keurig Dr. Pepper, Inc.,

 

Gtd. Notes

 

3.551%

     05/25/21          970        990,905  
          

 

 

 

Biotechnology — 0.2%

 

  

Celgene Corp.,

 

Sr. Unsec’d. Notes

 

2.250%

     08/15/21          1,070        1,066,482  

4.550%

     02/20/48 (a)         1,145        1,312,181  
          

 

 

 
             2,378,663  
          

 

 

 

Building Materials — 0.3%

 

  

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.375%

     11/15/24          3,000        3,105,000  

U.S. Concrete, Inc.,

 

Gtd. Notes

 

6.375%

     06/01/24          600        624,000  
          

 

 

 
             3,729,000  
          

 

 

 

Chemicals — 1.5%

 

  

Ashland LLC,

 

Gtd. Notes

 

6.875%

     05/15/43          1,400        1,508,500  

CF Industries, Inc.,

 

Gtd. Notes

 

4.950%

     06/01/43          675        604,125  

5.375%

     03/15/44          700        656,460  

7.125%

     05/01/20          141        145,582  

DuPont de Nemours, Inc.,

 

Sr. Unsec’d. Notes

 

3.766%

     11/15/20          490        499,378  

LyondellBasell Industries NV,

 

Sr. Unsec’d. Notes

 

6.000%

     11/15/21          3,550        3,806,393  

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      $ 526,585  

5.625%

     11/15/43           155        170,558  

NOVA Chemicals Corp. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

4.875%

     06/01/24           1,150        1,190,250  

Nutrien Ltd. (Canada),

 

Sr. Unsec’d. Notes

 

4.900%

     06/01/43           870        946,984  

5.250%

     01/15/45           420        465,223  

6.125%

     01/15/41           450        550,830  

Sasol Financing International Ltd. (South Africa),

 

Gtd. Notes

 

4.500%

     11/14/22           1,525        1,567,194  

SASOL Financing USA LLC (South Africa),

 

Gtd. Notes

 

5.875%

     03/27/24           575        623,097  

Sherwin-Williams Co. (The),

 

Sr. Unsec’d. Notes

 

3.450%

     08/01/25           445        459,215  

Union Carbide Corp.,

 

Sr. Unsec’d. Notes

 

7.875%

     04/01/23           3,058        3,582,173  
           

 

 

 
              17,302,547  
           

 

 

 

Commercial Services — 0.6%

 

  

ERAC USA Finance LLC,

 

Gtd. Notes, 144A

 

6.700%

     06/01/34           920        1,228,602  

7.000%

     10/15/37           770        1,051,708  

Nielsen Finance LLC/Nielsen Finance Co.,

 

Gtd. Notes, 144A

 

5.000%

     04/15/22           1,500        1,496,250  

United Rentals North America, Inc.,

 

Gtd. Notes

 

4.625%

     10/15/25           700        711,375  

4.875%

     01/15/28           1,325        1,351,500  

5.250%

     01/15/30           400        411,000  

5.500%

     05/15/27           975        1,026,188  
           

 

 

 
              7,276,623  
           

 

 

 

Computers — 0.1%

 

  

Everi Payments, Inc.,

 

Gtd. Notes, 144A

 

7.500%

     12/15/25           900        940,500  
           

 

 

 

Diversified Financial Services — 1.0%

 

  

American Express Co.,

 

Sr. Unsec’d. Notes

 

3.375%

     05/17/21           3,695        3,764,778  

Capital One Financial Corp.,

 

Sr. Unsec’d. Notes

 

3.450%

     04/30/21           5,235        5,330,055  

Jefferies Group LLC,

 

  

Sr. Unsec’d. Notes

 

  

6.500%

     01/20/43           650        705,666  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A45


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Diversified Financial Services (continued)

 

Lehman Brothers Holdings, Inc.,

 

  

Sr. Unsec’d. Notes, MTN

 

  

6.875%

     05/02/18 (d)         2,740      $ 47,676  

Nationstar Mortgage Holdings, Inc.,

 

  

Gtd. Notes, 144A

 

  

8.125%

     07/15/23 (a)         1,250        1,275,000  
          

 

 

 
             11,123,175  
          

 

 

 

Electric — 2.2%

 

  

Baltimore Gas & Electric Co.,

 

  

Sr. Unsec’d. Notes

 

  

3.350%

     07/01/23          550        569,460  

Calpine Corp.,

 

  

Sr. Unsec’d. Notes

 

  

5.750%

     01/15/25 (a)         3,100        3,076,750  

Consolidated Edison Co. of New York, Inc.,

 

  

Sr. Unsec’d. Notes, Series C

 

  

4.300%

     12/01/56          235        252,895  

Dominion Energy, Inc.,

 

  

Jr. Sub. Notes

 

  

4.104%

     04/01/21          2,710        2,774,437  

El Paso Electric Co.,

 

  

Sr. Unsec’d. Notes

 

  

6.000%

     05/15/35          2,325        2,833,880  

Eskom Holdings SOC Ltd. (South Africa),

 

  

Gov’t. Gtd. Notes, 144A, MTN

 

  

6.350%

     08/10/28          550        595,124  

Sr. Unsec’d. Notes, 144A

 

  

5.750%

     01/26/21          600        604,790  

7.125%

     02/11/25          390        408,637  

Exelon Generation Co. LLC,

 

  

Sr. Unsec’d. Notes

 

  

6.250%

     10/01/39          1,900        2,246,797  

FirstEnergy Transmission LLC,

 

  

Sr. Unsec’d. Notes, 144A

 

  

5.450%

     07/15/44          400        475,250  

GenOn Energy, Inc./NRG Americas, Inc.,

 

  

Sec’d. Notes, 6 Month LIBOR + 6.500%

 

  

9.044%(c)

     12/01/23          2,400        2,379,000  

Iberdrola International BV (Spain),

 

  

Gtd. Notes

 

  

6.750%

     09/15/33          1,150        1,420,548  

Israel Electric Corp. Ltd. (Israel),

 

  

Sr. Sec’d. Notes, 144A, GMTN

 

  

4.250%

     08/14/28          680        707,037  

Kentucky Utilities Co.,

 

  

First Mortgage

 

  

4.375%

     10/01/45          3,050        3,447,396  

Korea Hydro & Nuclear Power Co. Ltd. (South Korea),

 

Sr. Unsec’d. Notes, 144A

 

  

4.750%

     07/13/21          250        261,351  

NRG Energy, Inc.,

 

  

Sr. Unsec’d. Notes, 144A

 

  

5.250%

     06/15/29 (a)         375        400,313  

Interest
Rate

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

 

Electric (continued)

 

South Carolina Electric & Gas Co.,

 

  

First Mortgage

 

  

4.600%

     06/15/43          2,025      $ 2,293,063  

Vistra Operations Co. LLC,

 

  

Gtd. Notes, 144A

 

  

5.000%

     07/31/27          450        466,312  
          

 

 

 
             25,213,040  
          

 

 

 

Electronics — 0.2%

 

  

Sensata Technologies BV,

 

  

Gtd. Notes, 144A

 

  

5.000%

     10/01/25          1,750        1,824,375  
          

 

 

 

Engineering & Construction — 0.2%

 

  

GMR Hyderabad International Airport Ltd. (India),

 

  

Sr. Sec’d. Notes, 144A

 

  

4.250%

     10/27/27          345        313,835  

Mexico City Airport Trust (Mexico),

 

  

Sr. Sec’d. Notes, 144A

 

  

4.250%

     10/31/26          605        601,673  

5.500%

     07/31/47          1,690        1,683,662  
          

 

 

 
             2,599,170  
          

 

 

 

Entertainment — 0.1%

 

  

AMC Entertainment Holdings, Inc.,

 

  

Gtd. Notes

 

  

5.875%

     11/15/26 (a)         1,200        1,074,000  

CPUK Finance Ltd. (United Kingdom),

 

  

Sec’d. Notes, 144A

 

  

4.250%

     02/28/47        GBP  250        317,779  

4.875%

     02/28/47        GBP 125        158,781  
          

 

 

 
             1,550,560  
          

 

 

 

Foods — 0.3%

 

  

Ingles Markets, Inc.,

 

  

Sr. Unsec’d. Notes

 

  

5.750%

     06/15/23          100        102,250  

JBS USA LUX SA/JBS USA Finance, Inc.,

 

  

Gtd. Notes, 144A

 

  

5.750%

     06/15/25          1,800        1,872,000  

Kraft Heinz Foods Co.,

 

  

Gtd. Notes

 

  

5.000%

     07/15/35          725        760,497  

Mars, Inc.,

 

  

Gtd. Notes, 144A

 

  

3.875%

     04/01/39          440        465,906  

4.200%

     04/01/59          380        413,056  
          

 

 

 
             3,613,709  
          

 

 

 

Forest Products & Paper — 0.1%

 

  

International Paper Co.,

 

  

Sr. Unsec’d. Notes

 

  

7.300%

     11/15/39          1,000        1,302,894  
          

 

 

 

Gas — 0.3%

 

  

Korea Gas Corp. (South Korea),

 

  

Sr. Unsec’d. Notes

 

  

4.250%

     11/02/20          1,750        1,792,770  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A46


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (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      $ 334,530  

Southern Co. Gas Capital Corp.,

 

Gtd. Notes

 

4.400%

     06/01/43          1,050        1,106,093  
          

 

 

 
             3,233,393  
          

 

 

 

Healthcare-Products — 0.7%

 

  

Abbott Laboratories,

 

Sr. Unsec’d. Notes

 

2.900%

     11/30/21          2,780        2,826,063  

Becton, Dickinson & Co.,

 

Sr. Unsec’d. Notes

 

3.363%

     06/06/24          3,415        3,517,218  

Medtronic Global Holdings SCA,

 

Gtd. Notes

 

1.625%

     03/07/31        EUR  200        244,227  

2.250%

     03/07/39        EUR  300        385,702  

Stryker Corp.,

 

Sr. Unsec’d. Notes

 

2.125%

     11/30/27        EUR  510        650,749  
          

 

 

 
             7,623,959  
          

 

 

 

Healthcare-Services — 1.0%

 

  

Aetna, Inc.,

 

Sr. Unsec’d. Notes

 

6.750%

     12/15/37          1,900        2,388,968  

Anthem, Inc.,

 

Sr. Unsec’d. Notes

 

4.650%

     01/15/43          385        419,958  

CHS/Community Health Systems, Inc.,

 

Sec’d. Notes, 144A

 

8.125%

     06/30/24 (a)         625        467,188  

Cigna Corp.,

 

Gtd. Notes

 

4.375%

     12/15/20          745        761,536  

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

 

Gtd. Notes, 144A

 

4.125%

     10/15/20          330        334,554  

HCA, Inc.,

 

Gtd. Notes

 

5.375%

     02/01/25          2,325        2,509,547  

Laboratory Corp. of America Holdings,

 

Sr. Unsec’d. Notes

 

3.200%

     02/01/22          240        243,932  

3.250%

     09/01/24          1,495        1,524,121  

Synlab Bondco PLC (United Kingdom),

 

Sr. Sec’d. Notes

 

6.250%

     07/01/22        EUR  1,100        1,270,823  

Tenet Healthcare Corp.,

 

Sec’d. Notes

 

5.125%

     05/01/25          250        251,250  

Sec’d. Notes, 144A

 

6.250%

     02/01/27          575        595,125  

Sr. Unsec’d. Notes

 

7.000%

     08/01/25          900        896,625  

Interest
Rate

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

 

Healthcare-Services (continued)

 

  

UnitedHealth Group, Inc.,

 

Sr. Unsec’d. Notes

 

3.950%

     10/15/42           220      $ 230,608  
           

 

 

 
              11,894,235  
           

 

 

 

Home Builders — 0.5%

 

  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),

 

Gtd. Notes, 144A

 

6.125%

     07/01/22           1,000        1,017,500  

PulteGroup, Inc.,

 

Gtd. Notes

 

5.000%

     01/15/27           975        1,021,125  

Taylor Morrison Communities, Inc.,

 

Gtd. Notes, 144A

 

5.875%

     06/15/27           875        890,313  

William Lyon Homes, Inc.,

 

Gtd. Notes

 

7.000%

     08/15/22           1,650        1,656,187  

Sr. Unsec’d. Notes, 144A

 

6.625%

     07/15/27           1,050        1,047,375  
           

 

 

 
              5,632,500  
           

 

 

 

Home Furnishings — 0.0%

 

  

Tempur Sealy International, Inc.,

 

Gtd. Notes

 

5.500%

     06/15/26           500        518,750  
           

 

 

 

Housewares — 0.1%

 

  

Newell Brands, Inc.,

 

Sr. Unsec’d. Notes

 

4.200%

     04/01/26           670        665,867  
           

 

 

 

Insurance — 1.0%

 

  

American International Group, Inc.,

 

Sr. Unsec’d. Notes

 

3.750%

     07/10/25           2,110        2,209,048  

4.500%

     07/16/44           1,075        1,136,362  

Hartford Financial Services Group, Inc. (The),

 

Sr. Unsec’d. Notes

 

5.125%

     04/15/22           500        536,053  

Liberty Mutual Finance Europe DAC,

 

Gtd. Notes, 144A

 

1.750%

     03/27/24         EUR  800        954,800  

Liberty Mutual Group, Inc.,

 

Gtd. Notes, 144A

 

6.500%

     03/15/35           1,030        1,311,692  

Lincoln National Corp.,

 

Sr. Unsec’d. Notes

 

7.000%

     06/15/40           405        558,509  

Markel Corp.,

 

Sr. Unsec’d. Notes

 

5.000%

     03/30/43           350        368,265  

Principal Financial Group, Inc.,

 

Gtd. Notes

 

4.625%

     09/15/42           150        165,847  

Sompo International Holdings Ltd. (Bermuda),

 

Sr. Unsec’d. Notes

 

7.000%

     07/15/34           1,350        1,741,711  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A47


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Insurance (continued)

 

  

Teachers Insurance & Annuity Association of America,

 

Sub. Notes, 144A

 

4.270%

     05/15/47          2,310      $ 2,501,224  

6.850%

     12/16/39          196        277,806  

Unum Group,

 

Sr. Unsec’d. Notes

 

5.625%

     09/15/20          500        518,853  
          

 

 

 
             12,280,170  
          

 

 

 

Internet — 0.1%

 

  

Netflix, Inc.,

 

Sr. Unsec’d. Notes

 

3.625%

     05/15/27        EUR  1,050        1,303,656  
          

 

 

 

Lodging — 0.3%

 

  

Marriott International, Inc.,

 

Sr. Unsec’d. Notes

 

3.250%

     09/15/22          1,325        1,355,007  

MGM Resorts International,

 

Gtd. Notes

 

6.000%

     03/15/23          1,050        1,137,938  

6.625%

     12/15/21          275        297,000  

Sands China Ltd. (Macau),

 

Sr. Unsec’d. Notes

 

5.125%

     08/08/25          400        428,768  

Studio City Co., Ltd. (Macau),

 

Sr. Sec’d. Notes

 

7.250%

     11/30/21          300        310,125  
          

 

 

 
             3,528,838  
          

 

 

 

Machinery-Diversified — 0.4%

 

  

CNH Industrial Capital LLC,

 

Gtd. Notes

 

4.875%

     04/01/21          1,050        1,086,267  

Rockwell Automation, Inc.,

 

Sr. Unsec’d. Notes

 

5.200%

     01/15/98          1,100        1,199,949  

Xylem, Inc.,

 

Sr. Unsec’d. Notes

 

4.875%

     10/01/21          1,960        2,057,007  
          

 

 

 
             4,343,223  
          

 

 

 

Media — 2.2%

 

  

Cablevision Systems Corp.,

 

Sr. Unsec’d. Notes

 

8.000%

     04/15/20          2,000        2,065,660  

CCO Holdings LLC/CCO Holdings Capital Corp.,

 

Sr. Unsec’d. Notes, 144A

 

5.375%

     06/01/29          975        1,006,687  

5.500%

     05/01/26 (a)         3,300        3,453,615  

5.875%

     05/01/27          25        26,375  

Charter Communications Operating LLC/Charter Communications Operating Capital,

 

Sr. Sec’d. Notes

 

6.384%

     10/23/35          710        833,833  

6.484%

     10/23/45          855        1,007,454  

6.834%

     10/23/55          225        267,259  

Interest
Rate

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

 

Media (continued)

 

  

Clear Channel Worldwide Holdings, Inc.,

 

Gtd. Notes, 144A

 

9.250%

     02/15/24           1,450      $ 1,573,250  

Comcast Corp.,

 

Gtd. Notes

 

4.150%

     10/15/28           1,820        2,005,914  

4.250%

     10/15/30           620        691,931  

Cox Communications, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

3.150%

     08/15/24           2,800        2,838,654  

CSC Holdings LLC,

 

Sr. Unsec’d. Notes, 144A

 

5.125%

     12/15/21           1,425        1,425,000  

Discovery Communications LLC,

 

Gtd. Notes

 

5.000%

     09/20/37           1,010        1,055,015  

NBCUniversal Media LLC,

 

Gtd. Notes

 

4.450%

     01/15/43           15        16,536  

TCI Communications, Inc.,

 

Sr. Unsec’d. Notes

 

7.875%

     02/15/26           750        978,253  

TEGNA, Inc.,

 

Gtd. Notes, 144A

 

4.875%

     09/15/21           475        476,188  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),

 

Sr. Sec’d. Notes

 

4.000%

     01/15/25         EUR  1,100        1,297,765  

Univision Communications, Inc.,

 

Sr. Sec’d. Notes, 144A

 

5.125%

     02/15/25           1,175        1,117,719  

Walt Disney Co. (The),

 

Gtd. Notes, 144A

 

6.900%

     08/15/39           65        95,797  

7.625%

     11/30/28           1,415        1,913,369  

Ziggo BV (Netherlands),

 

Sr. Sec’d. Notes

 

3.750%

     01/15/25         EUR  850        995,531  
           

 

 

 
              25,141,805  
           

 

 

 

Mining — 0.1%

 

  

Barrick North America Finance LLC (Canada),

 

Gtd. Notes

 

5.750%

     05/01/43           410        512,301  

Newmont Goldcorp Corp.,

 

Gtd. Notes, 144A

 

3.625%

     06/09/21           825        840,076  

Southern Copper Corp. (Peru),

 

Sr. Unsec’d. Notes

 

6.750%

     04/16/40           295        372,203  
           

 

 

 
              1,724,580  
           

 

 

 

Miscellaneous Manufacturing — 0.2%

 

  

Textron, Inc.,

 

Sr. Unsec’d. Notes

 

7.250%

     10/01/19           2,350        2,375,351  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A48


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Multi-National — 0.4%

 

  

Corp. Andina de Fomento (Supranational Bank),

 

Sr. Unsec’d. Notes

 

2.125%

     09/27/21          2,240      $ 2,220,400  

4.375%

     06/15/22          500        526,110  

Inter-American Development Bank (Supranational Bank),

 

Unsec’d. Notes

 

6.950%

     08/01/26          1,500        1,933,022  
          

 

 

 
             4,679,532  
          

 

 

 

Office/Business Equipment — 0.1%

 

  

CDW LLC/CDW Finance Corp.,

 

Gtd. Notes

 

5.000%

     09/01/23          1,150        1,170,125  
          

 

 

 

Oil & Gas — 2.4%

 

  

Anadarko Petroleum Corp.,

 

Sr. Unsec’d. Notes

 

4.677%(s)

     10/10/36          2,000        944,900  

6.450%

     09/15/36          945        1,161,822  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.,

 

Sr. Unsec’d. Notes, 144A

 

7.000%

     11/01/26          350        319,375  

10.000%

     04/01/22          175        185,264  

Cenovus Energy, Inc. (Canada),

 

Sr. Unsec’d. Notes

 

5.400%

     06/15/47 (a)         1,000        1,085,221  

Citgo Holding, Inc.,

 

Sr. Sec’d. Notes, 144A

 

10.750%

     02/15/20          775        802,125  

CNOOC Finance 2013 Ltd. (China),

 

Gtd. Notes

 

3.000%

     05/09/23          750        756,689  

CNX Resources Corp.,

 

Gtd. Notes, 144A

 

7.250%

     03/14/27 (a)         975        833,625  

Concho Resources, Inc.,

 

Gtd. Notes

 

4.875%

     10/01/47          180        201,482  

Devon Energy Corp.,

 

Sr. Unsec’d. Notes

 

5.600%

     07/15/41          850        1,008,989  

Encana Corp. (Canada),

 

Gtd. Notes

 

6.500%

     02/01/38          200        244,935  

Gazprom OAO Via Gaz Capital SA (Russia),

 

Sr. Unsec’d. Notes

 

4.950%

     07/19/22          390        408,767  

Sr. Unsec’d. Notes, 144A

 

6.510%

     03/07/22          1,665        1,798,147  

Helmerich & Payne, Inc.,

 

Gtd. Notes

 

4.650%

     03/15/25          1,500        1,588,009  

KazMunayGas National Co. JSC (Kazakhstan),

 

Sr. Unsec’d. Notes, 144A

 

4.750%

     04/24/25 (a)         1,160        1,236,708  

4.750%

     04/19/27          200        214,478  

Interest
Rate

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

 

Oil & Gas (continued)

 

  

Lukoil International Finance BV (Russia),

 

Gtd. Notes, 144A

 

6.125%

     11/09/20          600      $ 623,748  

MEG Energy Corp. (Canada),

 

Gtd. Notes, 144A

 

6.375%

     01/30/23          575        547,687  

Petrobras Global Finance BV (Brazil),

 

Gtd. Notes

 

4.750%

     01/14/25        EUR  400        512,832  

5.299%

     01/27/25          625        663,125  

5.750%

     02/01/29          725        755,740  

6.625%

     01/16/34        GBP  680        960,717  

6.900%

     03/19/49          495        527,175  

7.375%

     01/17/27          405        463,320  

Petroleos Mexicanos (Mexico),

 

Gtd. Notes

 

4.750%

     02/26/29        EUR  1,100        1,194,524  

4.875%

     01/24/22          1,100        1,097,250  

5.375%

     03/13/22          405        408,058  

6.350%

     02/12/48          840        721,140  

6.375%

     01/23/45          1,015        872,900  

6.500%

     03/13/27          1,225        1,209,565  

Gtd. Notes, EMTN

 

2.750%

     04/21/27        EUR  700        696,348  

3.750%

     02/21/24        EUR  400        451,938  

4.875%

     02/21/28        EUR  800        887,848  

Gtd. Notes, MTN

 

6.750%

     09/21/47          810        721,305  

Sinopec Group Overseas Development 2015 Ltd. (China),

 

Gtd. Notes, 144A

 

2.500%

     04/28/20          1,250        1,249,967  

YPF SA (Argentina),

 

Sr. Unsec’d. Notes, 144A

 

8.500%

     03/23/21 (a)         235        239,054  
          

 

 

 
             27,594,777  
          

 

 

 

Oil & Gas Services — 0.0%

 

  

Cameron International Corp.,

 

Gtd. Notes

 

7.000%

     07/15/38          450        599,309  
          

 

 

 

Packaging & Containers — 0.1%

 

  

Ball Corp.,

 

Gtd. Notes

 

4.375%

     12/15/23        EUR  925        1,217,310  
          

 

 

 

Pharmaceuticals — 1.9%

 

  

AbbVie, Inc.,

 

Sr. Unsec’d. Notes

 

3.600%

     05/14/25          1,020        1,053,841  

4.500%

     05/14/35          1,715        1,769,183  

Allergan Funding SCS,

 

Gtd. Notes

 

4.550%

     03/15/35          2,040        2,059,746  

Allergan Sales LLC,

 

Gtd. Notes, 144A

 

4.875%

     02/15/21          1,350        1,390,467  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A49


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Pharmaceuticals (continued)

 

Bausch Health Americas, Inc.,

 

Gtd. Notes, 144A

 

8.500%

     01/31/27           320      $ 351,846  

Bausch Health Cos., Inc.,

 

Gtd. Notes, 144A

 

6.125%

     04/15/25           325        331,897  

7.250%

     05/30/29           100        104,000  

Sr. Sec’d. Notes, 144A

 

5.750%

     08/15/27           130        136,627  

Bristol-Myers Squibb Co.,

 

Sr. Unsec’d. Notes, 144A

 

4.125%

     06/15/39           420        452,934  

4.250%

     10/26/49           1,370        1,514,398  

Cigna Corp.,

 

Gtd. Notes, 144A

 

4.375%

     10/15/28           1,320        1,424,102  

CVS Health Corp.,

 

Sr. Unsec’d. Notes

 

4.780%

     03/25/38           270        281,657  

5.050%

     03/25/48           655        697,653  

5.125%

     07/20/45           565        602,524  

Endo Dac/Endo Finance LLC/Endo Finco, Inc.,

 

Gtd. Notes, 144A

 

6.000%

     07/15/23           512        368,640  

Express Scripts Holding Co.,

 

Gtd. Notes

 

4.500%

     02/25/26           3,690        3,982,014  

Mylan, Inc.,

 

Gtd. Notes

 

5.200%

     04/15/48           1,415        1,306,619  

Shire Acquisitions Investments Ireland DAC,

 

Gtd. Notes

 

3.200%

     09/23/26           3,745        3,776,410  

Takeda Pharmaceutical Co. Ltd. (Japan),

 

Sr. Unsec’d. Notes, 144A

 

3.800%

     11/26/20           280        285,080  

4.000%

     11/26/21           600        620,820  
           

 

 

 
              22,510,458  
           

 

 

 

Pipelines — 1.1%

 

Energy Transfer Operating LP,

 

Gtd. Notes

 

5.150%

     03/15/45           55        55,927  

5.300%

     04/15/47           120        125,168  

6.000%

     06/15/48           50        57,071  

6.250%

     04/15/49           1,400        1,658,786  

Enterprise Products Operating LLC,

 

Gtd. Notes

 

4.900%

     05/15/46           2,110        2,366,854  

Fermaca Enterprises S de RL de CV (Mexico),

 

Sr. Sec’d. Notes, 144A

 

6.375%

     03/30/38           387        401,886  

Magellan Midstream Partners LP,

 

Sr. Unsec’d. Notes

 

4.200%

     03/15/45           1,000        965,360  

Interest
Rate

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

 

Pipelines (continued)

 

MPLX LP,

 

Sr. Unsec’d. Notes

 

4.500%

     04/15/38           970      $ 979,320  

5.200%

     03/01/47           115        123,608  

NGPL PipeCo LLC,

 

Sr. Unsec’d. Notes, 144A

 

4.375%

     08/15/22           50        51,500  

4.875%

     08/15/27           225        238,219  

ONEOK Partners LP,

 

Gtd. Notes

 

6.850%

     10/15/37           1,250        1,545,796  

ONEOK, Inc.,

 

Gtd. Notes

 

4.950%

     07/13/47           450        474,022  

Phillips 66 Partners LP,

 

Sr. Unsec’d. Notes

 

4.680%

     02/15/45           1,900        1,966,626  

Western Midstream Operating LP,

 

Sr. Unsec’d. Notes

 

5.450%

     04/01/44           575        543,159  

Williams Cos., Inc. (The),

 

Sr. Unsec’d. Notes

 

4.900%

     01/15/45           1,200        1,257,452  
           

 

 

 
              12,810,754  
           

 

 

 

Real Estate Investment Trusts (REITs) — 0.0%

 

Simon Property Group LP,

 

Sr. Unsec’d. Notes

 

3.375%

     03/15/22           325        333,807  
           

 

 

 

Retail — 0.6%

 

Dollar Tree, Inc.,

 

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

 

3.288%(c)

     04/17/20           950        950,110  

Sr. Unsec’d. Notes

 

4.200%

     05/15/28           1,875        1,941,781  

L Brands, Inc.,

 

Gtd. Notes

 

5.625%

     02/15/22           875        914,471  

5.625%

     10/15/23           725        751,818  

6.625%

     04/01/21           551        581,856  

Michaels Stores, Inc.,

 

Gtd. Notes, 144A

 

8.000%

     07/15/27           800        796,312  

PetSmart, Inc.,

 

Sr. Sec’d. Notes, 144A

 

5.875%

     06/01/25           525        509,250  

Rite Aid Corp.,

 

Gtd. Notes, 144A

 

6.125%

     04/01/23           375        316,406  
           

 

 

 
              6,762,004  
           

 

 

 

Savings & Loans — 0.1%

 

People’s United Financial, Inc.,

 

Sr. Unsec’d. Notes

 

3.650%

     12/06/22           1,675        1,724,194  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A50


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Semiconductors — 0.5%

 

Broadcom, Inc.,

           

Gtd. Notes, 144A

 

3.125%

     04/15/21           1,930      $ 1,942,497  

3.125%

     10/15/22           1,480        1,489,318  

NXP BV/NXP Funding LLC (Netherlands),

 

  

Gtd. Notes, 144A

 

4.625%

     06/01/23           2,675        2,819,718  
           

 

 

 
              6,251,533  
           

 

 

 

Software — 0.5%

 

        

Fidelity National Information Services, Inc.,

 

  

Sr. Unsec’d. Notes

 

0.750%

     05/21/23         EUR   400        463,855  

Fiserv, Inc.,

           

Sr. Unsec’d. Notes

 

3.500%

     10/01/22           1,162        1,197,359  

Microsoft Corp.,

           

Sr. Unsec’d. Notes

 

3.750%

     02/12/45           1,540        1,675,372  

4.000%

     02/12/55           435        489,007  

4.450%

     11/03/45           275        329,794  

Oracle Corp.,

           

Sr. Unsec’d. Notes

 

4.300%

     07/08/34           1,070        1,217,543  
           

 

 

 
              5,372,930  
           

 

 

 

Telecommunications — 1.5%

 

        

AT&T Corp.,

           

Gtd. Notes

 

8.750%

     11/15/31           55        76,436  

AT&T, Inc.,

           

Sr. Unsec’d. Notes

 

3.400%

     05/15/25           1,295        1,331,267  

3.600%

     07/15/25           150        155,585  

3.800%

     02/15/27           1,065        1,108,318  

4.300%

     02/15/30           325        347,853  

4.550%

     03/09/49           499        509,330  

4.850%

     03/01/39           4,230        4,539,766  

5.250%

     03/01/37           680        763,165  

5.350%

     09/01/40           49        55,308  

Sprint Corp.,

           

Gtd. Notes

 

7.625%

     02/15/25           500        532,500  

T-Mobile USA, Inc.,

 

        

Gtd. Notes

 

6.500%

     01/15/26           1,675        1,810,775  

Verizon Communications, Inc.,

 

        

Sr. Unsec’d. Notes

 

4.500%

     08/10/33           990        1,115,301  

4.522%

     09/15/48           360        403,352  

5.012%

     04/15/49           1,000        1,190,990  

Sr. Unsec’d. Notes, 144A

 

4.016%

     12/03/29           120        129,929  

Wind Tre SpA (Italy),

 

        

Sr. Sec’d. Notes, 144A

 

2.625%

     01/20/23         EUR   675        772,562  

3.125%

     01/20/25         EUR   1,550        1,757,394  

5.000%

     01/20/26           500        484,000  
           

 

 

 
              17,083,831  
           

 

 

 

Interest
Rate

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

 

Textiles — 0.0%

 

Mohawk Industries, Inc.,

 

        

Sr. Unsec’d. Notes

 

3.850%

     02/01/23           294      $ 305,919  
           

 

 

 

Transportation — 0.0%

 

        

Lima Metro Line 2 Finance Ltd. (Peru),

 

     

Sr. Sec’d. Notes

 

5.875%

     07/05/34           200        212,505  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $418,581,319)

 

     437,386,471  
           

 

 

 
MUNICIPAL BONDS — 1.9%

 

California — 0.6%

 

Bay Area Toll Authority,

 

        

Taxable, Revenue Bonds, BABs, Series S3

 

6.907%

     10/01/50           1,125        1,820,824  

State of California,

 

        

General Obligation Unlimited, BABs

 

7.300%

     10/01/39           1,550        2,329,882  

7.625%

     03/01/40           725        1,144,007  

University of California,

 

        

Revenue Bonds, BABs

 

5.770%

     05/15/43           1,400        1,841,154  
           

 

 

 
              7,135,867  
           

 

 

 

Colorado — 0.1%

 

        

Regional Transportation District,

 

        

Revenue Bonds, BABs, Series B

 

5.844%

     11/01/50           770        1,099,352  
           

 

 

 

Illinois — 0.4%

           

Chicago O’Hare International Airport,

 

        

Revenue Bonds, BABs, Series B

 

6.395%

     01/01/40           1,380        1,952,300  

State of Illinois,

           

General Obligation Unlimited, Series A

 

5.000%

     10/01/22           20        21,841  

General Obligation Unlimited, Series D

 

5.000%

     11/01/22           2,650        2,899,709  
           

 

 

 
              4,873,850  
           

 

 

 

New Jersey — 0.4%

 

        

New Jersey Turnpike Authority,

 

        

Revenue Bonds, BABs

 

7.102%

     01/01/41           1,175        1,768,504  

Revenue Bonds, BABs, Series F

 

7.414%

     01/01/40           2,050        3,171,248  
           

 

 

 
              4,939,752  
           

 

 

 

Ohio — 0.1%

           

Ohio State University (The),

 

        

Revenue Bonds, BABs, Series C

 

4.910%

     06/01/40           695        862,926  
           

 

 

 

Oregon — 0.1%

           

State of Oregon Department of Transportation,

 

  

Revenue Bonds, BABs, Series A

 

        

5.834%

     11/15/34           615        810,557  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A51


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Pennsylvania — 0.1%

 

        

Pennsylvania Turnpike Commission,

 

        

Revenue Bonds, BABs, Series B

 

        

5.511%

     12/01/45           800      $ 1,054,320  
           

 

 

 

Puerto Rico — 0.1%

 

        

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue,

 

Revenue Bonds, Series A1

 

        

5.000%

     07/01/58           850        850,000  
           

 

 

 

Virginia — 0.0%

 

        

University of Virginia,

 

        

Revenue Bonds, Taxable, Series C

 

        

4.179%

     09/01/2117           425        481,763  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $16,376,097)

 

     22,108,387  
           

 

 

 
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.5%

 

Alternative Loan Trust,

 

        

Series 2004-18CB, Class 3A1

 

        

5.250%

     09/25/19           38        38,010  

Bellemeade Re Ltd. (Bermuda),

 

        

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

 

4.104%(c)

     10/25/27           423        425,920  

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

 

4.004%(c)

     04/25/28           1,113        1,117,020  

Series 2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%

 

3.354%(c)

     08/25/28           686        686,683  

Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%

 

3.754%(c)

     08/25/28           450        450,000  

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%

 

4.004%(c)

     08/25/28           450        449,460  

Series 2018-03A, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

 

3.604%(c)

     10/25/27           690        689,999  

Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850%

 

4.254%(c)

     10/25/27           1,040        1,041,558  

Series 2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450%

 

3.854%(c)

     04/25/29           820        821,587  

Central Park Funding Trust,

 

        

Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)

 

3.940%(c)

     11/01/23           5,400        5,399,995  

CIM Trust,

           

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

 

4.440%(c)

     12/25/57           1,351        1,357,835  

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

 

4.440%(c)

     01/25/57           1,482        1,509,895  

Series 2017-06, Class A1, 144A

 

        

3.015%(cc)

     06/25/57           1,275        1,274,746  

Series 2017-08, Class A1, 144A

 

        

3.000%(cc)

     12/25/65           2,523        2,517,706  

Citigroup Mortgage Loan Trust,

 

Series 2011-12, Class 3A2, 144A

 

        

4.025%(cc)

     09/25/47           570        544,979  

Credit Suisse Mortgage Trust,

 

Series 2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400%

 

3.829%(c)

     08/25/37           1,527        1,526,514  

Interest
Rate

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

 

Eagle Re Ltd. (Bermuda),

 

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700%

 

4.104%(c)

     11/25/28           1,700      $ 1,699,998  

Series 2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%

 

3.654%(c)

     04/25/29           450        450,276  

Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800%

 

4.204%(c)

     04/25/29           300        300,237  

Fannie Mae Connecticut Avenue Securities,

 

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

 

3.854%(c)

     01/25/29           311        311,360  

Freddie Mac Structured Agency Credit Risk Debt Notes,

 

Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550%

 

6.954%(c)

     10/25/24           238        256,587  

Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300%

 

5.704%(c)

     10/25/27           3,460        3,723,144  

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

 

4.654%(c)

     11/25/28           543        548,594  

Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350%

 

3.754%(c)

     03/25/29           699        703,557  

Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%

 

3.704%(c)

     04/25/29           1,698        1,703,375  

Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650%

 

5.054%(c)

     01/25/49           250        255,946  

GSMSC Resecuritization Trust,

 

Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140%

 

2.544%(c)

     01/26/37           1,035        1,024,724  

Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140%

 

2.544%(c)

     01/26/37           1,400        1,351,474  

Home Re Ltd. (Bermuda),

 

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600%

 

3.830%(c)

     10/25/28           510        509,143  

Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650%

 

4.054%(c)

     05/25/29           650        649,999  

IndyMac INDX Mortgage Loan Trust,

 

Series 2006-AR19, Class 5A2

 

        

3.949%(cc)

     08/25/36           348        324,624  

LSTAR Securities Investment Trust,

 

Series 2018-02, Class A1, 144A, 1 Month LIBOR + 1.500%

 

3.940%(c)

     04/01/23           202        201,826  

Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500%

 

3.940%(c)

     04/01/24           788        787,535  

MetLife Securitization Trust,

 

Series 2018-01A, Class A, 144A

 

        

3.750%(cc)

     03/25/57           1,081        1,127,066  

New Residential Mortgage Loan Trust,

 

Series 2018-01A, Class A1A, 144A

 

        

4.000%(cc)

     12/25/57           1,570        1,628,088  

Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)

 

3.154%(c)

     01/25/48           1,408        1,407,059  

Oaktown Re II Ltd. (Bermuda),

 

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%

 

3.954%(c)

     07/25/28           500        499,634  

Park Avenue Funding Trust,

 

Series 2019-01, Class PT, 144A, 1 Month LIBOR + 1.500%

 

3.937%(c)

     11/27/20           15,550        15,550,017  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A52


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Radnor Re Ltd. (Bermuda),

 

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400%

 

3.804%(c)

     03/25/28          621      $ 623,012  

Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700%

 

5.104%(c)

     03/25/28          360        360,900  

Series 2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%

 

3.654%(c)

     02/25/29          1,200        1,202,468  

Series 2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200%

 

3.580%(c)

     06/25/29          700        700,000  

STACR Trust,

 

Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%

 

3.154%(c)

     09/25/48          1,155        1,156,373  

Series 2018-HRP02, Class M1, 144A, 1 Month LIBOR + 0.850%

 

3.254%(c)

     02/25/47          850        849,359  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

       

4.566%(cc)

     02/25/34          493        499,676  

Series 2004-18, Class 3A1

 

       

4.352%(cc)

     12/25/34          2,534        2,547,044  

Towd Point Mortgage Funding Vantage PLC (United Kingdom),

 

Series 2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200%

 

2.004%(c)

     02/20/54         
GBP
1,406
 
 
     1,789,526  

Washington Mutual Mortgage Pass-Through Certificates,

 

Series 2005-01, Class 3A

 

       

5.000%

     03/25/20          39        38,683  
          

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $63,967,600)

 

     64,633,211  
          

 

 

 
SOVEREIGN BONDS — 7.4%

 

Argentine Republic Government International Bond (Argentina),

 

Bonds

          

3.380%(cc)

     12/31/38        EUR  300        189,754  

Sr. Unsec’d. Notes

 

       

4.625%

     01/11/23          1,625        1,300,016  

6.875%

     04/22/21          1,775        1,557,563  

7.820%

     12/31/33        EUR  958        903,935  

7.820%

     12/31/33        EUR  634        590,143  

8.280%

     12/31/33 (a)         582        485,120  

Brazil Minas SPE via State of Minas Gerais (Brazil),

 

  

Gov’t. Gtd. Notes

 

       

5.333%

     02/15/28          1,444        1,487,835  

Colombia Government International Bond (Colombia),

 

Sr. Unsec’d. Notes

 

       

4.000%

     02/26/24          250        261,750  

Dominican Republic International Bond (Dominican Republic),

 

Sr. Unsec’d. Notes

 

       

7.500%

     05/06/21          1,500        1,578,765  

Sr. Unsec’d. Notes, 144A

 

       

6.000%

     07/19/28          575        620,287  

7.500%

     05/06/21          400        421,004  

Ecuador Government International Bond (Ecuador),

 

Sr. Unsec’d. Notes, 144A

 

       

10.500%

     03/24/20          200        208,502  

Interest
Rate

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

 

Egypt Government International Bond (Egypt),

 

Sr. Unsec’d. Notes, 144A, MTN

 

        

4.750%

     04/11/25         EUR  875      $ 1,014,941  

4.750%

     04/16/26         EUR  1,410        1,610,943  

6.375%

     04/11/31         EUR  1,015        1,172,378  

El Salvador Government International Bond (El Salvador),

 

Sr. Unsec’d. Notes, 144A

 

        

7.375%

     12/01/19           620        625,431  

Hellenic Republic Government Bond (Greece),

 

Bonds

           

3.000%(cc)

     02/24/23         EUR  1,200        1,458,086  

3.000%(cc)

     02/24/29         EUR  1,000        1,221,259  

3.000%(cc)

     02/24/31         EUR  620        761,732  

3.000%(cc)

     02/24/32         EUR  1,280        1,551,269  

3.000%(cc)

     02/24/34         EUR  640        772,646  

3.000%(cc)

     02/24/39         EUR  1,000        1,198,650  

3.750%

     01/30/28         EUR  65        82,050  

3.900%

     01/30/33         EUR  1,990        2,533,006  

4.200%

     01/30/42         EUR  295        383,192  

Sr. Unsec’d. Notes, 144A

 

        

3.875%

     03/12/29         EUR  2,700        3,442,737  

Hellenic Republic Government International Bond (Greece),

 

Sr. Unsec’d. Notes

 

        

5.200%

     07/17/34         EUR  1,500        2,052,345  

Hungary Government International Bond (Hungary),

 

Sr. Unsec’d. Notes

 

        

5.375%

     02/21/23           436        479,613  

5.375%

     03/25/24           290        326,917  

5.750%

     11/22/23           2,300        2,606,171  

6.375%

     03/29/21           2,776        2,963,102  

Indonesia Government International Bond (Indonesia),

 

Sr. Unsec’d. Notes

 

        

1.450%

     09/18/26         EUR  375        435,474  

3.375%

     07/30/25         EUR  3,125        4,018,938  

Sr. Unsec’d. Notes, EMTN

 

        

2.875%

     07/08/21         EUR  1,225        1,469,560  

3.750%

     06/14/28         EUR  1,250        1,696,244  

Iraq International Bond (Iraq),

 

Sr. Unsec’d. Notes, 144A

 

        

5.800%

     01/15/28           450        442,447  

6.752%

     03/09/23           400        410,420  

Japan Bank for International Cooperation (Japan),

 

Gov’t. Gtd. Notes

 

        

2.500%

     05/23/24           1,000        1,017,993  

Japan Finance Organization for Municipalities (Japan),

 

Sr. Unsec’d. Notes, 144A

 

        

3.375%

     09/27/23           600        625,543  

Sr. Unsec’d. Notes, 144A, MTN

 

        

2.000%

     09/08/20           800        798,032  

2.625%

     04/20/22           1,000        1,012,755  

3.000%

     03/12/24           600        621,485  

Lithuania Government International Bond (Lithuania),

 

Sr. Unsec’d. Notes

 

        

6.625%

     02/01/22           1,000        1,103,872  

Panama Government International Bond (Panama),

 

Sr. Unsec’d. Notes

 

        

3.750%

     03/16/25           450        474,305  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A53


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Portugal Government International Bond (Portugal),

 

Sr. Unsec’d. Notes, EMTN

 

       

5.125%

     10/15/24          12,675      $ 14,164,312  

Portugal Obrigacoes do Tesouro OT (Portugal),

 

Sr. Unsec’d. Notes, 144A

 

       

3.875%

     02/15/30        EUR  3,070        4,678,724  

Province of Manitoba (Canada),

 

Sr. Unsec’d. Notes

 

       

2.600%

     04/16/24          445        456,165  

Province of Ontario (Canada),

 

Sr. Unsec’d. Notes

 

       

3.400%

     10/17/23          595        628,394  

Provincia de Buenos Aries (Argentina),

 

Sr. Unsec’d. Notes, 144A

 

       

6.500%

     02/15/23          120        100,321  

9.950%

     06/09/21          1,940        1,759,580  

Qatar Government International Bond (Qatar),

 

Sr. Unsec’d. Notes, 144A

 

       

4.817%

     03/14/49          835        956,943  

5.103%

     04/23/48          780        929,175  

Republic of Italy Government International Bond (Italy),

 

Sr. Unsec’d. Notes

 

       

6.875%

     09/27/23          260        293,920  

Sr. Unsec’d. Notes, MTN

 

       

5.375%

     06/15/33 (a)         730        801,377  

Romanian Government International Bond (Romania),

 

Sr. Unsec’d. Notes, 144A, MTN

 

       

3.875%

     10/29/35        EUR  945        1,230,661  

Sr. Unsec’d. Notes, EMTN

 

       

3.875%

     10/29/35        EUR  1,000        1,302,287  

4.125%

     03/11/39        EUR  354        460,901  

Saudi Government International Bond (Saudi Arabia),

 

Sr. Unsec’d. Notes, 144A

 

       

5.250%

     01/16/50          1,355        1,540,066  

Sr. Unsec’d. Notes, 144A, MTN

 

       

4.000%

     04/17/25          675        718,031  

Senegal Government International Bond (Senegal),

 

Sr. Unsec’d. Notes, 144A

 

       

4.750%

     03/13/28        EUR  475        541,322  

Tokyo Metropolitan Government (Japan),

 

Sr. Unsec’d. Notes, 144A

 

       

2.500%

     06/08/22          600        605,424  

Turkey Government International Bond (Turkey),

 

Sr. Unsec’d. Notes

 

       

5.625%

     03/30/21          500        506,987  

7.000%

     06/05/20          1,510        1,544,066  

Ukraine Government International Bond (Ukraine),

 

Sr. Unsec’d. Notes

 

       

7.750%

     09/01/20          145        149,552  

7.750%

     09/01/21          160        166,995  

7.750%

     09/01/22          1,120        1,183,114  

8.994%

     02/01/24          200        217,748  

Sr. Unsec’d. Notes, 144A

 

       

7.750%

     09/01/20          200        206,278  

7.750%

     09/01/22          930        982,407  

8.994%

     02/01/24          200        217,748  
          

 

 

 

TOTAL SOVEREIGN BONDS
(cost $82,260,316)

 

     86,330,708  
          

 

 

 

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0%

 

Federal Home Loan Mortgage Corp.

 

       

5.500%

     10/01/33          576      $ 642,706  

5.500%

     06/01/34          7        7,275  

6.000%

     11/01/33          178        197,166  

6.000%

     05/01/34          57        62,626  

6.000%

     06/01/34          146        160,254  

6.250%

     07/15/32 (k)         830        1,191,667  

6.500%

     07/01/32          22        24,680  

6.500%

     07/01/32          22        24,713  

6.500%

     08/01/32          44        48,374  

6.500%

     08/01/32          45        50,350  

6.500%

     08/01/32          46        50,828  

6.500%

     09/01/32          40        44,488  

6.500%

     09/01/32          115        128,223  

6.750%

     03/15/31 (k)         600        872,613  

Federal National Mortgage Assoc.

 

       

5.500%

     02/01/33          17        18,719  

5.500%

     02/01/33          21        23,618  

5.500%

     03/01/33          24        25,664  

5.500%

     03/01/33          47        51,601  

5.500%

     03/01/33          53        58,365  

5.500%

     04/01/33          7        7,266  

5.500%

     04/01/33          34        37,132  

5.500%

     04/01/33          35        38,146  

5.500%

     04/01/33          39        43,437  

5.500%

     07/01/33          32        35,776  

5.500%

     07/01/33          37        40,820  

5.500%

     08/01/33          16        17,683  

5.500%

     02/01/34          34        37,289  

5.500%

     04/01/34          28        29,946  

5.500%

     06/01/34          38        42,319  

6.000%

     10/01/33          4        3,933  

6.000%

     10/01/33          212        235,791  

6.000%

     03/01/34          79        87,836  

6.000%

     02/01/35          212        242,723  

6.000%

     11/01/36          62        69,598  

6.250%

     05/15/29 (k)         1,090        1,471,297  

6.500%

     08/01/32          130        147,783  

6.500%

     09/01/32          105        117,919  

6.500%

     09/01/32          178        204,502  

6.500%

     10/01/32          95        105,345  

6.500%

     04/01/33          175        202,560  

6.500%

     11/01/33          3        3,596  

6.625%

     11/15/30 (k)         530        757,724  

7.000%

     05/01/32          85        95,018  

7.000%

     06/01/32          8        8,949  

7.125%

     01/15/30 (k)         785        1,138,598  

Government National Mortgage Assoc.

 

  

5.500%

     01/15/33          70        78,936  

5.500%

     02/15/33          47        52,375  

5.500%

     05/15/33          130        138,485  

5.500%

     05/15/33          186        198,320  

5.500%

     06/15/33          199        217,712  

5.500%

     09/15/33          106        116,952  

5.500%

     07/15/35          72        81,150  

6.000%

     12/15/32          132        150,523  

6.000%

     11/15/33          64        73,340  

6.000%

     01/15/34          12        13,529  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A54


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

6.000%

     06/20/34          348      $ 398,740  

6.000%

     11/15/34          491        559,445  

6.500%

     09/15/32          86        94,094  

6.500%

     09/15/32          204        225,028  

6.500%

     09/15/32          221        247,641  

6.500%

     11/15/33          161        180,570  
          

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $11,227,234)

 

     11,733,756  
          

 

 

 
U.S. TREASURY OBLIGATIONS — 1.7%

 

U.S. Treasury Bonds

 

       

2.500%

     05/15/46 (k)         965        959,421  

2.750%

     08/15/47 (k)         1,950        2,035,160  

3.000%

     02/15/48 (k)         500        547,754  

3.000%

     02/15/49          262        287,750  

U.S. Treasury Notes

 

       

1.375%

     05/31/21 (k)         5,570        5,528,225  

1.875%

     04/30/22 (k)         520        522,092  

2.000%

     05/31/24          665        672,819  

2.125%

     05/15/25 (k)         260        264,387  

2.500%

     12/31/20 (k)         1,120        1,130,850  

2.500%

     02/28/21 (k)         300        303,340  

2.625%

     07/15/21 (k)         2,350        2,390,666  

U.S. Treasury Strips Coupon

 

       

2.783%(s)

     08/15/29 (k)         1,200        969,010  

2.878%(s)

     05/15/31 (h)(k)         1,200        924,231  

3.042%(s)

     11/15/35 (h)(k)         2,400        1,623,117  

3.202%(s)

     08/15/40 (h)(k)         2,400        1,407,941  
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $18,828,636)

 

     19,566,763  
          

 

 

 
                  Shares         
PREFERRED STOCKS — 0.2%

 

Banks — 0.1%

 

       

Citigroup Capital XIII 8.953%

 

     45,000        1,241,550  
          

 

 

 

Capital Markets — 0.1%

 

       

State Street Corp. 5.350%

 

     35,000        925,750  
          

 

 

 

TOTAL PREFERRED STOCKS
(cost $2,000,000)

 

     2,167,300  
          

 

 

 

TOTAL LONG-TERM INVESTMENTS (cost $1,084,999,950)

 

     1,122,108,894  
          

 

 

 
SHORT-TERM INVESTMENTS — 4.5%

 

AFFILIATED MUTUAL FUNDS — 4.4%

 

PGIM Core Short-Term Bond Fund(w)

 

     3,991,217        36,838,936  

PGIM Core Ultra Short Bond Fund(w)

 

     2,669,581        2,669,581  

PGIM Institutional Money Market Fund (cost $12,054,524; includes $12,031,616 of cash collateral for securities on loan)(b)(w)

 

     12,053,573        12,057,189  
          

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $52,029,744)

 

     51,565,706  
          

 

 

 
                    Value  
OPTIONS PURCHASED*~ — 0.1%

 

(cost $381,004)

   $ 800,825  
           

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $52,410,748)

     52,366,531  
           

 

 

 

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—100.5%
(cost $1,137,410,698)

     1,174,475,425  
           

 

 

 
OPTIONS WRITTEN*~ — (0.0)%   

(premiums received $373,652)

     (142,813
           

 

 

 

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—100.5%
(cost $1,137,037,046)

     1,174,332,612  

LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (0.5)%

     (6,066,357
           

 

 

 

NET ASSETS — 100.0%

   $ 1,168,266,255  
           

 

 

 

See the Glossary for a list of the abbreviation(s) 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 $(129,097) and (0.0%) 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 $11,830,851; cash collateral of $12,031,616 (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, 2019.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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.

 

(ff)

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

 

(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.

 

(p)

Interest rate not available as of June 30, 2019.

 

(r)

Principal or notional amount is less than $500 par.

 

(rr)

Perpetual security with no stated maturity date.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A55


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

(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) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

Options Purchased:

Exchange Traded

 

Description

   Call/
Put
     Expiration
Date
     Strike      Contracts      Notional
Amount
(000)#
     Value  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 123.00        152        152      $ 2,375  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 126.00        152        152        11,875  

Eurodollars 1-Year Mid Curve Futures

     Put        07/12/19      $ 97.75        238        595        1,488  

Eurodollars 1-Year Mid Curve Futures

     Put        07/12/19      $ 98.25        238        595        11,900  

Eurodollars 1-Year Mid Curve Futures

     Put        08/16/19      $ 97.75        238        595        1,488  

Eurodollars 1-Year Mid Curve Futures

     Put        08/16/19      $ 98.25        238        595        34,213  

Eurodollars 1-Year Mid Curve Futures

     Put        09/13/19      $ 97.75        238        595        2,975  

Eurodollars 1-Year Mid Curve Futures

     Put        09/13/19      $ 98.25        238        595        47,600  
                 

 

 

 

Total Exchange Traded (cost $334,537)

                  $ 113,914  
                 

 

 

 

OTC Traded

 

Description

   Call/
Put
     Counterparty    Expiration
Date
     Strike     Contracts      Notional
Amount
(000)#
     Value  

2-Year 10 CMS Curve CAP

     Call      Morgan Stanley & Co. International PLC      11/21/19        0.13            3,100      $ 30,195  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      11/21/19        0.12            4,700        48,540  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      07/12/21        0.11            3,026        43,818  

2-Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      08/16/21        0.15            7,356        99,703  

2-Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      08/20/21        0.15            14,601        207,579  

2-Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      09/13/21        0.14            14,800        215,656  

2-Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      11/09/21        0.21            2,942        41,073  
                   

 

 

 

Total OTC Traded (cost $38,739)

                    $ 686,564  
                   

 

 

 

OTC Swaptions

 

Description

  Call/
Put
    Counterparty     Expiration
Date
    Strike     Receive     Pay     Notional
Amount
(000)#
    Value  

30- Year Interest Rate Swap, 08/19/49
(cost $7,728)

    Put       Citibank, N.A.       08/15/19       2.66     3 Month LIBOR (Q)      2.66 %(S)      690     $ 347  
               

 

 

 

Total Options Purchased (cost $381,004)

                $ 800,825  
               

 

 

 

Options Written:

Exchange Traded

 

Description

   Call/
Put
     Expiration
Date
     Strike      Contracts      Notional
Amount
(000)#
     Value  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 124.50        304        304      $ (4,750

Eurodollars 1-Year Mid Curve Futures

     Put        07/12/19      $ 98.00        476        1,190        (2,975

Eurodollars 1-Year Mid Curve Futures

     Put        08/16/19      $ 98.00        476        1,190        (17,850

Eurodollars 1-Year Mid Curve Futures

     Put        09/13/19      $ 98.00        476        1,190        (29,750
                 

 

 

 

Total Exchange Traded (premiums received $199,488)

                  $ (55,325
                 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A56


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Options Written (continued):

OTC Swaptions

 

Description

   Call/
Put
   Counterparty    Expiration
Date
     Strike      Receive      Pay      Notional
Amount
(000)#
     Value  

CDX.NA.HY.32.V1, 06/20/24

   Put    BNP Paribas S.A.      07/17/19      $ 99.00        5.00%(Q)        CDX.NA.HY.31.V2(Q)        30,600      $ (3,717

CDX.NA.HY.32.V1, 06/20/24

   Put    Deutsche Bank AG      07/17/19      $ 100.00        5.00%(Q)        CDX.NA.HY.31.V2(Q)        20,000        (3,686

CDX.NA.HY.32.V1, 06/20/24

   Put    Morgan Stanley &
Co. International
PLC
     09/18/19      $ 100.00        5.00%(Q)        CDX.NA.HY.31.V2(Q)        10,000        (12,949

CDX.NA.HY.32.V1, 06/20/24

   Put    Bank of America,
N.A.
     01/15/20      $ 98.00        5.00%(Q)        CDX.NA.HY.31.V2(Q)        11,000        (53,869

iTraxx.EUR.31.V2, 06/20/29

   Put    Goldman Sachs
International
     09/18/19        2.50%        1.00%(Q)        iTraxx.EUR.31.V2(Q)      EUR  70,000        (13,267
                       

 

 

 

Total OTC Swaptions (premiums received $174,164)

 

            $ (87,488
                       

 

 

 

Total Options Written (premiums received $373,652)

 

            $ (142,813
                       

 

 

 

Futures contracts outstanding at June 30, 2019:

 

Number of
Contracts
  Type     Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 

Long Positions:

       
4,039     5 Year U.S. Treasury Notes       Sep. 2019     $ 477,233,094     $ 7,240,166  
2,352     10 Year U.S. Treasury Notes       Sep. 2019       300,982,500       3,961,034  
189     10 Year U.S. Ultra Treasury Notes       Sep. 2019       26,105,625       835,548  
11     20 Year U.S. Treasury Bonds       Sep. 2019       1,711,531       20,422  
536     30 Year U.S. Ultra Treasury Bonds       Sep. 2019       95,173,500       4,191,446  
       

 

 

 
          16,248,616  
       

 

 

 
Short Positions:        
886     2 Year U.S. Treasury Notes       Sep. 2019       190,649,203       (1,153,706
73     10 Year Euro-Bund       Sep. 2019       14,338,854       (220,185
       

 

 

 
          (1,373,891
       

 

 

 
        $ 14,874,725  
       

 

 

 

Forward foreign currency exchange contracts outstanding at June 30, 2019:

 

Purchase Contracts

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

OTC Forward Foreign Currency Exchange Contracts:

 

           

British Pound,

                 

Expiring 07/02/19

     JPMorgan Chase Bank, N.A.      GBP  4,800      $ 6,124,149      $ 6,097,234      $  —      $ (26,915

Euro,

                 

Expiring 07/02/19

     Bank of America, N.A.      EUR  47,564        54,198,723        54,103,047               (95,676
        

 

 

    

 

 

    

 

 

    

 

 

 
         $ 60,322,872      $ 60,200,281      $      $ (122,591
        

 

 

    

 

 

    

 

 

    

 

 

 

 

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 07/22/19

     Bank of America, N.A.      AUD  559      $ 400,389      $ 393,042      $ 7,347      $  

British Pound,

                 

Expiring 07/02/19

     BNP Paribas S.A.      GBP 4,688        5,947,823        5,954,986               (7,163

Expiring 07/02/19

     JPMorgan Chase Bank, N.A.      GBP 112        142,685        142,247        438         

Expiring 08/02/19

     JPMorgan Chase Bank, N.A.      GBP 4,800        6,133,317        6,106,768        26,549         

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A57


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Forward foreign currency exchange contracts outstanding at June 30, 2019 (continued):

 

Sale Contracts

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

OTC Forward Foreign Currency Exchange Contracts (continued):

 

           

Euro,

                 

Expiring 07/02/19

     Citibank, N.A.      EUR 46,524      $ 52,241,910      $ 52,920,060      $      $ (678,150

Expiring 07/02/19

     Citibank, N.A.      EUR 1,040        1,167,492        1,182,988               (15,496

Expiring 07/19/19

     Bank of America, N.A.      EUR 2,850        3,223,991        3,246,556               (22,565

Expiring 07/19/19

     Bank of America, N.A.      EUR 374        420,412        426,085               (5,673

Expiring 07/19/19

     Barclays Bank PLC      EUR 785        887,989        894,461               (6,472

Expiring 07/19/19

     Citibank, N.A.      EUR 1,888        2,144,368        2,150,525               (6,157

Expiring 07/19/19

    
Morgan Stanley & Co.
International PLC
 
 
   EUR 8        9,193        9,335               (142

Expiring 08/02/19

     Bank of America, N.A.      EUR  47,564        54,336,134        54,244,434        91,700         
        

 

 

    

 

 

    

 

 

    

 

 

 
         $ 127,055,703      $ 127,671,487      $ 126,034      $ (741,818
        

 

 

    

 

 

    

 

 

    

 

 

 
               $ 126,034      $ (864,409
              

 

 

    

 

 

 

Credit default swap agreements outstanding at June 30, 2019:

 

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):

Kingdom of Spain

     06/20/23        1.000%(Q)        2,100      $ (66,292   $ (51,964   $ (14,328  

Bank of America, N.A.

United Mexican States

     06/20/23        1.000%(Q)        665        (3,591     4,137       (7,728  

Citibank, N.A.

United Mexican States

     06/20/23        1.000%(Q)        655        (3,537     10,327       (13,864  

Citibank, N.A.

United Mexican States

     06/20/23        1.000%(Q)        220        (1,188     3,884       (5,072  

Citibank, N.A.

United Mexican States

     06/20/23        1.000%(Q)        220        (1,187     3,567       (4,754  

Citibank, N.A.

United Mexican States

     06/20/23        1.000%(Q)        215        (1,161     1,258       (2,419  

Citibank, N.A.

United Mexican States

     06/20/23        1.000%(Q)        115        (621     715       (1,336  

Citibank, N.A.

           

 

 

   

 

 

   

 

 

   
            $ (77,577   $ (28,076   $ (49,501  
           

 

 

   

 

 

   

 

 

   

 

Reference Entity/
Obligation

  Termination
Date
    Fixed
Rate
    Notional
Amount
(000)#(3)
    Implied
Credit
Spread at
June 30,
2019(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):

Brooklyn^

    12/20/19       —(Q)       4,090         $ 1,390     $ (1,391   $ 2,781    

Citibank, N.A.

Hellenic Republic

    06/20/23       1.000%(Q)       660       2.253     (30,453     (64,559     34,106    

Citibank, N.A.

Hellenic Republic

    06/20/24       1.000%(Q)       500       2.630     (36,521     (108,125     71,604    

Barclays Bank PLC

Hellenic Republic

    12/20/25       1.000%(Q)       1,280       3.033     (144,355     (231,773     87,418    

Bank of America, N.A.

               

Morgan Stanley & Co.

Kingdom of Saudi Arabia

    06/20/24       1.000%(Q)       405       0.821     3,549       1,918       1,631    

International PLC

Kingdom of Spain

    06/20/23       1.000%(Q)       2,100       0.311     56,446       31,812       24,634    

Bank of America, N.A.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       550       3.268     (44,888     (30,406     (14,482  

Citibank, N.A.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       545       3.268     (44,480     (36,167     (8,313  

Citibank, N.A.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       185       3.268     (15,098     (12,581     (2,517  

Citibank, N.A.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       185       3.268     (15,098     (12,353     (2,745  

Citibank, N.A.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       180       3.268     (14,691     (9,998     (4,693  

Citibank, N.A.

Petroleos Mexicanos

    06/20/23       1.000%(Q)       90       3.268     (7,346     (4,973     (2,373  

Citibank, N.A.

Republic of Brazil

    09/20/19       1.000%(Q)       2,815       0.419     4,648       6,582       (1,934  

HSBC Bank USA, N.A.

Republic of Italy

    09/20/20       1.000%(Q)       5,650       0.877     10,189       26,214       (16,025  

JPMorgan Chase Bank,

N.A.

Republic of Korea

    09/20/19       1.000%(Q)       2,160       0.094     5,196       4,360       836    

Citibank, N.A.

State of Illinois

    06/20/24       1.000%(Q)       580       1.420     (10,872     (7,441     (3,431  

Citibank, N.A.

         

 

 

   

 

 

   

 

 

   
          $ (282,384   $ (448,881   $ 166,497    
         

 

 

   

 

 

   

 

 

   

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A58


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Credit default swap agreements outstanding at June 30, 2019 (continued):

 

Reference Entity/

Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Value at
Trade
Date
     Value at
June 30,
2019
     Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1):

 

CDX.NA.IG.32.V1

     06/20/29        1.000%(Q)        7,525      $ 105,515      $ 17,970      $ (87,545
           

 

 

    

 

 

    

 

 

 

 

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      $ (48,125   $ 68,926      $ (117,051  

Deutsche Bank AG

           

 

 

   

 

 

    

 

 

   

 

Reference Entity/
Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Implied Credit
Spread at
June 30,
2019(4)
   Fair
Value
     Upfront
Premiums
Paid
(Received)
   

Unrealized
Appreciation
(Depreciation)

  

Counterparty

OTC Credit Default Swap Agreement on credit indices - Sell Protection(2):

 

    

CMBX.NA.6.AA

     05/11/63        1.500%(M)        650      *    $ 14,168      $ (2,368  

$16,536

  

Deutsche Bank AG

              

 

 

    

 

 

   

 

  

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.

 

*

When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Forward rate agreement outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date(4)
     Fixed
Rate
    

Floating Rate

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

Counterparty

 

OTC Forward Rate Agreement^:

  68,692        07/12/19        —(3)     

—(3)

   $ (130,487   $   —      $ (130,487  

Citigroup Global Markets, Inc.

           

 

 

   

 

 

    

 

 

   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A59


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

 

(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 or receives payments based on CMM102 minus 7 year CMS minus 1.3375% upon termination.

 

(4)

The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

Interest rate swap agreements outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating
Rate

   Value at
Trade Date
     Value at
June 30, 2019
     Unrealized
Appreciation
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

 
  CNH       16,230        06/14/24        2.900%(Q)     

7 Day China Fixing Repo Rates(2)(Q)

   $ 58      $ (266    $ (324)  
  CNH       46,000        06/28/24        2.901%(Q)     

7 Day China Fixing Repo Rates(2)(Q)

            (2,339      (2,339
  EUR       7,065        05/11/21        (0.300)%(A)     

1 Day EONIA(1)(A)

     (6,014      (33,961      (27,947
  EUR       8,125        05/11/22        (0.250)%(A)     

1 Day EONIA(1)(A)

     (5,161      (70,531      (65,370
  EUR       4,650        05/11/23        (0.100)%(A)     

1 Day EONIA(1)(A)

     (26,137      (78,146      (52,009
  EUR       3,980        05/11/24        0.050%(A)     

1 Day EONIA(1)(A)

     (61,623      (104,654      (43,031
  EUR       2,110        05/11/25        0.100%(A)     

1 Day EONIA(1)(A)

     (12,404      (63,476      (51,072
  EUR       3,815        05/11/26        0.250%(A)     

1 Day EONIA(1)(A)

     (62,921      (156,822      (93,901
  EUR       1,880        05/11/29        0.600%(A)     

1 Day EONIA(1)(A)

     (122,780      (134,126      (11,346
  EUR       2,420        05/11/33        0.750%(A)     

1 Day EONIA(1)(A)

     (45,098      (190,789      (145,691
  EUR       1,240        05/11/36        0.950%(A)     

1 Day EONIA(1)(A)

     (23,480      (133,271      (109,791
  EUR       230        05/11/37        0.950%(A)     

1 Day EONIA(1)(A)

     (6,564      (24,439      (17,875
  EUR       6,100        10/25/37        2.085%(A)     

3 Month EURIBOR(2)(Q)

            649,008        649,008  
  EUR       6,100        10/25/37        2.114%(A)     

6 Month EURIBOR(1)(S)

            (668,363      (668,363
  EUR       2,495        05/11/39        1.100%(A)     

1 Day EONIA(1)(A)

     (257,601      (343,730      (86,129
  EUR       195        05/11/42        1.100%(A)     

1 Day EONIA(1)(A)

     (4,923      (28,016      (23,093
  EUR       3,920        03/19/48        1.650%(A)     

3 Month EURIBOR(2)(Q)

            281,124        281,124  
  EUR       3,920        03/19/48        1.658%(A)     

6 Month EURIBOR(1)(S)

            (279,010      (279,010
  GBP       230        05/08/34        1.200%(A)     

1 Day SONIA(1)(A)

     (9,088      (11,734      (2,646
  JPY       4,844,850        12/17/20        0.015%(S)     

6 Month JPY LIBOR(1)(S)

            (60,610      (60,610
  JPY       2,058,960        01/29/21        (0.014)%(S)     

6 Month JPY LIBOR(1)(S)

            (22,860      (22,860
    43,825        03/12/20        2.405%(A)     

1 Day USOIS(2)(A)

            158,758        158,758  
    65,680        04/25/20        2.328%(A)     

1 Day USOIS(2)(A)

     (1,064      262,356        263,420  
    43,210        01/10/21        2.408%(A)     

1 Day USOIS(1)(A)

     (1,332      (507,049      (505,717
    24,116        03/31/21        2.173%(A)     

1 Day USOIS(2)(A)

     (8,487      240,627        249,114  
    1,895        09/27/21        2.330%(A)     

1 Day USOIS(1)(A)

     (527      (32,352      (31,825
    5,260        05/31/22        2.353%(A)     

1 Day USOIS(1)(A)

            (123,285      (123,285
    4,490        09/27/22        2.360%(A)     

1 Day USOIS(1)(A)

     53        (121,947      (122,000
    6,920        02/15/24        2.115%(S)     

3 Month LIBOR(1)(Q)

     16,360        (145,866      (162,226
    16,137        02/15/24        2.151%(S)     

3 Month LIBOR(1)(Q)

     (17,628      (368,113      (350,485
    19,590        02/15/24        2.183%(S)     

3 Month LIBOR(1)(Q)

     (27,672      (477,678      (450,006
    3,650        05/15/24        1.808%(A)     

1 Day USOIS(1)(A)

            (48,038      (48,038
    11,070        08/15/24        2.168%(S)     

3 Month LIBOR(1)(Q)

            (276,433      (276,433
    88,455        08/15/24        2.170%(S)     

3 Month LIBOR(1)(Q)

     297,704        (2,216,658      (2,514,362
    29,940        08/15/24        2.176%(S)     

3 Month LIBOR(1)(Q)

     102,544        (759,127      (861,671
    34,400        11/15/24        2.334%(S)     

3 Month LIBOR(1)(Q)

     120,853        (988,755      (1,109,608
    6,025        02/28/25        2.454%(A)     

1 Day USOIS(1)(A)

     5,665        (303,725      (309,390
    2,040        02/28/25        3.019%(S)     

3 Month LIBOR(1)(Q)

            (152,742      (152,742
    41,999        05/31/25        2.998%(S)     

3 Month LIBOR(1)(Q)

     (29,049      (2,880,750      (2,851,701
    2,620        07/31/25        2.802%(A)     

1 Day USOIS(1)(A)

            (197,378      (197,378
    8,910        07/31/25        3.105%(S)     

3 Month LIBOR(1)(Q)

     7,030        (752,824      (759,854
    26,843        07/31/25        3.109%(S)     

3 Month LIBOR(1)(Q)

     939        (2,275,386      (2,276,325
    4,420        01/31/26        2.236%(S)     

3 Month LIBOR(1)(Q)

            (117,502      (117,502
    26,791        01/31/26        2.269%(A)     

1 Day USOIS(1)(A)

     (78,239      (1,189,227      (1,110,988
    4,036        01/31/26        2.406%(S)     

3 Month LIBOR(1)(Q)

            (150,182      (150,182
    6,705        03/12/26        2.290%(A)     

1 Day USOIS(1)(A)

     138        (306,395      (306,533
    18,032        04/30/26        1.876%(S)     

3 Month LIBOR(1)(Q)

     (73,020      (89,953      (16,933
    15,934        02/15/27        1.824%(A)     

1 Day USOIS(1)(A)

     211,226        (214,290      (425,516
    6,555        02/15/27        1.899%(A)     

1 Day USOIS(1)(A)

     7,830        (125,724      (133,554

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A60


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2019 (continued):

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating
Rate

   Value at
Trade Date
     Value at
June 30, 2019
     Unrealized
Appreciation
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements (continued):

 
    2,515        02/15/27        1.965%(A)     

1 Day USOIS(1)(A)

   $      $ (60,870    $ (60,870
    7,480        02/15/27        2.067%(A)     

1 Day USOIS(1)(A)

     (5,086      (239,554      (234,468
    5,020        05/08/27        2.309%(S)     

3 Month LIBOR(1)(Q)

            (161,935      (161,935
    3,295        05/15/27        1.823%(A)     

1 Day USOIS(1)(A)

            (48,152      (48,152
    2,095        05/15/27        2.295%(S)     

3 Month LIBOR(1)(Q)

            (65,630      (65,630
    16,008        08/15/28        2.579%(A)     

1 Day USOIS(1)(A)

     (241,841      (1,253,545      (1,011,704
    9,330        08/15/28        2.835%(S)     

3 Month LIBOR(1)(Q)

     (40,174      (761,526      (721,352
    2,905        02/15/42        1.369%(A)     

1 Day USOIS(1)(A)

     203        314,010        313,807  
    580        11/15/43        2.659%(S)     

3 Month LIBOR(1)(Q)

            (52,264      (52,264
    1,835        09/27/46        1.380%(A)     

1 Day USOIS(1)(A)

     183        236,224        236,041  
    1,100        04/09/48        2.545%(S)     

3 Month LIBOR(1)(Q)

            (81,736      (81,736
    1,020        05/08/48        2.627%(S)     

3 Month LIBOR(1)(Q)

            (94,535      (94,535
             

 

 

    

 

 

    

 

 

 
              $ (397,127    $ (17,906,162    $ (17,509,035
             

 

 

    

 

 

    

 

 

 

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

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

Counterparty

 

OTC Interest Rate Swap Agreement:

  525        03/05/49        2.403%(Q)     

1 Week MUNIPSA(1)(Q)

   $ (75,466   $   —      $ (75,466  

JPMorgan Chase Bank, N.A.

           

 

 

   

 

 

    

 

 

   

 

(1)

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

 

(2)

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

Total return swap agreements outstanding at June 30, 2019:

 

Reference Entity

 

Financing
Rate

  Counterparty     Termination
Date
    Long (Short)
Notional
Amount
(000)#(1)
    Fair
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)(2)
 

OTC Total Return Swap Agreement:

 

IOS.FN30.450.10(M)

 

1 Month LIBOR(M)

    Credit Suisse International       1/12/41       2,579     $ (12,322   $ (7,877   $ (4,445
         

 

 

   

 

 

   

 

 

 

 

(1)

On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate.

 

(2)

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate and Swap Agreements:

 

      Premiums
Paid
     Premiums
Received
    Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Forward Rate Agreements

   $      $     $      $ (130,487

OTC Swap Agreements

   $ 163,700      $ (581,976   $ 239,546      $ (302,976

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

 

Broker

  

Cash and/or Foreign Currency

    

Securities Market Value

 

Citigroup Global Markets, Inc.

   $   —      $ 20,761,313  
  

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A61


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (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, 2019 in valuing such portfolio securities:

 

    

Level 1

   

Level 2

   

Level 3

 

Investments in Securities

      

Asset-Backed Securities

      

Automobiles

   $     $ 8,595,019     $  

Collateralized Loan Obligations.

           210,141,591        

Consumer Loans

           20,152,368        

Credit Cards

           2,998,104        

Home Equity Loans.

           11,910,225        

Other

           261,770        

Residential Mortgage-Backed Securities

           29,198,255        

Student Loans

           21,385,650        

Bank Loans

           7,466,221        

Commercial Mortgage-Backed Securities

           166,073,095        

Corporate Bonds

           437,386,471        

Municipal Bonds

           22,108,387        

Residential Mortgage-Backed Securities

           64,633,211        

Sovereign Bonds

           86,330,708        

U.S. Government Agency Obligations

           11,733,756        

U.S. Treasury Obligations

           19,566,763        

Preferred Stocks

     2,167,300              

Affiliated Mutual Funds

     51,565,706              

Options Purchased

     113,914       686,911        

Options Written

     (55,325     (87,488      

Other Financial Instruments*

      

Futures Contracts

     14,874,725              

OTC Forward Foreign Currency Exchange Contracts

           (738,375      

Centrally Cleared Credit Default Swap Agreement

           (87,545      

OTC Credit Default Swap Agreements

           (395,308     1,390  

OTC Forward Rate Agreement

                 (130,487

Centrally Cleared Interest Rate Swap Agreements

           (17,509,035      

OTC Interest Rate Swap Agreement

           (75,466      

OTC Total Return Swap Agreement

           (12,322      
  

 

 

   

 

 

   

 

 

 

Total

   $ 68,666,320     $ 1,101,722,966     $ (129,097
  

 

 

   

 

 

   

 

 

 

The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:

 

 

  Asset-Backed
Securities
Residential
Mortgage-Backed
Securities
    Bank
Loans
    Residential
Mortgage-Backed
Securities
    Credit Default
Swap Agreements
    Forward
Rate
Agreements
 

Balance as of 12/31/18

  $ 7,996,987     $ 1,004,500     $ 5,400,000     $ 8,505       (130,337

Realized gain (loss)

    17,100                   9,072       15,592  

Change in unrealized appreciation (depreciation)

    (60,181                 1,390       (150

Purchases/Exchanges/Issuances

                             

Sales/Paydowns

    (6,253,906                 (17,577     (15,592

Accrued discount/premium

                             

Transfers into of Level 3

                             

Transfers out of Level 3

    (1,700,000     (1,004,500     (5,400,000            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of 06/30/19

  $     $     $     $ 1,390     $ (130,487
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end

  $     $     $     $ 1,390     $ (130,487
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A62


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

 

*

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.

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:

 

Level 3 Securities

   Fair Value as of
June 30, 2019
    Valuation
Methodology
     Unobservable Inputs  

Credit Default Swap Agreements

   $ 1,390       Market Approach        Single Broker Indicative Quote  

Forward Rate Agreements

     (130,487     Market Approach        Forward Rate Volatility & Convexity Adjustment  
  

 

 

      
   $ (129,097     
  

 

 

      

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:

 

Investments in Securities

   Amount Transferred      Level Transfer      Logic

Asset-Backed Securities-Residential Mortgage-Backed Securities

   $ 1,700,000        L3 to L2      Single Broker Indicative Quote
to Evaluated Bid

Bank Loans

   $ 1,004,500        L3 to L2      Single Broker Indicative Quote
to Multiple Broker Quotes

Residential Mortgage-Backed Securities

   $ 5,400,000        L3 to L2      Single Broker Indicative Quote
to Evaluated Bid

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, 2019 were as follows:

 

Collateralized Loan Obligations

     18.0

Commercial Mortgage-Backed Securities

     14.2  

Banks

     11.7  

Residential Mortgage-Backed Securities

     8.0  

Sovereign Bonds

     7.4  

Affiliated Mutual Funds (1.0% represents investments purchased with collateral from securities on loan)

     4.4  

Oil & Gas

     2.4  

Electric

     2.3  

Media

     2.2  

Pharmaceuticals

     2.0  

Municipal Bonds

     1.9  

Student Loans

     1.8  

Consumer Loans

     1.7  

U.S. Treasury Obligations

     1.7  

Chemicals

     1.5  

Telecommunications

     1.5  

Pipelines

     1.1  

Insurance

     1.0  

Home Equity Loans

     1.0  

Healthcare-Services

     1.0  

U.S. Government Agency Obligations

     1.0  

Diversified Financial Services

     1.0  

Automobiles

     0.8  

Auto Manufacturers

     0.7  

Aerospace & Defense

     0.7  

Healthcare-Products

     0.7  

Retail

     0.6  

Commercial Services

     0.6  

Software

     0.6  

Semiconductors

     0.5  

Airlines

     0.5

Auto Parts & Equipment

     0.5  

Home Builders

     0.5  

Foods

     0.5  

Multi-National

     0.4  

Machinery-Diversified

     0.4  

Building Materials

     0.3  

Lodging

     0.3  

Gas

     0.3  

Credit Cards

     0.3  

Agriculture

     0.2  

Engineering & Construction

     0.2  

Biotechnology

     0.2  

Miscellaneous Manufacturing

     0.2  

Apparel

     0.2  

Computers

     0.2  

Electronics

     0.2  

Mining

     0.1  

Savings & Loans

     0.1  

Entertainment

     0.1  

Internet

     0.1  

Forest Products & Paper

     0.1  

Packaging & Containers

     0.1  

Office/Business Equipment

     0.1  

Beverages

     0.1  

Capital Markets

     0.1  

Options Purchased

     0.1  

Housewares

     0.1  

Oil & Gas Services

     0.0

Home Furnishings

     0.0

Real Estate Investment Trusts (REITs)

     0.0
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A63


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Industry Classification (con’t)

      

Textiles

     0.0 %* 

Other

     0.0

Transportation

     0.0
  

 

 

 
     100.5  

Options Written

     (0.0 )* 

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. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. 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 value of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Asset Derivatives

   

Liability Derivatives

 
  

Statement of
Assets and
Liabilities Location

   Fair Value    

Statement of
Assets and
Liabilities Location

   Fair Value  

Credit contracts

      $     Due from/to broker-variation margin swaps    $ 87,545

Credit contracts

   Premiums paid for OTC swap agreements      163,700     Premiums received for OTC swap agreements      574,099  

Credit contracts

            Options written outstanding, at value      87,488  

Credit contracts

   Unrealized appreciation on OTC swap agreements      239,546     Unrealized depreciation on OTC swap agreements      223,065  

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      126,034     Unrealized depreciation on OTC forward foreign currency exchange contracts      864,409  

Interest rate contracts

   Due from/to broker-variation margin futures      16,248,616   Due from/to broker-variation margin futures      1,373,891

Interest rate contracts

   Due from/to broker-variation margin swaps      2,151,272   Due from/to broker-variation margin swaps      19,660,307

Interest rate contracts

            Premiums received for OTC swap agreements      7,877  

Interest rate contracts

   Unaffiliated investments      800,825     Options written outstanding, at value      55,325  

Interest rate contracts

            Unrealized depreciation on OTC forward rate agreements      130,487  

Interest rate contracts

            Unrealized depreciation on OTC swap agreements      79,911  
     

 

 

      

 

 

 
      $ 19,729,993        $ 23,144,404  
     

 

 

      

 

 

 

 

*

Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A64


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 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      Forward
Currency
Contracts
     Forward
Rate
Agreements
     Swaps  

Credit contracts

   $ (23,349   $ 301,826      $      $      $      $ 349,408  

Foreign exchange contracts

                         1,422,989                

Interest rate contracts

     42,337       61,239        37,296,765               173        3,261,479  
  

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 18,988     $ 363,065      $ 37,296,765      $ 1,422,989      $ 173      $ 3,610,887  
  

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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
Exchange
Contracts
    Forward
Rate
Agreements
     Swaps  

Credit contracts

   $ 19,301     $ 248,303      $     $     $      $ (127,463

Foreign exchange contracts.

                        (224,099             

Interest rate contracts

     (23,986     144,163        (4,351,156           (150      (22,398,397
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ (4,685   $ 392,466      $ (4,351,156   $ (224,099   $ (150    $ (22,525,860
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

 

(2)

Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

 

For

the six months ended June 30, 2019, 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)

 

Forward Foreign
Currency Exchange
Contracts—
Purchased(3)

$160,610   $109,055,775   $939,400,865   $305,436,264   $21,899,009

 

Forward Foreign
Currency Exchange
Contracts—Sold(3)

 

Cross
Currency
Exchange
Contracts(4)

 

Forward Rate
Agreements(2)

 

Interest Rate
Swap
Agreements(2)

 

Credit Default
Swap Agreements—
Buy Protection(2)

$83,536,721   $108,571   $168,897,333   $866,392,318   $37,231,000

 

Credit Default
Swap Agreements—
Sell Protection(2)

 

Total Return
Swap
Agreements(2)

 

Inflation Swap
Agreements(2)

$49,010,667   $2,671,667   $2,840,000

 

(1)

Cost.

 

(2)

Notional Amount in USD.

 

(3)

Value at Settlement Date.

 

(4)

Value at Trade 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 derivatives 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

     $ 11,830,851        $ (11,830,851    $   —  
    

 

 

         

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A65


 
   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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, N.A.

   $ 765,849      $ (475,848    $ 290,001      $ (290,001    $  

Barclays Bank PLC

     205,035        (114,597      90,438               90,438  

BNP Paribas S.A.

            (10,880      (10,880             (10,880

Citibank, N.A.

     66,318        (953,399      (887,081      887,081         

Citigroup Global Markets, Inc.

            (130,487      (130,487      130,487         

Credit Suisse International

            (12,322      (12,322             (12,322

Deutsche Bank AG

     85,462        (123,105      (37,643             (37,643

Goldman Sachs International

            (13,267      (13,267             (13,267

HSBC Bank USA, N.A.

     6,582        (1,934      4,648               4,648  

JPMorgan Chase Bank, N.A.

     53,201        (118,406      (65,205             (65,205

Morgan Stanley & Co. International PLC

     33,744        (13,091      20,653               20,653  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,216,191      $ (1,967,336    $ (751,145    $ 727,567      $ (23,578
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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.

 

A66


 
   DIVERSIFIED BOND PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

 

ASSETS  

Investments at value, including securities on loan of $11,830,851:

 

Unaffiliated investments (cost $1,085,380,954)

  $ 1,122,909,719  

Affiliated investments (cost $52,029,744)

    51,565,706  

Cash

    1,517,421  

Foreign currency, at value (cost $136,261)

    136,186  

Dividends and interest receivable

    9,486,810  

Receivable for investments sold

    1,051,502  

Receivable for Portfolio shares sold

    264,169  

Unrealized appreciation on OTC swap agreements

    239,546  

Due from broker-variation margin swaps

    189,849  

Premiums paid for OTC swap agreements

    163,700  

Unrealized appreciation on OTC forward foreign currency exchange contracts

    126,034  

Tax reclaim receivable

    38,586  

Prepaid expenses

    1,260  
 

 

 

 

Total Assets

    1,187,690,488  
 

 

 

 
LIABILITIES  

Payable to broker for collateral for securities on loan

    12,031,616  

Payable for investments purchased

    4,580,592  

Unrealized depreciation on OTC forward foreign currency exchange contracts

    864,409  

Premiums received for OTC swap agreements

    581,976  

Management fee payable.

    384,726  

Unrealized depreciation on OTC swap agreements

    302,976  

Payable for Portfolio shares repurchased

    213,306  

Accrued expenses and other liabilities

    175,277  

Options written outstanding, at value (proceeds received $373,652)

    142,813  

Unrealized depreciation on OTC forward rate agreements

    130,487  

Due to broker-variation margin futures

    15,075  

Affiliated transfer agent fee payable

    980  
 

 

 

 

Total Liabilities

    19,424,233  
 

 

 

 
NET ASSETS   $ 1,168,266,255  
 

 

 

 

Net assets were comprised of:

 

Partners Equity

  $ 1,168,266,255  
 

 

 

 

Net asset value and redemption price per share, $1,168,266,255 / 82,684,756 outstanding shares of beneficial interest

  $ 14.13  
 

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Interest income (net of $1,801 foreign withholding tax)

  $ 22,059,473  

Affiliated dividend income.

    828,051  

Unaffiliated dividend income

    74,672  

Income from securities lending, net (including affiliated income of $13,466)

    13,770  
 

 

 

 

Total income

    22,975,966  
 

 

 

 
EXPENSES  

Management fee

    2,272,857  

Custodian and accounting fees

    96,006  

Shareholders’ reports

    67,064  

Audit fee

    26,610  

Trustees’ fees

    10,876  

Legal fees and expenses

    7,278  

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

    5,297  

Miscellaneous

    15,809  
 

 

 

 

Total expenses

    2,501,797  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     20,474,169  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $1,423)

    2,823,162  

Futures transactions

    37,296,765  

Forward rate agreement transactions

    173  

Forward currency contract transactions

    1,422,989  

Options written transactions.

    363,065  

Swap agreements transactions

    3,610,887  

Foreign currency transactions

    172,597  
 

 

 

 
    45,689,638  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $81,310)

    45,842,636  

Futures

    (4,351,156

Forward rate agreements

    (150

Forward currency contracts

    (224,099

Options written

    392,466  

Swap agreements

    (22,525,860

Foreign currencies.

    (167,584
 

 

 

 
    18,966,253  
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     64,655,891  
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 85,130,060  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS

    

Net investment income (loss)

   $ 20,474,169     $ 38,991,560  

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

     45,689,638       (15,612,916

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

     18,966,253       (26,218,514
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     85,130,060       (2,839,870
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [1,384,881 and 6,799,295 shares, respectively]

     18,786,575       88,168,310  

Portfolio shares repurchased [4,286,237 and 8,370,109 shares, respectively]

     (58,575,775     (108,237,839
  

 

 

   

 

 

 

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

     (39,789,200     (20,069,529
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS            736,677  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      45,340,860       (22,172,722
NET ASSETS:     

Beginning of period

     1,122,925,395       1,145,098,117  
  

 

 

   

 

 

 

End of period

   $ 1,168,266,255     $ 1,122,925,395  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A67


 
   EQUITY PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

LONG-TERM INVESTMENTS — 96.2%  
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 5.6%

     

Airbus SE (France)

     325,058      $ 46,123,993  

Boeing Co. (The)

     299,873        109,156,771  

Safran SA (France)

     393,957        57,774,459  

United Technologies Corp.

     289,395        37,679,229  
     

 

 

 
        250,734,452  
     

 

 

 

Banks — 7.4%

     

Bank of America Corp.

     2,680,476        77,733,804  

BB&T Corp.(a)

     959,493        47,139,891  

Citigroup, Inc.

     862,789        60,421,113  

JPMorgan Chase & Co.

     835,171        93,372,118  

PNC Financial Services Group, Inc. (The)

     391,017        53,678,814  
     

 

 

 
        332,345,740  
     

 

 

 

Beverages — 0.3%

     

Constellation Brands, Inc.
(Class A Stock)(a)

     75,416        14,852,427  
     

 

 

 

Biotechnology — 0.8%

     

Alexion Pharmaceuticals, Inc.*

     267,509        35,038,329  
     

 

 

 

Building Products — 0.9%

     

Johnson Controls International PLC(a)

     966,810        39,938,921  
     

 

 

 

Capital Markets — 0.7%

     

Goldman Sachs Group, Inc. (The)

     155,513        31,817,960  
     

 

 

 

Chemicals — 1.7%

     

FMC Corp.

     332,436        27,575,566  

Linde PLC (United Kingdom)

     251,825        50,566,460  
     

 

 

 
        78,142,026  
     

 

 

 

Communications Equipment — 1.6%

     

Cisco Systems, Inc.

     1,273,611        69,704,730  
     

 

 

 

Consumer Finance — 1.4%

     

Capital One Financial Corp.

     410,023        37,205,487  

SLM Corp.

     2,417,395        23,497,079  
     

 

 

 
        60,702,566  
     

 

 

 

Diversified Telecommunication Services — 1.0%

 

Verizon Communications, Inc.

     805,199        46,001,019  
     

 

 

 

Electric Utilities — 3.1%

     

American Electric Power Co., Inc.

     954,123        83,972,365  

Exelon Corp.

     1,150,405        55,150,416  
     

 

 

 
        139,122,781  
     

 

 

 

Electrical Equipment — 0.7%

     

Emerson Electric Co.

     484,436        32,321,570  
     

 

 

 

Energy Equipment & Services — 0.4%

     

Schlumberger Ltd.

     442,893        17,600,568  
     

 

 

 

Entertainment — 3.7%

     

Netflix, Inc.*

     223,908        82,245,887  

Walt Disney Co. (The)

     587,435        82,029,423  
     

 

 

 
        164,275,310  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 1.5%

 

American Tower Corp.

     248,622        50,830,768  

Crown Castle International Corp.

     119,828        15,619,580  
     

 

 

 
        66,450,348  
     

 

 

 
COMMON STOCKS  
(continued)    Shares      Value  

Food & Staples Retailing — 2.7%

     

Costco Wholesale Corp.

     196,786      $ 52,002,669  

Walmart, Inc.

     612,166        67,638,221  
     

 

 

 
        119,640,890  
     

 

 

 

Food Products — 1.7%

     

Conagra Brands, Inc.(a)

     870,016        23,072,824  

Mondelez International, Inc. (Class A Stock)

     980,891        52,870,025  
     

 

 

 
        75,942,849  
     

 

 

 

Health Care Equipment & Supplies — 2.9%

 

Edwards Lifesciences Corp.*

     221,731        40,962,585  

Intuitive Surgical, Inc.*(a)

     80,011        41,969,770  

Zimmer Biomet Holdings, Inc.

     387,711        45,649,093  
     

 

 

 
        128,581,448  
     

 

 

 

Health Care Providers & Services — 0.9%

 

Guardant Health, Inc.*

     47,846        4,130,545  

Laboratory Corp. of America Holdings*

     222,035        38,389,852  
     

 

 

 
        42,520,397  
     

 

 

 

Hotels, Restaurants & Leisure — 1.5%

 

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

     204,149        28,640,063  

McDonald’s Corp.

     192,142        39,900,208  
     

 

 

 
        68,540,271  
     

 

 

 

Insurance — 2.2%

     

Chubb Ltd.

     352,702        51,949,478  

MetLife, Inc.

     969,518        48,155,959  
     

 

 

 
        100,105,437  
     

 

 

 

Interactive Media & Services — 6.3%

     

Alphabet, Inc. (Class A Stock)*

     81,883        88,662,912  

Alphabet, Inc. (Class C Stock)*

     56,151        60,694,178  

Facebook, Inc. (Class A Stock)*

     453,248        87,476,864  

Tencent Holdings Ltd. (China)

     1,014,451        45,816,583  
     

 

 

 
        282,650,537  
     

 

 

 

Internet & Direct Marketing Retail — 4.9%

 

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

     413,003        69,983,358  

Amazon.com, Inc.*

     77,888        147,491,054  
     

 

 

 
        217,474,412  
     

 

 

 

IT Services — 8.0%

     

Adyen NV (Netherlands), 144A*

     73,556        56,823,242  

Mastercard, Inc. (Class A Stock)

     424,947        112,411,230  

PayPal Holdings, Inc.*

     417,870        47,829,400  

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

     454,987        33,000,207  

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

     187,869        25,615,938  

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

     483,663        83,939,714  
     

 

 

 
        359,619,731  
     

 

 

 

Life Sciences Tools & Services — 1.8%

 

Illumina, Inc.*(a)

     214,234        78,870,247  
     

 

 

 

Media — 1.8%

     

Comcast Corp. (Class A Stock)

     1,248,793        52,798,968  

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

     1,062,270        28,182,023  
     

 

 

 
        80,980,991  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A68


 
   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS  
(continued)    Shares      Value  

Oil, Gas & Consumable Fuels — 3.2%

 

Chevron Corp.

     581,562      $ 72,369,575  

Noble Energy, Inc.(a)

     1,029,037        23,050,429  

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

     768,007        49,974,216  
     

 

 

 
        145,394,220  
     

 

 

 

Pharmaceuticals — 5.1%

 

Allergan PLC

     41,157        6,890,916  

AstraZeneca PLC (United Kingdom), ADR(a)

     2,844,723        117,430,165  

Eli Lilly & Co.

     368,030        40,774,044  

Pfizer, Inc.

     1,414,624        61,281,512  
     

 

 

 
        226,376,637  
     

 

 

 

Road & Rail — 1.0%

 

Union Pacific Corp.

     266,515        45,070,352  
     

 

 

 

Semiconductors & Semiconductor Equipment — 4.8%

 

Broadcom, Inc.(a)

     274,352        78,974,967  

NVIDIA Corp.

     292,867        48,097,547  

QUALCOMM, Inc.

     760,298        57,835,869  

Texas Instruments, Inc.

     278,851        32,000,941  
     

 

 

 
        216,909,324  
     

 

 

 

Software — 11.3%

     

Adobe, Inc.*

     235,932        69,517,364  

Microsoft Corp.

     1,285,016        172,140,743  

PTC, Inc.*(a)

     320,744        28,789,981  

salesforce.com, Inc.*

     618,510        93,846,522  

SAP SE (Germany), ADR

     377,932        51,701,098  

ServiceNow, Inc.*

     147,387        40,468,049  

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

     252,892        51,989,537  
     

 

 

 
        508,453,294  
     

 

 

 

Specialty Retail — 0.8%

     

Lowe’s Cos., Inc.

     334,583        33,762,771  
     

 

 

 

Technology Hardware, Storage & Peripherals — 0.4%

 

Apple, Inc.

     101,682        20,124,901  
     

 

 

 

Textiles, Apparel & Luxury Goods — 4.1%

 

Kering SA (France)

     70,468        41,586,553  

Lululemon Athletica, Inc.*

     317,763        57,264,070  

NIKE, Inc. (Class B Stock)

     807,894        67,822,701  

Tapestry, Inc.

     519,011        16,468,219  
     

 

 

 
        183,141,543  
     

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $2,742,473,501)

 

     4,313,208,999  
     

 

 

 
SHORT-TERM INVESTMENTS — 14.2%  
AFFILIATED MUTUAL FUNDS    Shares      Value  

PGIM Core Ultra Short Bond
Fund(w)

     142,351,169      $ 142,351,169  

PGIM Institutional Money Market Fund (cost $494,264,619; includes $493,345,582 of cash collateral for securities on loan)(b)(w)

     494,231,375        494,379,645  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $636,615,788)

 

     636,730,814  
     

 

 

 

TOTAL INVESTMENTS — 110.4%
(cost $3,379,089,289)

 

     4,949,939,813  

LIABILITIES IN EXCESS OF OTHER ASSETS — (10.4)%

 

     (467,434,560
     

 

 

 

NET ASSETS — 100.0%

 

   $ 4,482,505,253  
     

 

 

 

See the Glossary for a list of the abbreviation(s) 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 $491,162,081; cash collateral of $493,345,582 (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 the 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.

 

A69


 
   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

    

Level 3

 

Investments in Securities

        

Common Stocks

        

Aerospace & Defense

   $ 146,836,000      $ 103,898,452      $  

Banks

     332,345,740                

Beverages

     14,852,427                

Biotechnology

     35,038,329                

Building Products

     39,938,921                

Capital Markets

     31,817,960                

Chemicals

     78,142,026                

Communications Equipment

     69,704,730                

Consumer Finance

     60,702,566                

Diversified Telecommunication Services

     46,001,019                

Electric Utilities

     139,122,781                

Electrical Equipment

     32,321,570                

Energy Equipment & Services

     17,600,568                

Entertainment

     164,275,310                

Equity Real Estate Investment Trusts (REITs)

     66,450,348                

Food & Staples Retailing

     119,640,890                

Food Products

     75,942,849                

Health Care Equipment & Supplies

     128,581,448                

Health Care Providers & Services

     42,520,397                

Hotels, Restaurants & Leisure

     68,540,271                

Insurance

     100,105,437                

Interactive Media & Services

     236,833,954        45,816,583         

Internet & Direct Marketing Retail

     217,474,412                

IT Services

     302,796,489        56,823,242         

Life Sciences Tools & Services

     78,870,247                

Media

     80,980,991                

Oil, Gas & Consumable Fuels

     145,394,220                

Pharmaceuticals

     226,376,637                

Road & Rail

     45,070,352                

Semiconductors & Semiconductor Equipment

     216,909,324                

Software

     508,453,294                

Specialty Retail

     33,762,771                

Technology Hardware, Storage & Peripherals

     20,124,901                

Textiles, Apparel & Luxury Goods

     141,554,990        41,586,553         

Affiliated Mutual Funds

     636,730,814                
  

 

 

    

 

 

    

 

 

 

Total

   $ 4,701,814,983      $ 248,124,830      $   —  
  

 

 

    

 

 

    

 

 

 

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, 2019 were as follows:

 

Affiliated Mutual Funds (11.0% represents investments purchased with collateral from securities on loan)

     14.2

Software

     11.3  

IT Services

     8.0  

Banks

     7.4  

Interactive Media & Services

     6.3  

Aerospace & Defense

     5.6  

Pharmaceuticals

     5.1  

Internet & Direct Marketing Retail

     4.9  

Semiconductors & Semiconductor Equipment

     4.8  

Textiles, Apparel & Luxury Goods

     4.1  

Entertainment

     3.7  

Oil, Gas & Consumable Fuels

     3.2  

Electric Utilities

     3.1  

Health Care Equipment & Supplies

     2.9

Food & Staples Retailing

     2.7  

Insurance

     2.2  

Media

     1.8  

Life Sciences Tools & Services

     1.8  

Chemicals

     1.7  

Food Products

     1.7  

Communications Equipment

     1.6  

Hotels, Restaurants & Leisure

     1.5  

Equity Real Estate Investment Trusts (REITs)

     1.5  

Consumer Finance

     1.4  

Diversified Telecommunication Services

     1.0  

Road & Rail

     1.0  

Health Care Providers & Services

     0.9  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A70


 
   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Industry Classification (con’t)

 

Building Products

     0.9

Biotechnology

     0.8  

Specialty Retail

     0.8  

Electrical Equipment

     0.7  

Capital Markets

     0.7  

Technology Hardware, Storage & Peripherals

     0.4  

Energy Equipment & Services

     0.4

Beverages

     0.3  
  

 

 

 
     110.4  

Liabilities in excess of other assets

     (10.4
  

 

 

 
     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

   $ 491,162,081      $ (491,162,081   $   —  
  

 

 

      

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A71


 
   EQUITY PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

 

ASSETS  

Investments at value, including securities on loan of $491,162,081:

 

Unaffiliated investments (cost $2,742,473,501)

  $ 4,313,208,999  

Affiliated investments (cost $636,615,788)

    636,730,814  

Cash

    5,277  

Foreign currency, at value (cost $151)

    151  

Receivable for investments sold

    34,295,587  

Dividends receivable

    2,754,176  

Tax reclaim receivable

    1,139,026  

Receivable for Portfolio shares sold

    4,075  

Prepaid expenses and other assets

    12,649  
 

 

 

 

Total Assets

    4,988,150,754  
 

 

 

 
LIABILITIES  

Payable to broker for collateral for securities on loan

    493,345,582  

Payable for investments purchased

    8,100,774  

Management fee payable.

    1,625,716  

Accrued expenses and other liabilities

    1,248,091  

Payable to affiliate

    676,225  

Payable for Portfolio shares repurchased

    647,511  

Affiliated transfer agent fee payable

    980  

Distribution fee payable

    332  

Administration fee payable.

    290  
 

 

 

 

Total Liabilities

    505,645,501  
 

 

 

 
NET ASSETS   $ 4,482,505,253  
 

 

 

 

Net assets were comprised of:

 

Partners Equity

  $ 4,482,505,253  
 

 

 

 
Class I:  

Net asset value and redemption price per share, $4,480,862,566 / 77,193,590 outstanding shares of beneficial interest

  $ 58.05  
 

 

 

 
Class II:  

Net asset value and redemption price per share, $1,642,687 / 28,737 outstanding shares of beneficial interest

  $ 57.16  
 

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Unaffiliated dividend income (net of $623,556 foreign withholding tax, of which $13,151 is reimbursable by an affiliate)

  $ 35,961,839  

Affiliated dividend income

    1,591,793  

Income from securities lending, net (including affiliated income of $339,943)

    649,911  
 

 

 

 

Total income

    38,203,543  
 

 

 

 
EXPENSES  

Management fee

    9,703,837  

Distribution fee—Class II

    1,982  

Administration fee—Class II

    1,189  

Shareholders’ reports

    168,410  

Custodian and accounting fees

    149,871  

Trustees’ fees

    28,305  

Audit fee

    13,321  

Legal fees and expenses

    12,365  

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

    5,297  

Miscellaneous

    42,674  
 

 

 

 

Total expenses

    10,127,251  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     28,076,292  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $3,295)

    138,938,639  

Foreign currency transactions

    (90,342
 

 

 

 
    138,848,297  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $112,886)

    547,493,754  

Foreign currencies

    61,812  
 

 

 

 
    547,555,566  
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     686,403,863  
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 714,480,155  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 28,076,292     $ 43,908,728  

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

     138,848,297       267,278,639  

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

     547,555,566       (497,934,768
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     714,480,155       (186,747,401
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold

     3,364,953       16,251,411  

Portfolio shares repurchased

     (156,405,371     (329,183,650
  

 

 

   

 

 

 

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

     (153,040,418     (312,932,239
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      3       3,505,159  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      561,439,740       (496,174,481
NET ASSETS:     

Beginning of period

     3,921,065,513       4,417,239,994  
  

 

 

   

 

 

 

End of period

   $ 4,482,505,253     $ 3,921,065,513  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A72


 
   FLEXIBLE MANAGED PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

LONG-TERM INVESTMENTS — 95.5%  
COMMON STOCKS — 60.3%    Shares      Value  

Aerospace & Defense — 2.1%

 

Airbus SE (France)

     1,932      $ 274,141  

Arconic, Inc.

     647,900        16,728,778  

General Dynamics Corp.

     99,200        18,036,544  

Lockheed Martin Corp.

     59,400        21,594,276  

MTU Aero Engines AG (Germany)

     1,152        274,869  

Spirit AeroSystems Holdings, Inc. (Class A Stock)

     71,300        5,801,681  

United Technologies Corp.

     178,700        23,266,740  
     

 

 

 
        85,977,029  
     

 

 

 

Air Freight & Logistics — 0.0%

 

Hub Group, Inc. (Class A Stock)*

     43,000        1,805,140  

SG Holdings Co. Ltd. (Japan)

     400        11,344  
     

 

 

 
        1,816,484  
     

 

 

 

Airlines — 0.1%

 

ANA Holdings, Inc. (Japan)

     300        9,945  

Japan Airlines Co. Ltd. (Japan)

     300        9,586  

Singapore Airlines Ltd. (Singapore)

     1,400        9,599  

Southwest Airlines Co.

     56,400        2,863,992  
     

 

 

 
        2,893,122  
     

 

 

 

Auto Components — 0.0%

 

Bridgestone Corp. (Japan)

     1,600        63,108  

Cie Generale des Etablissements Michelin SCA (France)

     2,187        277,075  

Toyota Industries Corp. (Japan)

     400        22,098  
     

 

 

 
        362,281  
     

 

 

 

Automobiles — 0.7%

 

Ferrari NV (Italy)

     347        56,266  

Fiat Chrysler Automobiles NV (United Kingdom)

     4,355        60,641  

Ford Motor Co.

     1,648,300        16,862,109  

General Motors Co.(a)

     315,600        12,160,068  

Honda Motor Co. Ltd. (Japan)

     4,200        108,754  

Isuzu Motors Ltd. (Japan)

     1,400        15,958  

Mazda Motor Corp. (Japan)

     1,500        15,668  

Peugeot SA (France)

     10,934        269,469  

Toyota Motor Corp. (Japan)

     2,400        149,279  

Volkswagen AG (Germany)

     91        15,648  
     

 

 

 
        29,713,860  
     

 

 

 

Banks — 3.2%

 

Australia & New Zealand Banking Group Ltd. (Australia)

     1,440        28,537  

Banco Bilbao Vizcaya Argentaria SA (Spain)

     55,345        309,159  

Bank Leumi Le-Israel BM (Israel)

     3,845        27,752  

Bank of America Corp.

     1,532,750        44,449,750  

Barclays PLC (United Kingdom)

     144,928        276,146  

BNP Paribas SA (France)

     2,805        133,260  

BOC Hong Kong Holdings Ltd. (China)

     61,000        239,904  

Citigroup, Inc.

     466,550        32,672,496  

Citizens Financial Group, Inc.

     55,700        1,969,552  

Commerzbank AG (Germany)

     2,585        18,613  

Commonwealth Bank of Australia (Australia)

     692        40,228  
COMMON STOCKS
(continued)
   Shares      Value  

Banks (continued)

 

Credit Agricole SA (France)

     3,038      $ 36,409  

DBS Group Holdings Ltd. (Singapore)

     12,300        235,966  

DNB ASA (Norway)

     14,147        263,440  

Erste Group Bank AG (Austria)*

     1,366        50,718  

Hang Seng Bank Ltd. (Hong Kong)

     1,900        47,180  

HSBC Holdings PLC (United Kingdom)

     24,735        206,465  

Intesa Sanpaolo SpA (Italy)

     38,238        81,814  

Israel Discount Bank Ltd. (Israel) (Class A Stock)

     4,449        18,170  

JPMorgan Chase & Co.

     160,294        17,920,869  

KBC Group NV (Belgium)

     631        41,418  

Lloyds Banking Group PLC (United Kingdom)

     182,654        131,510  

Mitsubishi UFJ Financial Group, Inc. (Japan)

     73,200        348,279  

Raiffeisen Bank International AG (Austria)

     7,379        173,311  

Resona Holdings, Inc. (Japan)

     5,400        22,522  

Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)

     22,746        210,301  

Societe Generale SA (France)

     2,663        67,292  

Sumitomo Mitsui Financial Group, Inc. (Japan)

     3,400        120,236  

Sumitomo Mitsui Trust Holdings, Inc. (Japan)

     3,200        116,259  

United Overseas Bank Ltd. (Singapore)

     3,500        67,555  

Wells Fargo & Co.

     729,500        34,519,940  
     

 

 

 
        134,845,051  
     

 

 

 

Beverages — 1.5%

     

Asahi Group Holdings Ltd. (Japan)

     3,400        153,132  

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

     345        45,696  

Coca-Cola Co. (The)

     89,700        4,567,524  

Coca-Cola European Partners PLC (United Kingdom)

     5,200        293,800  

Diageo PLC (United Kingdom)

     497        21,403  

Keurig Dr. Pepper, Inc.(a)

     407,600        11,779,640  

Monster Beverage Corp.*

     230,200        14,693,666  

National Beverage Corp.(a)

     22,600        1,008,638  

PepsiCo, Inc.

     243,020        31,867,212  

Treasury Wine Estates Ltd. (Australia)

     1,817        19,073  
     

 

 

 
        64,449,784  
     

 

 

 

Biotechnology — 1.8%

     

AbbVie, Inc.

     170,900        12,427,848  

Alexion Pharmaceuticals, Inc.*

     120,100        15,730,698  

Amgen, Inc.

     19,108        3,521,222  

Biogen, Inc.*

     57,800        13,517,686  

Gilead Sciences, Inc.

     328,350        22,183,326  

Vertex Pharmaceuticals, Inc.*

     32,000        5,868,160  
     

 

 

 
        73,248,940  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A73


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Building Products — 0.5%

     

Geberit AG (Switzerland)

     95      $ 44,347  

Johnson Controls International PLC

     412,000        17,019,720  

Kingspan Group PLC (Ireland)

     855        46,421  

Universal Forest Products, Inc.

     73,600        2,801,216  
     

 

 

 
        19,911,704  
     

 

 

 

Capital Markets — 1.6%

     

3i Group PLC (United Kingdom)

     20,112        284,502  

Affiliated Managers Group, Inc.

     71,300        6,569,582  

Ameriprise Financial, Inc.

     84,950        12,331,342  

ASX Ltd. (Australia)

     1,197        69,233  

Goldman Sachs Group, Inc. (The)

     98,900        20,234,940  

Hong Kong Exchanges & Clearing Ltd. (Hong Kong)

     4,100        145,007  

Invesco Ltd.

     119,500        2,444,970  

LPL Financial Holdings, Inc.

     35,100        2,863,107  

Macquarie Group Ltd. (Australia)

     837        73,668  

Morgan Stanley

     436,050        19,103,350  

Raymond James Financial, Inc.

     25,500        2,156,025  

Singapore Exchange Ltd. (Singapore)

     2,000        11,716  
     

 

 

 
        66,287,442  
     

 

 

 

Chemicals — 1.1%

     

Air Liquide SA (France)

     161        22,537  

Air Products & Chemicals, Inc.

     14,100        3,191,817  

Arkema SA (France)

     1,747        162,654  

Covestro AG (Germany), 144A

     500        25,442  

DuPont de Nemours, Inc.

     238,600        17,911,702  

Evonik Industries AG (Germany)

     408        11,911  

Huntsman Corp.

     245,800        5,024,152  

Israel Chemicals Ltd. (Israel)

     33,296        174,548  

LANXESS AG (Germany)

     225        13,400  

LyondellBasell Industries NV (Class A Stock)

     170,400        14,676,552  

Mitsubishi Chemical Holdings Corp. (Japan)

     3,300        23,104  

Mitsubishi Gas Chemical Co., Inc. (Japan)

     900        12,034  

Mitsui Chemicals, Inc. (Japan)

     500        12,415  

Orica Ltd. (Australia)

     964        13,710  

Shin-Etsu Chemical Co. Ltd. (Japan)

     3,400        317,558  

Showa Denko KK (Japan)

     1,300        38,474  

Solvay SA (Belgium)

     185        19,212  

Teijin Ltd. (Japan)

     700        11,951  

Trinseo SA

     98,400        4,166,256  
     

 

 

 
        45,829,429  
     

 

 

 

Commercial Services & Supplies — 0.0%

 

  

Securitas AB (Sweden) (Class B Stock).

     804        14,098  

UniFirst Corp.

     6,100        1,150,277  
     

 

 

 
        1,164,375  
     

 

 

 

Communications Equipment — 1.0%

 

Acacia Communications, Inc.*

     29,500        1,391,220  

Cisco Systems, Inc.

     768,700        42,070,951  
COMMON STOCKS
(continued)
   Shares      Value  

Communications Equipment (continued)

 

Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)

     7,954      $ 75,563  
     

 

 

 
        43,537,734  
     

 

 

 

Construction & Engineering — 0.3%

 

ACS Actividades de Construccion y Servicios SA (Spain)

     3,847        153,625  

CIMIC Group Ltd. (Australia)

     249        7,827  

Eiffage SA (France)

     200        19,764  

EMCOR Group, Inc.

     75,900        6,686,790  

Kajima Corp. (Japan)

     1,200        16,509  

Obayashi Corp. (Japan)

     23,800        234,919  

Quanta Services, Inc.(a)

     94,400        3,605,136  

Shimizu Corp. (Japan)

     11,700        97,297  

Taisei Corp. (Japan)

     600        21,839  

Vinci SA (France)

     1,290        132,142  
     

 

 

 
        10,975,848  
     

 

 

 

Construction Materials — 0.3%

     

CRH PLC (Ireland)

     2,109        68,976  

HeidelbergCement AG (Germany)

     1,513        122,603  

Taiheiyo Cement Corp. (Japan)

     300        9,092  

Vulcan Materials Co.

     77,600        10,655,256  
     

 

 

 
        10,855,927  
     

 

 

 

Consumer Finance — 0.7%

     

Capital One Financial Corp.

     204,800        18,583,552  

Navient Corp.

     174,350        2,379,877  

OneMain Holdings, Inc.

     150,400        5,085,024  

Synchrony Financial

     52,400        1,816,708  
     

 

 

 
        27,865,161  
     

 

 

 

Containers & Packaging — 0.0%

     

Greif, Inc. (Class A Stock)

     20,850        678,667  
     

 

 

 

Distributors — 0.4%

     

Genuine Parts Co.

     137,100        14,200,818  

LKQ Corp.*

     51,400        1,367,754  
     

 

 

 
        15,568,572  
     

 

 

 

Diversified Consumer Services — 0.1%

 

  

frontdoor, Inc.*

     90,500        3,941,275  
     

 

 

 

Diversified Financial Services — 0.7%

 

  

Berkshire Hathaway, Inc. (Class B Stock)*

     118,550        25,271,303  

Jefferies Financial Group, Inc.

     112,200        2,157,606  

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

     43,800        232,828  

ORIX Corp. (Japan)

     13,900        207,645  
     

 

 

 
        27,869,382  
     

 

 

 

Diversified Telecommunication Services — 1.6%

 

AT&T, Inc.

     923,900        30,959,889  

Deutsche Telekom AG (Germany)

     22,027        381,137  

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

     10,000        15,872  

Nippon Telegraph & Telephone Corp. (Japan)

     6,800        317,032  

Swisscom AG (Switzerland)

     66        33,153  

Telecom Italia SpA (Italy), RSP

     18,981        9,850  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A74


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Diversified Telecommunication Services (continued)

 

Telefonica SA (Spain)

     12,051      $ 98,986  

Telenor ASA (Norway)

     1,900        40,322  

Telstra Corp. Ltd. (Australia)

     78,985        213,397  

Verizon Communications, Inc.

     638,688        36,488,245  
     

 

 

 
        68,557,883  
     

 

 

 

Electric Utilities — 0.7%

     

Chubu Electric Power Co., Inc. (Japan)

     7,300        102,496  

Enel SpA (Italy)

     58,884        411,229  

Eversource Energy(a)

     5,400        409,104  

Exelon Corp.

     409,600        19,636,224  

Iberdrola SA (Spain)

     15,738        156,848  

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

     12,500        143,348  

Portland General Electric Co.

     22,700        1,229,659  

Southern Co. (The)

     158,200        8,745,296  
     

 

 

 
        30,834,204  
     

 

 

 

Electrical Equipment — 0.1%

     

Atkore International Group, Inc.*

     84,850        2,195,069  

Hubbell, Inc.

     17,900        2,334,160  

Legrand SA (France)

     656        47,982  

Schneider Electric SE (France)

     1,403        127,275  

Siemens Gamesa Renewable Energy SA (Spain)

     613        10,198  
     

 

 

 
        4,714,684  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.3%

 

Anixter International, Inc.*

     19,700        1,176,287  

Avnet, Inc.

     27,100        1,226,817  

CDW Corp.

     78,700        8,735,700  

Halma PLC (United Kingdom)

     3,438        88,341  

Hexagon AB (Sweden) (Class B Stock)

     661        36,740  

Hitachi Ltd. (Japan)

     3,000        110,123  

Ingenico Group SA (France)

     155        13,718  

Keysight Technologies, Inc.*

     14,700        1,320,207  

Kyocera Corp. (Japan)

     800        52,405  

SYNNEX Corp

     12,100        1,190,640  

Venture Corp. Ltd. (Singapore)

     700        8,433  
     

 

 

 
        13,959,411  
     

 

 

 

Energy Equipment & Services — 0.1%

 

Archrock, Inc.

     192,250        2,037,850  

DMC Global, Inc.

     26,100        1,653,435  
     

 

 

 
        3,691,285  
     

 

 

 

Entertainment — 0.7%

     

Nexon Co. Ltd. (Japan)*

     1,100        15,982  

Viacom, Inc. (Class B Stock)

     483,950        14,455,587  

Vivendi SA (France)

     2,689        73,978  

Walt Disney Co. (The)

     116,700        16,295,988  
     

 

 

 
        30,841,535  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 1.3%

 

American Tower Corp.

     112,200        22,939,290  

Apartment Investment & Management Co. (Class A Stock)

     29,400        1,473,528  
COMMON STOCKS
(continued)
   Shares      Value  

Equity Real Estate Investment Trusts (REITs) (continued)

 

Apple Hospitality REIT, Inc.

     196,550      $ 3,117,283  

Brandywine Realty Trust

     97,600        1,397,632  

CoreCivic, Inc.

     153,150        3,179,394  

Dexus (Australia)

     2,513        22,932  

DiamondRock Hospitality Co.

     142,850        1,477,069  

Franklin Street Properties Corp.

     76,350        563,463  

GEO Group, Inc. (The)

     246,250        5,173,713  

Goodman Group (Australia)

     29,865        315,372  

Host Hotels & Resorts, Inc.(a)

     466,650        8,502,363  

Land Securities Group PLC (United Kingdom)

     22,353     

 

236,652

 

Mirvac Group (Australia)

     9,114        20,026  

Nippon Building Fund, Inc. (Japan)

     3        20,548  

RLJ Lodging Trust

     97,500        1,729,650  

Ryman Hospitality Properties, Inc.

     56,400        4,573,476  

Spirit MTA

     10,470        87,320  

Vicinity Centres (Australia)

     8,335        14,349  
     

 

 

 
        54,844,060  
     

 

 

 

Food & Staples Retailing — 0.5%

     

Colruyt SA (Belgium)

     151        8,749  

ICA Gruppen AB (Sweden)

     231        9,923  

J Sainsbury PLC (United Kingdom)

     91,552        227,768  

Koninklijke Ahold Delhaize NV (Netherlands)

     10,810     

 

242,977

 

Kroger Co. (The)

     31,000        673,010  

Seven & i Holdings Co. Ltd. (Japan)

     1,900        64,349  

Sysco Corp.

     16,800        1,188,096  

Tesco PLC (United Kingdom)

     25,203        72,530  

Walgreens Boots Alliance, Inc.(a)

     256,900        14,044,723  

Walmart, Inc.

     27,300        3,016,377  

Wm Morrison Supermarkets PLC (United Kingdom)

     40,505     

 

103,600

 

Woolworths Group Ltd. (Australia)

     789        18,396  
     

 

 

 
        19,670,498  
     

 

 

 

Food Products — 1.2%

     

Archer-Daniels-Midland Co.

     351,250        14,331,000  

Associated British Foods PLC (United Kingdom)

     919     

 

28,768

 

Bunge Ltd.

     15,100        841,221  

J.M. Smucker Co. (The)(a)

     77,950        8,979,061  

Mondelez International, Inc.
(Class A Stock)

     26,600     

 

1,433,740

 

Nestle SA (Switzerland)

     8,991        930,665  

Pilgrim’s Pride Corp.*

     193,900        4,923,121  

Tate & Lyle PLC (United Kingdom)

     25,021        234,724  

Toyo Suisan Kaisha Ltd. (Japan)

     2,100        86,566  

Tyson Foods, Inc. (Class A Stock)

     210,500        16,995,770  

WH Group Ltd. (Hong Kong), 144A

     21,500        21,849  

Wilmar International Ltd. (Singapore)

     91,500        250,169  
     

 

 

 
        49,056,654  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A75


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Gas Utilities — 0.3%

     

Tokyo Gas Co. Ltd. (Japan)

     1,000      $ 23,562  

UGI Corp.

     214,700        11,467,127  
     

 

 

 
        11,490,689  
     

 

 

 

Health Care Equipment & Supplies — 2.5%

 

  

Abbott Laboratories

     278,400        23,413,440  

Alcon, Inc. (Switzerland)*

     1,094        67,740  

Baxter International, Inc.

     148,250        12,141,675  

Becton, Dickinson & Co.

     7,400        1,864,874  

Cooper Cos., Inc. (The)

     24,700        8,321,183  

Danaher Corp.

     40,850        5,838,282  

Hologic, Inc.*

     57,600        2,765,952  

Hoya Corp. (Japan)

     3,900        299,798  

Integer Holdings Corp.*

     40,100        3,365,192  

Masimo Corp.*

     26,600        3,958,612  

Medtronic PLC.

     283,200        27,580,848  

Smith & Nephew PLC (United Kingdom)

     5,867        127,053  

Sonova Holding AG (Switzerland)

     143        32,522  

Stryker Corp.

     10,800        2,220,264  

Zimmer Biomet Holdings, Inc.

     97,400        11,467,876  
     

 

 

 
        103,465,311  
     

 

 

 

Health Care Providers & Services — 1.4%

 

Alfresa Holdings Corp. (Japan)

     7,100        175,635  

Anthem, Inc.

     11,200        3,160,752  

Cigna Corp.

     47,400        7,467,870  

CVS Health Corp.

     43,650        2,378,489  

Fresenius Medical Care AG & Co. KGaA (Germany)

     548        43,098  

Fresenius SE & Co. KGaA (Germany)

     1,074        58,294  

HCA Healthcare, Inc.

     121,950        16,483,981  

Medipal Holdings Corp. (Japan)

     11,300        249,766  

Ramsay Health Care Ltd. (Australia)

     366        18,561  

Suzuken Co. Ltd. (Japan)

     200        11,752  

UnitedHealth Group, Inc.

     119,000        29,037,190  
     

 

 

 
        59,085,388  
     

 

 

 

Hotels, Restaurants & Leisure — 1.3%

 

Aristocrat Leisure Ltd. (Australia)

     1,467        31,620  

Bloomin’ Brands, Inc.

     246,450        4,660,370  

Compass Group PLC (United Kingdom)

     7,625        182,826  

Darden Restaurants, Inc.(a)

     75,700        9,214,961  

Flutter Entertainment PLC (Ireland)

     249        18,749  

Hilton Grand Vacations, Inc.*

     158,900        5,056,198  

Hilton Worldwide Holdings, Inc.

     92,800        9,070,272  

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

     200        8,821  

Oriental Land Co. Ltd. (Japan)

     500        62,016  

Royal Caribbean Cruises Ltd.

     21,300        2,581,773  

Sands China Ltd. (Macau)

     6,400        30,628  

Sodexo SA (France)

     231        26,991  

Starbucks Corp.

     284,700        23,866,401  

TUI AG (Germany)

     1,434        14,093  
     

 

 

 
        54,825,719  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Household Durables — 0.0%

 

Barratt Developments PLC (United Kingdom)

     2,562      $ 18,629  

Berkeley Group Holdings PLC (United Kingdom)

     5,291        250,780  

Persimmon PLC (United Kingdom)

     764        19,392  

Sekisui House Ltd. (Japan)

     1,600        26,427  

Sony Corp. (Japan)

     3,200        167,573  
     

 

 

 
        482,801  
     

 

 

 

Household Products — 0.6%

 

Essity AB (Sweden) (Class B Stock)

     1,539        47,281  

Henkel AG & Co. KGaA (Germany)

     321        29,486  

Procter & Gamble Co. (The)

     243,705        26,722,253  
     

 

 

 
        26,799,020  
     

 

 

 

Independent Power & Renewable Electricity Producers — 0.5%

 

AES Corp.

     491,900        8,244,244  

NRG Energy, Inc.

     293,950        10,323,524  

Vistra Energy Corp.

     36,400        824,096  
     

 

 

 
        19,391,864  
     

 

 

 

Industrial Conglomerates — 0.7%

 

Carlisle Cos., Inc.

     43,200        6,065,712  

CK Hutchison Holdings Ltd. (Hong Kong)

     13,000        127,992  

General Electric Co.

     2,318,900        24,348,450  
     

 

 

 
        30,542,154  
     

 

 

 

Insurance — 1.5%

 

Aflac, Inc.

     56,900        3,118,689  

Ageas (Belgium)

     468        24,328  

AIA Group Ltd. (Hong Kong)

     30,800        333,040  

Allianz SE (Germany)

     2,059        496,583  

Allstate Corp. (The)

     119,500        12,151,955  

American International Group, Inc.

     319,200        17,006,976  

Aviva PLC (United Kingdom)

     9,953        52,680  

Baloise Holding AG (Switzerland)

     76        13,453  

CNP Assurances (France)

     441        10,011  

Insurance Australia Group Ltd. (Australia)

     5,970        34,604  

Japan Post Holdings Co. Ltd. (Japan)

     12,300        139,328  

Legal & General Group PLC (United Kingdom)

     85,675        293,543  

Loews Corp.

     23,100        1,262,877  

Medibank Private Ltd. (Australia)

     6,910        16,920  

MetLife, Inc.

     402,300        19,982,241  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)

     381        95,650  

NN Group NV (Netherlands)

     5,590        224,937  

Poste Italiane SpA (Italy), 144A

     1,329        13,992  

Progressive Corp. (The)

     30,100        2,405,893  

QBE Insurance Group Ltd. (Australia)

     3,390        28,125  

Swiss Life Holding AG (Switzerland)

     72        35,721  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A76


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Insurance (continued)

     

Tokio Marine Holdings, Inc. (Japan)

     1,700      $ 85,284  

UnipolSai Assicurazioni SpA
(Italy)(a)

     81,747        209,982  

Unum Group

     173,100        5,807,505  

Zurich Insurance Group AG (Switzerland)

     654        227,324  
     

 

 

 
        64,071,641  
     

 

 

 

Interactive Media & Services — 3.0%

 

Alphabet, Inc. (Class A Stock)*

     24,650        26,691,020  

Alphabet, Inc. (Class C Stock)*

     32,332        34,947,982  

Auto Trader Group PLC (United Kingdom), 144A

     32,447        225,842  

Facebook, Inc. (Class A Stock)*

     320,250        61,808,250  

IAC/InterActiveCorp*

     5,300        1,152,909  

TripAdvisor, Inc.*(a)

     39,000        1,805,310  
     

 

 

 
        126,631,313  
     

 

 

 

Internet & Direct Marketing Retail — 1.9%

 

Amazon.com, Inc.*

     27,700        52,453,551  

Booking Holdings, Inc.*

     2,850        5,342,924  

eBay, Inc.

     433,800        17,135,100  

Qurate Retail, Inc.*

     454,500        5,631,255  

Rakuten, Inc. (Japan)

     11,200        133,613  
     

 

 

 
        80,696,443  
     

 

 

 

IT Services — 3.0%

     

Accenture PLC (Class A Stock)

     121,750        22,495,747  

Adyen NV (Netherlands), 144A*

     217        167,636  

Capgemini SE (France)

     248        30,818  

DXC Technology Co.

     262,700        14,487,905  

Fidelity National Information Services, Inc.

     103,700        12,721,916  

International Business Machines Corp.

     182,500        25,166,750  

Leidos Holdings, Inc.

     39,900        3,186,015  

Mastercard, Inc. (Class A Stock)

     14,600        3,862,138  

Obic Co. Ltd. (Japan)

     800        90,846  

Otsuka Corp. (Japan)

     300        12,077  

Visa, Inc. (Class A Stock)

     251,900        43,717,245  

Wirecard AG (Germany)

     1,549        262,410  
     

 

 

 
        126,201,503  
     

 

 

 

Leisure Products — 0.0%

     

Bandai Namco Holdings, Inc. (Japan)

     500        24,302  
     

 

 

 

Life Sciences Tools & Services — 1.0%

 

Charles River Laboratories International, Inc.*

     6,400        908,160  

IQVIA Holdings, Inc.*

     50,500        8,125,450  

PRA Health Sciences, Inc.*

     64,500        6,395,175  

QIAGEN NV.

     620        25,169  

Sartorius Stedim Biotech (France)

     73        11,522  

Thermo Fisher Scientific, Inc.

     82,700        24,287,336  
     

 

 

 
        39,752,812  
     

 

 

 

Machinery — 0.6%

     

Alfa Laval AB (Sweden)

     744        16,237  

Alstom SA (France)

     393        18,233  
COMMON STOCKS
(continued)
   Shares      Value  

Machinery (continued)

     

Amada Holdings Co. Ltd. (Japan)

     900      $ 10,159  

Atlas Copco AB (Sweden) (Class A Stock)

     1,723        55,056  

Atlas Copco AB (Sweden) (Class B Stock)

     1,001        28,736  

CNH Industrial NV (United Kingdom)

     2,556        26,216  

Cummins, Inc.

     3,100        531,154  

Daifuku Co. Ltd. (Japan)

     300        16,931  

Dover Corp.

     47,700        4,779,540  

Epiroc AB (Sweden) (Class B Stock)

     997        9,873  

Meritor, Inc.*

     48,300        1,171,275  

Metso OYJ (Finland)

     272        10,697  

Mitsubishi Heavy Industries Ltd. (Japan)

     4,300        187,572  

Oshkosh Corp.

     110,900        9,259,041  

PACCAR, Inc.

     33,150        2,375,529  

Sandvik AB (Sweden)

     17,836        327,256  

Schindler Holding AG (Switzerland)

     64        13,989  

SKF AB (Sweden) (Class B Stock)

     971        17,854  

Terex Corp.

     37,000        1,161,800  

Timken Co. (The)

     43,700        2,243,558  

Volvo AB (Sweden) (Class B Stock)

     20,027        317,803  

Yangzijiang Shipbuilding Holdings Ltd. (China)

     239,100        270,752  
     

 

 

 
        22,849,261  
     

 

 

 

Marine — 0.0%

     

AP Moller-Maersk A/S (Denmark) (Class A Stock)

     10        11,616  
     

 

 

 

Media — 0.7%

     

Comcast Corp. (Class A Stock)

     402,296        17,009,075  

Discovery, Inc. (Class C Stock)*

     426,200        12,125,390  

Hakuhodo DY Holdings, Inc. (Japan)

     700        11,823  

I-CABLE Communications Ltd. (Hong Kong)*

     3,065        39  

Pearson PLC (United Kingdom)

     2,002        20,828  

Publicis Groupe SA (France)

     532        28,105  

RTL Group SA (Luxembourg)

     111        5,681  
     

 

 

 
        29,200,941  
     

 

 

 

Metals & Mining — 0.2%

     

Alumina Ltd. (Australia)

     6,301        10,337  

Anglo American PLC (South Africa)

     12,353        352,773  

ArcelorMittal (Luxembourg)

     11,425        205,052  

BHP Group Ltd. (Australia)

     7,552        218,321  

BHP Group PLC (Australia)

     6,112        156,414  

BlueScope Steel Ltd. (Australia)

     1,368        11,589  

Boliden AB (Sweden)

     674        17,268  

Fortescue Metals Group Ltd. (Australia).

     12,188        77,291  

JFE Holdings, Inc. (Japan)

     1,300        19,175  

Newcrest Mining Ltd. (Australia)

     1,980        44,548  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A77


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Metals & Mining (continued)

     

Nippon Steel Corp. (Japan)

     1,900      $ 32,735  

Rio Tinto Ltd. (Australia)

     1,018        74,282  

Rio Tinto PLC (Australia)

     3,777        233,997  

South32 Ltd. (Australia)

     16,028        35,756  

Steel Dynamics, Inc.

     258,850        7,817,270  
     

 

 

 
        9,306,808  
     

 

 

 

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

 

Ladder Capital Corp.

     117,895        1,958,236  

Two Harbors Investment Corp.

     222,500        2,819,075  
     

 

 

 
        4,777,311  
     

 

 

 

Multiline Retail — 0.2%

     

Harvey Norman Holdings Ltd. (Australia)

     4,320        12,365  

Macy’s, Inc.(a)

     434,150        9,316,859  

Next PLC (United Kingdom)

     360        25,266  

Wesfarmers Ltd. (Australia)

     2,737        69,487  
     

 

 

 
        9,423,977  
     

 

 

 

Multi-Utilities — 0.5%

     

AGL Energy Ltd. (Australia)

     17,131        240,607  

Dominion Energy, Inc.

     259,400        20,056,808  

E.ON SE (Germany)

     13,046        141,580  

Engie SA (France)

     4,650        70,472  

National Grid PLC (United Kingdom)

     8,748        92,830  
     

 

 

 
        20,602,297  
     

 

 

 

Oil, Gas & Consumable Fuels — 2.5%

 

BP PLC (United Kingdom)

     20,879        145,690  

Chevron Corp.

     318,300        39,609,252  

ConocoPhillips

     159,200        9,711,200  

Eni SpA (Italy)

     6,450        107,372  

Exxon Mobil Corp.

     101,166        7,752,351  

HollyFrontier Corp.

     97,800        4,526,184  

Kinder Morgan, Inc.

     911,000        19,021,680  

Marathon Oil Corp.

     117,500        1,669,675  

Neste OYJ (Finland)

     8,517        289,815  

OMV AG (Austria)

     707        34,506  

Phillips 66

     169,100        15,817,614  

Repsol SA (Spain)

     9,751        153,067  

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

     11,436        373,680  

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

     9,514        311,737  

Santos Ltd. (Australia)

     46,595        232,253  

Snam SpA (Italy)

     8,925        44,348  

TOTAL SA (France)

     2,172        121,682  

Woodside Petroleum Ltd. (Australia)

     6,381        163,148  

World Fuel Services Corp.

     84,200        3,027,832  
     

 

 

 
        103,113,086  
     

 

 

 

Paper & Forest Products — 0.0%

     

Oji Holdings Corp. (Japan)

     40,000        231,735  
     

 

 

 

Personal Products — 0.0%

     

Avon Products, Inc.
(United Kingdom)* .

     28,200        109,416  

L’Oreal SA (France)

     698        198,756  
COMMON STOCKS
(continued)
   Shares      Value  

Personal Products (continued)

 

Unilever NV (United Kingdom), CVA

     6,527      $ 397,374  

Unilever PLC (United Kingdom)

     3,035        188,591  

USANA Health Sciences, Inc.*

     5,000        397,150  
     

 

 

 
        1,291,287  
     

 

 

 

Pharmaceuticals — 2.4%

     

Allergan PLC

     72,900        12,205,647  

Astellas Pharma, Inc. (Japan)

     5,100        72,764  

AstraZeneca PLC (United Kingdom)

     426        34,808  

Bayer AG (Germany)

     1,251        86,512  

Bristol-Myers Squibb Co.

     72,100        3,269,735  

Chugai Pharmaceutical Co. Ltd. (Japan)

     600        39,239  

Eisai Co. Ltd. (Japan)

     600        33,983  

Eli Lilly & Co.

     43,200        4,786,128  

GlaxoSmithKline PLC
(United Kingdom)

     3,194        63,944  

H. Lundbeck A/S (Denmark)

     3,311        130,706  

Jazz Pharmaceuticals PLC*

     9,800        1,397,088  

Johnson & Johnson

     240,848        33,545,310  

Kyowa Kirin Co. Ltd. (Japan)

     700        12,626  

Merck & Co., Inc.

     430,000        36,055,500  

Merck KGaA (Germany)

     340        35,547  

Novartis AG (Switzerland)

     7,867        718,043  

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

     4,553        232,282  

Ono Pharmaceutical Co. Ltd. (Japan)

     900        16,155  

Pfizer, Inc.

     139,300        6,034,476  

Recordati SpA (Italy)

     932        38,855  

Roche Holding AG (Switzerland)

     2,747        773,461  

Sanofi (France)

     5,005        432,551  

Shionogi & Co. Ltd. (Japan)

     4,600        265,432  

UCB SA (Belgium)

     396        32,838  
     

 

 

 
        100,313,630  
     

 

 

 

Professional Services — 0.1%

     

Intertek Group PLC (United Kingdom)

     418        29,211  

Korn Ferry

     94,200        3,774,594  

Recruit Holdings Co. Ltd. (Japan)

     3,200        107,164  

RELX PLC (United Kingdom)

     5,026        122,049  

Wolters Kluwer NV (Netherlands)

     3,397        247,341  
     

 

 

 
        4,280,359  
     

 

 

 

Real Estate Management & Development — 0.3%

 

CBRE Group, Inc. (Class A Stock)*

     200,750        10,298,475  

CK Asset Holdings Ltd. (Hong Kong)

     6,500        50,806  

Daiwa House Industry Co. Ltd. (Japan)

     1,500        43,786  

Henderson Land Development Co. Ltd. (Hong Kong)

     3,740        20,620  

Hongkong Land Holdings Ltd.
(Hong Kong)

     35,200        226,804  

Mitsubishi Estate Co. Ltd. (Japan)

     3,000        55,951  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A78


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Real Estate Management & Development (continued)

 

Sumitomo Realty & Development Co. Ltd. (Japan)

     900      $ 32,180  

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

     21,000        258,707  

Swire Properties Ltd. (Hong Kong)

     3,000        12,117  

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

     3,000        21,145  

Wheelock & Co. Ltd. (Hong Kong)

     2,000        14,367  
     

 

 

 
        11,034,958  
     

 

 

 

Road & Rail — 0.7%

     

Aurizon Holdings Ltd. (Australia)

     5,022        19,053  

Central Japan Railway Co. (Japan)

     400        80,183  

CSX Corp.

     146,250        11,315,362  

East Japan Railway Co. (Japan)

     800        74,966  

Nippon Express Co. Ltd. (Japan)

     200        10,658  

Norfolk Southern Corp.

     55,850        11,132,581  

Union Pacific Corp.

     26,700        4,515,237  

West Japan Railway Co. (Japan)

     400        32,387  
     

 

 

 
        27,180,427  
     

 

 

 

Semiconductors & Semiconductor Equipment — 1.8%

 

Advantest Corp. (Japan)

     500        13,808  

Analog Devices, Inc.

     150,800        17,020,796  

Broadcom, Inc.(a)

     4,700        1,352,942  

Intel Corp.

     646,450        30,945,562  

Lam Research Corp.

     7,200        1,352,448  

NXP Semiconductors NV (Netherlands).

     700        68,327  

QUALCOMM, Inc.

     296,100        22,524,327  

STMicroelectronics NV (Switzerland)

     2,025        35,954  

SUMCO Corp. (Japan)

     600        7,174  

Tokyo Electron Ltd. (Japan)

     700        98,481  
     

 

 

 
        73,419,819  
     

 

 

 

Software — 4.5%

 

Adobe, Inc.*

     46,150        13,598,098  

ANSYS, Inc.*

     6,100        1,249,402  

Check Point Software Technologies Ltd. (Israel)*(a)

     300        34,683  

CyberArk Software Ltd. (Israel)*

     1,700        217,328  

Dassault Systemes SE (France)

     657        104,918  

Fortinet, Inc.*

     13,200        1,014,156  

Intuit, Inc.

     78,000        20,383,740  

LogMeIn, Inc.

     13,300        979,944  

Micro Focus International PLC (United Kingdom)

     4,958        130,060  

Microsoft Corp.

     888,300        118,996,668  

Nice Ltd. (Israel)*

     562        76,545  

Oracle Corp.

     517,650        29,490,520  

SAP SE (Germany)

     565        77,623  

Synopsys, Inc.*

     3,000        386,070  

Temenos AG (Switzerland)*

     239        42,799  
     

 

 

 
        186,782,554  
     

 

 

 

Specialty Retail — 1.0%

 

ABC-Mart, Inc. (Japan)

     800        52,154  

Asbury Automotive Group, Inc.*

     39,400        3,322,996  
COMMON STOCKS
(continued)
   Shares      Value  

Specialty Retail (continued)

 

AutoNation, Inc.*

     128,700      $ 5,397,678  

Best Buy Co., Inc.

     21,700        1,513,141  

Fast Retailing Co. Ltd. (Japan)

     400        242,458  

Foot Locker, Inc.(a)

     243,400        10,203,328  

Hennes & Mauritz AB (Sweden) (Class B Stock)

     2,272        40,400  

Hikari Tsushin, Inc. (Japan)

     100        21,838  

L Brands, Inc.

     108,900        2,842,290  

Lithia Motors, Inc. (Class A Stock)(a)

     8,700        1,033,386  

Michaels Cos., Inc. (The)*(a)

     157,500        1,370,250  

Ross Stores, Inc.

     52,500        5,203,800  

Sally Beauty Holdings, Inc.*(a)

     88,900        1,185,926  

TJX Cos., Inc. (The)

     80,500        4,256,840  

Ulta Beauty, Inc.*

     9,600        3,330,144  

USS Co. Ltd. (Japan)

     600        11,848  
     

 

 

 
        40,028,477  
     

 

 

 

Technology Hardware, Storage & Peripherals — 2.6%

 

Apple, Inc.

     376,300        74,477,296  

FUJIFILM Holdings Corp. (Japan)

     5,600        284,807  

Hewlett Packard Enterprise Co.

     878,450        13,132,828  

HP, Inc.

     712,650        14,815,993  

Konica Minolta, Inc. (Japan)

     7,800        76,209  

NEC Corp. (Japan)

     700        27,633  

Ricoh Co. Ltd. (Japan)

     5,200        52,048  

Xerox Corp.

     198,200        7,018,262  
     

 

 

 
        109,885,076  
     

 

 

 

Textiles, Apparel & Luxury Goods — 0.5%

 

adidas AG (Germany)

     763        235,750  

Capri Holdings Ltd.*

     57,600        1,997,568  

Hermes International (France)

     155        111,870  

Kering SA (France)

     411        242,551  

LVMH Moet Hennessy Louis Vuitton SE (France)

     1,379        587,155  

Moncler SpA (Italy)

     445        19,093  

NIKE, Inc. (Class B Stock)

     26,100        2,191,095  

Puma SE (Germany)

     210        14,013  

Swatch Group AG (The) (Switzerland)

     140        7,594  

Tapestry, Inc.

     440,300        13,970,719  
     

 

 

 
        19,377,408  
     

 

 

 

Tobacco — 1.0%

 

Altria Group, Inc.

     417,850        19,785,198  

British American Tobacco PLC (United Kingdom)

     8,029        280,717  

Imperial Brands PLC (United Kingdom)

     8,994        211,116  

Japan Tobacco, Inc. (Japan)

     2,700        59,586  

Philip Morris International, Inc.

     250,700        19,687,471  
     

 

 

 
        40,024,088  
     

 

 

 

Trading Companies & Distributors — 0.1%

 

Ashtead Group PLC (United Kingdom)

     1,578        45,264  

ITOCHU Corp. (Japan)

     8,600        164,596  

Marubeni Corp. (Japan)

     4,000        26,538  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A79


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Trading Companies & Distributors (continued)

 

Mitsubishi Corp. (Japan)

     3,500      $ 92,413  

Mitsui & Co. Ltd. (Japan)

     17,200        280,534  

Sumitomo Corp. (Japan)

     13,800        209,526  

WESCO International, Inc.*

     86,000        4,355,900  
     

 

 

 
        5,174,771  
     

 

 

 

Transportation Infrastructure — 0.1%

 

Aena SME SA (Spain), 144A

     1,186        235,165  

Fraport AG Frankfurt Airport Services Worldwide (Germany)

     1,535        132,174  

Kamigumi Co. Ltd. (Japan)

     9,600        227,497  

Macquarie Infrastructure Corp.

     97,500        3,952,650  
     

 

 

 
        4,547,486  
     

 

 

 

Wireless Telecommunication Services — 0.1%

 

KDDI Corp. (Japan)

     7,100        180,527  

NTT DOCOMO, Inc. (Japan)

     3,400        79,301  

SoftBank Group Corp. (Japan)

     2,000        95,988  

T-Mobile US, Inc.*

     50,700        3,758,898  

Vodafone Group PLC (United Kingdom)

     6,103        10,009  
     

 

 

 
        4,124,723  
     

 

 

 

TOTAL COMMON STOCKS
(cost $1,993,745,044)

 

  

 

2,514,405,336

 

     

 

 

 
EXCHANGE-TRADED FUND — 0.0%

 

iShares MSCI EAFE ETF
(cost $320,568)

     5,088        334,434  
     

 

 

 
PREFERRED STOCKS — 0.0%

 

Automobiles — 0.0%

 

Bayerische Motoren Werke AG (Germany) (PRFC)

     155        9,632  

Porsche Automobil Holding SE (Germany) (PRFC)

     1,295        84,204  
     

 

 

 
        93,836  
     

 

 

 

Banks — 0.0%

     

Citigroup Capital XIII, 8.953%

     22,000        606,980  
     

 

 

 

Health Care Equipment & Supplies — 0.0%

 

Sartorius AG (Germany) (PRFC)

     92        18,883  
     

 

 

 

Household Products — 0.0%

     

Henkel AG & Co. KGaA (Germany) (PRFC)

     441        43,094  
     

 

 

 

TOTAL PREFERRED STOCKS
(cost $717,340)

 

     762,793  
     

 

 

 
     Units         
RIGHTS* — 0.0%      

Construction & Engineering

     

ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/10/19
(cost $6,353)

     3,847        6,037  
     

 

 

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
ASSET-BACKED SECURITIES — 7.4%

 

Automobiles — 2.1%

 

AmeriCredit Automobile Receivables Trust,

 

Series 2018-01, Class C

 

     

3.500%

     01/18/24           1,600      $ 1,642,875  

Series 2019-01, Class B

 

     

3.130%

     02/18/25           1,000        1,018,603  

Series 2019-01, Class C

 

     

3.360%

     02/18/25           1,000        1,024,490  

Series 2019-02, Class C

 

     

2.740%

     04/18/25           2,000        2,008,413  

Avis Budget Rental Car Funding AESOP LLC,

 

Series 2015-01A, Class A, 144A

 

2.500%

     07/20/21           3,300        3,302,972  

Series 2015-02A, Class A, 144A

 

     

2.630%

     12/20/21           4,000        4,010,152  

Series 2018-01A, Class A, 144A

 

     

3.700%

     09/20/24           1,600        1,667,810  

Series 2018-02A, Class A, 144A

 

     

4.000%

     03/20/25           1,600        1,691,040  

Series 2019-02A, Class A, 144A

 

     

3.350%

     09/22/25           3,000        3,091,942  

Drive Auto Receivables Trust,

 

Series 2018-01, Class B

 

     

2.880%

     02/15/22           505        504,835  

Series 2019-03, Class B

 

     

2.650%

     02/15/24           1,400        1,404,995  

Ford Credit Auto Owner Trust,

 

Series 2017-01, Class A, 144A

 

     

2.620%

     08/15/28           1,300        1,315,447  

Series 2017-02, Class A, 144A

 

2.360%

     03/15/29           2,500        2,505,560  

Series 2018-01, Class A, 144A

 

3.190%

     07/15/31           1,000        1,030,709  

Series 2018-02, Class A, 144A

 

3.470%

     01/15/30           3,000        3,142,304  

Series 2019-01, Class A, 144A

 

3.520%

     07/15/30           5,900        6,170,016  

Ford Credit Floorplan Master Owner Trust,

 

  

Series 2017-03, Class A

 

2.480%

     09/15/24           4,500        4,550,329  

Series 2018-02, Class A

 

3.170%

     03/15/25           13,350        13,822,020  

Ford Credit Floorplan Master Owner Trust A,

 

  

Series 2019-02, Class A

 

3.060%

     04/15/26           1,500        1,546,082  

GM Financial Consumer Automobile Receivables Trust,

 

Series 2018-04, Class C

 

3.620%

     06/17/24           500        515,350  

GMF Floorplan Owner Revolving Trust,

 

Series 2019-02, Class A, 144A

 

2.900%

     04/15/26           5,700        5,822,124  

OneMain Direct Auto Receivables Trust,

 

Series 2017-01A, Class A, 144A

 

2.160%

     10/15/20           93        93,262  

Series 2017-02A, Class B, 144A

 

2.550%

     11/14/23           5,800        5,791,427  

Series 2017-02A, Class C, 144A

 

2.820%

     07/15/24           1,400        1,401,999  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A80


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Automobiles (continued)

 

Series 2018-01A, Class A, 144A

 

3.430%

     12/16/24           5,200      $ 5,273,185  

Series 2019-01A, Class A, 144A

 

3.630%

     09/14/27           5,500        5,688,569  

Santander Drive Auto Receivables Trust,

 

Series 2018-04, Class C

 

3.560%

     07/15/24           2,300        2,334,917  

Toyota Auto Loan Extended Note Trust,

 

Series 2019-01A, Class A, 144A

 

2.560%

     11/25/31           5,900        5,969,141  
           

 

 

 
              88,340,568  
           

 

 

 

Collateralized Loan Obligations — 3.0%

 

  

ArrowMark Colorado Holdings (Cayman Islands),

 

  

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

 

3.877%(c)

     07/15/29           500        500,013  

Ballyrock CLO Ltd. (Cayman Islands),

 

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350%

 

3.947%(c)

     10/15/28           4,500        4,500,668  

Battalion CLO Ltd. (Cayman Islands),

 

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

 

3.941%(c)

     07/18/30           1,500        1,502,147  

Benefit Street Partners CLO Ltd. (Cayman Islands),

 

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

 

3.847%(c)

     07/15/29           1,500        1,500,882  

Series 2017-11A, Class X, 144A, 3 Month LIBOR + 1.000%

 

3.597%(c)

     04/15/29           469        468,942  

Brookside Mill CLO Ltd. (Cayman Islands),

 

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

 

3.408%(c)

     01/17/28           1,500        1,489,498  

Canyon Capital CLO Ltd. (Cayman Islands),

 

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

 

3.847%(c)

     04/15/29           3,000        2,991,541  

Catamaran CLO Ltd. (Cayman Islands),

 

Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400%

 

4.001%(c)

     10/18/26           412        411,976  

CIFC Funding Ltd. (Cayman Islands),

 

Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%

 

3.788%(c)

     10/17/31           9,750        9,716,695  

Greenwood Park CLO Ltd. (Cayman Islands),

 

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

 

3.607%(c)

     04/15/31           2,000        1,976,482  

Greywolf CLO Ltd. (Cayman Islands),

 

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

 

3.616%(c)

     04/26/31           4,000        3,944,864  

Highbridge Loan Management Ltd. (Cayman Islands),

 

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

 

3.565%(c)

     02/05/31           250        247,793  

ICG US CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)

 

3.732%(c)

     10/19/28           10,000        9,989,633  

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

 

3.872%(c)

     10/23/29           1,250        1,248,907  

Interest
Rate

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

 

Collateralized Loan Obligations (continued)

 

Jamestown CLO Ltd. (Cayman Islands),

 

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%)

 

3.893%(c)

     04/20/32           5,750      $ 5,754,537  

Jefferson Mill CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AR, 3 Month LIBOR + 1.175%

 

3.756%(c)

     10/20/31           6,750        6,699,761  

MidOcean Credit CLO (Cayman Islands),

 

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

 

3.712%(c)

     04/21/31           2,400        2,377,570  

Ocean Trails CLO Ltd. (Cayman Islands),

 

Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400%

 

3.942%(c)

     04/17/30           2,750        2,752,963  

OCP CLO Ltd. (Cayman Islands),

 

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

 

3.857%(c)

     07/15/30           1,250        1,250,642  

Series 2019-17A, Class A1, 144A

 

—%(cc)

     07/20/32           10,000        10,000,000  

OZLM Ltd. (Cayman Islands),

 

Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280%

 

3.872%(c)

     10/20/31           7,500        7,475,047  

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

 

3.833%(c)

     10/30/30           1,500        1,499,794  

Palmer Square CLO Ltd. (Cayman Islands),

 

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

 

3.718%(c)

     01/17/31           1,500        1,492,560  

Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100%

 

3.701%(c)

     07/16/31           2,350        2,335,029  

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

 

Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280%

 

3.872%(c)

     10/20/31           8,750        8,728,279  

Romark CLO Ltd. (Cayman Islands),

 

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175%

 

3.755%(c)

     07/25/31           1,000        992,859  

Sound Point CLO Ltd. (Cayman Islands),

 

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

 

3.472%(c)

     07/20/27           1,000        1,000,008  

Telos CLO Ltd. (Cayman Islands),

 

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

 

3.888%(c)

     07/17/26           1,500        1,500,251  

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

 

3.828%(c)

     01/17/30           2,500        2,494,994  

TICP CLO Ltd. (Cayman Islands),

 

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

 

3.827%(c)

     07/15/29           1,250        1,249,477  

Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840%

 

3.432%(c)

     04/20/28           4,000        3,976,602  

Trimaran Cavu Ltd. (Cayman Islands),

 

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460%

 

3.927%(c)

     07/20/32           3,000        3,001,546  

Trinitas CLO Ltd. (Cayman Islands),

 

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

 

3.790%(c)

     01/25/31           2,500        2,480,805  

Venture CLO Ltd. (Cayman Islands),

 

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

 

3.477%(c)

     07/15/27           1,000        1,000,021  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A81


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Collateralized Loan Obligations (continued)

 

Wellfleet CLO Ltd. (Cayman Islands),

 

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

 

3.912%(c)

     04/20/29           2,000      $ 1,999,179  

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

 

3.738%(c)

     01/17/31           2,750        2,734,967  

Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100%

 

3.688%(c)

     07/17/31           3,500        3,461,682  

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%

 

3.792%(c)

     10/20/31           5,750        5,715,010  

Zais CLO Ltd. (Cayman Islands),

 

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

 

3.967%(c)

     07/15/29           1,750        1,757,047  
           

 

 

 
              124,220,671  
           

 

 

 

Consumer Loans — 0.2%

 

        

OneMain Financial Issuance Trust,

 

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

 

3.201%(c)

     09/14/32           3,700        3,707,644  

Oportun Funding X LLC,

 

Series 2018-C, Class A, 144A

 

     

4.100%

     10/08/24           1,600        1,640,871  

Oportun Funding XII LLC,

 

Series 2018-D, Class A, 144A

 

     

4.150%

     12/09/24           1,100        1,131,135  
           

 

 

 
              6,479,650  
           

 

 

 

Credit Cards — 0.3%

 

        

Citibank Credit Card Issuance Trust,

 

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

 

3.024%(c)

     04/22/26           2,900        2,918,520  

Series 2018-A07, Class A7

 

     

3.960%

     10/13/30           6,200        6,884,534  

Discover Card Execution Note Trust,

 

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

 

2.994%(c)

     12/15/26           2,600        2,612,148  
           

 

 

 
              12,415,202  
           

 

 

 

Equipment — 0.2%

 

        

MMAF Equipment Finance LLC,

 

Series 2017-B, Class A4, 144A

 

     

2.410%

     11/15/24           1,700        1,712,078  

Series 2017-B, Class A5, 144A

 

     

2.720%

     06/15/40           2,800        2,851,797  

Series 2018-A, Class A4, 144A

 

     

3.390%

     01/10/25           1,600        1,652,385  

Series 2018-A, Class A5, 144A

 

     

3.610%

     03/10/42           800        838,163  

Series 2019-A, Class A5, 144A

 

     

3.080%

     11/12/41           2,500        2,572,047  
           

 

 

 
              9,626,470  
           

 

 

 

Home Equity Loans — 0.1%

 

        

CDC Mortgage Capital Trust,

 

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

 

4.054%(c)

     03/25/33           78        78,562  

Morgan Stanley ABS Capital I, Inc. Trust,

 

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

 

3.604%(c)

     05/25/33           149        149,154  

Interest
Rate

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

 

Home Equity Loans (continued)

 

Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945%

 

3.349%(c)

     06/25/34           452      $ 454,118  

Morgan Stanley Dean Witter Capital I, Inc. Trust,

 

  

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

 

3.304%(c)

     07/25/32           60        59,806  

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

 

3.679%(c)

     09/25/32           2,097        2,101,123  
           

 

 

 
              2,842,763  
           

 

 

 

Other — 0.2%

           

Park Avenue Funding Trust,

 

Series 2019-02, Class PT, 144A

 

—%(cc)

     11/27/20           3,000        3,000,000  

Sierra Timeshare Receivables Funding LLC,

 

  

Series 2018-02A, Class A, 144A

 

3.500%

     06/20/35           1,683        1,730,368  

TH MSR Issuer Trust,

 

        

Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800%

 

5.204%(c)

     06/25/24           3,250        3,250,000  
           

 

 

 
              7,980,368  
           

 

 

 

Residential Mortgage-Backed Securities — 0.6%

 

Credit Suisse Mortgage Trust,

 

        

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

 

5.590%(c)

     12/26/46           3,216        3,231,301  

Series 2018-RPL08, Class A1, 144A

 

4.125%(cc)

     07/25/58           1,342        1,359,876  

Credit-Based Asset Servicing & Securitization LLC,

 

Series 2005-CB06, Class A3

 

     

3.649%

     07/25/35           160        159,909  

Equity One Mortgage Pass-Through Trust,

 

Series 2004-03, Class M1

 

        

4.498%

     07/25/34           189        196,116  

Legacy Mortgage Asset Trust,

 

        

Series 2019-GS02, Class A1, 144A

 

     

3.750%(cc)

     01/25/59           870        877,005  

Series 2019-GS03, Class A1, 144A

 

     

3.750%(cc)

     04/25/59           196        198,308  

Series 2019-GS04, Class A1, 144A

 

     

3.438%(cc)

     05/25/59           1,492        1,502,710  

Series 2019-SL01, Class A, 144A

 

4.000%(cc)

     12/28/54           642        644,673  

Long Beach Mortgage Loan Trust,

 

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

 

3.199%(c)

     06/25/34           176        174,952  

Mill City Mortgage Loan Trust,

 

Series 2017-03, Class A1, 144A

 

2.750%(cc)

     01/25/61           2,021        2,029,300  

TFS (Spain),

           

Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%

 

2.900%(c)

     03/16/23        EUR        2,786        3,162,084  

Towd Point Mortgage Trust,

 

        

Series 2017-04, Class A1, 144A

 

2.750%(cc)

     06/25/57           4,504        4,524,345  

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

 

3.004%(c)

     02/25/57           3,674        3,663,418  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A82


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Residential Mortgage-Backed Securities (continued)

 

Series 2017-06, Class A1, 144A

 

2.750%(cc)

     10/25/57           3,032      $ 3,055,059  

Series 2018-02, Class A1, 144A

 

        

3.250%(cc)

     03/25/58           378        384,073  

Series 2018-03, Class A1, 144A

 

        

3.750%(cc)

     05/25/58           171        177,631  

Series 2018-05, Class A1, 144A

 

        

3.250%(cc)

     07/25/58           637        650,065  
           

 

 

 
              25,990,825  
           

 

 

 

Student Loans — 0.7%

 

        

Commonbond Student Loan Trust,

 

        

Series 2017-BGS, Class A1, 144A

 

        

2.680%

     09/25/42           2,677        2,678,321  

Series 2018-AGS, Class A1, 144A

 

        

3.210%

     02/25/44           1,845        1,882,008  

Series 2018-CGS, Class A1, 144A

 

        

3.870%

     02/25/46           804        834,473  

Series 2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)

 

3.204%(c)

     02/25/46           897        892,523  

Laurel Road Prime Student Loan Trust,

 

     

Series 2017-C, Class A2B, 144A

 

        

2.810%

     11/25/42           1,935        1,957,237  

Series 2018-B, Class A2FX, 144A

 

        

3.540%

     05/26/43           3,000        3,073,298  

Navient Private Education Refi Loan Trust,

 

Series 2018-A, Class A2, 144A

 

        

3.190%

     02/18/42           4,600        4,673,942  

Series 2018-CA, Class A2, 144A

 

        

3.520%

     06/16/42           1,700        1,745,969  

Series 2019-CA, Class A2, 144A

 

3.130%

     02/15/68           2,100        2,144,699  

SoFi Professional Loan Program LLC,

 

Series 2019-A, Class A2FX, 144A

 

3.690%

     06/15/48           3,800        3,988,457  

Series 2019-B, Class A2FX, 144A

 

3.090%

     08/17/48           2,100        2,134,125  

SoFi Professional Loan Program Trust,

 

Series 2018-B, Class A1FX, 144A

 

2.640%

     08/25/47           1,699        1,703,348  

Series 2018-B, Class A2FX, 144A

 

3.340%

     08/25/47           3,100        3,182,140  
           

 

 

 
              30,890,540  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $305,158,180)

 

     308,787,057  
           

 

 

 
BANK LOANS — 0.1%

 

Software

           

First Data Corp.,

 

2022D New Dollar Term Loan, 1 Month LIBOR + 2.000%

 

4.404%(c)

     07/08/22           1,145        1,143,481  

2024A New Dollar Term Loan, 1 Month LIBOR + 2.000%

 

4.404%(c)

     04/26/24           750        749,166  
           

 

 

 

TOTAL BANK LOANS
(cost $1,891,179)

 

     1,892,647  
           

 

 

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.6%

 

Assurant Commercial Mortgage Trust,

 

Series 2016-01A, Class AS, 144A

 

3.172%

     05/15/49           4,000      $ 4,008,481  

BANK,

 

Series 2017-BNK04, Class A3

 

     

3.362%

     05/15/50           6,500        6,817,301  

BBCMS Mortgage Trust,

 

Series 2018-C02, Class A4

 

     

4.047%

     12/15/51           5,400        5,942,503  

Benchmark Mortgage Trust,

 

Series 2018-B03, Class A4

 

     

3.761%

     04/10/51           5,000        5,401,977  

Series 2018-B08, Class A4

 

     

3.963%

     01/15/52           6,700        7,351,678  

Citigroup Commercial Mortgage Trust,

 

Series 2013-GC11, Class A3

 

     

2.815%

     04/10/46           1,086        1,107,343  

Series 2014-GC21, Class A4

 

     

3.575%

     05/10/47           1,392        1,458,494  

Series 2014-GC23, Class A3

 

     

3.356%

     07/10/47           2,618        2,725,004  

Series 2016-C01, Class A3

 

     

2.944%

     05/10/49           5,000        5,112,417  

Series 2016-GC37, Class A3

 

     

3.050%

     04/10/49           6,500        6,694,335  

Series 2017-P07, Class A3

 

     

3.442%

     04/14/50           5,500        5,792,301  

Commercial Mortgage Trust,

 

Series 2014-CR15, Class A2

 

     

2.928%

     02/10/47           796        795,931  

Series 2014-CR18, Class A4

 

     

3.550%

     07/15/47           2,800        2,927,094  

Series 2014-CR20, Class A3

 

     

3.326%

     11/10/47           5,000        5,212,805  

Series 2015-CR27, Class A3

 

     

3.349%

     10/10/48           6,100        6,381,713  

CSAIL Commercial Mortgage Trust,

 

Series 2015-C04, Class A3

 

     

3.544%

     11/15/48           3,000        3,154,195  

Series 2017-C08, Class A3

 

     

3.127%

     06/15/50           5,300        5,423,602  

Fannie Mae-Aces,

 

Series 2015-M17, Class A2

 

     

3.035%(cc)

     11/25/25           3,900        4,039,838  

Series 2016-M07, Class AB2

 

     

2.385%

     09/25/26           2,400        2,390,877  

Series 2017-M01, Class A2

 

     

2.496%(cc)

     10/25/26           2,200        2,196,925  

Series 2017-M04, Class A2

 

     

2.672%(cc)

     12/25/26           11,800        11,897,082  

Series 2017-M08, Class A2

 

     

3.061%(cc)

     05/25/27           8,250        8,584,491  

Series 2018-M04, Class A2

 

     

3.144%(cc)

     03/25/28           4,325        4,505,671  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A83


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K020, Class X1, IO

 

     

1.535%(cc)

     05/25/22           23,066      $ 785,919  

Series K021, Class X1, IO

 

     

1.568%(cc)

     06/25/22           6,522        238,764  

Series K055, Class X1, IO

 

     

1.499%(cc)

     03/25/26           13,795        1,068,472  

Series K057, Class AM

 

     

2.624%

     08/25/26           7,230        7,323,779  

Series K064, Class AM

 

     

3.327%(cc)

     03/25/27           5,900        6,253,300  

Series K068, Class AM

 

     

3.315%

     08/25/27           5,600        5,935,352  

Series K069, Class A2

 

     

3.187%(cc)

     09/25/27           4,900        5,170,403  

Series K069, Class AM

 

     

3.248%(cc)

     09/25/27           1,050        1,106,348  

Series K070, Class A2

 

     

3.303%(cc)

     11/25/27           7,250        7,714,174  

Series K070, Class AM

 

     

3.364%(cc)

     12/25/27           1,525        1,623,480  

Series K072, Class A2

 

        

3.444%

     12/25/27           2,000        2,148,774  

Series K075, Class AM

 

     

3.650%(cc)

     02/25/28           3,575        3,870,579  

Series K076, Class AM

 

     

3.900%

     04/25/28           2,575        2,842,837  

Series K077, Class A2

 

     

3.850%(cc)

     05/25/28           4,800        5,303,693  

Series K077, Class AM

 

     

3.850%(cc)

     05/25/28           950        1,044,889  

Series K080, Class AM

 

        

3.986%(cc)

     07/25/28           7,050        7,820,894  

Series K081, Class AM

 

        

3.900%(cc)

     08/25/28           3,500        3,863,385  

Series K086, Class AM

 

        

3.919%(cc)

     12/25/28           1,300        1,443,699  

Series K087, Class AM

 

        

3.832%(cc)

     12/25/28           1,350        1,487,869  

Series K157, Class A2

 

        

3.990%(cc)

     05/25/33           4,200        4,718,877  

Series K711, Class X1, IO

 

        

1.686%(cc)

     07/25/19           1,814        227  

Series W5FX, Class AFX

 

        

3.336%(cc)

     04/25/28           2,260        2,362,824  

GS Mortgage Securities Trust,

 

        

Series 2015-GC28, Class A4

 

        

3.136%

     02/10/48           4,000        4,134,978  

Series 2015-GC32, Class A3

 

        

3.498%

     07/10/48           5,800        6,113,939  

Series 2016-GS03, Class A3

 

        

2.592%

     10/10/49           5,800        5,814,867  

Series 2016-GS04, Class A3

 

        

3.178%

     11/10/49           5,500        5,708,190  

Interest
Rate

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

 

JPMBB Commercial Mortgage Securities Trust,

 

  

Series 2014-C25, Class A4A1

 

        

3.408%

     11/15/47           1,400      $ 1,458,940  

Series 2015-C27, Class A3A1

 

        

2.920%

     02/15/48           6,000        6,108,967  

JPMorgan Chase Commercial Mortgage Securities Trust,

 

Series 2012-CBX, Class A3

 

        

3.139%

     06/15/45           43        43,015  

Series 2012-LC09, Class A4

 

        

2.611%

     12/15/47           174        173,408  

Series 2013-LC11, Class A4

 

        

2.694%

     04/15/46           634        644,075  

Morgan Stanley Bank of America Merrill Lynch Trust,

 

  

Series 2013-C08, Class A3

 

        

2.863%

     12/15/48           1,351        1,376,826  

Morgan Stanley Capital I Trust,

 

        

Series 2016-UB11, Class A3

 

        

2.531%

     08/15/49           10,400        10,344,601  

Series 2018-H04, Class A3

 

        

4.043%

     12/15/51           1,900        2,093,388  

UBS Commercial Mortgage Trust,

 

        

Series 2017-C02, Class ASB

 

        

3.264%

     08/15/50           3,500        3,635,203  

Series 2017-C05, Class A4

 

        

3.212%

     11/15/50           6,750        6,982,311  

Series 2018-C09, Class A3

 

        

3.854%

     03/15/51           2,500        2,703,227  

Series 2018-C14, Class A3

 

        

4.180%

     12/15/51           4,100        4,547,166  

UBS-Barclays Commercial Mortgage Trust,

 

  

Series 2012-C04, Class A4

 

        

2.792%

     12/10/45           1,700        1,724,973  

Series 2013-C05, Class A3

 

        

2.920%

     03/10/46           3,261        3,327,835  

Series 2013-C06, Class A3

 

        

2.971%

     04/10/46           1,798        1,838,321  

Wells Fargo Commercial Mortgage Trust,

 

Series 2016-NXS06, Class A3

 

2.642%

     11/15/49           8,000        8,006,816  

Series 2017-C38, Class A4

 

        

3.190%

     07/15/50           4,600        4,755,667  

Series 2018-C48, Class A4

 

        

4.037%

     01/15/52           7,000        7,699,803  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $262,965,316)

 

     273,287,112  
           

 

 

 
CORPORATE BONDS — 10.1%

 

Aerospace & Defense — 0.1%

 

        

Embraer Netherlands Finance BV (Brazil), Gtd. Notes

 

5.050%

     06/15/25           1,121        1,209,290  

Embraer Overseas Ltd. (Brazil), Gtd. Notes, 144A

 

  

5.696%

     09/16/23           950        1,040,259  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A84


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Aerospace & Defense (continued)

 

United Technologies Corp.,

 

        

Sr. Unsec’d. Notes

 

        

4.125%

     11/16/28           1,270      $ 1,395,224  
           

 

 

 
              3,644,773  
           

 

 

 

Agriculture — 0.1%

 

        

BAT Capital Corp. (United Kingdom), Gtd. Notes

 

  

3.222%

     08/15/24           3,740        3,764,562  
           

 

 

 

Airlines — 0.2%

 

        

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

 

3.375%

     11/01/28           2,617        2,660,511  

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

 

Pass-Through Certificates

 

        

7.250%

     05/10/21           449        454,993  

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

 

Pass-Through Certificates

 

        

4.750%

     07/12/22           376        386,244  

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

 

Pass-Through Certificates

 

        

4.000%

     04/29/26           510        532,857  

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

 

  

Pass-Through Certificates

 

        

6.821%

     02/10/24           222        244,746  

Delta Air Lines, Inc.,

 

        

Sr. Unsec’d. Notes

 

        

2.875%

     03/13/20           2,000        2,002,429  
           

 

 

 
              6,281,780  
           

 

 

 

Auto Manufacturers — 0.4%

 

BMW US Capital LLC (Germany),

 

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

 

  

3.014%(c)

     04/12/21           495        495,427  

Gtd. Notes, 144A

 

        

3.100%

     04/12/21           655        662,664  

Daimler Finance North America LLC (Germany),

 

Gtd. Notes, 144A

 

     

3.100%

     05/04/20           1,205        1,211,414  

3.350%

     05/04/21           2,010        2,038,276  

Ford Motor Co.,

 

Sr. Unsec’d. Notes

 

     

5.291%

     12/08/46           1,220        1,134,798  

Ford Motor Credit Co. LLC,

 

Sr. Unsec’d. Notes

 

        

3.336%

     03/18/21           680        683,492  

General Motors Co.,

 

Sr. Unsec’d. Notes

 

        

6.250%

     10/02/43           980        1,043,220  

6.600%

     04/01/36           760        841,323  

General Motors Financial Co., Inc.,

 

Gtd. Notes, 3 Month LIBOR + 0.850%

 

3.442%(c)

     04/09/21           1,060        1,059,516  

Gtd. Notes

           

3.550%

     04/09/21           805        816,722  

3.950%

     04/13/24           2,800        2,860,651  

Interest
Rate

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

 

Auto Manufacturers (continued)

 

Harley-Davidson Financial Services, Inc.,

 

Gtd. Notes, 144A, MTN

 

       

2.850%

     01/15/21          4,705      $ 4,714,205  
          

 

 

 
             17,561,708  
          

 

 

 

Banks — 3.3%

 

Banco Santander SA (Spain),

 

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

 

  

3.724%(c)

     04/12/23          800        796,635  

Sr. Unsec’d. Notes

 

       

3.848%

     04/12/23          1,000        1,038,100  

Bank of America Corp.,

 

Jr. Sub. Notes, Series DD

 

       

6.300%(ff)

     (rr)         445        496,753  

Jr. Sub. Notes, Series JJ

 

       

5.125%(ff)

     (rr)         1,665        1,675,406  

Sr. Unsec’d. Notes, MTN

 

       

3.499%(ff)

     05/17/22          2,510        2,558,372  

3.824%(ff)

     01/20/28          955        1,010,914  

4.125%

     01/22/24          4,830        5,165,833  

4.271%(ff)

     07/23/29          510        557,020  

Sub. Notes, MTN

 

       

4.000%

     01/22/25          2,000        2,103,614  

4.450%

     03/03/26          8,455        9,119,926  

Bank of America NA,

 

Sub. Notes

          

6.000%

     10/15/36          410        540,517  

Bank of Montreal (Canada),

 

Sr. Unsec’d. Notes, MTN

 

       

2.900%

     03/26/22          1,380        1,401,124  

Barclays PLC (United Kingdom),

 

Sr. Unsec’d. Notes

 

       

3.650%

     03/16/25          850        854,284  

3.684%

     01/10/23 (a)         585        592,662  

Sr. Unsec’d. Notes, MTN

 

       

4.972%(ff)

     05/16/29          3,825        4,079,676  

Citigroup, Inc.,

 

Jr. Sub. Notes, Series Q

 

       

5.950%(ff)

     (rr)         2,205        2,267,446  

Jr. Sub. Notes, Series R

 

       

6.125%(ff)

     (rr)         1,375        1,412,812  

Jr. Sub. Notes, Series T

 

       

6.250%(ff)

     (rr)         625        686,431  

Sr. Unsec’d. Notes

 

       

3.200%

     10/21/26          1,870        1,907,106  

3.700%

     01/12/26          6,180        6,505,684  

Sub. Notes

          

4.450%

     09/29/27          5,965        6,426,719  

4.750%

     05/18/46          820        927,472  

Credit Suisse Group AG (Switzerland),

 

Sr. Unsec’d. Notes, 144A

 

       

4.282%

     01/09/28          1,370        1,446,289  

Deutsche Bank AG (Germany),

 

Sr. Unsec’d. Notes, GMTN

 

       

3.375%

     05/12/21          1,640        1,633,017  

Sr. Unsec’d. Notes, Series D

 

       

5.000%

     02/14/22          2,400        2,473,957  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A85


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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      $ 1,027,869  

Sub. Notes

          

7.000%

     04/15/20          570        589,463  

Goldman Sachs Group, Inc. (The),

 

Jr. Sub. Notes, Series M

 

       

5.375%(ff)

     (rr)         2,215        2,217,769  

Jr. Sub. Notes, Series O

 

       

5.300%(ff)

     (rr)         740        772,375  

Sr. Unsec’d. Notes

 

       

3.500%

     01/23/25          4,100        4,241,702  

3.750%

     02/25/26          1,010        1,054,255  

3.814%(ff)

     04/23/29          540        564,389  

3.850%

     01/26/27          2,910        3,041,519  

5.750%

     01/24/22          5,420        5,857,849  

Sub. Notes

          

6.750%

     10/01/37          104        136,027  

HSBC Holdings PLC (United Kingdom),

 

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

 

  

3.120%(c)

     05/18/21          2,115        2,116,671  

Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240%

 

  

4.693%(c)

     03/08/21          1,025        1,054,681  

Sr. Unsec’d. Notes

 

       

4.875%

     01/14/22          1,910        2,022,994  

JPMorgan Chase & Co.,

 

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

 

  

6.053%(c)

     (rr)         1,435        1,434,225  

Jr. Sub. Notes, Series X

 

       

6.100%(ff)

     (rr)         1,275        1,373,583  

Sr. Unsec’d. Notes

 

       

3.782%(ff)

     02/01/28          695        736,777  

3.964%(ff)

     11/15/48          3,250        3,448,219  

4.005%(ff)

     04/23/29          2,170        2,340,835  

4.452%(ff)

     12/05/29          3,350        3,735,376  

Sub. Notes

          

3.875%

     09/10/24          3,775        3,968,785  

JPMorgan Chase Bank NA,

 

Sr. Unsec’d. Notes

 

       

3.086%(ff)

     04/26/21          5,000        5,028,100  

Lloyds Bank PLC (United Kingdom),

 

Gtd. Notes

          

3.300%

     05/07/21          2,200        2,234,414  

Gtd. Notes, 144A, MTN

 

       

5.800%

     01/13/20          1,870        1,903,374  

Manufacturers & Traders Trust Co.,

 

Sr. Unsec’d. Notes

 

       

2.900%

     02/06/25          3,080        3,145,011  

Morgan Stanley,

 

Jr. Sub. Notes, Series H

 

       

5.450%(ff)

     (rr)         840        837,900  

Sr. Unsec’d. Notes

 

       

4.375%

     01/22/47          1,045        1,163,189  

Sr. Unsec’d. Notes, GMTN

 

       

3.750%

     02/25/23          950        992,387  

3.772%(ff)

     01/24/29 (a)         8,775        9,206,211  

Interest
Rate

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

 

Banks (continued)

 

3.875%

     01/27/26          675      $ 717,533  

4.431%(ff)

     01/23/30          515        569,724  

5.625%

     09/23/19          1,415        1,424,814  

Sr. Unsec’d. Notes, MTN

 

       

3.591%(ff)

     07/22/28          1,255        1,306,769  

Sub. Notes, GMTN

 

       

4.350%

     09/08/26          3,825        4,101,649  

Royal Bank of Canada (Canada),

 

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

 

2.973%(c)

     04/30/21          2,250        2,256,266  

Sr. Unsec’d. Notes, GMTN

 

       

3.200%

     04/30/21          490        498,701  

State Bank of India (India),

 

Sr. Unsec’d. Notes, 144A

 

       

4.375%

     01/24/24          1,925        2,011,605  
          

 

 

 
             136,810,779  
          

 

 

 

Beverages — 0.1%

 

       

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

 

Gtd. Notes

          

8.000%

     11/15/39          1,285        1,896,544  

8.200%

     01/15/39          250        376,932  

Constellation Brands, Inc.,

 

Gtd. Notes

          

4.250%

     05/01/23          1,400        1,489,636  

Keurig Dr. Pepper, Inc.,

 

Gtd. Notes

          

3.551%

     05/25/21          1,150        1,174,784  
          

 

 

 
             4,937,896  
          

 

 

 

Biotechnology — 0.0%

 

       

Celgene Corp.,

 

Sr. Unsec’d. Notes

 

       

4.550%

     02/20/48 (a)         1,200        1,375,211  
          

 

 

 

Building Materials — 0.1%

 

       

Owens Corning,

 

Sr. Unsec’d. Notes

 

       

4.200%

     12/15/22          775        806,573  

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

       

4.750%

     01/15/28          700        694,750  

5.375%

     11/15/24          1,400        1,449,000  
          

 

 

 
             2,950,323  
          

 

 

 

Chemicals — 0.3%

 

       

Celanese US Holdings LLC,

 

Gtd. Notes

          

5.875%

     06/15/21          1,500        1,589,667  

CF Industries, Inc.,

 

Gtd. Notes

          

5.375%

     03/15/44          585        548,613  

CNAC HK Finbridge Co. Ltd. (China),

 

Gtd. Notes

          

3.500%

     07/19/22          3,680        3,703,690  

Dow Chemical Co. (The),

 

Sr. Unsec’d. Notes

 

       

5.250%

     11/15/41          45        49,288  

9.400%

     05/15/39          347        550,896  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A86


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Chemicals (continued)

 

Mexichem SAB de CV (Mexico),

 

Gtd. Notes, 144A

 

        

4.875%

     09/19/22           2,000      $ 2,098,020  

Mosaic Co. (The),

 

Sr. Unsec’d. Notes

 

        

5.450%

     11/15/33           345        390,692  

5.625%

     11/15/43           430        473,161  

NOVA Chemicals Corp. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

        

4.875%

     06/01/24           1,300        1,345,500  

Nutrien Ltd. (Canada),

 

Sr. Unsec’d. Notes

 

        

3.150%

     10/01/22           780        793,022  

SASOL Financing USA LLC (South Africa),

 

Gtd. Notes

           

5.875%

     03/27/24           700        758,552  

6.500%

     09/27/28           670        752,060  

Union Carbide Corp.,

 

        

Sr. Unsec’d. Notes

 

        

7.500%

     06/01/25           460        554,697  
           

 

 

 
              13,607,858  
           

 

 

 

Commercial Services — 0.1%

 

        

ERAC USA Finance LLC,

 

Gtd. Notes, 144A

 

        

4.200%

     11/01/46           975        992,963  

6.700%

     06/01/34           420        560,884  

7.000%

     10/15/37           380        519,025  

Massachusetts Institute of Technology,

 

Unsec’d. Notes

 

3.885%

     07/01/16           1,500        1,602,554  

United Rentals North America, Inc.,

 

Gtd. Notes

 

4.875%

     01/15/28           1,190        1,213,800  

5.250%

     01/15/30           385        395,587  

5.875%

     09/15/26           460        489,900  
           

 

 

 
              5,774,713  
           

 

 

 

Computers — 0.0%

 

        

Hewlett Packard Enterprise Co.,

 

Sr. Unsec’d. Notes, 144A

 

2.100%

     10/04/19           225        224,685  
           

 

 

 

Diversified Financial Services — 0.4%

 

Capital One Financial Corp.,

 

Sr. Unsec’d. Notes

 

2.500%

     05/12/20           2,225        2,227,306  

3.450%

     04/30/21           4,415        4,495,166  

CDP Financial, Inc. (Canada),

 

Gtd. Notes, 144A

 

3.150%

     07/24/24           800        841,872  

Discover Financial Services,

 

Sr. Unsec’d. Notes

 

3.850%

     11/21/22           900        938,524  

GE Capital International Funding Co. Unlimited Co.,

 

Gtd. Notes

 

2.342%

     11/15/20           766        762,363  

Interest
Rate

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

 

Diversified Financial Services (continued)

 

Jefferies Group LLC,

 

Sr. Unsec’d. Notes

 

6.500%

     01/20/43          560      $ 607,958  

Lehman Brothers Holdings, Inc.,

 

Sr. Unsec’d. Notes, MTN

 

5.250%

     02/06/12 (d)         1,715        28,641  

6.875%

     05/02/18 (d)         700        12,180  

Private Export Funding Corp.,

 

Sr. Unsec’d. Notes, 144A

 

2.650%

     02/16/21          1,915        1,933,750  

U.S. Gov’t. Gtd. Notes, Series GG

 

2.450%

     07/15/24          475        487,296  

U.S. Gov’t. Gtd. Notes, Series NN

 

3.250%

     06/15/25          330        350,721  

Synchrony Financial,

 

Sr. Unsec’d. Notes

 

2.700%

     02/03/20          2,700        2,700,229  
          

 

 

 
             15,386,006  
          

 

 

 

Electric — 1.0%

          

Avista Corp.,

 

First Mortgage

 

4.350%

     06/01/48          1,160        1,277,211  

Baltimore Gas & Electric Co.,

 

Sr. Unsec’d. Notes

 

6.350%

     10/01/36          550        740,770  

Berkshire Hathaway Energy Co.,

 

Sr. Unsec’d. Notes

 

5.950%

     05/15/37          305        393,707  

CenterPoint Energy Houston Electric LLC,

 

General Ref. Mortgage, Series K2

 

6.950%

     03/15/33          590        832,205  

Commonwealth Edison Co.,

 

First Mortgage

 

3.750%

     08/15/47          1,610        1,668,567  

Consolidated Edison Co. of New York, Inc.,

 

Sr. Unsec’d. Notes, Series 09-C

 

5.500%

     12/01/39          220        276,406  

Dominion Energy, Inc.,

 

Jr. Sub. Notes

 

4.104%

     04/01/21          3,210        3,286,326  

DTE Electric Co.,

 

General Ref. Mortgage, Series A

 

4.050%

     05/15/48          1,490        1,648,289  

Duke Energy Carolinas LLC,

 

First Mortgage

 

6.050%

     04/15/38          550        734,896  

First Ref. Mortgage

 

4.000%

     09/30/42          570        608,186  

El Paso Electric Co.,

 

Sr. Unsec’d. Notes

 

6.000%

     05/15/35          670        816,645  

Eversource Energy,

 

Sr. Unsec’d. Notes

 

4.500%

     11/15/19          615        619,156  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A87


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Electric (continued)

 

Exelon Corp.,

 

Jr. Sub. Notes

 

3.497%

     06/01/22          3,470      $ 3,554,954  

Exelon Generation Co. LLC,

 

Sr. Unsec’d. Notes

 

5.200%

     10/01/19          800        804,851  

6.250%

     10/01/39          1,425        1,685,098  

FirstEnergy Transmission LLC,

 

Sr. Unsec’d. Notes, 144A

 

5.450%

     07/15/44          355        421,785  

Florida Power & Light Co.,

 

First Mortgage

 

5.950%

     10/01/33          295        383,226  

Iberdrola International BV (Spain),

 

Gtd. Notes

 

6.750%

     09/15/33          145        179,113  

Indiana Michigan Power Co.,

 

Sr. Unsec’d. Notes

 

3.850%

     05/15/28          2,910        3,123,081  

Israel Electric Corp. Ltd. (Israel),

 

Sr. Sec’d. Notes, 144A, GMTN

 

4.250%

     08/14/28          470        488,687  

Monongahela Power Co.,

 

First Mortgage, 144A

 

4.100%

     04/15/24          2,170        2,315,377  

Niagara Mohawk Power Corp.,

 

Sr. Unsec’d. Notes, 144A

 

4.881%

     08/15/19          610        611,598  

Northern States Power Co.,

 

First Mortgage

 

3.600%

     09/15/47          1,580        1,611,547  

PPL Capital Funding, Inc.,

 

Gtd. Notes

 

4.000%

     09/15/47          1,360        1,312,154  

5.000%

     03/15/44          695        772,534  

PSEG Power LLC,

 

Gtd. Notes

 

3.000%

     06/15/21 (a)         1,760        1,778,807  

Public Service Electric & Gas Co.,

 

First Mortgage, MTN

 

3.000%

     05/15/27          1,130        1,150,282  

3.700%

     05/01/28          1,280        1,377,411  

Sr. Sec’d. Notes, MTN

 

5.800%

     05/01/37          535        690,787  

San Diego Gas & Electric Co.,

 

First Mortgage

 

4.150%

     05/15/48          1,400        1,458,772  

Southern California Edison Co.,

 

First Ref. Mortgage

 

4.000%

     04/01/47          580        577,613  

First Ref. Mortgage, Series C

 

3.600%

     02/01/45          860        798,981  

Vistra Operations Co. LLC,

 

Gtd. Notes, 144A

 

5.000%

     07/31/27          725        751,281  

Interest
Rate

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

 

Electric (continued)

 

Xcel Energy, Inc.,

 

Sr. Unsec’d. Notes

 

4.800%

     09/15/41           480      $ 521,409  
           

 

 

 
              39,271,712  
           

 

 

 

Electronics — 0.0%

 

FLIR Systems, Inc.,

 

Sr. Unsec’d. Notes

 

3.125%

     06/15/21           900        908,800  
           

 

 

 

Engineering & Construction — 0.0%

 

Mexico City Airport Trust (Mexico),

 

Sr. Sec’d. Notes, 144A

 

3.875%

     04/30/28           700        678,195  

5.500%

     07/31/47           800        797,000  
           

 

 

 
              1,475,195  
           

 

 

 

Foods — 0.3%

 

Conagra Brands, Inc.,

 

Sr. Unsec’d. Notes

 

3.800%

     10/22/21           3,440        3,535,838  

General Mills, Inc.,

 

Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540%

 

3.141%(c)

     04/16/21           5,635        5,636,883  

Kraft Heinz Foods Co.,

 

Gtd. Notes

 

4.375%

     06/01/46           475        451,307  

5.000%

     07/15/35           815        854,903  

Mars, Inc.,

 

Gtd. Notes, 144A

 

3.950%

     04/01/49           1,720        1,850,622  
           

 

 

 
              12,329,553  
           

 

 

 

Forest Products & Paper — 0.1%

 

Georgia-Pacific LLC,

 

Gtd. Notes, 144A

 

5.400%

     11/01/20           290        301,412  

International Paper Co.,

 

Sr. Unsec’d. Notes

 

6.000%

     11/15/41           1,595        1,869,617  
           

 

 

 
              2,171,029  
           

 

 

 

Gas — 0.1%

 

Dominion Energy Gas Holdings LLC,

 

Sr. Unsec’d. Notes

 

4.800%

     11/01/43           65        73,294  

NiSource, Inc.,

 

Sr. Unsec’d. Notes

 

3.490%

     05/15/27           3,285        3,397,944  
           

 

 

 
              3,471,238  
           

 

 

 

Healthcare-Products — 0.0%

 

Becton, Dickinson & Co.,

 

Sr. Unsec’d. Notes

 

3.734%

     12/15/24           474        497,198  

Medtronic Global Holdings SCA,

 

Gtd. Notes

 

1.625%

     03/07/31        EUR        300        366,340  

2.250%

     03/07/39        EUR        400        514,270  
           

 

 

 
              1,377,808  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A88


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Healthcare-Services — 0.1%

 

Aetna, Inc.,

 

Sr. Unsec’d. Notes

 

6.625%

     06/15/36           515      $ 633,608  

Anthem, Inc.,

 

Sr. Unsec’d. Notes

 

4.625%

     05/15/42           390        424,541  

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

 

Gtd. Notes, 144A

 

4.125%

     10/15/20           640        648,832  

HCA, Inc.,

 

Gtd. Notes

 

5.375%

     02/01/25           1,155        1,246,678  

Kaiser Foundation Hospitals,

 

Gtd. Notes

 

4.150%

     05/01/47           940        1,053,015  

Laboratory Corp. of America Holdings,

 

Sr. Unsec’d. Notes

 

3.200%

     02/01/22           190        193,113  

New York and Presbyterian Hospital (The),

 

Unsec’d. Notes

 

4.024%

     08/01/45           445        493,182  
           

 

 

 
              4,692,969  
           

 

 

 

Home Builders — 0.0%

 

Taylor Morrison Communities, Inc.,

 

Gtd. Notes, 144A

 

5.875%

     06/15/27           525        534,188  
           

 

 

 

Housewares — 0.1%

 

Newell Brands, Inc.,

 

Sr. Unsec’d. Notes

 

4.200%

     04/01/26           1,695        1,684,545  
           

 

 

 

Insurance — 0.2%

 

AXIS Specialty Finance LLC,

 

Gtd. Notes

 

5.875%

     06/01/20           1,030        1,061,903  

Hartford Financial Services Group, Inc. (The),

 

Sr. Unsec’d. Notes

 

5.125%

     04/15/22           755        809,440  

Liberty Mutual Group, Inc.,

 

Gtd. Notes, 144A

 

6.500%

     05/01/42           365        483,824  

7.000%

     03/15/34           850        1,114,160  

Lincoln National Corp.,

 

Sr. Unsec’d. Notes

 

6.300%

     10/09/37           772        982,129  

Markel Corp.,

 

Sr. Unsec’d. Notes

 

5.000%

     03/30/43           200        210,437  

New York Life Insurance Co.,

 

Sub. Notes, 144A

 

6.750%

     11/15/39           660        939,882  

Principal Financial Group, Inc.,

 

Gtd. Notes

 

4.625%

     09/15/42           130        143,735  

Interest
Rate

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

 

Insurance (continued)

 

Teachers Insurance & Annuity Association of America,

 

Sub. Notes, 144A

 

4.270%

     05/15/47           1,450      $ 1,570,032  

6.850%

     12/16/39           124        175,755  

Unum Group,

 

Sr. Unsec’d. Notes

 

5.625%

     09/15/20           350        363,197  

W.R. Berkley Corp.,

 

Sr. Unsec’d. Notes

 

6.150%

     08/15/19           460        461,783  
           

 

 

 
              8,316,277  
           

 

 

 

Lodging — 0.0%

 

Marriott International, Inc.,

 

Sr. Unsec’d. Notes

 

3.250%

     09/15/22           980        1,002,194  
           

 

 

 

Machinery-Diversified — 0.0%

 

Xylem, Inc.,

 

Sr. Unsec’d. Notes

 

4.875%

     10/01/21           1,260        1,322,362  
           

 

 

 

Media — 0.3%

 

AMC Networks, Inc.,

 

Gtd. Notes

 

5.000%

     04/01/24           1,520        1,563,700  

Charter Communications Operating LLC/Charter Communications Operating Capital,

 

Sr. Sec’d. Notes

 

5.375%

     04/01/38           1,950        2,088,184  

6.384%

     10/23/35           875        1,027,612  

6.484%

     10/23/45           1,386        1,633,136  

Comcast Corp.,

 

Gtd. Notes

 

4.250%

     10/15/30           680        758,891  

6.400%

     05/15/38           530        716,393  

Discovery Communications LLC,

 

Gtd. Notes

 

2.800%

     06/15/20           1,740        1,743,482  

NBCUniversal Media LLC,

 

Gtd. Notes

 

2.875%

     01/15/23           330        337,085  

Time Warner Cable LLC,

 

Sr. Sec’d. Notes

 

5.500%

     09/01/41           360        377,433  

Viacom, Inc.,

 

Sr. Unsec’d. Notes

 

5.250%

     04/01/44           450        490,705  

Videotron Ltd. (Canada),

 

Gtd. Notes

 

5.000%

     07/15/22           1,040        1,089,400  

Walt Disney Co. (The),

 

Gtd. Notes, 144A

 

6.150%

     03/01/37           515        699,685  

6.900%

     08/15/39           90        132,642  
           

 

 

 
              12,658,348  
           

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A89


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (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%(ff)

     10/19/75          425      $ 442,531  

Southern Copper Corp. (Peru),

 

Sr. Unsec’d. Notes

 

6.750%

     04/16/40          425        536,224  
          

 

 

 
             978,755  
          

 

 

 

Miscellaneous Manufacturing — 0.0%

 

Actuant Corp.,

 

Gtd. Notes

 

5.625%

     06/15/22          1,205        1,214,038  

General Electric Co.,

 

Sr. Unsec’d. Notes, GMTN

 

6.000%

     08/07/19          264        264,865  
          

 

 

 
             1,478,903  
          

 

 

 

Multi-National — 0.1%

 

Corp. Andina de Fomento (Supranational Bank),

 

Sr. Unsec’d. Notes

 

2.125%

     09/27/21          1,640        1,625,650  

2.750%

     01/06/23          315        317,265  

North American Development Bank (Supranational Bank),

 

Sr. Unsec’d. Notes

 

2.400%

     10/26/22          1,095        1,098,141  

4.375%

     02/11/20          1,000        1,011,950  
          

 

 

 
             4,053,006  
          

 

 

 

Oil & Gas — 0.5%

 

Anadarko Petroleum Corp.,

 

Sr. Unsec’d. Notes

 

4.677%(s)

     10/10/36          2,000        944,901  

4.850%

     03/15/21          575        595,226  

6.450%

     09/15/36          1,155        1,420,005  

Antero Resources Corp.,

 

Gtd. Notes

 

5.000%

     03/01/25 (a)         1,400        1,291,500  

Cenovus Energy, Inc. (Canada),

 

Sr. Unsec’d. Notes

 

5.400%

     06/15/47 (a)         1,200        1,302,265  

Concho Resources, Inc.,

 

Gtd. Notes

 

4.875%

     10/01/47          210        235,062  

Devon Energy Corp.,

 

Sr. Unsec’d. Notes

 

5.600%

     07/15/41          300        356,114  

Encana Corp. (Canada),

 

Gtd. Notes

 

6.500%

     08/15/34          370        454,173  

6.500%

     02/01/38          275        336,785  

Gazprom OAO Via Gaz Capital SA (Russia),

 

Sr. Unsec’d. Notes, 144A

 

4.950%

     07/19/22          350        366,842  

6.510%

     03/07/22          580        626,381  

Helmerich & Payne, Inc.,

 

Gtd. Notes

 

4.650%

     03/15/25          1,995        2,112,053  

Interest
Rate

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

 

Oil & Gas (continued)

 

KazMunayGas National Co. JSC (Kazakhstan),

 

Sr. Unsec’d. Notes, 144A

 

4.750%

     04/24/25 (a)         550      $ 586,370  

Noble Energy, Inc.,

 

Sr. Unsec’d. Notes

 

5.050%

     11/15/44          835        888,200  

Petrobras Global Finance BV (Brazil),

 

Gtd. Notes

 

5.299%

     01/27/25          740        785,140  

5.750%

     02/01/29          840        875,616  

6.250%

     03/17/24          710        776,598  

Petroleos Mexicanos (Mexico),

 

Gtd. Notes

 

5.375%

     03/13/22          450        453,398  

5.500%

     01/21/21          2,110        2,134,265  

6.350%

     02/12/48          1,536        1,318,656  

6.500%

     06/02/41          1,255        1,113,185  

8.625%

     12/01/23          350        384,943  

Gtd. Notes, MTN

 

6.750%

     09/21/47          2,265        2,016,983  

6.875%

     08/04/26          1,000        1,012,400  
          

 

 

 
             22,387,061  
          

 

 

 

Oil & Gas Services — 0.1%

 

Cameron International Corp.,

 

Gtd. Notes

 

4.500%

     06/01/21          2,200        2,252,409  

Schlumberger Holdings Corp.,

 

Sr. Unsec’d. Notes, 144A

 

3.900%

     05/17/28          2,781        2,893,993  

4.000%

     12/21/25          183        193,706  
          

 

 

 
             5,340,108  
          

 

 

 

Packaging & Containers — 0.0%

 

Ball Corp.,

 

Gtd. Notes

 

4.375%

     12/15/20 (a)         630        643,860  

WestRock RKT LLC,

 

Gtd. Notes

 

4.900%

     03/01/22          800        845,678  
          

 

 

 
             1,489,538  
          

 

 

 

Pharmaceuticals — 0.7%

 

AbbVie, Inc.,

 

Sr. Unsec’d. Notes

 

3.600%

     05/14/25          1,175        1,213,984  

4.500%

     05/14/35          1,910        1,970,343  

Allergan Funding SCS,

 

Gtd. Notes

 

4.550%

     03/15/35          2,190        2,211,198  

Bayer US Finance II LLC (Germany),

 

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

 

2.979%(c)

     06/25/21          1,115        1,107,513  

Gtd. Notes, 144A

 

3.500%

     06/25/21          500        507,242  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A90


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Pharmaceuticals (continued)

 

Bristol-Myers Squibb Co.,

 

Sr. Unsec’d. Notes, 144A

 

4.125%

     06/15/39           410      $ 442,150  

4.250%

     10/26/49           1,725        1,906,815  

Cigna Corp.,

 

Gtd. Notes, 144A

 

4.375%

     10/15/28           9,285        10,017,265  

CVS Health Corp.,

 

Sr. Unsec’d. Notes

 

4.780%

     03/25/38           340        354,679  

5.050%

     03/25/48           3,685        3,924,964  

5.125%

     07/20/45           610        650,513  

5.300%

     12/05/43           225        243,905  

Mylan, Inc.,

 

Gtd. Notes

 

5.200%

     04/15/48           1,375        1,269,682  

Shire Acquisitions Investments Ireland DAC,

 

Gtd. Notes

 

2.400%

     09/23/21           3,555        3,550,634  

Wyeth LLC,

 

Gtd. Notes

 

6.450%

     02/01/24           60        70,852  
           

 

 

 
              29,441,739  
           

 

 

 

Pipelines — 0.4%

 

DCP Midstream Operating LP,

 

Gtd. Notes, 144A

 

5.350%

     03/15/20           717        726,859  

Energy Transfer Operating LP,

 

Gtd. Notes

 

4.650%

     06/01/21           675        700,184  

4.950%

     06/15/28           1,115        1,219,050  

Enterprise Products Operating LLC,

 

Gtd. Notes

 

3.750%

     02/15/25           1,345        1,422,888  

MPLX LP,

 

Sr. Unsec’d. Notes

 

4.000%

     02/15/25           1,430        1,493,276  

4.800%

     02/15/29           1,750        1,927,451  

4.875%

     06/01/25           3,250        3,532,171  

5.200%

     03/01/47           40        42,994  

5.500%

     02/15/49           395        448,630  

ONEOK Partners LP,

 

Gtd. Notes

 

6.650%

     10/01/36           145        177,629  

ONEOK, Inc.,

 

Gtd. Notes

 

4.950%

     07/13/47           935        984,912  

Western Midstream Operating LP,

 

Sr. Unsec’d. Notes

 

5.300%

     03/01/48           125        115,971  

Williams Cos., Inc. (The),

 

Sr. Unsec’d. Notes

 

4.850%

     03/01/48           315        336,904  

4.900%

     01/15/45           1,000        1,047,876  

5.100%

     09/15/45           500        540,082  
           

 

 

 
              14,716,877  
           

 

 

 

Interest
Rate

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

 

Real Estate Investment Trusts (REITs) — 0.0%

 

GLP Capital LP/GLP Financing II, Inc.,

 

Gtd. Notes

 

5.375%

     04/15/26          1,050      $ 1,135,522  

Simon Property Group LP,

 

       

Sr. Unsec’d. Notes

 

3.375%

     03/15/22          230        236,233  
          

 

 

 
             1,371,755  
          

 

 

 

Retail — 0.2%

 

Dollar Tree, Inc.,

 

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

 

3.288%(c)

     04/17/20          1,100        1,100,127  

Sr. Unsec’d. Notes

 

4.000%

     05/15/25          4,705        4,904,476  

L Brands, Inc.,

 

Gtd. Notes

 

5.625%

     02/15/22 (a)         725        757,705  

5.625%

     10/15/23          725        751,818  

Macy’s Retail Holdings, Inc.,

 

Gtd. Notes

 

3.875%

     01/15/22          360        366,341  

Sally Holdings LLC/Sally Capital, Inc.,

 

Gtd. Notes

 

5.625%

     12/01/25 (a)         1,375        1,349,150  
          

 

 

 
             9,229,617  
          

 

 

 

Savings & Loans — 0.0%

 

People’s United Financial, Inc.,

 

Sr. Unsec’d. Notes

 

3.650%

     12/06/22          1,455        1,497,732  
          

 

 

 

Semiconductors — 0.1%

 

Broadcom, Inc.,

 

Gtd. Notes, 144A

 

3.125%

     04/15/21          1,310        1,318,482  

3.125%

     10/15/22          1,010        1,016,359  
          

 

 

 
             2,334,841  
          

 

 

 

Software — 0.1%

 

Fidelity National Information Services, Inc.,

 

Sr. Unsec’d. Notes

 

3.625%

     10/15/20          1,233        1,251,214  

Microsoft Corp.,

 

Sr. Unsec’d. Notes

 

3.750%

     02/12/45          1,210        1,316,364  

4.450%

     11/03/45          215        257,839  
          

 

 

 
             2,825,417  
          

 

 

 

Telecommunications — 0.5%

 

AT&T Corp.,

 

Gtd. Notes

 

8.750%

     11/15/31          4        5,559  

AT&T, Inc.,

 

Sr. Unsec’d. Notes

 

3.400%

     05/15/25          2,355        2,420,952  

3.600%

     07/15/25          275        285,239  

3.800%

     02/15/27          1,065        1,108,318  

4.300%

     02/15/30          325        347,853  

4.550%

     03/09/49          64        65,325  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A91


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Telecommunications (continued)

 

4.850%

     03/01/39          6,690      $ 7,179,913  

5.250%

     03/01/37          65        72,950  

5.350%

     09/01/40          82        92,557  

Sprint Communications, Inc.,

 

Gtd. Notes, 144A

 

7.000%

     03/01/20 (a)         750        768,750  

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

 

Sr. Sec’d. Notes, 144A

 

3.360%

     03/20/23          1,125        1,125,293  

Verizon Communications, Inc.,

 

Sr. Unsec’d. Notes

 

4.125%

     08/15/46          725        756,819  

4.500%

     08/10/33          1,205        1,357,513  

4.862%

     08/21/46          860        1,001,289  

Sr. Unsec’d. Notes, 144A

 

4.016%

     12/03/29          1,900        2,057,208  
          

 

 

 
             18,645,538  
          

 

 

 

Transportation — 0.1%

 

Burlington Northern Santa Fe LLC,

 

Sr. Unsec’d. Notes

 

6.700%

     08/01/28          670        874,874  

CSX Corp.,

 

Sr. Unsec’d. Notes

 

6.150%

     05/01/37          715        923,208  

Norfolk Southern Corp.,

 

Sr. Unsec’d. Notes

 

5.590%

     05/17/25          100        113,870  
          

 

 

 
             1,911,952  
          

 

 

 

TOTAL CORPORATE BONDS
(cost $402,118,898)

 

     421,239,351  
          

 

 

 
MUNICIPAL BONDS — 0.4%

 

Alabama — 0.0%

 

Alabama Economic Settlement Authority,

 

Taxable BP Settlement, Revenue Bonds, Series B

 

4.263%

     09/15/32          240        263,470  
          

 

 

 

California — 0.1%

 

Bay Area Toll Authority,

 

Revenue Bonds, BABs

 

6.263%

     04/01/49          1,325        1,986,652  

State of California,

 

General Obligation Unlimited, BABs

 

7.300%

     10/01/39          1,270        1,909,001  

7.500%

     04/01/34          475        716,965  

7.625%

     03/01/40          215        339,257  

7.550%

     04/01/39          245        387,864  
          

 

 

 
             5,339,739  
          

 

 

 

Colorado — 0.0%

 

Regional Transportation District,

 

Revenue Bonds, BABs, Series B

 

5.844%

     11/01/50          680        970,856  
          

 

 

 

Interest
Rate

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

 

Illinois — 0.1%

 

Chicago O’Hare International Airport,

 

Revenue Bonds, BABs, Series B

 

6.395%

     01/01/40           1,030      $ 1,457,151  

State of Illinois,

 

General Obligation Unlimited, Series D

 

5.000%

     11/01/22           3,190        3,490,594  
           

 

 

 
              4,947,745  
           

 

 

 

New Jersey — 0.1%

 

New Jersey Turnpike Authority,

 

Revenue Bonds, BABs, Series F

 

7.414%

     01/01/40           1,070        1,655,236  
           

 

 

 

New York — 0.1%

 

New York City Transitional Finance Authority Future Tax Secured Revenue,

 

Revenue Bonds, Taxable, BABs

 

5.767%

     08/01/36           1,130        1,409,212  
           

 

 

 

Ohio — 0.0%

 

Ohio State University (The),

 

Revenue Bonds, BABs, Series C

 

4.910%

     06/01/40           455        564,937  

Ohio Water Development Authority Water Pollution Control Loan Fund,

 

Revenue Bonds, Taxable, BABs, Series B2

 

4.879%

     12/01/34           300        350,613  
           

 

 

 
              915,550  
           

 

 

 

Oregon — 0.0%

 

State of Oregon Department of Transportation,

 

Revenue Bonds, BABs, Series A

 

5.834%

     11/15/34           445        586,501  
           

 

 

 

Pennsylvania — 0.0%

 

Pennsylvania Turnpike Commission,

 

Revenue Bonds, BABs, Series B

 

5.511%

     12/01/45           550        724,845  
           

 

 

 

Virginia — 0.0%

 

University of Virginia,

 

Taxable, Revenue Bonds, Series C

 

4.179%

     09/01/2117           495        561,112  
           

 

 

 

TOTAL MUNICIPAL BONDS
(cost $13,435,748)

 

     17,374,266  
           

 

 

 
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.6%

 

Alternative Loan Trust,

 

Series 2004-18CB, Class 3A1

 

5.250%

     09/25/19           24        24,262  

Banc of America Funding Trust,

 

Series 2015-R04, Class 4A1, 144A

 

3.500%(cc)

     01/27/30           554        552,580  

Banc of America Mortgage Trust,

 

Series 2005-A, Class 2A1

 

4.503%(cc)

     02/25/35           330        334,596  

Bellemeade Re Ltd. (Bermuda),

 

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

 

4.104%(c)

     10/25/27           498        501,399  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A92


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Series 2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%

 

3.354%(c)

     08/25/28           588      $ 588,585  

Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%

 

3.754%(c)

     08/25/28           300        300,000  

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%

 

4.004%(c)

     08/25/28           300        299,640  

Series 2019-02A, Class M1A, 144A, 1 Month LIBOR + 1.000%

 

3.404%(c)

     04/25/29           2,210        2,212,534  

Central Park Funding Trust,

 

Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)

 

3.940%(c)

     11/01/23           4,700        4,699,996  

Chase Mortgage Finance Trust,

 

Series 2007-A01, Class 1A5

 

4.791%(cc)

     02/25/37           246        250,444  

CIM Trust,

 

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

 

4.440%(c)

     12/25/57           2,936        2,951,212  

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

 

4.440%(c)

     01/25/57           3,128        3,188,250  

Series 2017-06, Class A1, 144A

 

3.015%(cc)

     06/25/57           3,146        3,146,338  

Series 2017-08, Class A1, 144A

 

3.000%(cc)

     12/25/65           2,956        2,949,111  

Credit Suisse Mortgage Trust,

 

Series 2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400%

 

3.829%(c)

     08/25/37           1,078        1,077,539  

Series 2018-RPL09, Class A, 144A

 

3.850%(cc)

     09/25/57           2,461        2,543,850  

Eagle Re Ltd. (Bermuda),

 

Series 2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250%

 

3.654%(c)

     04/25/29           300        300,184  

Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800%

 

4.204%(c)

     04/25/29           300        300,237  

Fannie Mae Connecticut Avenue Securities,

 

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

 

3.854%(c)

     01/25/29           370        370,885  

Freddie Mac Structured Agency Credit Risk Debt Notes,

 

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

 

3.704%(c)

     03/25/29           1,017        1,019,323  

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

 

4.654%(c)

     11/25/28           603        608,939  

Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%

 

3.704%(c)

     04/25/29           2,001        2,006,850  

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

 

3.604%(c)

     07/25/29           1,830        1,837,683  

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

 

3.154%(c)

     03/25/30           3,911        3,915,177  

Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750%

 

3.161%(c)

     02/25/49           800        800,000  

Gosforth Funding PLC (United Kingdom),

 

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%

 

2.971%(c)

     08/25/60           1,947        1,947,471  

Holmes Master Issuer PLC (United Kingdom),

 

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

 

2.957%(c)

     10/15/54           1,949        1,949,018  

Interest
Rate

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

 

Home Re Ltd. (Bermuda),

 

Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650%

 

4.054%(c)

     05/25/29           610      $ 609,999  

JPMorgan Mortgage Trust,

 

Series 2007-A01, Class 4A1

 

4.661%(cc)

     07/25/35           122        125,467  

Lanark Master Issuer PLC (United Kingdom),

 

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

 

2.943%(c)

     12/22/69           1,400        1,400,162  

LSTAR Securities Investment Trust,

 

Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500%

 

3.940%(c)

     04/01/24           647        646,675  

MetLife Securitization Trust,

 

Series 2018-01A, Class A, 144A

 

3.750%(cc)

     03/25/57           901        939,222  

Mill City Mortgage Loan Trust,

 

Series 2019-01, Class A1, 144A

 

3.250%(cc)

     10/25/69           1,185        1,208,099  

New Residential Mortgage Loan Trust,

 

Series 2018-01A, Class A1A, 144A

 

4.000%(cc)

     12/25/57           1,809        1,875,494  

Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)

 

3.154%(c)

     01/25/48           860        859,869  

Oaktown Re II Ltd. (Bermuda),

 

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%

 

3.954%(c)

     07/25/28           660        659,518  

Park Avenue Funding Trust,

 

Series 2019-01, Class PT, 144A, 1 Month LIBOR + 1.500%

 

3.937%(c)

     11/27/20        14,660        14,660,016  

Seasoned Credit Risk Transfer Trust,

 

Series 2019-02, Class MA

 

3.500%

     08/25/58           1,330        1,380,764  

STACR Trust,

 

Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%

 

3.154%(c)

     09/25/48           1,307        1,308,029  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

4.566%(cc)

     02/25/34           141        142,765  

Washington Mutual Mortgage Pass-Through Certificates,

 

Series 2005-01, Class 3A

 

5.000%

     03/25/20           13        12,894  
           

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $66,177,730)

 

     66,505,076  
           

 

 

 
SOVEREIGN BONDS — 0.9%

 

Abu Dhabi Government International Bond (United Arab Emirates),

 

Sr. Unsec’d. Notes, 144A

 

3.125%

     10/11/27           3,350        3,475,055  

Colombia Government International Bond (Colombia),

 

Sr. Unsec’d. Notes

 

4.000%

     02/26/24           175        183,225  

4.375%

     07/12/21           500        517,505  

7.375%

     09/18/37           625        850,006  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A93


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Export-Import Bank of India (India),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     02/01/28           1,040      $ 1,067,382  

Export-Import Bank of Korea (South Korea),

 

Sr. Unsec’d. Notes

 

5.125%

     06/29/20           400        411,044  

Finnvera OYJ (Finland),

 

Gov’t. Gtd. Notes, 144A, MTN

 

2.375%

     06/04/25           400        405,302  

Hungary Government International Bond (Hungary),

 

Sr. Unsec’d. Notes

 

6.375%

     03/29/21           2,280        2,433,672  

Indonesia Government International Bond (Indonesia),

 

Sr. Unsec’d. Notes

 

3.375%

     07/30/25        EUR        1,500        1,929,090  

4.450%

     02/11/24           505        536,239  

Sr. Unsec’d. Notes, 144A, MTN

 

5.875%

     01/15/24           950        1,064,804  

Sr. Unsec’d. Notes, EMTN

 

2.150%

     07/18/24        EUR        2,100        2,540,001  

4.750%

     01/08/26           540        587,514  

Japan Finance Organization for Municipalities (Japan),

 

Sr. Unsec’d. Notes, 144A, MTN

 

2.125%

     04/13/21           400        399,648  

2.125%

     10/25/23           1,400        1,395,512  

2.625%

     04/20/22           2,000        2,025,511  

3.000%

     03/12/24           400        414,324  

Panama Government International Bond (Panama),

 

Sr. Unsec’d. Notes

 

4.000%

     09/22/24           515        547,708  

4.500%

     04/16/50           475        532,598  

Qatar Government International Bond (Qatar),

 

Sr. Unsec’d. Notes, 144A

 

3.875%

     04/23/23           1,105        1,158,924  

4.817%

     03/14/49           1,060        1,214,802  

5.103%

     04/23/48           915        1,089,994  

Romanian Government International Bond (Romania),

 

Sr. Unsec’d. Notes, EMTN

 

4.125%

     03/11/39        EUR        1,850        2,408,662  

Saudi Government International Bond (Saudi Arabia),

 

Sr. Unsec’d. Notes, 144A

 

5.250%

     01/16/50           1,720        1,954,918  

Sr. Unsec’d. Notes, 144A, MTN

 

2.375%

     10/26/21           1,325        1,322,588  

2.875%

     03/04/23           1,785        1,805,081  

4.000%

     04/17/25           1,035        1,100,981  

Tokyo Metropolitan Government (Japan),

 

Sr. Unsec’d. Notes, 144A

 

2.500%

     06/08/22           1,800        1,816,273  

3.250%

     06/01/23           800        832,142  

Turkey Government International Bond (Turkey),

 

Sr. Unsec’d. Notes

 

7.000%

     06/05/20           1,710        1,748,578  

Uruguay Government International Bond (Uruguay),

 

Sr. Unsec’d. Notes

 

5.100%

     06/18/50           680        764,157  
           

 

 

 

TOTAL SOVEREIGN BONDS
(cost $36,722,424)

 

     38,533,240  
           

 

 

 

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
    Value  
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.9%

 

Federal Home Loan Bank

 

5.500%

     07/15/36 (k)         1,080     $ 1,507,407  

Federal Home Loan Mortgage Corp.

 

2.000%

     01/01/32          1,024       1,014,888  

2.500%

     03/01/30          544       548,994  

3.000%

     10/01/28          409       419,394  

3.000%

     06/01/29          986       1,009,064  

3.000%

     03/01/32          1,162       1,189,981  

3.000%

     01/01/37          579       589,852  

3.000%

     01/01/43          1,107       1,126,736  

3.000%

     07/01/43          2,180       2,218,870  

3.000%

     01/01/47          6,704       6,786,002  

3.500%

     03/01/42          669       695,481  

3.500%

     06/01/42          397       412,460  

3.500%

     01/01/47          1,320       1,362,733  

4.000%

     06/01/26          607       636,249  

4.000%

     09/01/26          301       313,929  

4.000%

     10/01/39          869       916,900  

4.000%

     12/01/40          428       451,482  

4.000%

     10/01/41          454       479,538  

4.000%

     01/01/42          167       176,334  

4.000%

     10/01/45          702       735,078  

4.000%

     07/01/48          12,570       13,053,978  

4.500%

     07/01/19          (r)      147  

4.500%

     07/01/20          14       13,944  

4.500%

     09/01/39          313       336,132  

4.500%

     10/01/39          1,799       1,932,938  

4.500%

     12/01/39          538       578,403  

4.500%

     07/01/41          282       300,128  

4.500%

     07/01/41          1,864       2,003,759  

4.500%

     08/01/41          135       142,146  

4.500%

     08/01/41          240       255,543  

4.500%

     08/01/41          520       559,289  

4.500%

     10/01/41          150       158,063  

4.500%

     10/01/46          377       397,617  

4.500%

     12/01/47          2,141       2,255,863  

4.500%

     08/01/48          1,252       1,315,882  

5.000%

     05/01/34          24       26,585  

5.000%

     05/01/34          245       268,295  

5.000%

     08/01/35          24       26,178  

5.000%

     09/01/35          34       37,122  

5.000%

     10/01/36          38       41,384  

5.000%

     05/01/37          25       27,118  

5.000%

     07/01/37          495       539,444  

5.000%

     09/01/38          59       63,943  

5.000%

     09/01/38          62       67,020  

5.000%

     09/01/38          71       77,069  

5.000%

     02/01/39          24       25,920  

5.000%

     06/01/39          64       69,991  

5.500%

     02/01/34          34       36,362  

5.500%

     04/01/34          315       340,300  

5.500%

     06/01/34          111       119,663  

5.500%

     06/01/34          164       181,861  

5.500%

     05/01/37          53       58,469  

5.500%

     02/01/38          430       469,549  

5.500%

     05/01/38          78       84,830  

5.500%

     07/01/38          390       423,533  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A94


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

6.000%

     03/01/32           190      $ 209,610  

6.000%

     12/01/33           52        56,732  

6.000%

     07/01/36           4        4,248  

6.000%

     12/01/36           9        10,286  

6.000%

     05/01/37           14        15,843  

6.000%

     12/01/37           30        32,947  

6.000%

     01/01/38           4        4,278  

6.000%

     01/01/38           15        17,137  

6.000%

     01/01/38           358        405,705  

6.000%

     10/01/38           82        92,584  

6.000%

     08/01/39           48        54,094  

6.750%

     03/15/31           500        727,178  

7.000%

     01/01/31           25        27,717  

7.000%

     06/01/31           30        33,226  

7.000%

     09/01/31           4        4,377  

7.000%

     10/01/31           47        55,058  

7.000%

     10/01/32           31        32,325  

Federal National Mortgage Assoc.

 

2.000%

     08/01/31           1,428        1,413,518  

2.500%

     01/01/28           1,201        1,211,937  

2.500%

     10/01/43           1,053        1,049,902  

2.500%

     12/01/46           1,888        1,874,225  

3.000%

     TBA           9,000        9,069,434  

3.000%

     02/01/27           1,813        1,855,124  

3.000%

     08/01/30           1,096        1,120,012  

3.000%

     11/01/36           3,027        3,082,745  

3.000%

     12/01/42           1,314        1,336,934  

3.000%

     12/01/42           1,991        2,024,901  

3.000%

     11/01/46           380        384,465  

3.000%

     02/01/47           1,876        1,900,212  

3.000%

     03/01/47           1,411        1,429,264  

3.500%

     TBA           32,000        32,709,557  

3.500%

     11/01/32           475        494,246  

3.500%

     02/01/33           1,545        1,596,481  

3.500%

     05/01/33           2,954        3,053,177  

3.500%

     06/01/39           702        722,324  

3.500%

     01/01/42           6,806        7,066,073  

3.500%

     05/01/42           3,363        3,489,428  

3.500%

     07/01/42           882        915,290  

3.500%

     08/01/42           370        383,793  

3.500%

     08/01/42           1,127        1,169,585  

3.500%

     09/01/42           1,028        1,067,605  

3.500%

     09/01/42           1,770        1,838,123  

3.500%

     11/01/42           655        680,229  

3.500%

     03/01/43           3,275        3,410,945  

3.500%

     04/01/43           611        634,718  

3.500%

     04/01/43           1,592        1,652,651  

3.500%

     07/01/43           291        302,463  

3.500%

     06/01/45           7,463        7,697,185  

3.500%

     11/01/46           2,152        2,215,758  

3.500%

     05/01/48           2,668        2,740,400  

3.500%

     06/01/48           6,163        6,365,342  

4.000%

     12/01/36           1,158        1,211,668  

4.000%

     10/01/41           3,669        3,869,347  

4.000%

     07/01/44           1,391        1,464,957  

4.000%

     09/01/44           3,112        3,258,329  

Interest
Rate

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

 

4.000%

     06/01/47           1,838      $ 1,918,217  

4.000%

     09/01/47           667        694,953  

4.000%

     11/01/47           1,183        1,250,848  

4.500%

     07/01/33           55        58,318  

4.500%

     08/01/33           14        15,004  

4.500%

     09/01/33           45        48,480  

4.500%

     10/01/33           135        144,237  

4.500%

     03/01/34           37        39,625  

4.500%

     01/01/35           3        3,238  

4.500%

     07/01/39           935        1,004,254  

4.500%

     08/01/39           712        764,683  

4.500%

     09/01/39           513        550,705  

4.500%

     12/01/39           5        5,711  

4.500%

     03/01/41           1,705        1,830,433  

4.500%

     07/01/42           147        158,270  

5.000%

     03/01/34           250        271,733  

5.000%

     04/01/35           599        653,198  

5.000%

     06/01/35           146        159,812  

5.000%

     07/01/35           114        124,679  

5.000%

     07/01/35           148        161,094  

5.000%

     09/01/35           86        93,616  

5.000%

     11/01/35           111        120,725  

5.000%

     02/01/36           83        90,970  

5.500%

     02/01/33           115        124,313  

5.500%

     08/01/33           203        224,017  

5.500%

     10/01/33           53        58,074  

5.500%

     12/01/33           59        65,454  

5.500%

     12/01/34           150        166,144  

5.500%

     10/01/35           639        709,719  

5.500%

     03/01/36           51        54,652  

5.500%

     04/01/36           113        125,212  

5.500%

     01/01/37           72        79,438  

5.500%

     04/01/37           39        43,092  

5.500%

     05/01/37           238        264,230  

5.500%

     08/01/37           287        318,676  

6.000%

     05/01/21           35        35,714  

6.000%

     10/01/33           266        296,581  

6.000%

     11/01/33           25        27,663  

6.000%

     11/01/33           31        33,627  

6.000%

     01/01/34           258        292,302  

6.000%

     02/01/34           112        126,514  

6.000%

     03/01/34           2        2,432  

6.000%

     03/01/34           14        14,828  

6.000%

     03/01/34           40        43,918  

6.000%

     11/01/34           37        41,073  

6.000%

     01/01/35           59        65,592  

6.000%

     01/01/35           145        159,773  

6.000%

     02/01/35           3        3,540  

6.000%

     02/01/35           110        120,341  

6.000%

     02/01/35           223        255,335  

6.000%

     04/01/35           19        21,179  

6.000%

     12/01/35           90        98,747  

6.000%

     05/01/36           41        46,599  

6.000%

     06/01/36           15        16,798  

6.000%

     02/01/37           77        86,824  

6.000%

     06/01/37           39        44,504  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A95


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

6.000%

     05/01/38          201      $ 227,824  

6.250%

     05/15/29 (k)         1,935        2,611,890  

6.500%

     09/01/32          1        1,222  

6.500%

     09/01/32          9        10,212  

6.500%

     09/01/32          14        15,122  

6.500%

     09/01/32          42        47,168  

6.500%

     09/01/32          45        50,402  

6.500%

     10/01/32          45        50,496  

6.500%

     04/01/33          68        78,761  

6.500%

     11/01/33          22        24,403  

6.500%

     01/01/34          44        48,685  

6.500%

     09/01/34          51        56,410  

6.500%

     10/01/34          73        80,850  

6.500%

     09/01/36          137        161,242  

6.500%

     10/01/36          41        47,724  

6.500%

     11/01/36          39        42,745  

6.500%

     01/01/37          40        44,363  

6.500%

     01/01/37          109        121,331  

6.500%

     09/01/37          18        21,200  

6.625%

     11/15/30 (k)         550        786,317  

7.000%

     02/01/32          31        35,335  

7.000%

     05/01/32          15        18,176  

7.000%

     06/01/32          14        15,886  

7.000%

     07/01/32          57        64,538  

7.125%

     01/15/30 (k)         3,600        5,221,595  

Government National Mortgage Assoc.

 

2.500%

     03/20/43          813        825,919  

2.500%

     12/20/46          1,021        1,027,272  

3.000%

     03/15/45          1,306        1,333,718  

3.000%

     11/20/45          1,422        1,456,056  

3.000%

     03/20/46          9,431        9,654,887  

3.000%

     07/20/46          3,703        3,790,571  

3.000%

     12/20/46          1,368        1,400,138  

3.000%

     02/20/47          2,773        2,838,596  

3.500%

     TBA          14,000        14,450,625  

3.500%

     12/20/42          2,058        2,147,196  

3.500%

     05/20/43          422        439,657  

3.500%

     03/20/45          1,861        1,931,384  

3.500%

     04/20/45          2,623        2,720,863  

3.500%

     07/20/46          9,538        9,870,539  

4.000%

     06/15/40          177        188,542  

4.000%

     05/20/41          330        349,291  

4.000%

     12/20/42          696        736,333  

4.000%

     08/20/44          329        345,700  

4.000%

     11/20/45          1,873        1,974,628  

4.000%

     12/20/45          1,979        2,086,069  

4.000%

     11/20/46          480        503,858  

4.000%

     09/20/47          8,445        8,804,959  

4.500%

     04/15/40          777        836,934  

4.500%

     01/20/41          1,443        1,539,341  

4.500%

     02/20/41          916        977,417  

4.500%

     06/20/44          993        1,058,721  

4.500%

     09/20/46          601        639,114  

4.500%

     11/20/46          1,209        1,291,711  

4.500%

     03/20/47          1,234        1,304,937  

4.500%

     05/20/48          2,149        2,240,965  

Interest
Rate

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

 

4.500%

     06/20/48           2,952     $ 3,087,387  

4.500%

     08/20/48           9,144       9,552,935  

5.000%

     10/20/37           134       145,977  

5.000%

     04/20/45           880       964,740  

5.500%

     11/15/32           81       89,189  

5.500%

     02/15/33           61       67,259  

5.500%

     08/15/33           120       130,981  

5.500%

     08/15/33           164       174,418  

5.500%

     09/15/33           44       46,795  

5.500%

     09/15/33           84       92,887  

5.500%

     10/15/33           84       93,692  

5.500%

     12/15/33           13       14,281  

5.500%

     04/15/34           350       394,808  

5.500%

     07/15/35           72       81,150  

5.500%

     02/15/36           118       131,930  

6.000%

     02/15/33           3       3,207  

6.000%

     04/15/33           19       20,459  

6.000%

     09/15/33           19       21,983  

6.000%

     12/15/33           40       45,418  

6.000%

     12/15/33           103       112,719  

6.000%

     01/15/34           21       23,984  

6.000%

     01/15/34           35       39,230  

6.000%

     06/20/34           77       88,609  

6.000%

     07/15/34           170       194,176  

6.000%

     10/15/34           197       220,022  

6.500%

     10/15/23           1       992  

6.500%

     12/15/23           3       3,851  

6.500%

     01/15/24           1       1,382  

6.500%

     01/15/24           2       1,887  

6.500%

     01/15/24           4       4,668  

6.500%

     01/15/24           13       14,662  

6.500%

     01/15/24           18       19,976  

6.500%

     01/15/24           53       57,784  

6.500%

     02/15/24           (r)      330  

6.500%

     02/15/24           (r)      456  

6.500%

     02/15/24           2       2,511  

6.500%

     02/15/24           2       2,705  

6.500%

     02/15/24           4       4,114  

6.500%

     02/15/24           8       8,873  

6.500%

     02/15/24           11       11,821  

6.500%

     02/15/24           11       12,563  

6.500%

     02/15/24           16       17,253  

6.500%

     02/15/24           28       31,068  

6.500%

     04/15/24           2       1,977  

6.500%

     04/15/24           2       2,099  

6.500%

     04/15/24           2       2,110  

6.500%

     04/15/24           2       2,483  

6.500%

     04/15/24           4       4,384  

6.500%

     04/15/24           4       4,543  

6.500%

     04/15/24           12       13,299  

6.500%

     05/15/24           12       12,712  

6.500%

     05/15/24           14       15,763  

6.500%

     10/15/24           17       18,660  

6.500%

     12/15/30           8       8,387  

6.500%

     01/15/32           21       23,952  

6.500%

     02/15/32           17       18,465  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A96


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

6.500%

     07/15/32          42      $ 45,862  

6.500%

     08/15/32          6        6,239  

6.500%

     08/15/32          8        8,906  

6.500%

     08/15/32          28        31,033  

6.500%

     08/15/32          207        241,954  

6.500%

     06/15/35          5        5,778  

6.500%

     06/15/35          39        44,740  

6.500%

     07/15/35          7        7,688  

8.000%

     01/15/24          7        7,214  

8.000%

     04/15/25          5        5,383  
          

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $283,478,851)

 

     287,873,841  
          

 

 

 

U.S. TREASURY OBLIGATIONS — 1.2%

 

  

U.S. Treasury Bonds

 

       

3.750%

     11/15/43 (h)         2,900        3,569,945  

U.S. Treasury Inflation Indexed Bonds, TIPS

 

  

0.875%

     01/15/29          8,410        8,852,269  

U.S. Treasury Notes

 

       

1.125%

     02/28/21          640        632,775  

1.375%

     04/30/21          1,460        1,449,221  

1.625%

     04/30/23          530        527,909  

2.000%

     05/31/24          7,785        7,876,535  

2.250%

     11/15/27          2,430        2,487,712  

2.375%

     08/15/24          3,135        3,226,846  

2.375%

     05/15/29          8,640        8,928,562  

2.500%

     12/31/20 (k)         2,705        2,731,205  

2.625%

     11/15/20          1,000        1,010,273  

2.750%

     04/30/23 (k)         570        591,375  

3.125%

     11/15/28 (k)         6,070        6,657,794  

U.S. Treasury Strips Coupon

 

       

2.184%(s)

     02/15/28          615        515,750  

2.241%(s)

     05/15/28 (k)         2,553        2,126,242  
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $49,984,711)

 

     51,184,413  
          

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $3,416,722,342)

 

     3,982,185,603  
          

 

 

 
     Shares         
SHORT-TERM INVESTMENTS — 8.1%

 

AFFILIATED MUTUAL FUNDS — 8.1%

 

PGIM Core Short-Term Bond
Fund(w)

     8,496,730        78,424,822  

PGIM Core Ultra Short Bond
Fund(w)

     165,312,403        165,312,403  

PGIM Institutional Money Market Fund (cost $91,758,797; includes $91,594,489 of cash collateral for securities on loan)(b)(w)

     91,753,960        91,781,487  
     

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $338,890,564)

 

          335,518,712  
     

 

 

 

Interest
Rate

   Maturity
Date
    

 

     Principal
Amount
(000)#
     Value  
U.S. TREASURY OBLIGATION(k)(n) — 0.0%

 

U.S. Treasury Bills

 

2.172%

     09/19/19           150      $ 149,307  

(cost $149,280)

           
           

 

 

 

OPTIONS PURCHASED*~ — 0.0%
(cost $678,389)

 

     944,550  
           

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $339,718,233)

 

     336,612,569  
           

 

 

 

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—103.6%
(cost $3,756,440,575)

 

     4,318,798,172  
           

 

 

 

OPTIONS WRITTEN*~ — (0.0)%
(premiums received $249,286)

 

     (65,725
           

 

 

 

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—103.6%
(cost $3,756,191,289)

 

     4,318,732,447  

LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.6)%

 

     (151,220,021
           

 

 

 

NET ASSETS — 100.0%

 

   $ 4,167,512,426  
           

 

 

 

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

 

*

Non-income producing security.

 

#

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

 

~

See tables subsequent to the Schedule of Investments for options detail.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $(702,290) 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 $89,919,062; cash collateral of $91,594,489 (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, 2019.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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.

 

(ff)

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

 

(h)

Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A97


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

(k)

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

 

(n)

Rate shown reflects yield to maturity at purchased date.

 

(r)

Principal or notional amount is less than $500 par.

 

(rr)

Perpetual security with no stated maturity date.

 

(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) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

Forward Commitment Contracts

 

U.S. Government Agency Obligations

     Interest
Rate
     Maturity
Date
       Settlement
Date
       Principal
Amount
(000)#
     Value  

Federal National Mortgage Assoc.
(proceeds receivable $2,711,113)

       2.500      TBA          08/13/19          (2,750    $ (2,726,797
                    

 

 

 

Options Purchased:

Exchange Traded

 

Description

   Call/
Put
     Expiration
Date
     Strike      Contracts      Notional
Amount
(000)#
     Value  

2 Year U.S. Treasury Notes Futures

     Put        08/23/19      $ 107.00        577        1,154      $ 63,110  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 123.00        187        187        2,922  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 126.00        187        187        14,609  

Eurodollar 1-Year Mid Curve Futures

     Put        07/12/19      $ 97.75        263        658        1,644  

Eurodollar 1-Year Mid Curve Futures

     Put        07/12/19      $ 98.13        639        1,598        11,981  

Eurodollar 1-Year Mid Curve Futures

     Put        07/12/19      $ 98.25        263        658        13,150  

Eurodollar 1-Year Mid Curve Futures

     Put        08/16/19      $ 97.75        263        658        1,644  

Eurodollar 1-Year Mid Curve Futures

     Put        08/16/19      $ 98.25        263        658        37,806  

Eurodollar 1-Year Mid Curve Futures

     Put        09/13/19      $ 97.75        263        658        3,287  

Eurodollar 1-Year Mid Curve Futures

     Put        09/13/19      $ 98.25        263        658        52,600  
                 

 

 

 

Total Exchange Traded (cost $646,677)

                  $ 202,753  
                 

 

 

 

OTC Traded

 

Description

   Call/
Put
    

Counterparty

   Expiration
Date
     Strike     Contracts      Notional
Amount
(000)#
     Value  

2- Year 10 CMS Curve CAP

     Call      Morgan Stanley & Co. International PLC      11/21/19        0.13            600      $ 5,844  

2- Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      11/21/19        0.12            900        9,295  

2- Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      07/12/21        0.11            3,379        48,930  

2- Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      07/13/21        0.11            3,285        47,417  

2- Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      08/16/21        0.15            8,212        111,305  

2- Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      08/20/21        0.15            16,302        231,762  

2- Year 10 CMS Curve CAP

     Call      Bank of America, N.A.      09/13/21        0.14            16,540        241,010  

2- Year 10 CMS Curve CAP

     Call      Barclays Bank PLC      11/09/21        0.21            3,285        45,862  
                   

 

 

 

Total OTC Traded (cost $23,424)

              $ 741,425  
                   

 

 

 

OTC Swaptions

 

Description

   Call/
Put
     Counterparty      Expiration
Date
     Strike     Receive     Pay     Notional
Amount
(000)#
     Value  

30- Year Interest Rate Swap, 08/19/49
(cost $8,288)

     Put        Citibank, N.A.        08/15/19        2.66     3 Month LIBOR (Q)      2.66 %(S)      740      $ 372  
                    

 

 

 

Total Options Purchased (cost $678,389)

 

            $ 944,550  
                    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A98


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Options Written:

Exchange Traded

 

Description

   Call/
Put
     Expiration
Date
     Strike      Contracts      Notional
Amount
(000)#
     Value  

10 Year U.S. Treasury Notes Futures

     Put        07/26/19      $ 124.50        374        374      $ (5,844

Eurodollar 1-Year Mid Curve Futures

     Put        07/12/19      $ 97.88        639        1,598        (3,994

Eurodollar 1-Year Mid Curve Futures

     Put        07/12/19      $ 98.00        526        1,315        (3,287

Eurodollar 1-Year Mid Curve Futures

     Put        08/16/19      $ 98.00        526        1,315        (19,725

Eurodollar 1-Year Mid Curve Futures

     Put        09/13/19      $ 98.00        526        1,315        (32,875
                 

 

 

 

Total Options Written (premiums received $249,286)

                  $ (65,725
                 

 

 

 

Futures contracts outstanding at June 30, 2019:

 

Number of
Contracts
  Type     Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 
Long Positions:        
417     2 Year U.S. Treasury Notes       Sep. 2019     $ 89,729,930     $ 506,626  
2,323     5 Year U.S. Treasury Notes       Sep. 2019       274,476,969       4,070,150  
434     10 Year U.S. Ultra Treasury Bonds       Sep. 2019       59,946,250       1,919,867  
853     30 Year U.S. Ultra Treasury Bonds       Sep. 2019       151,460,812       6,905,353  
9     Mini MSCI EAFE Index       Sep. 2019       865,485       15,450  
       

 

 

 
          13,417,446  
       

 

 

 
Short Positions:        
8     10 Year Euro-Bund       Sep. 2019       1,571,381       (24,000
157     10 Year U.S. Treasury Notes       Sep. 2019       20,091,094       (41,163
764     20 Year U.S. Treasury Bonds       Sep. 2019       118,873,625       (4,649,903
       

 

 

 
          (4,715,066
       

 

 

 
        $ 8,702,380  
       

 

 

 

Forward foreign currency exchange contracts outstanding at June 30, 2019:

 

Purchase Contracts

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

OTC Forward Foreign Currency Exchange Contracts:

 

        

Euro,

                 

Expiring 07/02/19

     Citibank, N.A.      EUR  9,088      $ 10,359,594      $ 10,337,884      $      $ (21,710
        

 

 

    

 

 

    

 

 

    

 

 

 

Sale Contracts

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

OTC Forward Foreign Currency Exchange Contracts:

 

        

Euro,

                 

Expiring 07/02/19

     Citibank, N.A.        EUR 9,088      $ 10,205,408      $ 10,337,884      $      $ (132,476

Expiring 08/02/19

     Citibank, N.A.        EUR 9,088        10,385,858        10,364,900        20,958         
        

 

 

    

 

 

    

 

 

    

 

 

 
         $ 20,591,266      $ 20,702,784      $ 20,958      $ (132,476
        

 

 

    

 

 

    

 

 

    

 

 

 
               $ 20,958      $ (154,186
              

 

 

    

 

 

 

Credit default swap agreements outstanding at June 30, 2019:

 

Reference Entity/ Obligation

   Termination
Date
     Fixed
Rate
     Notional
Amount
(000)#(3)
     Value at
Trade
Date
     Value at
June 30,
2019
     Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

 

     

CDX.NA.IG.32.V1

     06/20/29        1.000%(Q)        39,000      $ 546,946      $ 93,132      $ (453,814
           

 

 

    

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A99


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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.

Forward rate agreements outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date(5)
     Fixed
Rate
    

Floating
Rate

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

Counterparty

 

OTC Forward Rate Agreements^:

  135,500        07/15/19        —(3)     

—(3)

   $ (218,137   $   —      $ (218,137  

Citigroup Global Markets Inc.

  260,300        07/24/19        —(4)     

—(4)

     (484,153            (484,153  

Citigroup Global Markets Inc.

           

 

 

   

 

 

    

 

 

   
            $ (702,290   $      $ (702,290  
           

 

 

   

 

 

    

 

 

   

 

(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 or receives payment based on CMM102 minus 7 year CMS minus 1.366% upon termination.

 

(4)

The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.338% upon termination.

 

(5)

The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

Interest rate swap agreements outstanding at June 30, 2019:

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2019
       Unrealized
Appreciation
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

           
EUR  3,905          05/11/24          0.050%(A)     

1 Day EONIA(1)(A)

     $ (43,095      $ (102,681      $ (59,586
EUR 1,390          05/11/39          1.100%(A)     

1 Day EONIA(1)(A)

       (12,624        (191,497        (178,873
  24,360          03/23/21          2.370%(A)     

1 Day USOIS(1)(A)

                (320,572        (320,572
  12,277          03/31/21          2.173%(A)     

1 Day USOIS(2)(A)

       (4,128        122,499          126,627  
  685          05/31/22          2.353%(A)     

1 Day USOIS(1)(A)

                (16,055        (16,055
  33,700          03/29/24          1.949%(A)     

1 Day USOIS(1)(A)

                (641,390        (641,390
  610          05/15/24          1.808%(A)     

1 Day USOIS(1)(A)

                (8,028        (8,028
  20,135          08/15/24          2.170%(S)     

3 Month LIBOR(1)(Q)

       49,779          (504,577        (554,356
  14,985          11/15/24          2.334%(S)     

3 Month LIBOR(1)(Q)

       46,829          (430,713        (477,542
  10,320          02/12/25          2.408%(A)     

1 Day USOIS(1)(A)

                (488,650        (488,650
  4,710          02/28/25          2.454%(A)     

1 Day USOIS(1)(A)

                (237,435        (237,435
  6,432          05/31/25          2.998%(S)     

3 Month LIBOR(1)(Q)

       (4,468        (441,177        (436,709
  3,575          07/31/25          2.802%(A)     

1 Day USOIS(1)(A)

                (269,323        (269,323
  4,870          07/31/25          3.105%(S)     

3 Month LIBOR(1)(Q)

       3,842          (411,476        (415,318

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A100


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2019 (continued):

 

Notional
Amount
(000)#
       Termination
Date
       Fixed
Rate
    

Floating Rate

     Value at
Trade Date
       Value at
June 30, 2019
       Unrealized
Appreciation
(Depreciation)
 
  16,149          07/31/25          3.109%(S)     

3 Month LIBOR(1)(Q)

     $ 1,001        $ (1,368,894      $ (1,369,895
  36,240          01/08/26          2.210%(S)     

3 Month LIBOR(1)(Q)

       294,382          (1,064,219        (1,358,601
  860          01/31/26          2.236%(S)     

3 Month LIBOR(1)(Q)

                (22,862        (22,862
  5,960          01/31/26          2.269%(A)     

1 Day USOIS(1)(A)

       (24,421        (264,558        (240,137
  8,033          02/15/27          1.824%(A)     

1 Day USOIS(1)(A)

       90,939          (108,032        (198,971
  1,575          02/15/27          1.899%(A)     

1 Day USOIS(1)(A)

       1,997          (30,209        (32,206
  1,325          02/15/27          1.965%(A)     

1 Day USOIS(1)(A)

                (32,069        (32,069
  4,595          02/15/27          2.067%(A)     

1 Day USOIS(1)(A)

       (2,908        (147,159        (144,251
  1,580          05/15/27          1.823%(A)     

1 Day USOIS(1)(A)

                (23,090        (23,090
  655          05/15/27          2.295%(S)     

3 Month LIBOR(1)(Q)

                (20,519        (20,519
  25,041          08/15/28          2.579%(A)     

1 Day USOIS(1)(A)

       (365,234        (1,960,928        (1,595,694
  11,635          08/15/28          2.835%(S)     

3 Month LIBOR(1)(Q)

       (50,614        (949,663        (899,049
  290          11/15/43          2.659%(S)     

3 Month LIBOR(1)(Q)

                (26,132        (26,132
                 

 

 

      

 

 

      

 

 

 
                  $ (18,723      $ (9,959,409      $ (9,940,686
                 

 

 

      

 

 

      

 

 

 

 

(1)

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

 

(2)

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

 

      Premiums
Paid
     Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Forward Rate Agreements

   $   —      $   —      $   —      $ (702,290

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

 

Broker

     Cash and/or Foreign Currency        Securities Market Value  

Citigroup Global Markets, Inc.

     $   —        $ 11,383,593  

Goldman Sachs & Co. LLC

                149,307  
    

 

 

      

 

 

 

Total

     $   —        $ 11,532,900  
    

 

 

      

 

 

 

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, 2019 in valuing such portfolio securities:

 

    

Level 1

    

Level 2

    

Level 3

 

Investments in Securities

        

Common Stocks.

   $ 2,479,364,657      $ 35,040,679      $   —  

Exchange-Traded Fund

     334,434                

Preferred Stocks

     606,980        155,813         

Rights.

            6,037         

Asset-Backed Securities

        

Automobiles

            88,340,568         

Collateralized Loan Obligations

            124,220,671         

Consumer Loans

            6,479,650         

Credit Cards

            12,415,202         

Equipment

            9,626,470         

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A101


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

    

Level 1

   

Level 2

   

Level 3

 

Investments in Securities (continued)

      

Asset-Backed Securities (continued)

      

Home Equity Loans

   $     $ 2,842,763     $  

Other

           7,980,368        

Residential Mortgage-Backed Securities

           25,990,825        

Student Loans

           30,890,540        

Bank Loans.

           1,892,647        

Commercial Mortgage-Backed Securities

           273,287,112        

Corporate Bonds

           421,239,351        

Municipal Bonds.

           17,374,266        

Residential Mortgage-Backed Securities

           66,505,076        

Sovereign Bonds

           38,533,240        

U.S. Government Agency Obligations

           287,873,841        

U.S. Treasury Obligations.

           51,333,720        

Affiliated Mutual Funds

     335,518,712              

Options Purchased

     202,753       741,797        

Options Written

     (65,725            

Other Financial Instruments*

      

Forward Commitment Contract

           (2,726,797      

Futures Contracts

     8,702,380              

OTC Forward Foreign Currency Exchange Contracts

           (133,228      

Centrally Cleared Credit Default Swap Agreement

           (453,814      

OTC Forward Rate Agreements

                 (702,290

Centrally Cleared Interest Rate Swap Agreements.

           (9,940,686      
  

 

 

   

 

 

   

 

 

 

Total

   $ 2,824,664,191     $ 1,489,516,111     $ (702,290
  

 

 

   

 

 

   

 

 

 

 

*

Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at the net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value.

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, 2019 were as follows:

 

Affiliated Mutual Funds (2.2% represents investments purchased with collateral from securities on loan)

     8.1

U.S. Government Agency Obligations

     6.9  

Commercial Mortgage-Backed Securities

     6.6  

Banks

     6.5  

Software

     4.7  

Pharmaceuticals

     3.1  

Interactive Media & Services

     3.0  

IT Services

     3.0  

Collateralized Loan Obligations

     3.0  

Automobiles

     2.8  

Technology Hardware, Storage & Peripherals

     2.6  

Health Care Equipment & Supplies

     2.5  

Oil, Gas & Consumable Fuels

     2.5  

Residential Mortgage-Backed Securities

     2.2  

Aerospace & Defense

     2.2  

Internet & Direct Marketing Retail

     1.9  

Biotechnology

     1.8  

Semiconductors & Semiconductor Equipment

     1.8  

Insurance

     1.7  

Beverages

     1.6  

Diversified Telecommunication Services

     1.6  

Capital Markets

     1.6  

Chemicals

     1.4  

Health Care Providers & Services

     1.4  

Equity Real Estate Investment Trusts (REITs)

     1.3  

Hotels, Restaurants & Leisure

     1.3

U.S. Treasury Obligations

     1.2  

Food Products

     1.2  

Diversified Financial Services

     1.1  

Communications Equipment

     1.0  

Media

     1.0  

Specialty Retail

     1.0  

Tobacco

     1.0  

Life Sciences Tools & Services

     1.0  

Electric

     1.0  

Sovereign Bonds

     0.9  

Student Loans

     0.7  

Entertainment

     0.7  

Electric Utilities

     0.7  

Industrial Conglomerates

     0.7  

Consumer Finance

     0.7  

Road & Rail

     0.7  

Household Products

     0.6  

Machinery

     0.6  

Oil & Gas

     0.5  

Multi-Utilities

     0.5  

Building Products

     0.5  

Food & Staples Retailing

     0.5  

Independent Power & Renewable Electricity Producers

     0.5  

Textiles, Apparel & Luxury Goods

     0.5  

Telecommunications

     0.5  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A102


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

 

Industry Classification (con’t)

Auto Manufacturers

     0.4

Municipal Bonds

     0.4  

Distributors

     0.4  

Pipelines

     0.4  

Electronic Equipment, Instruments & Components

     0.3  

Credit Cards

     0.3  

Foods

     0.3  

Gas Utilities

     0.3  

Real Estate Management & Development

     0.3  

Construction & Engineering

     0.3  

Construction Materials

     0.3  

Airlines

     0.3  

Equipment

     0.2  

Multiline Retail

     0.2  

Metals & Mining

     0.2  

Retail

     0.2  

Other

     0.2  

Consumer Loans

     0.2  

Commercial Services

     0.1  

Oil & Gas Services

     0.1  

Trading Companies & Distributors

     0.1  

Mortgage Real Estate Investment Trusts (REITs)

     0.1  

Electrical Equipment

     0.1  

Healthcare-Services

     0.1  

Transportation Infrastructure

     0.1  

Professional Services

     0.1  

Wireless Telecommunication Services

     0.1  

Multi-National

     0.1  

Diversified Consumer Services

     0.1  

Agriculture

     0.1  

Energy Equipment & Services

     0.1  

Gas

     0.1  

Building Materials

     0.1  

Home Equity Loans

     0.1

Semiconductors

     0.1  

Forest Products & Paper

     0.1  

Transportation

     0.1  

Housewares

     0.1  

Air Freight & Logistics

     0.0

Savings & Loans

     0.0

Packaging & Containers

     0.0

Miscellaneous Manufacturing

     0.0

Engineering & Construction

     0.0

Healthcare-Products

     0.0

Real Estate Investment Trusts (REITs)

     0.0

Machinery-Diversified

     0.0

Personal Products

     0.0

Commercial Services & Supplies

     0.0

Lodging

     0.0

Mining

     0.0

Options Purchased

     0.0

Electronics

     0.0

Containers & Packaging

     0.0

Home Builders

     0.0

Household Durables

     0.0

Auto Components

     0.0

Exchange-Traded Fund

     0.0

Paper & Forest Products

     0.0

Computers

     0.0

Leisure Products

     0.0

Marine

     0.0
  

 

 

 
     103.6  

Options Written

     (0.0 )* 

Liabilities in excess of other assets

     (3.6
  

 

 

 
     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 types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. 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, 2019 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Asset Derivatives

   

Liability Derivatives

 
  

Statement of Assets and
Liabilities Location

   Fair Value    

Statement of Assets and
Liabilities Location

   Fair Value  

Credit contracts

      $     Due from/to broker — variation margin swaps    $ 453,814

Equity contracts

   Due from/to broker — variation margin futures      15,450         

Equity contracts

   Unaffiliated investments      6,037           

Foreign exchange contracts

   Unrealized appreciation on OTC forward foreign currency exchange contracts      20,958     Unrealized depreciation on OTC forward foreign currency exchange contracts      154,186  

Interest rate contracts

   Due from/to broker — variation margin futures      13,401,996   Due from/to broker — variation margin futures      4,715,066

Interest rate contracts

   Due from/to broker — variation margin swaps      126,627   Due from/to broker — variation margin swaps      10,067,313

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A103


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Asset Derivatives

    

Liability Derivatives

 
  

Statement of Assets and
Liabilities Location

   Fair Value     

Statement of Assets and
Liabilities Location

   Fair Value  

Interest rate contracts

   Unaffiliated investments    $ 944,550      Options written outstanding, at value    $ 65,725  

Interest rate contracts

             Unrealized depreciation on OTC forward rate agreements      702,290  
     

 

 

       

 

 

 
      $ 14,515,618         $ 16,158,394  
     

 

 

       

 

 

 

 

*

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, 2019 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        Forward
Currency
Contracts
       Forward
Rate
Agreements
       Swaps  

Credit contracts

     $      $        $        $        $        $ (32,422

Equity contracts

                       61,346                             

Foreign exchange contracts

                                232,953                    

Interest rate contracts

       (1,325      55,675          14,390,061                   49,263          1,159,567  
    

 

 

    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ (1,325    $ 55,675        $ 14,451,407        $ 232,953        $ 49,263        $ 1,127,145  
    

 

 

    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

(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)     Options
Purchased(2)
    Options
Written
     Futures      Forward
Currency
Exchange
Contracts
    Forward
Rate
Agreements
    Swaps  

Credit contracts

   $     $     $      $      $     $     $ (1,237,024

Equity contracts

     (133                  31,852                     

Foreign exchange contracts

                               (47,109            

Interest rate contracts

           (206,071     183,561        1,902,421              (628,167     (11,107,468
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ (133   $ (206,071   $ 183,561      $ 1,934,273      $ (47,109   $ (628,167   $ (12,344,492
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

 

(2)

Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, 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)

 

Forward Foreign
Currency Exchange
Contracts—Purchased(3)

$299,076   $2,449,667   $574,320,289   $156,954,020   $3,453,198

 

Forward Foreign
Currency Exchange
Contracts—Sold(3)

 

Forward Rate
Agreements(2)

 

Interest Rate
Swap Agreements(2)

 

Credit Default
Swap Agreements—
Buy Protection(2)

$12,866,733   $330,566,667   $282,886,599   $39,000,000

 

Inflation Swap
Agreements(2)

$3,640,000

 

(1)

Cost.

 

(2)

Notional Amount in USD.

 

(3)

Value at Settlement Date.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A104


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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 derivatives 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.

     $ 89,919,062        $ (89,919,062    $   —  
    

 

 

         

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, N.A.

   $ 584,077      $     $ 584,077     $ (551,184   $ 32,893  

Barclays Bank PLC

     151,504              151,504             151,504  

Citibank, N.A.

     21,330        (154,186     (132,856           (132,856

Citigroup Global Markets Inc.

            (702,290     (702,290     702,290        

Morgan Stanley & Co. International PLC

     5,844              5,844             5,844  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 
   $ 762,755      $ (856,476   $ (93,721   $ 151,106     $ 57,385  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

(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.

 

A105


 
   FLEXIBLE MANAGED PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2019

 

ASSETS  

Investments at value, including securities on loan of $89,919,062:

 

Unaffiliated investments (cost $3,417,550,011) .

  $ 3,983,279,460  

Affiliated investments (cost $338,890,564)

    335,518,712  

Foreign currency, at value (cost $399,697)

    402,039  

Receivable for investments sold

    98,959,118  

Dividends and interest receivable

    11,184,062  

Tax reclaim receivable

    515,409  

Due from broker-variation margin swaps

    111,984  

Unrealized appreciation on OTC forward foreign currency exchange contracts

    20,958  

Receivable from affiliate

    3,855  

Receivable for Portfolio shares sold

    1,984  

Prepaid expenses and other assets

    13,591  
 

 

 

 

Total Assets

    4,430,011,172  
 

 

 

 
LIABILITIES  

Payable for investments purchased

    163,393,215  

Payable to broker for collateral for securities on loan

    91,594,489  

Forward commitment contracts, at value (proceeds receivable $2,711,113)

    2,726,797  

Management fee payable.

    2,023,909  

Unrealized depreciation on OTC forward rate agreements

    702,290  

Accrued expenses and other liabilities

    529,456  

Payable for Portfolio shares repurchased

    495,505  

Payable to custodian.

    454,125  

Payable to affiliate

    279,470  

Unrealized depreciation on OTC forward foreign currency exchange contracts

    154,186  

Due to broker-variation margin futures

    78,599  

Options written outstanding, at value (proceeds received $249,286)

    65,725  

Affiliated transfer agent fee payable

    980  
 

 

 

 

Total Liabilities

    262,498,746  
 

 

 

 
NET ASSETS   $ 4,167,512,426  
 

 

 

 

Net assets were comprised of:

 

Partners Equity

  $ 4,167,512,426  
 

 

 

 

Net asset value and redemption price per share, $4,167,512,426 / 129,725,325 outstanding shares of beneficial interest

  $ 32.13  
 

 

 

 

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Unaffiliated dividend income (net of $101,462 foreign withholding tax, of which $11,436 is reimbursable by an affiliate)

  $ 26,280,190  

Interest income (net of $1,931 foreign withholding tax)

    24,285,704  

Affiliated dividend income

    3,677,620  

Income from securities lending, net (including affiliated income of $78,530)

    86,189  
 

 

 

 

Total income

    54,329,703  
 

 

 

 
EXPENSES  

Management fee.

    12,095,571  

Custodian and accounting fees

    216,773  

Shareholders’ reports

    196,143  

Trustees’ fees

    26,884  

Audit fee.

    22,477  

Legal fees and expenses.

    12,008  

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

    5,297  

Miscellaneous

    42,497  
 

 

 

 

Total expenses

    12,617,650  
 

 

 

 
NET INVESTMENT INCOME (LOSS)     41,712,053  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $1,265)

    85,242,459  

Futures transactions.

    14,451,407  

Forward rate agreement transactions

    49,263  

Forward currency contract transactions

    232,953  

Options written transactions

    55,675  

Swap agreements transactions

    1,127,145  

Foreign currency transactions

    (18,409
 

 

 

 
    101,140,493  
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $190,592)

    331,397,539  

Futures

    1,934,273  

Forward rate agreements

    (628,167

Forward currency contracts.

    (47,109

Options written

    183,561  

Swap agreements.

    (12,344,492

Foreign currencies

    4,294  
 

 

 

 
    320,499,899  
 

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     421,640,392  
 

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 463,352,445  
 

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 41,712,053     $ 72,609,431  

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

     101,140,493       235,710,436  

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

     320,499,899       (472,582,378
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     463,352,445       (164,262,511
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [89,980 and 233,974 shares, respectively]

     2,767,167       7,057,478  

Portfolio shares repurchased [4,281,087 and 7,894,348 shares, respectively]

     (132,148,703     (239,041,615
  

 

 

   

 

 

 

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

     (129,381,536     (231,984,137
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      14,632       72,588  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      333,985,541       (396,174,060
NET ASSETS:     

Beginning of period

     3,833,526,885       4,229,700,945  
  

 

 

   

 

 

 

End of period.

   $ 4,167,512,426     $ 3,833,526,885  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A106


 
   GLOBAL PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

LONG-TERM INVESTMENTS — 96.7%  
COMMON STOCKS — 96.1%    Shares      Value  

Australia — 2.0%

 

AGL Energy Ltd.

     66,200      $ 929,788  

Aristocrat Leisure Ltd.

     105,638        2,276,966  

Ausdrill Ltd.

     123,200        158,385  

Caltex Australia Ltd.

     26,000        451,994  

Coca-Cola Amatil Ltd.

     166,300        1,192,587  

CSL Ltd.

     28,046        4,241,836  

CSR Ltd.

     334,900        918,812  

Fortescue Metals Group Ltd.

     201,900        1,280,357  

Harvey Norman Holdings Ltd.(a)

     247,700        708,995  

Inghams Group Ltd.

     268,900        759,214  

Lendlease Group

     101,800        929,491  

Macquarie Group Ltd.

     47,586        4,188,273  

Metcash Ltd.

     412,500        742,674  

Mineral Resources Ltd.

     49,500        521,933  

Qantas Airways Ltd.

     387,619        1,468,834  

Rio Tinto Ltd.

     26,000        1,897,193  

Woodside Petroleum Ltd.

     40,800        1,043,164  
     

 

 

 
        23,710,496  
     

 

 

 

Austria — 0.2%

 

OMV AG

     28,000        1,366,566  

voestalpine AG

     28,800        893,909  
     

 

 

 
        2,260,475  
     

 

 

 

Belgium — 0.1%

 

Bekaert SA

     22,500        603,779  

UCB SA

     8,900        738,027  
     

 

 

 
        1,341,806  
     

 

 

 

Canada — 2.5%

 

Brookfield Asset Management, Inc. (Class A Stock)(a)

     92,652        4,426,913  

Canadian National Railway Co.

     58,405        5,405,434  

Dollarama, Inc.

     70,479        2,479,453  

Magna International, Inc.(a)

     51,755        2,572,223  

Rogers Communications, Inc. (Class B Stock)

     49,568        2,653,367  

TC Energy Corp.

     136,116        6,740,464  

Toronto-Dominion Bank (The)

     78,529        4,588,629  
     

 

 

 
        28,866,483  
     

 

 

 

China — 2.4%

 

Alibaba Group Holding Ltd., ADR*

     78,555        13,311,145  

China Merchants Bank Co. Ltd.
(Class H Stock)

     864,000        4,312,190  

China Resources Cement Holdings Ltd.

     1,234,000        1,197,314  

Kingboard Holdings Ltd.

     216,000        602,480  

NetEase, Inc., ADR

     11,985        3,065,403  

Tencent Holdings Ltd.

     105,800        4,778,343  

Xinyi Solar Holdings Ltd.

     926,000        457,253  
     

 

 

 
        27,724,128  
     

 

 

 

Denmark — 0.9%

     

Coloplast A/S (Class B Stock)

     32,261        3,644,478  

Danske Bank A/S

     61,200        967,430  

Dfds A/S

     11,300        480,286  

DSV A/S

     16,987        1,668,886  
COMMON STOCKS
(continued)
   Shares      Value  

Denmark (continued)

 

Orsted A/S, 144A

     40,130      $ 3,466,106  
     

 

 

 
        10,227,186  
     

 

 

 

Finland — 0.2%

     

Neste OYJ

     28,172        958,632  

Nordea Bank Abp

     83,600        607,150  

UPM-Kymmene OYJ

     44,300        1,178,417  
     

 

 

 
        2,744,199  
     

 

 

 

France — 4.3%

 

Airbus SE

     36,349        5,157,729  

Arkema SA

     6,700        623,802  

Atos SE

     4,900        410,126  

AXA SA

     54,100        1,420,775  

BNP Paribas SA

     23,200        1,102,187  

Bouygues SA

     17,700        656,286  

Capgemini SE

     31,820        3,954,117  

Carrefour SA(a)

     41,800        807,270  

Cie Generale des Etablissements Michelin SCA

     12,000        1,520,302  

CNP Assurances

     42,800        971,551  

Credit Agricole SA

     78,500        940,780  

Engie SA

     50,000        757,758  

LVMH Moet Hennessy Louis Vuitton SE

     13,190        5,616,080  

Natixis SA

     146,400        590,665  

Orange SA

     82,400        1,298,609  

Peugeot SA

     24,200        596,410  

Renault SA

     12,300        773,833  

Safran SA

     34,420        5,047,751  

Sanofi

     50,200        4,338,475  

Societe Generale SA

     28,600        722,705  

TOTAL SA

     68,100        3,815,153  

TOTAL SA, ADR

     169,639        9,464,160  

Valeo SA

     8,300        269,658  

Worldline SA/France, 144A*

     1,960        142,674  
     

 

 

 
        50,998,856  
     

 

 

 

Germany — 2.2%

 

Allianz SE

     8,500        2,050,005  

Aurubis AG

     10,800        527,232  

BASF SE

     13,300        968,589  

Bayerische Motoren Werke AG

     14,800        1,095,127  

Covestro AG, 144A

     26,100        1,328,058  

Daimler AG

     17,600        978,386  

Deutsche Lufthansa AG

     54,200        927,828  

Deutsche Post AG

     18,500        608,254  

Evonik Industries AG

     36,500        1,065,586  

Infineon Technologies AG

     162,619        2,869,881  

METRO AG

     46,000        841,108  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     4,200        1,054,414  

Rational AG

     3,382        2,336,253  

Rheinmetall AG

     9,700        1,188,616  

SAP SE

     36,215        4,975,448  

Siemens AG

     10,600        1,261,454  

Volkswagen AG

     7,400        1,272,463  
     

 

 

 
        25,348,702  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A107


 
   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Hong Kong — 1.0%

     

AIA Group Ltd.

     642,800      $ 6,950,598  

CK Hutchison Holdings Ltd.

     143,000        1,407,912  

Lee & Man Paper Manufacturing Ltd.

     1,049,000        735,136  

PAX Global Technology Ltd.

     933,000        380,522  

Skyworth Digital Holdings Ltd.

     1,072,000        288,653  

WH Group Ltd., 144A

     1,291,500        1,312,461  

Wheelock & Co. Ltd.

     67,000        481,293  

Yue Yuen Industrial Holdings Ltd.

     296,500        812,391  
     

 

 

 
        12,368,966  
     

 

 

 

India — 0.3%

     

HDFC Bank Ltd., ADR

     26,011        3,382,471  
     

 

 

 

Ireland — 0.4%

     

Kingspan Group PLC

     68,939        3,742,909  

Smurfit Kappa Group PLC

     35,200        1,066,216  
     

 

 

 
        4,809,125  
     

 

 

 

Israel — 0.3%

     

Bank Hapoalim BM

     91,200        677,416  

Check Point Software Technologies Ltd.*(a)

     28,746        3,323,325  
     

 

 

 
        4,000,741  
     

 

 

 

Italy — 0.7%

     

A2A SpA

     546,200        947,648  

Enel SpA

     476,200        3,325,643  

Ferrari NV

     7,427        1,204,277  

Leonardo SpA

     74,400        944,195  

Mediobanca Banca di Credito Finanziario SpA

     87,600        902,267  

UnipolSai Assicurazioni SpA(a)

     253,700        651,673  
     

 

 

 
        7,975,703  
     

 

 

 

Japan — 5.6%

     

AGC, Inc.

     29,800        1,031,395  

Aisan Industry Co. Ltd.

     68,400        434,894  

Aisin Seiki Co. Ltd.

     14,000        482,818  

Astellas Pharma, Inc.

     88,200        1,258,393  

Daikin Industries Ltd.

     23,300        3,054,500  

Dowa Holdings Co. Ltd.

     21,700        699,084  

Enplas Corp.

     200        5,946  

Fujikura Ltd.

     95,500        359,527  

Hazama Ando Corp.

     85,900        574,593  

Hitachi Capital Corp.

     28,500        634,729  

Hitachi High-Technologies Corp.

     17,300        891,949  

Isuzu Motors Ltd.

     78,200        891,386  

ITOCHU Corp.

     102,900        1,969,415  

Japan Airlines Co. Ltd.

     28,000        894,676  

Japan Aviation Electronics Industry Ltd.

     46,000        677,883  

JTEKT Corp.

     50,800        619,148  

Kaneka Corp.

     14,800        557,961  

KDDI Corp.

     117,600        2,990,129  

Keihin Corp.

     54,300        779,520  

Keiyo Bank Ltd. (The)

     76,500        448,174  

Keyence Corp.

     8,500        5,241,398  

Komatsu Ltd.

     44,900        1,085,905  

Konica Minolta, Inc.

     87,900        858,819  
COMMON STOCKS
(continued)
   Shares      Value  

Japan (continued)

     

Lintec Corp.

     30,000      $ 626,325  

Marubeni Corp.

     173,200        1,149,086  

Mazda Motor Corp.

     56,700        592,234  

Mitsubishi Chemical Holdings Corp.

     82,800        579,686  

Mitsubishi Gas Chemical Co., Inc.

     46,900        627,094  

Mitsubishi UFJ Financial Group, Inc.

     248,600        1,182,816  

Mitsubishi UFJ Lease & Finance Co. Ltd.

     165,800        881,344  

Mitsui & Co. Ltd.

     61,800        1,007,965  

Mitsui Chemicals, Inc.

     31,500        782,130  

Mitsui Sugar Co. Ltd.

     25,400        525,571  

Mixi, Inc.

     17,800        357,524  

Mizuho Financial Group, Inc.

     597,700        866,814  

Nikon Corp.

     45,200        640,744  

Nippon Telegraph & Telephone Corp.

     69,300        3,230,931  

Nishi-Nippon Financial Holdings, Inc.

     48,600        350,292  

Nissan Motor Co. Ltd.

     161,600        1,158,096  

Nitori Holdings Co. Ltd.

     19,500        2,588,261  

NTN Corp.

     275,500        821,119  

NTT DOCOMO, Inc.

     24,800        578,434  

ORIX Corp.

     44,600        666,256  

Resona Holdings, Inc.

     355,300        1,481,835  

Sawai Pharmaceutical Co. Ltd.

     9,200        497,077  

Shiseido Co. Ltd.

     50,400        3,812,886  

SKY Perfect JSAT Holdings, Inc.

     151,000        589,487  

SMC Corp.

     6,000        2,248,468  

Sompo Holdings, Inc.

     26,800        1,036,208  

Sumitomo Forestry Co. Ltd.

     50,100        601,224  

Sumitomo Heavy Industries Ltd.

     32,300        1,114,122  

Sumitomo Mitsui Financial Group, Inc.

     33,900        1,198,828  

Teijin Ltd.

     67,300        1,148,983  

Toagosei Co. Ltd.

     53,700        565,720  

Toho Holdings Co. Ltd.

     12,400        278,280  

Towa Pharmaceutical Co. Ltd.

     28,200        717,241  

Toyo Tire Corp.

     35,200        464,187  

Toyoda Gosei Co. Ltd.

     33,200        648,976  

Toyota Motor Corp.

     15,730        978,400  

Tsubakimoto Chain Co.

     17,000        556,274  

Ube Industries Ltd.

     30,100        625,429  

Ulvac, Inc.

     12,700        403,298  

Yokohama Rubber Co. Ltd. (The)

     45,000        828,749  
     

 

 

 
        65,450,636  
     

 

 

 

Luxembourg — 0.1%

     

Tenaris SA

     121,841        1,597,398  
     

 

 

 

Macau — 0.2%

     

Galaxy Entertainment Group Ltd.

     404,000        2,724,043  
     

 

 

 

Netherlands — 2.4%

     

ABN AMRO Bank NV, CVA, 144A

     45,300        969,083  

Adyen NV, 144A*

     2,698        2,084,250  

Aegon NV

     95,000        472,024  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A108


 
   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Netherlands (continued)

     

ING Groep NV

     75,400      $ 873,952  

Koninklijke Ahold Delhaize NV

     95,900        2,155,546  

Koninklijke Philips NV

     102,367        4,452,940  

NN Group NV

     27,800        1,118,649  

NXP Semiconductors NV

     78,957        7,706,993  

Royal Dutch Shell PLC (Class A Stock)

     113,991        3,721,645  

Royal Dutch Shell PLC (Class B Stock)

     109,100        3,574,783  

Signify NV, 144A

     47,000        1,388,647  
     

 

 

 
        28,518,512  
     

 

 

 

New Zealand — 0.1%

     

Air New Zealand Ltd.

     485,600        865,510  
     

 

 

 

Norway — 0.2%

     

DNB ASA

     68,200        1,269,995  

Equinor ASA

     37,300        735,400  

Leroy Seafood Group ASA

     123,600        820,576  
     

 

 

 
        2,825,971  
     

 

 

 

Singapore — 0.1%

     

DBS Group Holdings Ltd.

     62,300        1,195,177  
     

 

 

 

South Africa — 0.2%

     

Bid Corp. Ltd.

     73,428        1,597,889  

Investec PLC

     79,700        518,110  
     

 

 

 
        2,115,999  
     

 

 

 

Spain — 1.0%

     

ACS Actividades de Construccion y Servicios SA(a)

     94,478        3,772,863  

Amadeus IT Group SA

     51,664        4,099,339  

Banco Santander SA

     137,900        638,449  

Iberdrola SA

     97,700        973,698  

Mapfre SA

     219,300        641,545  

Repsol SA

     85,300        1,339,001  
     

 

 

 
        11,464,895  
     

 

 

 

Sweden — 1.2%

     

Atlas Copco AB (Class A Stock)

     121,163        3,871,590  

Boliden AB

     35,400        906,930  

Electrolux AB (Class B Stock)

     37,400        956,228  

Hexagon AB (Class B Stock)

     57,189        3,178,687  

JM AB(a)

     25,700        590,540  

Sandvik AB

     45,200        829,332  

SKF AB (Class B Stock)

     58,700        1,079,350  

Swedbank AB (Class A Stock)

     18,400        276,543  

Volvo AB (Class B Stock)

     133,200        2,113,715  
     

 

 

 
        13,802,915  
     

 

 

 

Switzerland — 2.7%

     

ALSO Holding AG*

     690        98,665  

Baloise Holding AG

     9,000        1,593,116  

Credit Suisse Group AG*

     79,900        955,009  

Helvetia Holding AG

     7,000        879,094  

Landis+Gyr Group AG

     7,900        629,321  

Lonza Group AG*

     14,236        4,813,855  

Partners Group Holding AG

     4,538        3,567,191  

Roche Holding AG

     20,000        5,631,314  

Sika AG

     18,137        3,102,119  
COMMON STOCKS
(continued)
   Shares      Value  

Switzerland (continued)

 

Swiss Life Holding AG

     3,400      $ 1,686,825  

Swiss Re AG

     14,000        1,422,290  

Swisscom AG

     2,200        1,105,112  

Temenos AG*

     22,701        4,065,181  

UBS Group AG*

     83,800        996,571  

Zurich Insurance Group AG

     4,700        1,633,672  
     

 

 

 
        32,179,335  
     

 

 

 

Taiwan — 0.4%

     

Taiwan Semiconductor Manufacturing Co. Ltd.

     651,000        4,987,127  
     

 

 

 

United Kingdom — 4.9%

     

3i Group PLC

     97,100        1,373,564  

Abcam PLC

     51,495        965,313  

Aviva PLC

     164,200        869,086  

Babcock International Group PLC

     42,900        249,588  

BAE Systems PLC

     286,300        1,801,962  

Barclays PLC

     373,500        711,666  

Barratt Developments PLC

     109,300        794,763  

Bellway PLC

     25,400        898,478  

Berkeley Group Holdings PLC

     13,700        649,345  

Bovis Homes Group PLC

     66,300        870,583  

BP PLC

     355,000        2,477,130  

British American Tobacco PLC

     15,800        552,414  

BT Group PLC

     365,300        912,567  

Centrica PLC

     457,200        508,751  

Compass Group PLC

     170,775        4,094,701  

Crest Nicholson Holdings PLC

     143,814        652,508  

Debenhams PLC*^

     228,400        5,303  

Diageo PLC

     99,004        4,263,539  

Experian PLC

     147,779        4,477,918  

GlaxoSmithKline PLC

     156,200        3,127,141  

Go-Ahead Group PLC (The)

     34,500        866,498  

Imperial Brands PLC

     44,600        1,046,897  

Inchcape PLC

     66,600        521,703  

International Consolidated Airlines Group SA

     150,000        907,758  

J Sainsbury PLC

     324,800        808,055  

Keller Group PLC

     48,200        376,083  

Kingfisher PLC

     255,800        697,431  

Legal & General Group PLC

     415,000        1,421,890  

Lloyds Banking Group PLC

     1,954,100        1,406,941  

London Stock Exchange Group PLC

     44,284        3,089,181  

Marks & Spencer Group PLC

     279,900        747,579  

Meggitt PLC

     72,300        482,362  

National Express Group PLC

     154,700        789,979  

Paragon Banking Group PLC

     105,900        590,702  

Premier Foods PLC*

     357,756        153,456  

QinetiQ Group PLC

     214,000        759,914  

Quilter PLC, 144A

     73,300        130,843  

Redrow PLC

     77,600        536,782  

RELX PLC

     171,688        4,169,171  

Royal Mail PLC

     120,900        325,684  

RPC Group PLC

     42,000        423,099  

Segro PLC

     328,193        3,044,492  

St. James’s Place PLC

     126,243        1,762,416  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A109


 
   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

United Kingdom (continued)

     

Tate&LylePLC.

     109,000      $ 1,022,537  

Taylor Wimpey PLC

     263,400        528,105  

Vesuvius PLC

     81,100        565,011  
     

 

 

 
        57,430,889  
     

 

 

 

United States — 59.5%

     

Adobe, Inc.*

     32,994        9,721,682  

Alphabet, Inc. (Class C Stock)*

     10,709        11,575,465  

Amazon.com, Inc.*

     9,040        17,118,415  

American International Group, Inc.

     162,740        8,670,787  

Amphenol Corp. (Class A Stock)

     106,538        10,221,256  

Applied Materials, Inc.

     90,550        4,066,600  

AT&T, Inc.

     60,350        2,022,329  

Autodesk, Inc.*

     73,163        11,918,253  

AXA Equitable Holdings, Inc.

     74,234        1,551,491  

Bank of New York Mellon Corp. (The)

     84,588        3,734,560  

Becton, Dickinson & Co.

     12,144        3,060,409  

Boeing Co. (The)

     17,003        6,189,262  

Booking Holdings, Inc.*

     5,295        9,926,589  

Brown-Forman Corp. (Class B Stock)(a)

     161,581        8,956,435  

Bunge Ltd.

     59,826        3,332,906  

BWX Technologies, Inc.

     131,964        6,875,324  

Carnival Corp.

     54,350        2,529,992  

CF Industries Holdings, Inc.

     61,012        2,849,871  

Chubb Ltd.

     49,154        7,239,893  

Cintas Corp.

     50,234        11,920,026  

Cisco Systems, Inc.

     150,632        8,244,089  

Citigroup, Inc.

     51,816        3,628,674  

Cognizant Technology Solutions Corp. (Class A Stock)

     27,700        1,755,903  

Comcast Corp. (Class A Stock)

     108,655        4,593,933  

Conagra Brands, Inc.(a)

     88,621        2,350,229  

Corteva, Inc.*

     24,324        719,261  

Costco Wholesale Corp.

     31,168        8,236,456  

CVS Health Corp.

     93,235        5,080,375  

Danaher Corp.

     94,633        13,524,948  

DexCom, Inc.*

     74,069        11,098,499  

Dow, Inc.

     34,458        1,699,124  

Duke Energy Corp.

     23,340        2,059,522  

DuPont de Nemours, Inc.

     40,024        3,004,602  

Edwards Lifesciences Corp.*

     50,326        9,297,225  

Electronic Arts, Inc.*

     111,137        11,253,733  

EQT Corp.

     47,686        753,916  

Equitrans Midstream Corp.

     51,178        1,008,718  

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

     63,807        11,683,700  

Evergy, Inc.

     67,965        4,088,095  

Exxon Mobil Corp.

     92,670        7,101,302  

Ferguson PLC

     38,444        2,736,733  

Fifth Third Bancorp

     205,939        5,745,698  

FleetCor Technologies, Inc.*

     20,853        5,856,565  

Fortive Corp.

     142,383        11,607,062  

Fortune Brands Home & Security, Inc.

     73,026        4,171,975  

Fox Corp. (Class B Stock)

     94,000        3,433,820  
COMMON STOCKS
(continued)
   Shares      Value  

United States (continued)

     

Franklin Resources, Inc.(a)

     83,707      $ 2,913,004  

General Electric Co.

     663,250        6,964,125  

Genpact Ltd.

     272,258        10,370,307  

Gilead Sciences, Inc.

     47,711        3,223,355  

Hess Corp.

     29,045        1,846,391  

Hologic, Inc.*

     68,640        3,296,093  

Illinois Tool Works, Inc.(a)

     19,255        2,903,847  

International Paper Co.

     103,355        4,477,339  

Intuit, Inc.

     50,786        13,271,905  

Intuitive Surgical, Inc.*

     25,465        13,357,666  

Johnson & Johnson

     51,463        7,167,767  

Johnson Controls International PLC

     88,675        3,663,164  

JPMorgan Chase & Co.

     109,963        12,293,863  

Kimberly-Clark Corp.

     43,867        5,846,594  

Kohl’s Corp.(a)

     20,706        984,570  

Las Vegas Sands Corp.

     39,392        2,327,673  

Loews Corp.

     61,426        3,358,159  

Marsh & McLennan Cos., Inc.

     47,344        4,722,564  

Mattel, Inc.*(a)

     61,037        684,225  

Medtronic PLC.

     82,407        8,025,618  

Merck & Co., Inc.

     64,705        5,425,514  

MetLife, Inc.

     95,323        4,734,693  

Microsoft Corp.

     221,481        29,669,595  

Morgan Stanley

     162,796        7,132,093  

News Corp. (Class A Stock)

     159,800        2,155,702  

NextEra Energy, Inc.

     4,000        819,440  

Nielsen Holdings PLC(a)

     92,247        2,084,782  

Occidental Petroleum Corp.

     95,200        4,786,656  

PayPal Holdings, Inc.*

     136,957        15,676,098  

PepsiCo, Inc.

     22,868        2,998,681  

Perrigo Co. PLC(a)

     53,856        2,564,623  

Pfizer, Inc.

     217,334        9,414,909  

PG&E Corp.*

     49,500        1,134,540  

Philip Morris International, Inc.

     61,714        4,846,400  

Pioneer Natural Resources Co.

     21,412        3,294,450  

QUALCOMM, Inc.

     94,201        7,165,870  

Raytheon Co.

     17,385        3,022,904  

Roper Technologies, Inc.

     40,839        14,957,692  

salesforce.com, Inc.*

     73,583        11,164,749  

SBA Communications Corp.*

     67,526        15,182,546  

Sempra Energy

     11,100        1,525,584  

Sherwin-Williams Co. (The)

     26,096        11,959,536  

Signature Bank

     13,900        1,679,676  

SL Green Realty Corp.

     28,050        2,254,379  

Southern Co. (The)

     150,982        8,346,285  

Southwest Airlines Co.

     85,836        4,358,752  

Stericycle, Inc.*(a)

     44,291        2,114,895  

TE Connectivity Ltd.

     32,051        3,069,845  

Texas Instruments, Inc.

     39,050        4,481,378  

Thermo Fisher Scientific, Inc.

     59,010        17,330,057  

TJX Cos., Inc. (The)

     181,330        9,588,730  

Tyson Foods, Inc. (Class A Stock)

     118,047        9,531,115  

U.S. Bancorp

     84,235        4,413,914  

United Parcel Service, Inc. (Class B Stock)

     51,050        5,271,933  

Verizon Communications, Inc.

     124,098        7,089,719  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A110


 
   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

United States (continued)

     

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

     98,983      $ 17,178,500  

Walmart, Inc.

     44,953        4,966,857  

Walt Disney Co. (The)

     8,467        1,182,332  

Wells Fargo & Co.

     260,422        12,323,169  

Weyerhaeuser Co.

     162,244        4,273,507  

Zimmer Biomet Holdings, Inc.

     20,108        2,367,516  

Zoetis, Inc.

     147,272        16,713,899  
     

 

 

 
        700,167,446  
     

 

 

 

TOTAL COMMON STOCKS
(cost $814,953,175)

 

     1,131,085,190  
     

 

 

 
PREFERRED STOCKS — 0.6%

 

United States

     

Becton, Dickinson & Co., CVT, 6.125%

     13,865        858,382  

NextEra Energy, Inc., CVT, 6.123%

     54,098        3,512,583  

Sempra Energy Series A, CVT, 6.000%

     21,874        2,438,732  

Sempra Energy Series B, CVT, 6.750%

     4,673        518,797  
     

 

 

 

TOTAL PREFERRED STOCKS
(cost $6,112,494)

 

     7,328,494  
     

 

 

 
     Units         
RIGHTS* — 0.0%      

Spain

     

ACS Actividades de Construccion y Servicios SA, expiring 07/10/19

     94,478        148,255  

Repsol SA, expiring 07/05/19

     85,300        47,314  
     

 

 

 

TOTAL RIGHTS
(cost $204,386)

 

     195,569  
     

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $821,270,055)

 

     1,138,609,253  
     

 

 

 
         Shares      Value  
SHORT-TERM INVESTMENTS — 6.8%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Ultra Short Bond Fund(w)

     34,278,649      $ 34,278,649  

PGIM Institutional Money Market Fund (cost $45,286,353; includes $45,185,473 of cash collateral for securities on loan)(b)(w)

     45,283,869        45,297,454  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $79,565,002)

 

     79,576,103  
     

 

 

 

TOTAL INVESTMENTS — 103.5%
(cost $900,835,057)

 

     1,218,185,356  

LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)%

 

     (40,792,197
     

 

 

 

NET ASSETS — 100.0%

 

   $ 1,177,393,159  
     

 

 

 

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

 

*

Non-income producing security.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $5,303 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 $44,473,907; cash collateral of $45,185,473 (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 the 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, 2019 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

        

Common Stocks

        

Australia

   $      $ 23,710,496      $   —  

Austria

            2,260,475         

Belgium

            1,341,806         

Canada

     28,866,483                

China

     16,376,548        11,347,580         

Denmark

            10,227,186         

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A111


 
   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

     Level 1      Level 2      Level 3  

Investments in Securities (continued)

        

Common Stocks (continued)

        

Finland

   $      $ 2,744,199      $  

France

     9,464,160        41,534,696         

Germany

            25,348,702         

Hong Kong

            12,368,966         

India

     3,382,471                

Ireland

            4,809,125         

Israel

     3,323,325        677,416         

Italy

            7,975,703         

Japan

            65,450,636         

Luxembourg

            1,597,398         

Macau

            2,724,043         

Netherlands

     7,706,993        20,811,519         

New Zealand

            865,510         

Norway

            2,825,971         

Singapore

            1,195,177         

South Africa

            2,115,999         

Spain

            11,464,895         

Sweden

            13,802,915         

Switzerland

            32,179,335         

Taiwan

            4,987,127         

United Kingdom

            57,425,586        5,303  

United States

     697,430,713        2,736,733         

Preferred Stocks

        

United States

     7,328,494                

Rights

        

Spain

            195,569         

Affiliated Mutual Funds

     79,576,103                
  

 

 

    

 

 

    

 

 

 

Total

   $ 853,455,290      $ 364,724,763      $ 5,303  
  

 

 

    

 

 

    

 

 

 

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, 2019 were as follows:

 

Software

     7.3

Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan)

     6.8  

Health Care Equipment & Supplies

     6.2  

Banks

     6.0  

IT Services

     5.1  

Pharmaceuticals

     5.0  

Oil, Gas & Consumable Fuels

     4.6  

Insurance

     4.5  

Internet & Direct Marketing Retail

     3.4  

Capital Markets

     2.9  

Chemicals

     2.9  

Machinery

     2.7  

Semiconductors & Semiconductor Equipment

     2.5  

Aerospace & Defense

     2.5  

Electric Utilities

     2.4  

Electronic Equipment, Instruments & Components

     2.3  

Industrial Conglomerates

     2.2  

Equity Real Estate Investment Trusts (REITs)

     2.2  

Life Sciences Tools & Services

     1.9  

Food & Staples Retailing

     1.8  

Food Products

     1.7  

Beverages

     1.6  

Interactive Media & Services

     1.4  

Building Products

     1.4

Diversified Telecommunication Services

     1.4  

Entertainment

     1.4  

Personal Products

     1.3  

Commercial Services & Supplies

     1.2  

Hotels, Restaurants & Leisure

     1.1  

Specialty Retail

     1.1  

Professional Services

     1.0  

Media

     0.9  

Airlines

     0.9  

Road & Rail

     0.9  

Automobiles

     0.8  

Biotechnology

     0.8  

Communications Equipment

     0.7  

Household Durables

     0.7  

Auto Components

     0.6  

Multi-Utilities

     0.6  

Metals & Mining

     0.6  

Trading Companies & Distributors

     0.6  

Textiles, Apparel & Luxury Goods

     0.6  

Tobacco

     0.5  

Wireless Telecommunication Services

     0.5  

Air Freight & Logistics

     0.5  

Containers & Packaging

     0.5  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A112


 
   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

 

Industry Classification (con’t)

      

Household Products

     0.5

Construction & Engineering

     0.4  

Health Care Providers & Services

     0.4  

Multiline Retail

     0.4  

Diversified Financial Services

     0.3  

Construction Materials

     0.2  

Paper & Forest Products

     0.2  

Electrical Equipment

     0.1  

Energy Equipment & Services

     0.1  

Real Estate Management & Development

     0.1  

Technology Hardware, Storage & Peripherals

     0.1  

Leisure Products

     0.1

Consumer Finance

     0.1  

Thrifts & Mortgage Finance

     0.0

Distributors

     0.0

Marine

     0.0
  

 

 

 
     103.5  

Liabilities in excess of other assets

     (3.5
  

 

 

 
     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 type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. 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, 2019 as presented in the Statement of Assets and Liabilities:

 

    

Asset Derivatives

    

Liability Derivatives

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Statement of
Assets and
Liabilities Location

   Fair
Value
    

Statement of
Assets and
Liabilities Location

   Fair
Value
 

Equity contracts

   Unaffiliated investments    $ 195,569         $   —  
     

 

 

       

 

 

 

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 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

     $ 25,017  
    

 

 

 

 

(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

     $ (8,024
    

 

 

 

 

(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

     $ 44,473,907        $ (44,473,907    $   —  
    

 

 

         

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A113


 
   GLOBAL PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

 

ASSETS   

Investments at value, including securities on loan of $44,473,907:

  

Unaffiliated investments (cost $821,270,055)

   $ 1,138,609,253  

Affiliated investments (cost $79,565,002)

     79,576,103  

Foreign currency, at value (cost $3,321,347)

     3,345,028  

Tax reclaim receivable

     1,997,715  

Dividends and interest receivable

     1,646,844  

Receivable for investments sold

     418,418  

Receivable from affiliate

     36,287  

Receivable for Portfolio shares sold

     834  

Prepaid expenses

     1,260  
  

 

 

 

Total Assets

     1,225,631,742  
  

 

 

 
LIABILITIES   

Payable to broker for collateral for securities on loan

     45,185,473  

Payable to affiliate

     939,263  

Payable for investments purchased

     859,279  

Management fee payable

     680,509  

Accrued expenses and other liabilities

     329,285  

Payable for Portfolio shares repurchased

     237,187  

Payable to custodian

     6,607  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     48,238,583  
  

 

 

 
NET ASSETS    $ 1,177,393,159  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 1,177,393,159  
  

 

 

 

Net asset value and redemption price per share, $1,177,393,159 / 31,152,659 outstanding shares of beneficial interest

   $ 37.79  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net of $1,051,564 foreign withholding tax, of which $88,638 is reimbursable by an affiliate)

   $ 13,902,789  

Affiliated dividend income

     409,907  

Income from securities lending, net (including affiliated income of $72,140)

     156,869  
  

 

 

 

Total income

     14,469,565  
  

 

 

 
EXPENSES   

Management fee

     4,172,320  

Custodian and accounting fees

     157,588  

Shareholders’ reports

     65,969  

Audit fee

     14,064  

Trustees’ fees

     10,919  

Legal fees and expenses

     7,274  

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

     5,297  

Miscellaneous

     21,499  
  

 

 

 

Total expenses

     4,454,930  

Less: Fee waiver and/or expense reimbursement

     (178,018
  

 

 

 

Net expenses

     4,276,912  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      10,192,653  
  

 

 

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

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $136)

     16,733,652  

Foreign currency transactions

     (45,967
  

 

 

 
     16,687,685  
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $11,649)

     160,394,750  

Foreign currencies

     36,137  
  

 

 

 
     160,430,887  
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      177,118,572  
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 187,311,225  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 10,192,653     $ 15,130,916  

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

     16,687,685       72,526,568  

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

     160,430,887       (166,392,080
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     187,311,225       (78,734,596
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [439,671 and 414,359 shares, respectively]

     16,221,124       14,682,656  

Portfolio shares repurchased [917,200 and 1,780,900 shares, respectively]

     (32,899,019     (62,730,947
  

 

 

   

 

 

 

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

     (16,677,895     (48,048,291
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS      85,664       520,841  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      170,718,994       (126,262,046
NET ASSETS:     

Beginning of period

     1,006,674,165       1,132,936,211  
  

 

 

   

 

 

 

End of period

   $ 1,177,393,159     $ 1,006,674,165  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A114


 
   GOVERNMENT INCOME PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
LONG-TERM INVESTMENTS — 96.1%

 

ASSET-BACKED SECURITIES — 13.3%

 

Collateralized Loan Obligations

 

Atlas Senior Loan Fund Ltd. (Cayman Islands),

 

Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%

 

3.901%(c)

     01/16/30           250      $ 249,563  

Battalion CLO Ltd. (Cayman Islands),

 

Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040%

 

3.628%(c)

     07/17/28           500        498,554  

Series 2016-10A, Class A1R, 144A, 3 Month LIBOR + 1.250%

 

3.778%(c)

     01/24/29           2,250        2,250,684  

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

 

3.595%(c)

     05/17/31           1,500        1,479,546  

BlueMountain CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330%

 

3.927%(c)

     04/13/27           1,750        1,750,825  

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),

 

Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320%

 

3.912%(c)

     01/20/32           750        751,595  

Catamaran CLO Ltd. (Cayman Islands),

 

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

 

3.852%(c)

     04/22/30           2,000        1,995,480  

CIFC Funding Ltd. (Cayman Islands),

 

Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250%

 

3.831%(c)

     10/24/30           2,000        1,999,965  

Elevation CLO Ltd. (Cayman Islands),

 

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

 

3.817%(c)

     07/15/30           2,000        1,994,860  

Flagship CLO Ltd. (Cayman Islands),

 

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

 

3.451%(c)

     01/16/26           2,323        2,318,410  

ICG US CLO Ltd. (Cayman Islands),

 

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

 

3.872%(c)

     10/23/29           500        499,563  

Limerock CLO LLC (Cayman Islands),

 

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200%

 

3.792%(c)

     10/20/26           1,207        1,207,290  

Mountain View CLO Ltd. (Cayman Islands),

 

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.440%

 

4.058%(c)

     04/15/29           2,000        2,003,062  

OCP CLO Ltd. (Cayman Islands),

 

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

 

3.857%(c)

     07/15/30           250        250,128  

OZLM Ltd. (Cayman Islands),

 

     

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

 

3.833%(c)

     10/30/30           3,750        3,749,486  

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

 

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.480%

 

4.044%(c)

     05/15/32           2,000        2,001,868  

Regatta VIII Funding Ltd. (Cayman Islands),

 

  

Series 2017-01A, Class A, 144A, 3 Month LIBOR + 1.250%

 

3.838%(c)

     10/17/30           1,000        997,300  

Sound Point CLO Ltd. (Cayman Islands),

 

Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250%

 

3.842%(c)

     10/23/31           1,000        995,754  

Interest
Rate

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

 

Collateralized Loan Obligations (continued)

 

Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.370%

 

3.939%(c)

     01/20/32           1,000      $ 1,004,745  

Trimaran Cavu Ltd. (Cayman Islands),

 

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460%

 

3.927%(c)

     07/20/32           2,500        2,501,289  

Wellfleet CLO Ltd. (Cayman Islands),

 

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

 

3.842%(c)

     10/20/29           2,000        1,997,522  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $32,481,871)

 

     32,497,489  
           

 

 

 
COMMERCIAL MORTGAGE-BACKED SECURITIES — 18.3%

 

Fannie Mae-Aces,

           

Series 2012-M02, Class A2

 

2.717%

     02/25/22           156        158,013  

Series 2015-M01, Class AB2

 

2.465%

     09/25/24           356        363,705  

Series 2015-M03, Class AB2

 

2.625%

     10/25/24           942        962,331  

Series 2015-M08, Class AB2

 

2.829%(cc)

     01/25/25           842        868,308  

Series 2015-M10, Class A2

 

3.092%(cc)

     04/25/27           1,600        1,667,285  

Series 2015-M17, Class A2

 

3.035%(cc)

     11/25/25           1,500        1,553,784  

Series 2016-M11, Class A2

 

2.369%(cc)

     07/25/26           1,200        1,194,365  

Series 2016-M13, Class A2

 

2.564%(cc)

     09/25/26           2,100        2,115,640  

Series 2018-M14, Class A1

 

3.578%(cc)

     08/25/28           940        1,006,790  

Series 2019-M01, Class A2

 

3.673%(cc)

     09/25/28           1,100        1,191,828  

Series 2019-M02, Class A1

 

3.024%

     08/25/28           1,087        1,127,396  

FHLMC Multifamily Structured Pass-Through Certificates,

 

Series K008, Class X1, IO

 

     

1.658%(cc)

     06/25/20           14,942        156,864  

Series K019, Class X1, IO

 

     

1.748%(cc)

     03/25/22           15,820        593,457  

Series K020, Class X1, IO

 

     

1.535%(cc)

     05/25/22           8,428        287,163  

Series K021, Class X1, IO

 

     

1.568%(cc)

     06/25/22           8,934        327,074  

Series K025, Class X1, IO

 

     

0.954%(cc)

     10/25/22           25,017        597,748  

Series K060, Class AM

 

     

3.300%(cc)

     10/25/26           1,930        2,039,618  

Series K064, Class A2

 

     

3.224%

     03/25/27           2,200        2,325,210  

Series K064, Class AM

 

     

3.327%(cc)

     03/25/27           1,100        1,165,869  

Series K068, Class AM

 

     

3.315%

     08/25/27           1,700        1,801,803  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A115


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Series K076, Class A2

 

     

3.900%

     04/25/28           1,500      $ 1,665,896  

Series K076, Class AM

 

     

3.900%

     04/25/28           425        469,206  

Series K077, Class A2

 

     

3.850%(cc)

     05/25/28           900        994,442  

Series K077, Class AM

           

3.850%(cc)

     05/25/28           180        197,979  

Series K078, Class AM

           

3.920%

     06/25/28           525        578,854  

Series K079, Class AM

           

3.930%

     06/25/28           675        746,476  

Series K080, Class AM

           

3.986%(cc)

     07/25/28           1,900        2,107,759  

Series K081, Class AM

           

3.900%(cc)

     08/25/28           1,500        1,655,736  

Series K083, Class A2

           

4.050%(cc)

     09/25/28           625        702,052  

Series K083, Class AM

           

4.030%(cc)

     10/25/28           250        279,229  

Series K084, Class AM

           

3.880%(cc)

     10/25/28           1,300        1,434,275  

Series K085, Class AM

           

4.060%(cc)

     10/25/28           650        727,857  

Series K086, Class A2

           

3.859%(cc)

     11/25/28           1,400        1,554,578  

Series K086, Class AM

           

3.919%(cc)

     12/25/28           200        222,108  

Series K087, Class AM

           

3.832%(cc)

     12/25/28           200        220,425  

Series K088, Class AM

           

3.761%(cc)

     01/25/29           520        571,190  

Series K090, Class AM

           

3.492%(cc)

     03/25/29           800        860,292  

Series K091, Class AM

           

3.566%

     03/25/29           850        921,029  

Series K151, Class A3

           

3.511%

     04/25/30           400        430,012  

Series K157, Class A2

           

3.990%(cc)

     05/25/33           1,700        1,910,022  

Series K158, Class A2

           

3.900%(cc)

     12/25/30           700        778,042  

Series K711, Class X1, IO

 

     

1.686%(cc)

     07/25/19           691        86  

Series KC03, Class A2

           

3.499%

     01/25/26           650        687,111  

Series W5FX, Class AFX

 

     

3.336%(cc)

     04/25/28           1,100        1,150,047  

Freddie Mac Multifamily Structured Pass-Through Certificates,

 

Series K073, Class A2

           

3.350%

     01/25/28           2,200        2,346,944  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $42,052,441)

 

     44,715,898  
           

 

 

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
CORPORATE BONDS — 1.2%

 

Diversified Financial Services

 

Private Export Funding Corp.,

 

Sr. Unsec’d. Notes, 144A

 

     

2.650%

     02/16/21           1,655      $ 1,671,204  

U.S. Gov’t. Gtd. Notes, Series BB

 

4.300%

     12/15/21           1,255        1,324,301  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $2,983,449)

 

     2,995,505  
           

 

 

 
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — 0.1%

 

Merrill Lynch Mortgage Investors Trust,

 

Series 2003-E, Class A1, 1 Month LIBOR + 0.620%

 

3.024%(c)

     10/25/28           17        17,108  

Structured Adjustable Rate Mortgage Loan Trust,

 

Series 2004-01, Class 4A3

 

  

4.566%(cc)

     02/25/34           81        82,089  
           

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $98,240)

 

     99,197  
           

 

 

 
U.S. GOVERNMENT AGENCY
OBLIGATIONS — 39.0%

 

Federal Home Loan Bank

 

2.625%

     10/01/20           170        171,457  

3.000%

     10/12/21           600        615,981  

3.250%

     11/16/28           1,025        1,113,875  

Federal Home Loan Mortgage Corp.

 

2.000%

     01/01/32           300        297,316  

2.375%

     02/16/21           1,375        1,386,906  

2.500%

     03/01/30           544        548,994  

2.750%

     06/19/23           190        196,725  

3.000%

     06/01/29           394        403,626  

3.000%

     01/01/37           802        817,366  

3.000%

     06/01/45           493        501,613  

3.500%

     12/01/32           760        785,363  

3.500%

     07/01/42           656        681,167  

3.500%

     10/01/42           1,108        1,151,586  

3.500%

     08/01/43           1,225        1,273,009  

3.500%

     10/01/45           591        610,214  

4.000%

     06/01/26           54        56,258  

4.000%

     09/01/26           201        209,286  

4.000%

     09/01/40           397        418,753  

4.000%

     12/01/40           404        426,460  

4.000%

     12/01/40           428        451,482  

4.500%

     09/01/39           1,408        1,512,592  

4.500%

     08/01/48           946        993,447  

5.000%

     06/01/33           277        300,481  

5.000%

     05/01/34           281        305,690  

5.500%

     05/01/37           53        58,469  

5.500%

     02/01/38           184        201,235  

5.500%

     05/01/38           78        84,830  

6.000%

     09/01/34           72        78,563  

6.000%

     01/01/37           85        96,251  

6.000%

     09/01/38           52        58,626  

6.000%

     08/01/39           68        77,664  

6.500%

     09/01/32           31        34,863  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A116


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Federal Home Loan Mortgage Corp., MTN

 

3.208%(s)

     12/11/25           600      $ 528,023  

Federal National Mortgage Assoc.

 

1.000%

     10/24/19           2,300        2,291,511  

1.875%

     09/24/26           400        395,923  

2.000%

     08/01/31           286        282,704  

2.375%

     01/19/23           155        158,047  

2.500%

     02/05/24           520        535,625  

2.500%

     06/01/28           1,743        1,758,693  

2.500%

     02/01/43           197        196,479  

2.500%

     12/01/46           686        681,536  

2.875%

     09/12/23           420        437,427  

3.000%

     TBA           3,500        3,527,002  

3.000%

     08/01/28           897        917,224  

3.000%

     02/01/31           1,114        1,139,103  

3.000%

     11/01/36           757        770,686  

3.000%

     03/01/43           977        993,408  

3.000%

     07/01/43           874        891,620  

3.000%

     07/01/43           1,092        1,111,139  

3.000%

     11/01/46           445        450,289  

3.500%

     TBA           8,000        8,177,389  

3.500%

     02/01/33           223        230,725  

3.500%

     06/01/39           281        288,930  

3.500%

     04/01/42           475        493,119  

3.500%

     06/01/42           820        851,365  

3.500%

     07/01/42           882        915,290  

3.500%

     06/01/45           1,964        2,025,200  

3.500%

     12/01/46           422        434,341  

4.000%

     09/01/40           1,482        1,562,302  

4.000%

     06/01/42           1,063        1,120,556  

4.000%

     09/01/44           778        814,582  

4.000%

     10/01/45           1,001        1,048,026  

4.000%

     10/01/46           346        362,757  

4.000%

     02/01/47           468        487,658  

4.000%

     06/01/47           588        613,830  

4.000%

     07/01/47           658        686,041  

4.000%

     11/01/47           467        485,742  

4.500%

     05/01/40           1,983        2,129,426  

4.500%

     04/01/42           750        805,393  

5.000%

     12/01/31           27        28,215  

5.000%

     03/01/34           333        362,310  

5.000%

     06/01/35           146        159,812  

5.000%

     07/01/35           74        80,547  

5.000%

     05/01/36           99        108,369  

5.500%

     02/01/34           215        239,110  

5.500%

     09/01/34           255        282,553  

5.500%

     02/01/35           236        257,285  

5.500%

     06/01/35           69        73,770  

5.500%

     06/01/35           112        120,257  

5.500%

     09/01/35           40        42,434  

5.500%

     09/01/35           103        110,984  

5.500%

     10/01/35           238        264,026  

5.500%

     11/01/35           156        167,457  

5.500%

     11/01/35           342        380,178  

5.500%

     11/01/35           453        494,308  

6.000%

     05/01/21           12        11,905  

Interest
Rate

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

 

6.000%

     12/01/33           11     $ 11,659  

6.000%

     02/01/34           112       126,516  

6.000%

     08/01/34           (r)      437  

6.000%

     11/01/34           1       619  

6.000%

     11/01/34           1       1,097  

6.000%

     12/01/34           1       1,036  

6.000%

     01/01/35           21       23,395  

6.000%

     01/01/36           86       94,934  

6.000%

     05/01/38           44       49,775  

6.500%

     07/01/32           224       257,246  

6.500%

     08/01/32           76       84,490  

6.500%

     10/01/32           248       286,919  

6.500%

     10/01/37           122       140,148  

6.625%

     11/15/30           435       621,906  

7.000%

     12/01/31           1       535  

7.000%

     12/01/31           82       94,565  

7.000%

     01/01/36           16       18,383  

8.000%

     10/01/23           (r)      163  

8.000%

     09/01/24           1       966  

8.000%

     11/01/24           1       1,097  

8.000%

     01/01/26           (r)      339  

9.000%

     02/01/25           8       8,381  

9.000%

     04/01/25           4       4,269  

Government National Mortgage Assoc.

 

2.500%

     12/20/46           279       280,165  

3.000%

     03/15/45           1,567       1,600,462  

3.000%

     09/20/46           1,522       1,559,091  

3.000%

     10/20/46           380       388,813  

3.000%

     04/20/47           1,578       1,615,395  

3.500%

     TBA           3,500       3,612,656  

3.500%

     01/20/43           1,077       1,123,637  

3.500%

     04/20/43           530       553,299  

3.500%

     03/20/45           931       965,692  

3.500%

     04/20/45           786       815,170  

3.500%

     04/20/46           1,304       1,349,555  

3.500%

     07/20/46           2,016       2,086,147  

4.000%

     06/15/40           181       192,095  

4.000%

     08/20/46           757       792,748  

4.000%

     11/20/46           480       503,858  

4.000%

     09/20/47           860       896,801  

4.500%

     02/20/41           530       565,006  

4.500%

     03/20/41           452       482,654  

4.500%

     06/20/44           343       366,410  

4.500%

     09/20/46           447       475,725  

4.500%

     11/20/46           907       968,783  

4.500%

     01/20/47           111       117,817  

5.000%

     07/15/33           138       150,020  

5.000%

     09/15/33           214       232,293  

5.000%

     04/15/34           80       84,044  

5.500%

     03/15/34           278       310,989  

5.500%

     03/15/36           62       70,133  

6.500%

     07/15/32           17       18,807  

6.500%

     08/15/32           2       2,573  

6.500%

     08/15/32           3       3,658  

6.500%

     08/15/32           12       12,930  

6.500%

     08/15/32           85       99,526  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A117


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

7.000%

     05/15/23           3     $ 3,347  

7.000%

     06/15/23           1       781  

7.000%

     06/15/23           4       3,766  

7.000%

     06/15/23           10       10,180  

7.000%

     07/15/23           1       525  

7.000%

     07/15/23           11       10,783  

7.000%

     08/15/23           (r)      79  

7.000%

     08/15/23           3       3,492  

7.000%

     08/15/23           6       6,085  

7.000%

     09/15/23           1       1,142  

7.000%

     10/15/23           2       2,606  

7.000%

     10/15/23           4       4,063  

7.000%

     11/15/23           3       2,768  

7.000%

     11/15/23           7       7,248  

7.000%

     01/15/24           45       47,720  

7.000%

     05/15/24           39       40,759  

7.000%

     08/15/28           40       45,508  

7.500%

     12/15/25           3       3,662  

7.500%

     12/15/25           27       28,980  

7.500%

     02/15/26           5       5,168  

8.500%

     09/15/24           51       54,643  

8.500%

     04/15/25           6       6,304  

Hashemite Kingdom of Jordan Government, USAID Bond, Gov’t.

 

Gtd. Notes

 

3.000%

     06/30/25           1,580       1,658,980  

Israel Government, USAID Bond, Gov’t. Gtd. Notes

 

5.500%

     09/18/23           1,220       1,394,379  

Israel Government, USAID Bond, Gov’t. Gtd. Notes

 

2.652%(s)

     08/15/23           500       458,367  

2.744%(s)

     08/15/23           500       458,798  

2.923%(s)

     11/15/25           500       434,084  

2.961%(s)

     05/15/26           500       427,033  

2.997%(s)

     02/15/26           400       343,592  

3.040%(s)

     11/15/26           400       336,745  

3.141%(s)

     05/15/23           400       368,902  

3.329%(s)

     05/15/25           600       527,625  

Residual Funding Corp. Strips Principal

 

2.040%(s)

     01/15/21           400       387,939  

Residual Funding Corp. Strips Principal, Bonds, PO

 

3.168%(s)

     04/15/30           2,305       1,766,601  

Resolution Funding Corp. Strips Interest, Bonds, IO

 

3.657%(s)

     04/15/30           500       385,799  

Tennessee Valley Authority

 

5.880%

     04/01/36           230       317,207  

Tennessee Valley Authority, Sr. Unsec’d. Notes

 

2.250%

     03/15/20           365       365,403  

2.875%

     02/01/27           175       182,953  

6.750%

     11/01/25           510       649,027  

7.125%

     05/01/30           530       764,603  
          

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $93,598,270)

 

    95,346,252  
          

 

 

 

Interest
Rate

   Maturity
Date
           Principal
Amount
(000)#
     Value  
U.S. TREASURY OBLIGATIONS — 24.2%

 

U.S. Treasury Bonds

 

3.000%

     02/15/49          250      $ 274,570  

3.750%

     11/15/43          3,110        3,828,459  

U.S. Treasury Inflation Indexed Bonds, TIPS

 

0.875%

     01/15/29          2,232        2,348,887  

U.S. Treasury Notes

 

1.125%

     02/28/21          1,585        1,567,107  

1.750%

     06/15/22          1,210        1,211,702  

1.750%

     05/15/23          1,360        1,360,744  

1.875%

     04/30/22          410        411,650  

2.000%

     05/31/24          1,290        1,305,168  

2.125%

     08/15/21          4,210        4,242,068  

2.125%

     09/30/21 (k)         6,185        6,237,186  

2.125%

     06/30/22          2,055        2,079,243  

2.125%

     05/31/26          6,890        7,005,192  

2.250%

     11/15/27          5,910        6,050,362  

2.375%

     08/15/24          3,960        4,076,016  

2.375%

     05/15/29          990        1,023,064  

2.625%

     11/15/20          130        131,336  

2.750%

     04/30/23          4,480        4,648,000  

2.875%

     11/15/21          90        92,369  

3.125%

     11/15/28          1,665        1,826,232  

U.S. Treasury Strips Coupon

 

2.384%(s)

     05/15/29          565        459,344  

2.184%(s)

     02/15/28          550        461,239  

2.404%(s)

     08/15/21 (k)         1,585        1,525,835  

2.499%(s)

     02/15/22          835        797,010  

2.750%(s)

     08/15/27          2,575        2,186,126  

2.783%(s)

     08/15/29          500        403,754  

2.878%(s)

     05/15/31          500        385,096  

3.042%(s)

     11/15/35          1,000        676,299  

3.202%(s)

     08/15/40          800        469,314  

4.138%(s)

     02/15/42 (k)         3,725        2,076,902  
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(cost $56,960,850)

 

     59,160,274  
          

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $228,175,121)

 

     234,814,615  
          

 

 

 
     Shares         
SHORT-TERM INVESTMENTS — 10.3%

 

AFFILIATED MUTUAL FUNDS — 10.2%

 

PGIM Core Short-Term Bond Fund(w)

     2,390,850        22,067,549  

PGIM Core Ultra Short Bond Fund(w)

     2,905,195        2,905,195  
     

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $25,739,818)

 

     24,972,744  
     

 

 

 
OPTIONS PURCHASED*~ — 0.1%

 

(cost $186,911)

 

     334,863  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $25,926,729)

 

     25,307,607  
     

 

 

 

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.4%
(cost $254,101,850)

 

     260,122,222  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A118


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

            Value  
OPTIONS WRITTEN*~ — (0.0)%      

(premiums received $66,418)

 

   $ (17,501
     

 

 

 

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.4%
(cost $254,035,432)

 

     260,104,721  

LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (6.4)%

 

     (15,692,782
     

 

 

 

NET ASSETS — 100.0%

 

   $ 244,411,939  
     

 

 

 

See the Glossary for a list of the abbreviation(s) used in the semiannual report.

 

*

Non-income producing security.

 

#

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

 

~

See tables subsequent to the Schedule of Investments for options detail.

 

^

Indicates a Level 3 security. The aggregate value of Level 3 securities is $(57,320) and (0.0)% of net assets.

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019.

 

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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.

 

(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 the PGIM Core Short-Term Bond Fund and PGIM Core Ultra Short Bond Fund.

 

(z)

Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

Forward Commitment Contracts:

 

U.S. Government Agency Obligations

     Interest
Rate
     Maturity
Date
       Settlement
Date
       Principal
Amount
(000)#
     Value  

Federal National Mortgage Assoc.
(proceeds receivable $739,395)

       2.500      TBA          08/13/19          (750    $ (743,672
                    

 

 

 

Options Purchased:

Exchange Traded

 

Description

     Call/
Put
       Expiration
Date
       Strike        Contracts        Notional
Amount
(000)#
       Value  

2 Year U.S. Treasury Notes Futures

       Put          08/23/19        $ 107.00          153          306        $ 16,735  

10 Year U.S. Treasury Notes Futures

       Put          07/26/19        $ 123.00          50          50          781  

10 Year U.S. Treasury Notes Futures

       Put          07/26/19        $ 126.00          50          50          3,906  

Eurodollars 1-Year Mid Curve Futures

       Put          07/12/19        $ 97.75          70          175          438  

Eurodollars 1-Year Mid Curve Futures

       Put          07/12/19        $ 98.13          170          425          3,188  

Eurodollars 1-Year Mid Curve Futures

       Put          07/12/19        $ 98.25          70          175          3,500  

Eurodollars 1-Year Mid Curve Futures

       Put          08/16/19        $ 97.75          70          175          438  

Eurodollars 1-Year Mid Curve Futures

       Put          08/16/19        $ 98.25          70          175          10,063  

Eurodollars 1-Year Mid Curve Futures

       Put          09/13/19        $ 97.75          70          175          875  

Eurodollars 1-Year Mid Curve Futures

       Put          09/13/19        $ 98.25          70          175          14,000  
                             

 

 

 

Total Exchange Traded (cost $172,096)

                              $ 53,924  
                             

 

 

 

OTC Traded

 

Description

  Call/
Put
   

Counterparty

  Expiration
Date
    Strike     Contracts     Notional
Amount
(000)#
    Value  

2-Year 10 CMS Curve CAP

    Call     Morgan Stanley & Co. International PLC     11/21/19       0.13           700     $ 6,818  

2-Year 10 CMS Curve CAP

    Call     Barclays Bank PLC     11/21/19       0.12           1,000       10,328  

2-Year 10 CMS Curve CAP

    Call     Barclays Bank PLC     07/12/21       0.11           1,227       17,768  

2-Year 10 CMS Curve CAP

    Call     Barclays Bank PLC     07/13/21       0.11           1,193       17,220  

2-Year 10 CMS Curve CAP

    Call     Bank of America, N.A.     08/16/21       0.15           2,982       40,418  

2-Year 10 CMS Curve CAP

    Call     Bank of America, N.A.     08/20/21       0.15           5,920       84,163  

2-Year 10 CMS Curve CAP

    Call     Bank of America, N.A.     09/13/21       0.14           6,000       87,428  

2-Year 10 CMS Curve CAP

    Call     Barclays Bank PLC     11/09/21       0.21           1,193       16,655  
             

 

 

 

Total OTC Traded (cost $11,679)

 

        $ 280,798  
             

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A119


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

OTC Swaptions

 

Description

   Call/
Put
    

Counterparty

   Expiration
Date
     Strike    

Receive

   Pay      Notional
Amount
(000)#
     Value  

30-Year Interest Rate Swap, 08/19/49
(cost $3,136)

     Put      Citibank, N.A.      08/15/19        2.66   3 Month LIBOR(Q)      2.66%(S)        280      $ 141  
                      

 

 

 

Total Options Purchased (cost $186,911)

         $ 334,863  
                      

 

 

 

Options Written:

Exchange Traded

 

Description

     Call/
Put
       Expiration
Date
       Strike        Contracts        Notional
Amount
(000)#
       Value  

10 Year U.S. Treasury Notes Futures

       Put          07/26/19        $ 124.50          100          100        $ (1,563

Eurodollars 1-Year Mid Curve Futures

       Put          07/12/19        $ 97.88          170          425          (1,063

Eurodollars 1-Year Mid Curve Futures

       Put          07/12/19        $ 98.00          140          350          (875

Eurodollars 1-Year Mid Curve Futures

       Put          08/16/19        $ 98.00          140          350          (5,250

Eurodollars 1-Year Mid Curve Futures

       Put          09/13/19        $ 98.00          140          350          (8,750
                             

 

 

 

Total Options Written (premiums received $66,418)

                              $ (17,501
                             

 

 

 

Futures contracts outstanding at June 30, 2019:

 

Number of
Contracts
  Type     Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 
Long Positions:        
132     2 Year U.S. Treasury Notes       Sep. 2019     $ 28,403,719     $ 162,384  
512     5 Year U.S. Treasury Notes       Sep. 2019       60,496,000       781,515  
152     10 Year U.S. Ultra Treasury Notes       Sep. 2019       20,995,000       671,101  
158     30 Year U.S. Ultra Treasury Bonds       Sep. 2019       28,054,875       1,310,559  
       

 

 

 
          2,925,559  
       

 

 

 
Short Positions:        
57     10 Year U.S. Treasury Notes       Sep. 2019       7,294,219       (5,629
212     20 Year U.S. Treasury Bonds       Sep. 2019       32,985,875       (1,288,190
       

 

 

 
          (1,293,819
       

 

 

 
        $  1,631,740  
       

 

 

 

Forward rate agreements outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date(5)
     Fixed
Rate
    

Floating Rate

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

Counterparty

 

OTC Forward Rate Agreements^:

  2,100        07/15/19        —(3)     

—(3)

   $ (3,381    $      $ (3,381   

Citigroup Global Markets, Inc.

  29,000        07/24/19        —(4)     

—(4)

     (53,939             (53,939   

Citigroup Global Markets, Inc.

           

 

 

    

 

 

    

 

 

    
            $ (57,320    $   —      $ (57,320   
           

 

 

    

 

 

    

 

 

    

 

(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 or receives payment based on CMM102 minus 7 year CMS minus 1.3655% upon termination.

 

(4)

The Portfolio pays or receives payment based on CMM102 minus 7 Year CMS minus 1.3375% upon termination.

 

(5)

The Portfolio may choose to terminate these agreements at any time prior to the stated termination date.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A120


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2019:

 

Notional
Amount
(000)#
     Termination
Date
     Fixed
Rate
    

Floating Rate

   Value at
Trade Date
    Value at
June 30, 2019
    Unrealized
Appreciaton
(Depreciation)
 
 

Centrally Cleared Interest Rate Swap Agreements:

 
  5,570        03/23/21        2.370%(A)     

1 Day USOIS(1)(A)

   $     $ (73,300   $ (73,300
  3,017        03/31/21        2.173%(A)     

1 Day USOIS(2)(A)

     (917     30,104       31,021  
  8,120        03/29/24        1.949%(A)     

1 Day USOIS(1)(A)

           (154,543     (154,543
  17,565        08/15/24        2.170%(S)     

3 Month LIBOR(1)(Q)

     (4,680     (440,175     (435,495
  4,670        11/15/24        2.334%(S)     

3 Month LIBOR(1)(Q)

     14,367       (134,229     (148,596
  3,785        02/12/25        2.408%(A)     

1 Day USOIS(1)(A)

           (179,219     (179,219
  590        02/28/25        2.454%(A)     

1 Day USOIS(1)(A)

           (29,742     (29,742
  1,669        05/31/25        2.998%(S)     

3 Month LIBOR(1)(Q)

     (1,080     (114,478     (113,398
  1,305        07/31/25        3.105%(S)     

3 Month LIBOR(1)(Q)

     1,030       (110,262     (111,292
  4,951        07/31/25        3.109%(S)     

3 Month LIBOR(1)(Q)

     313       (419,679     (419,992
  1,920        01/08/26        2.210%(S)     

3 Month LIBOR(1)(Q)

     70,520       (56,383     (126,903
  370        01/31/26        2.236%(S)     

3 Month LIBOR(1)(Q)

           (9,836     (9,836
  1,943        01/31/26        2.269%(A)     

1 Day USOIS(1)(A)

     (5,490     (86,248     (80,758
  1,377        04/30/26        1.876%(S)     

3 Month LIBOR(1)(Q)

     (5,519     (6,870     (1,351
  2,102        02/15/27        1.824%(A)     

1 Day USOIS(1)(A)

     29,738       (28,268     (58,006
  790        02/15/27        1.899%(A)     

1 Day USOIS(1)(A)

     984       (15,152     (16,136
  530        02/15/27        1.965%(A)     

1 Day USOIS(1)(A)

           (12,827     (12,827
  1,445        02/15/27        2.067%(A)     

1 Day USOIS(1)(A)

     (911     (46,277     (45,366
  260        05/15/27        2.295%(S)     

3 Month LIBOR(1)(Q)

           (8,145     (8,145
  7,914        08/15/28        2.579%(A)     

1 Day USOIS(1)(A)

     (142,564     (619,757     (477,193
  3,451        08/15/28        2.835%(S)     

3 Month LIBOR(1)(Q)

     (13,709     (281,675     (267,966
  145        11/15/43        2.659%(S)     

3 Month LIBOR(1)(Q)

           (13,066     (13,066
           

 

 

   

 

 

   

 

 

 
            $ (57,918   $ (2,810,027   $ (2,752,109
           

 

 

   

 

 

   

 

 

 

 

(1)

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

 

(2)

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:

 

      Premiums
Paid
     Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

OTC Forward Rate Agreements

   $   —      $   —      $   —      $ (57,320

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

 

Broker

 

Cash and/or Foreign Currency

   

Securities Market Value

 

Citigroup Global Markets, Inc.

  $   —     $ 3,001,728  
 

 

 

   

 

 

 

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.

 

A121


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

 

     Level 1     Level 2     Level 3  

Investments in Securities

      

Asset-Backed Securities

      

Collateralized Loan Obligations

   $     $ 32,497,489     $  

Commercial Mortgage-Backed Securities

           44,715,898        

Corporate Bonds

           2,995,505        

Residential Mortgage-Backed Securities.

           99,197        

U.S. Government Agency Obligations

           95,346,252        

U.S. Treasury Obligations

           59,160,274        

Affiliated Mutual Funds

     24,972,744              

Options Purchased

     53,924       280,939        

Options Written

     (17,501            

Other Financial Instruments*

      

Forward Commitment Contract

           (743,672      

Futures Contracts

     1,631,740              

OTC Forward Rate Agreements

                 (57,320

Centrally Cleared Interest Rate Swap Agreements

           (2,752,109      
  

 

 

   

 

 

   

 

 

 

Total

   $ 26,640,907     $ 231,599,773     $ (57,320
  

 

 

   

 

 

   

 

 

 

 

*

Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value.

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, 2019 were as follows:

 

U.S. Government Agency Obligations

     39.0

U.S. Treasury Obligations

     24.2  

Commercial Mortgage-Backed Securities

     18.3  

Collateralized Loan Obligations

     13.3  

Affiliated Mutual Funds

     10.2  

Diversified Financial Services

     1.2  

Options Purchased

     0.1  

Residential Mortgage-Backed Securities

     0.1
  

 

 

 
     106.4  

Options Written

     (0.0 )* 

Liabilities in excess of other assets

     (6.4
  

 

 

 
     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 interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. 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, 2019 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Asset Derivatives

   

Liability Derivatives

 
  

Statement of
Assets and
Liabilities Location

   Fair Value    

Statement of
Assets and
Liabilities Location

   Fair Value  

Interest rate contracts

   Due from/to broker — variation margin futures    $ 2,925,559   Due from/to broker — variation margin futures    $ 1,293,819

Interest rate contracts

   Due from/to broker — variation margin swaps      31,021   Due from/to broker — variation margin swaps      2,783,130

Interest rate contracts

   Unaffiliated investments      334,863     Options written outstanding, at value      17,501  

Interest rate contracts

            Unrealized depreciation on OTC forward rate agreements      57,320  
     

 

 

      

 

 

 
      $ 3,291,443        $ 4,151,770  
     

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A122


 
   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

 

*

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, 2019 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        Forward
Rate
Agreements
       Swaps  

Interest rate contracts

     $ (834    $ 13,712        $ 2,249,978        $ 2,322        $ 426,818  
    

 

 

    

 

 

      

 

 

      

 

 

      

 

 

 

 

(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
Rate
Agreements
     Swaps  

Interest rate contracts

     $ (27,227    $ 48,917        $ 837,171        $ (56,444    $ (3,241,603
    

 

 

    

 

 

      

 

 

      

 

 

    

 

 

 

 

(2)

Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2019, 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)

$83,878   $639,667   $124,266,734   $34,871,761

 

Forward Rate
Agreements(2)

 

Inflation Swap
Agreements(2)

 

Interest Rate
Swap
Agreements(2)

$21,433,333   $1,120,000   $82,904,333

 

(1)

Cost.

 

(2)

Notional Amount in USD.

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

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right to set-off exists, is presented in the summary below.

 

Counterparty

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

Bank of America, N.A.

  $ 212,009     $     $ 212,009     $   —     $ 212,009  

Barclays Bank PLC

    61,971             61,971             61,971  

Citibank, N.A.

    141             141             141  

Citigroup Global Markets, Inc.

          (57,320     (57,320           (57,320

Morgan Stanley & Co. International PLC

    6,818             6,818             6,818  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 280,939     $ (57,320   $ 223,619     $     $ 223,619  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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.

 

A123


 
   GOVERNMENT INCOME PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

 

ASSETS   

Investments at value:

  

Unaffiliated investments (cost $228,362,032)

   $ 235,149,478  

Affiliated investments (cost $25,739,818)

     24,972,744  

Cash

     136,989  

Receivable for investments sold

     36,389,411  

Dividends and interest receivable

     938,793  

Due from broker—variation margin swaps

     60,736  

Receivable for Portfolio shares sold

     217  

Prepaid expenses

     275  
  

 

 

 

Total Assets

     297,648,643  
  

 

 

 
LIABILITIES   

Payable for investments purchased

     51,831,620  

Forward commitment contracts, at value (proceeds receivable $739,395)

     743,672  

Payable for Portfolio shares repurchased

     396,990  

Accrued expenses and other liabilities

     103,116  

Management fee payable

     80,357  

Unrealized depreciation on OTC forward rate agreements

     57,320  

Options written outstanding, at value (proceeds received $66,418)

     17,501  

Due to broker—variation margin futures

     5,148  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     53,236,704  
  

 

 

 
NET ASSETS    $ 244,411,939  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 244,411,939  
  

 

 

 

Net asset value and redemption price per share, $244,411,939 / 18,339,631 outstanding shares of beneficial interest

   $ 13.33  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Interest income

   $ 2,957,933  

Affiliated dividend income

     401,826  

Income from securities lending, net (including affiliated income of $592)

     698  
  

 

 

 

Total income

     3,360,457  
  

 

 

 
EXPENSES   

Management fee

     450,252  

Shareholders’ reports

     53,321  

Custodian and accounting fees

     42,102  

Audit fee

     17,288  

Trustees’ fees

     5,993  

Legal fees and expenses.

     5,812  

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

     5,297  

Miscellaneous

     8,607  
  

 

 

 

Total expenses

     588,672  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      2,771,785  
  

 

 

 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS   

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $(74,756))

     1,200,590  

Futures transactions

     2,249,978  

Forward rate agreement transactions

     2,322  

Options written transactions

     13,712  

Swap agreements transactions

     426,818  
  

 

 

 
     3,893,420  
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $180,837)

     6,965,746  

Futures

     837,171  

Forward rate agreements

     (56,444

Options written

     48,917  

Swap agreements.

     (3,241,603
  

 

 

 
     4,553,787  
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      8,447,207  
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 11,218,992  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

   $ 2,771,785     $ 5,254,682  

Net realized gain (loss) on investment transactions

     3,893,420       (4,787,292

Net change in unrealized appreciation (depreciation) on investments

     4,553,787       470,821  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     11,218,992       938,211  
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [2,096,504 and 1,165,919 shares, respectively]

     27,224,079       14,482,217  

Portfolio shares repurchased [1,169,527 and 3,097,890 shares, respectively]

     (15,113,382     (38,486,314
  

 

 

   

 

 

 

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

     12,110,697       (24,004,097
  

 

 

   

 

 

 
CAPITAL CONTRIBUTIONS            246  
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      23,329,689       (23,065,640
NET ASSETS:     

Beginning of period

     221,082,250       244,147,890  
  

 

 

   

 

 

 

End of period

   $ 244,411,939     $ 221,082,250  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A124


 
   GOVERNMENT MONEY MARKET PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

   Maturity
Date
            Principal
Amount
(000)#
     Value  
REPURCHASE AGREEMENTS(m) — 8.0%

 

Credit Agricole Corporate & Investment Bank, 2.68%, dated 06/26/19, due 07/03/19 in the amount of $20,010,422

 

     

 

20,000

 

  

$

20,000,000

 

State Street Bank & Trust Co., 2.50%, dated 06/28/19, due 07/01/19 in the amount of $24,515,106

 

     

 

24,510

 

  

 

24,510,000

 

           

 

 

 

TOTAL REPURCHASE AGREEMENTS
(amortized cost $44,510,000)

 

  

 

44,510,000

 

           

 

 

 
U.S. GOVERNMENT AGENCY OBLIGATIONS — 69.5%

 

Federal Farm Credit Bank

 

1.400%

     07/24/19           1,500        1,499,154  

Federal Farm Credit Bank, 1 Month LIBOR + (0.080)%

 

  

2.314%(c)

     07/15/19           3,000        2,999,962  

Federal Farm Credit Bank, 1 Month LIBOR + (0.065)%

 

  

2.329%(c)

     12/17/19           7,000        6,999,905  

Federal Farm Credit Bank, 1 Month LIBOR + (0.070)%

 

  

2.332%(c)

     01/28/20           9,000        9,000,000  

Federal Farm Credit Bank, 1 Month LIBOR + (0.050)%

 

  

2.352%(c)

     05/29/20           6,000        5,997,242  

2.362%(c)

     01/08/20           7,000        7,000,000  

2.381%(c)

     02/04/20           5,000        5,000,000  

Federal Farm Credit Bank, 1 Month LIBOR + (0.075)%

 

  

2.355%(c)

     11/05/19           8,000        7,999,063  

Federal Farm Credit Bank, 1 Month LIBOR + (0.045)%

 

  

2.359%(c)

     02/25/20           6,000        6,000,000  

Federal Farm Credit Bank, 1 Month LIBOR + (0.025)%

 

  

2.379%(c)

     01/24/20           8,000        8,000,361  

Federal Farm Credit Bank, 1 Month LIBOR + (0.040)%

 

  

2.381%(c)

     02/06/20           7,000        6,999,580  

Federal Farm Credit Bank, 1 Month LIBOR + 0.000%

 

  

2.401%(c)

     04/14/20           8,000        8,000,000  

2.404%(c)

     06/25/20           1,000        1,000,017  

Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030%

 

2.410%(c)

     07/28/20           5,000        5,000,000  

Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.030%

 

2.450%(c)

     02/06/20           2,000        1,999,878  

Federal Farm Credit Bank, 1 Month LIBOR + 0.050%

 

  

2.462%(c)

     02/10/20           4,500        4,502,017  

Federal Farm Credit Bank, 1 Month LIBOR + 0.170%

 

  

2.571%(c)

     11/14/19           8,000        8,005,960  

Federal Farm Credit Bank, 1 Month LIBOR + 0.190%

 

  

2.584%(c)

     07/15/19           11,000        11,000,960  

Federal Farm Credit Bank, 1 Month LIBOR + 0.180%

 

  

2.584%(c)

     10/24/19           9,000        9,005,947  

2.592%(c)

     10/11/19           8,000        8,004,725  

Federal Farm Credit Bank, 1 Month LIBOR + 0.160%

 

  

2.600%(c)

     12/02/19           12,000        12,009,497  

Federal Home Loan Bank, 3 Month LIBOR + (0.210)%

 

  

2.133%(c)

     06/22/20           7,000        6,992,926  

Federal Home Loan Bank, 3 Month LIBOR + (0.230)%

 

  

2.290%(c)

     12/03/19           8,000        7,999,193  

Interest
Rate

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

 

Federal Home Loan Bank, 3 Month LIBOR + (0.220)%

 

  

2.305%(c)

     08/23/19           7,000      $ 7,000,000  

Federal Home Loan Bank, 3 Month LIBOR + (0.260)%

 

  

2.321%(c)

     10/11/19           5,500        5,498,175  

Federal Home Loan Bank, 1 Month LIBOR + (0.090)%

 

  

2.322%(c)

     09/10/19           5,000        4,999,654  

Federal Home Loan Bank, 1 Month LIBOR + (0.080)%

 

2.331%(c)

     11/13/19           3,000        2,999,409  

Federal Home Loan Bank, 1 Month LIBOR + (0.065)%

 

2.339%(c)

     01/23/20           1,000        999,755  

Federal Home Loan Bank

 

2.342%(n)

     07/17/19           27,000        26,972,024  

2.344%(n)

     09/04/19           8,000        7,966,344  

2.405%(n)

     07/10/19           7,000        6,995,817  

2.411%(n)

     08/02/19           22,000        21,953,120  

2.423%(n)

     07/26/19           11,000        10,981,606  

2.429%(n)

     07/24/19           8,000        7,987,662  

2.480%

     07/18/19           6,000        5,999,917  

Federal Home Loan Bank, 1 Month LIBOR + (0.055)%

 

2.358%(c)

     03/12/20           5,000        4,998,715  

Federal Home Loan Bank, 1 Month LIBOR + (0.040)%

 

2.362%(c)

     08/26/19           9,000        9,000,230  

2.362%(c)

     08/30/19           2,000        2,000,026  

Federal Home Loan Bank, 1 Month LIBOR + (0.030)%

 

2.382%(c)

     11/08/19           20,000        19,999,963  

Federal Home Loan Bank, 3 Month LIBOR + (0.175)%

 

2.385%(c)

     05/08/20           4,000        3,997,887  

Federal Home Loan Bank, 1 Month LIBOR + (0.025)%

 

2.388%(c)

     12/12/19           6,000        6,000,000  

Federal Home Loan Bank, 1 Month LIBOR + (0.010)%

 

2.394%(c)

     04/24/20           5,500        5,500,000  

Federal Home Loan Bank, 3 Month LIBOR + (0.163)%

 

2.435%(c)

     07/05/19           2,250        2,250,029  

Federal Home Loan Bank, 3 Month LIBOR + 0.125%

 

2.444%(c)

     07/01/20           3,000        3,007,437  

Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045%

 

2.465%(c)

     09/28/20           2,000        2,000,000  

Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050%

 

2.470%(c)

     01/17/20           1,000        1,000,000  

Federal Home Loan Mortgage Corp.

 

1.300%

     08/28/19           3,000        2,994,693  

2.495%

     05/20/20           3,000        3,000,000  

2.495%

     06/04/20           9,000        9,000,000  

Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.225)%

 

2.296%(c)

     08/27/19           5,000        5,000,000  

Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)%

 

2.312%(c)

     08/08/19           6,000        6,000,000  

Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + (0.010)%

 

2.410%(c)

     08/05/19           10,000        10,000,000  

Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.010%

 

2.430%(c)

     07/09/19           7,000        7,000,000  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A125


 
   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Interest
Rate

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

 

Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.165)%

 

2.433%(c)

     07/05/19           6,750      $ 6,750,030  

Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.030%

 

2.450%(c)

     10/01/19           8,000        8,000,000  

Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060%

 

2.480%(c)

     07/30/20           2,000        2,000,000  

Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.160%

 

2.580%(c)

     01/30/20           4,500        4,503,653  
           

 

 

 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(amortized cost $385,372,533)

 

     385,372,533  
           

 

 

 
U.S. TREASURY OBLIGATIONS — 24.1%

 

U.S. Treasury Bills

           

2.301%(n)

     10/03/19           19,500        19,385,678  

2.348%(n)

     08/06/19           13,000        12,970,004  

2.399%(n)

     07/18/19           13,000        12,985,361  

2.419%(n)

     07/16/19           7,000        6,993,066  

2.421%(n)

     10/10/19           13,000        12,912,750  

2.421%(n)

     10/17/19           7,000        6,949,768  

2.490%(n)

     08/08/19           7,000        6,982,075  

2.503%(n)

     08/15/19           20,500        20,437,524  

Interest
Rate

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

 

2.516%(n)

     09/19/19           9,000      $ 8,950,990  

2.520%(n)

     09/05/19           25,000        24,887,494  
           

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(amortized cost $133,454,710)

 

     133,454,710  
           

 

 

 

TOTAL INVESTMENTS — 101.6%
(amortized cost $563,337,243)

 

     563,337,243  

LIABILITIES IN EXCESS OF
OTHER ASSETS — (1.6)%

 

     (8,742,597
           

 

 

 

NET ASSETS — 100.0%

 

   $ 554,594,646  
           

 

 

 

See the Glossary for a list of the abbreviation(s) 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, 2019.

 

(m)

Repurchase agreements are collateralized by a Foreign Treasury Security (coupon rate 2.375%, maturity date 08/10/27), FHLMC (coupon rate 3.000%, maturity date 07/01/46), FNMA (coupon rate 4.000%, maturity date 11/01/48), and a U.S. Treasury Security (coupon rate 0.375%, maturity date 07/15/27), with the aggregate value, including accrued interest, of $45,407,942.

 

(n)

Rate shown reflects yield to maturity at purchased 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.

The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

        

Repurchase Agreements

   $   —      $ 44,510,000      $   —  

U.S. Government Agency Obligations

            385,372,533         

U.S. Treasury Obligations

            133,454,710         
  

 

 

    

 

 

    

 

 

 

Total

   $      $ 563,337,243      $  
  

 

 

    

 

 

    

 

 

 

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, 2019 were as follows:

 

U.S. Government Agency Obligations

     69.5

U.S. Treasury Obligations

     24.1  

Repurchase Agreements

     8.0
  

 

 

 
     101.6  

Liabilities in excess of other assets

     (1.6
  

 

 

 
     100.0
  

 

 

 
 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A126


 
   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

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

     Credit Agricole Corporate & Investment Bank      $ 20,000,000      $ (20,000,000   $   —  

Repurchase Agreements

     State Street Bank & Trust Co.        24,510,000        (24,510,000      
     

 

 

      
      $ 44,510,000       
     

 

 

      

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A127


 
   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited) as of June 30, 2019

 

ASSETS   

Investments, at amortized cost which approximates fair value:

   $ 563,337,243  

Cash

     661  

Interest receivable

     658,237  

Receivable for Portfolio shares sold

     76,682  

Prepaid expenses

     618  
  

 

 

 

Total Assets

     564,073,441  
  

 

 

 
LIABILITIES   

Payable for investments purchased

     7,460,531  

Payable for Portfolio shares repurchased

     1,789,457  

Management fee payable

     135,678  

Accrued expenses and other liabilities

     92,149  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     9,478,795  
  

 

 

 
NET ASSETS    $ 554,594,646  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 554,594,646  
  

 

 

 

Net asset value and redemption price per share, $554,594,646 / 55,450,319 outstanding shares of beneficial interest

   $ 10.00  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)   

Interest income

   $ 6,610,712  
  

 

 

 
EXPENSES   

Management fee

     808,276  

Shareholders’ reports

     55,509  

Custodian and accounting fees

     34,581  

Audit fee

     12,227  

Trustees’ fees

     7,767  

Legal fees and expenses

     6,351  

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

     5,297  

Miscellaneous

     8,066  
  

 

 

 

Total expenses

     938,074  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      5,672,638  
  

 

 

 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS   

Net realized gain (loss) on investment transactions

     13,828  
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 5,686,466  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS

    

Net investment income (loss)

   $ 5,672,638     $ 8,494,528  

Net realized gain (loss) on investment transactions

     13,828       2,882  
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     5,686,466       8,497,410  
  

 

 

   

 

 

 
DISTRIBUTIONS      (5,615,208     (8,508,150
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [21,895,470 and 40,499,240 shares, respectively]

     218,954,704       404,992,401  

Portfolio shares issued in reinvestment of distributions [561,521 and 850,815 shares, respectively]

     5,615,208       8,508,150  

Portfolio shares repurchased [20,643,072 and 43,674,368 shares, respectively]

     (206,430,712     (436,743,676
  

 

 

   

 

 

 

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

     18,139,200       (23,243,125
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      18,210,458       (23,253,865
NET ASSETS:     

Beginning of period

     536,384,188       559,638,053  
  

 

 

   

 

 

 

End of period

   $ 554,594,646     $ 536,384,188  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A128


 
   STOCK INDEX PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

LONG-TERM INVESTMENTS — 97.9%         
COMMON STOCKS — 97.6%    Shares      Value  

Aerospace & Defense — 2.5%

 

Arconic, Inc.

     71,992      $ 1,858,834  

Boeing Co. (The)

     90,816        33,057,932  

General Dynamics Corp.

     47,500        8,636,450  

Huntington Ingalls Industries, Inc.

     7,600        1,708,024  

L3 Technologies, Inc.

     13,600        3,334,312  

L3Harris Technologies, Inc.(a)

     20,500        3,877,165  

Lockheed Martin Corp.

     42,498        15,449,723  

Northrop Grumman Corp.

     29,526        9,540,146  

Raytheon Co.

     49,018        8,523,250  

Textron, Inc.

     42,650        2,262,156  

TransDigm Group, Inc.*

     8,400        4,063,920  

United Technologies Corp.

     140,467        18,288,803  
     

 

 

 
        110,600,715  
     

 

 

 

Air Freight & Logistics — 0.5%

 

C.H. Robinson Worldwide, Inc.(a)

     24,100        2,032,835  

Expeditors International of Washington, Inc.

     30,100        2,283,386  

FedEx Corp.

     41,640        6,836,872  

United Parcel Service, Inc. (Class B Stock)

     120,000        12,392,400  
     

 

 

 
        23,545,493  
     

 

 

 

Airlines — 0.4%

 

Alaska Air Group, Inc.(a)

     21,200        1,354,892  

American Airlines Group, Inc.

     70,100        2,285,961  

Delta Air Lines, Inc.

     105,400        5,981,450  

Southwest Airlines Co.

     86,137        4,374,037  

United Continental Holdings, Inc.*

     39,800        3,484,490  
     

 

 

 
        17,480,830  
     

 

 

 

Auto Components — 0.1%

 

Aptiv PLC

     45,400        3,669,682  

BorgWarner, Inc.

     35,500        1,490,290  
     

 

 

 
        5,159,972  
     

 

 

 

Automobiles — 0.4%

 

Ford Motor Co.

     669,159        6,845,497  

General Motors Co.

     225,200        8,676,956  

Harley-Davidson, Inc.(a)

     28,400        1,017,572  
     

 

 

 
        16,540,025  
     

 

 

 

Banks — 5.4%

 

Bank of America Corp.

     1,549,882        44,946,578  

BB&T Corp.(a)

     132,300        6,499,899  

Citigroup, Inc.

     408,122        28,580,784  

Citizens Financial Group, Inc.

     82,000        2,899,520  

Comerica, Inc.

     28,150        2,044,816  

Fifth Third Bancorp

     133,449        3,723,227  

First Republic Bank

     27,700        2,704,905  

Huntington Bancshares, Inc.

     183,075        2,530,097  

JPMorgan Chase & Co.

     565,795        63,255,881  

KeyCorp.

     177,600        3,152,400  

M&T Bank Corp.

     24,000        4,081,680  

People’s United Financial, Inc.(a)

     63,300        1,062,174  
COMMON STOCKS
(continued)
   Shares      Value  

Banks (continued)

 

PNC Financial Services Group, Inc. (The)

     78,593      $ 10,789,247  

Regions Financial Corp.

     179,512        2,681,909  

SunTrust Banks, Inc.

     76,700        4,820,595  

SVB Financial Group*

     9,300        2,088,687  

U.S. Bancorp

     260,581        13,654,444  

Wells Fargo & Co.

     709,576        33,577,136  

Zions Bancorp NA

     33,400        1,535,732  
     

 

 

 
        234,629,711  
     

 

 

 

Beverages — 1.8%

 

Brown-Forman Corp. (Class B Stock)(a)

     29,825        1,653,200  

Coca-Cola Co. (The)

     666,850        33,956,002  

Constellation Brands, Inc. (Class A Stock)(a)

     28,500        5,612,790  

Molson Coors Brewing Co. (Class B Stock)

     32,300        1,808,800  

Monster Beverage Corp.*

     68,300        4,359,589  

PepsiCo, Inc.

     243,494        31,929,368  
     

 

 

 
        79,319,749  
     

 

 

 

Biotechnology — 2.1%

 

AbbVie, Inc.

     256,500        18,652,680  

Alexion Pharmaceuticals, Inc.*

     38,700        5,068,926  

Amgen, Inc.

     108,004        19,902,977  

Biogen, Inc.*

     34,675        8,109,442  

Celgene Corp.*

     121,800        11,259,192  

Gilead Sciences, Inc

     221,900        14,991,564  

Incyte Corp.*

     30,500        2,591,280  

Regeneron Pharmaceuticals, Inc.*

     13,630        4,266,190  

Vertex Pharmaceuticals, Inc.*

     44,400        8,142,072  
     

 

 

 
        92,984,323  
     

 

 

 

Building Products — 0.3%

 

A.O. Smith Corp.

     24,800        1,169,568  

Allegion PLC

     16,533        1,827,723  

Fortune Brands Home & Security, Inc.

     25,100        1,433,963  

Johnson Controls International PLC

     145,115        5,994,701  

Masco Corp.

     52,530        2,061,277  
     

 

 

 
        12,487,232  
     

 

 

 

Capital Markets — 2.6%

 

Affiliated Managers Group, Inc.

     9,530        878,094  

Ameriprise Financial, Inc.

     23,850        3,462,066  

Bank of New York Mellon Corp. (The)

     152,049        6,712,963  

BlackRock, Inc.

     20,940        9,827,142  

Cboe Global Markets, Inc.

     19,300        2,000,059  

Charles Schwab Corp. (The)

     206,200        8,287,178  

CME Group, Inc.(a)

     61,360        11,910,590  

E*TRADE Financial Corp.

     44,510        1,985,146  

Franklin Resources, Inc.(a)

     53,600        1,865,280  

Goldman Sachs Group, Inc. (The)

     59,420        12,157,332  

Intercontinental Exchange, Inc.

     97,990        8,421,261  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A129


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Capital Markets (continued)

 

Invesco Ltd.

     70,800      $ 1,448,568  

Moody’s Corp.

     28,420        5,550,710  

Morgan Stanley

     225,810        9,892,736  

MSCI, Inc.

     14,600        3,486,334  

Nasdaq, Inc.

     20,100        1,933,017  

Northern Trust Corp.

     38,400        3,456,000  

Raymond James Financial, Inc.

     22,600        1,910,830  

S&P Global, Inc.

     42,880        9,767,635  

State Street Corp.

     65,575        3,676,135  

T. Rowe Price Group, Inc.

     41,700        4,574,907  
     

 

 

 
        113,203,983  
     

 

 

 

Chemicals — 2.0%

 

Air Products & Chemicals, Inc.(a)

     37,800        8,556,786  

Albemarle Corp.(a)

     17,800        1,253,298  

Celanese Corp.

     22,200        2,393,160  

CF Industries Holdings, Inc.

     39,800        1,859,058  

Corteva, Inc.*

     130,656        3,863,498  

Dow, Inc.

     131,122        6,465,626  

DuPont de Nemours, Inc.

     130,656        9,808,346  

Eastman Chemical Co.

     24,400        1,899,052  

Ecolab, Inc.

     43,600        8,608,384  

FMC Corp.

     23,150        1,920,292  

International Flavors & Fragrances, Inc.(a)

     17,340        2,515,861  

Linde PLC (United Kingdom)

     94,800        19,035,840  

LyondellBasell Industries NV (Class A Stock)

     53,700        4,625,181  

Mosaic Co. (The)

     60,800        1,521,824  

PPG Industries, Inc.

     40,800        4,761,768  

Sherwin-Williams Co. (The)

     14,200        6,507,718  
     

 

 

 
        85,595,692  
     

 

 

 

Commercial Services & Supplies — 0.4%

 

Cintas Corp.

     14,700        3,488,163  

Copart, Inc.*(a)

     35,100        2,623,374  

Republic Services, Inc.

     37,435        3,243,368  

Rollins, Inc.

     24,150        866,261  

Waste Management, Inc.

     67,630        7,802,473  
     

 

 

 
        18,023,639  
     

 

 

 

Communications Equipment — 1.2%

 

Arista Networks, Inc.*

     9,200        2,388,504  

Cisco Systems, Inc.

     751,675        41,139,173  

F5 Networks, Inc.*

     10,600        1,543,678  

Juniper Networks, Inc.

     59,700        1,589,811  

Motorola Solutions, Inc.

     28,227        4,706,287  
     

 

 

 
        51,367,453  
     

 

 

 

Construction & Engineering — 0.1%

 

Jacobs Engineering Group, Inc.

     20,900        1,763,751  

Quanta Services, Inc.

     26,200        1,000,578  
     

 

 

 
        2,764,329  
     

 

 

 

Construction Materials — 0.1%

 

Martin Marietta Materials, Inc.

     10,800        2,485,188  

Vulcan Materials Co.

     22,700        3,116,937  
     

 

 

 
        5,602,125  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Consumer Finance — 0.7%

 

American Express Co.

     119,700      $ 14,775,768  

Capital One Financial Corp.

     82,069        7,446,941  

Discover Financial Services

     57,905        4,492,849  

Synchrony Financial

     115,830        4,015,826  
     

 

 

 
        30,731,384  
     

 

 

 

Containers & Packaging — 0.4%

 

Amcor PLC (United Kingdom)*(a)

     269,600        3,097,704  

Avery Dennison Corp.

     14,900        1,723,632  

Ball Corp.

     57,800        4,045,422  

International Paper Co.

     70,167        3,039,634  

Packaging Corp. of America

     16,700        1,591,844  

Sealed Air Corp.

     28,620        1,224,364  

Westrock Co.

     43,561        1,588,670  
     

 

 

 
        16,311,270  
     

 

 

 

Distributors — 0.1%

 

Genuine Parts Co.

     25,325        2,623,164  

LKQ Corp.*

     55,100        1,466,211  
     

 

 

 
        4,089,375  
     

 

 

 

Diversified Consumer Services — 0.0%

 

H&R Block, Inc.

     35,900        1,051,870  
     

 

 

 

Diversified Financial Services — 1.7%

 

Berkshire Hathaway, Inc. (Class B Stock)*

     336,360        71,701,861  

Jefferies Financial Group, Inc.

     50,600        973,038  
     

 

 

 
        72,674,899  
     

 

 

 

Diversified Telecommunication Services — 2.0%

 

AT&T, Inc.

     1,260,671        42,245,085  

CenturyLink, Inc.(a)

     163,843        1,926,794  

Verizon Communications, Inc.

     715,038        40,850,121  
     

 

 

 
        85,022,000  
     

 

 

 

Electric Utilities — 1.9%

 

Alliant Energy Corp.

     40,900        2,007,372  

American Electric Power Co., Inc.

     84,740        7,457,967  

Duke Energy Corp.

     125,048        11,034,235  

Edison International

     56,300        3,795,183  

Entergy Corp.(a)

     31,900        3,283,467  

Evergy, Inc.

     44,600        2,682,690  

Eversource Energy(a)

     54,500        4,128,920  

Exelon Corp.

     168,073        8,057,420  

FirstEnergy Corp.

     87,280        3,736,457  

NextEra Energy, Inc.

     82,475        16,895,828  

Pinnacle West Capital Corp.

     19,600        1,844,164  

PPL Corp.

     124,500        3,860,745  

Southern Co. (The)

     179,300        9,911,704  

Xcel Energy, Inc.(a)

     88,695        5,276,466  
     

 

 

 
        83,972,618  
     

 

 

 

Electrical Equipment — 0.5%

 

AMETEK, Inc.

     40,200        3,651,768  

Eaton Corp. PLC

     73,761        6,142,816  

Emerson Electric Co.

     106,500        7,105,680  

Rockwell Automation, Inc.

     20,820        3,410,941  
     

 

 

 
        20,311,205  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A130


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Electronic Equipment, Instruments & Components — 0.5%

 

Amphenol Corp. (Class A Stock)

     51,800      $ 4,969,692  

Corning, Inc.

     137,200        4,559,156  

FLIR Systems, Inc.

     24,100        1,303,810  

IPG Photonics Corp.*(a)

     6,200        956,350  

Keysight Technologies, Inc.*

     32,700        2,936,787  

TE Connectivity Ltd.

     59,300        5,679,754  
     

 

 

 
        20,405,549  
     

 

 

 

Energy Equipment & Services — 0.4%

 

Baker Hughes a GE Co.

     87,548        2,156,307  

Halliburton Co.

     150,200        3,415,548  

Helmerich & Payne, Inc.(a)

     18,900        956,718  

National Oilwell Varco, Inc.

     66,200        1,471,626  

Schlumberger Ltd.

     237,498        9,438,171  

TechnipFMC PLC (United Kingdom)

     74,200        1,924,748  
     

 

 

 
        19,363,118  
     

 

 

 

Entertainment — 2.0%

 

Activision Blizzard, Inc.

     131,700        6,216,240  

Electronic Arts, Inc.*

     52,200        5,285,772  

Netflix, Inc.*

     75,290        27,655,523  

Take-Two Interactive Software, Inc.*

     19,500        2,213,835  

Viacom, Inc. (Class B Stock)

     60,543        1,808,419  

Walt Disney Co. (The)

     302,172        42,195,298  
     

 

 

 
        85,375,087  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 2.9%

 

Alexandria Real Estate Equities, Inc.(a)

     18,800        2,652,492  

American Tower Corp.

     76,500        15,640,425  

Apartment Investment & Management Co. (Class A Stock)

     27,387        1,372,636  

AvalonBay Communities, Inc.

     23,718        4,819,023  

Boston Properties, Inc.

     26,500        3,418,500  

Crown Castle International Corp.

     71,700        9,346,095  

Digital Realty Trust, Inc.(a)

     35,400        4,169,766  

Duke Realty Corp.

     62,200        1,966,142  

Equinix, Inc.

     14,385        7,254,212  

Equity Residential

     63,200        4,798,144  

Essex Property Trust, Inc.

     11,370        3,319,244  

Extra Space Storage, Inc.(a)

     22,000        2,334,200  

Federal Realty Investment Trust

     12,800        1,648,128  

HCP, Inc.

     81,400        2,603,172  

Host Hotels & Resorts, Inc.

     127,426        2,321,702  

Iron Mountain, Inc.(a)

     49,230        1,540,899  

Kimco Realty Corp.(a)

     71,800        1,326,864  

Macerich Co. (The)(a)

     18,400        616,216  

Mid-America Apartment Communities, Inc.

     19,500        2,296,320  

Prologis, Inc.

     108,128        8,661,053  

Public Storage

     25,950        6,180,512  

Realty Income Corp.

     52,300        3,607,131  

Regency Centers Corp.

     29,700        1,982,178  

SBA Communications Corp.*

     19,530        4,391,125  
COMMON STOCKS
(continued)
   Shares      Value  

Equity Real Estate Investment Trusts (REITs) (continued)

 

Simon Property Group, Inc.(a)

     53,061      $ 8,477,025  

SL Green Realty Corp.

     15,400        1,237,698  

UDR, Inc.(a)

     47,000        2,109,830  

Ventas, Inc.(a)

     61,504        4,203,798  

Vornado Realty Trust

     30,257        1,939,474  

Welltower, Inc.(a)

     67,900        5,535,887  

Weyerhaeuser Co.

     128,930        3,396,016  
     

 

 

 
        125,165,907  
     

 

 

 

Food & Staples Retailing — 1.5%

     

Costco Wholesale Corp.

     75,792        20,028,794  

Kroger Co. (The)

     137,400        2,982,954  

Sysco Corp.

     82,500        5,834,400  

Walgreens Boots Alliance, Inc.

     137,900        7,538,993  

Walmart, Inc.

     245,800        27,158,442  
     

 

 

 
        63,543,583  
     

 

 

 

Food Products — 1.1%

     

Archer-Daniels-Midland Co.

     96,838        3,950,990  

Campbell Soup Co.(a)

     33,200        1,330,324  

Conagra Brands, Inc.(a)

     82,800        2,195,856  

General Mills, Inc.(a)

     102,900        5,404,308  

Hershey Co. (The)

     24,400        3,270,332  

Hormel Foods Corp.(a)

     47,500        1,925,650  

J.M. Smucker Co. (The)(a)

     19,600        2,257,724  

Kellogg Co.(a)

     43,700        2,341,009  

Kraft Heinz Co. (The)

     107,137        3,325,533  

Lamb Weston Holdings, Inc.

     25,000        1,584,000  

McCormick & Co., Inc.(a)

     20,800        3,224,208  

Mondelez International, Inc. (Class A Stock)

     249,411        13,443,253  

Tyson Foods, Inc. (Class A Stock)

     50,500        4,077,370  
     

 

 

 
        48,330,557  
     

 

 

 

Gas Utilities — 0.0%

     

Atmos Energy Corp.

     19,500        2,058,420  
     

 

 

 

Health Care Equipment & Supplies — 3.4%

 

Abbott Laboratories

     304,425        25,602,142  

ABIOMED, Inc.*

     7,900        2,057,871  

Align Technology, Inc.*

     12,600        3,448,620  

Baxter International, Inc.

     83,100        6,805,890  

Becton, Dickinson & Co.

     46,349        11,680,411  

Boston Scientific Corp.*

     237,399        10,203,409  

Cooper Cos., Inc. (The)

     8,630        2,907,361  

Danaher Corp.

     108,900        15,563,988  

DENTSPLY SIRONA, Inc.

     39,300        2,293,548  

Edwards Lifesciences Corp.*

     36,050        6,659,877  

Hologic, Inc.*

     47,400        2,276,148  

IDEXX Laboratories, Inc.*

     15,000        4,129,950  

Intuitive Surgical, Inc.*

     19,650        10,307,408  

Medtronic PLC.

     232,428        22,636,163  

ResMed, Inc.

     24,800        3,026,344  

Stryker Corp.

     53,600        11,019,088  

Teleflex, Inc.

     7,900        2,616,085  

Varian Medical Systems, Inc.*

     15,800        2,150,854  

Zimmer Biomet Holdings, Inc.

     35,286        4,154,574  
     

 

 

 
        149,539,731  
     

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A131


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Health Care Providers & Services — 2.6%

 

AmerisourceBergen Corp.

     27,800      $ 2,370,228  

Anthem, Inc.

     44,600        12,586,566  

Cardinal Health, Inc.

     53,075        2,499,832  

Centene Corp.*

     70,900        3,717,996  

Cigna Corp.

     66,252        10,438,003  

CVS Health Corp.

     223,799        12,194,807  

DaVita, Inc.*

     22,500        1,265,850  

HCA Healthcare, Inc.

     46,400        6,271,888  

Henry Schein, Inc.*(a)

     26,500        1,852,350  

Humana, Inc.

     23,670        6,279,651  

Laboratory Corp. of America Holdings*

     17,400        3,008,460  

McKesson Corp.

     33,507        4,503,006  

Quest Diagnostics, Inc.

     23,300        2,372,173  

UnitedHealth Group, Inc.

     166,300        40,578,863  

Universal Health Services, Inc. (Class B Stock)

     15,100        1,968,889  

WellCare Health Plans, Inc.*

     8,600        2,451,602  
     

 

 

 
        114,360,164  
     

 

 

 

Health Care Technology — 0.1%

 

Cerner Corp.

     57,100        4,185,430  
     

 

 

 

Hotels, Restaurants & Leisure — 1.9%

 

Carnival Corp.

     68,900        3,207,295  

Chipotle Mexican Grill, Inc.*

     4,320        3,166,042  

Darden Restaurants, Inc.

     21,550        2,623,281  

Hilton Worldwide Holdings, Inc.

     51,300        5,014,062  

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

     48,923        6,863,408  

McDonald’s Corp.

     132,310        27,475,494  

MGM Resorts International

     86,500        2,471,305  

Norwegian Cruise Line Holdings Ltd.*

     37,500        2,011,125  

Royal Caribbean Cruises Ltd.

     29,800        3,612,058  

Starbucks Corp.

     215,500        18,065,365  

Wynn Resorts Ltd.

     16,000        1,983,840  

Yum! Brands, Inc.

     53,100        5,876,577  
     

 

 

 
        82,369,852  
     

 

 

 

Household Durables — 0.3%

     

D.R. Horton, Inc.

     59,600        2,570,548  

Garmin Ltd.

     20,600        1,643,880  

Leggett & Platt, Inc.(a)

     22,700        870,999  

Lennar Corp. (Class A Stock)

     49,900        2,418,154  

Mohawk Industries, Inc.*

     10,900        1,607,423  

Newell Brands, Inc.(a)

     71,149        1,097,117  

PulteGroup, Inc.

     45,185        1,428,750  

Whirlpool Corp.(a)

     10,967        1,561,262  
     

 

 

 
        13,198,133  
     

 

 

 

Household Products — 1.7%

     

Church & Dwight Co., Inc.

     42,300        3,090,438  

Clorox Co. (The)(a)

     21,900        3,353,109  

Colgate-Palmolive Co.

     148,900        10,671,663  

Kimberly-Clark Corp.

     59,588        7,941,889  

Procter & Gamble Co. (The)

     433,476        47,530,643  
     

 

 

 
        72,587,742  
     

 

 

 
COMMON STOCKS
(continued)
   Shares      Value  

Independent Power & Renewable Electricity Producers — 0.1%

 

AES Corp.

     113,400      $ 1,900,584  

NRG Energy, Inc.

     50,700        1,780,584  
     

 

 

 
        3,681,168  
     

 

 

 

Industrial Conglomerates — 1.4%

 

3M Co.

     99,870        17,311,466  

General Electric Co.

     1,504,347        15,795,643  

Honeywell International, Inc.

     126,300        22,050,717  

Roper Technologies, Inc.

     17,900        6,556,054  
     

 

 

 
        61,713,880  
     

 

 

 

Insurance — 2.3%

 

Aflac, Inc.

     131,200        7,191,072  

Allstate Corp. (The)

     57,988        5,896,800  

American International Group, Inc.

     151,529        8,073,465  

Aon PLC

     41,525        8,013,494  

Arthur J Gallagher & Co.

     31,400        2,750,326  

Assurant, Inc.

     9,900        1,053,162  

Chubb Ltd.

     79,230        11,669,787  

Cincinnati Financial Corp.

     26,128        2,708,690  

Everest Re Group Ltd.

     7,000        1,730,260  

Hartford Financial Services Group, Inc. (The)

     62,300        3,471,356  

Lincoln National Corp.

     36,863        2,375,820  

Loews Corp.

     47,126        2,576,378  

Marsh & McLennan Cos., Inc.

     86,900        8,668,275  

MetLife, Inc.

     167,580        8,323,699  

Principal Financial Group, Inc.(a)

     45,700        2,646,944  

Progressive Corp. (The)

     100,300        8,016,979  

Torchmark Corp.

     18,375        1,643,827  

Travelers Cos., Inc. (The)

     45,698        6,832,765  

Unum Group

     37,456        1,256,649  

Willis Towers Watson PLC

     22,500        4,309,650  
     

 

 

 
        99,209,398  
     

 

 

 

Interactive Media & Services — 4.6%

 

Alphabet, Inc. (Class A Stock)*

     51,849        56,142,097  

Alphabet, Inc. (Class C Stock)*

     53,210        57,515,221  

Facebook, Inc. (Class A Stock)*

     415,820        80,253,260  

TripAdvisor, Inc.*(a)

     18,200        842,478  

Twitter, Inc.*

     125,000        4,362,500  
     

 

 

 
        199,115,556  
     

 

 

 

Internet & Direct Marketing Retail — 3.7%

 

Amazon.com, Inc.*

     71,670        135,716,462  

Booking Holdings, Inc.*

     7,740        14,510,256  

eBay, Inc.

     150,100        5,928,950  

Expedia Group, Inc.

     20,800        2,767,024  
     

 

 

 
        158,922,692  
     

 

 

 

IT Services — 5.2%

     

Accenture PLC (Class A Stock)

     110,500        20,417,085  

Akamai Technologies, Inc.*

     28,500        2,283,990  

Alliance Data Systems Corp.

     8,310        1,164,480  

Automatic Data Processing, Inc.

     75,160        12,426,203  

Broadridge Financial Solutions, Inc.

     20,500        2,617,440  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A132


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

IT Services (continued)

     

Cognizant Technology Solutions Corp. (Class A Stock)

     99,800      $ 6,326,322  

DXC Technology Co.

     48,350        2,666,503  

Fidelity National Information Services, Inc.

     56,500        6,931,420  

Fiserv, Inc.*(a)

     67,800        6,180,648  

FleetCor Technologies, Inc.*

     15,200        4,268,920  

Gartner, Inc.*

     15,700        2,526,758  

Global Payments, Inc.

     27,100        4,339,523  

International Business Machines Corp.

     154,325        21,281,417  

Jack Henry & Associates, Inc.

     12,600        1,687,392  

Mastercard, Inc. (Class A Stock)

     156,300        41,346,039  

Paychex, Inc.(a)

     55,350        4,554,751  

PayPal Holdings, Inc.*

     202,400        23,166,704  

Total System Services, Inc.

     28,593        3,667,624  

VeriSign, Inc.*

     18,200        3,806,712  

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

     303,000        52,585,650  

Western Union Co. (The)(a)

     77,404        1,539,566  
     

 

 

 
        225,785,147  
     

 

 

 

Leisure Products — 0.0%

     

Hasbro, Inc.

     20,050        2,118,884  
     

 

 

 

Life Sciences Tools & Services — 1.1%

 

Agilent Technologies, Inc.

     54,782        4,090,572  

Illumina, Inc.*

     25,400        9,351,010  

IQVIA Holdings, Inc.*

     27,500        4,424,750  

Mettler-Toledo International, Inc.*

     4,320        3,628,800  

PerkinElmer, Inc.

     19,200        1,849,728  

Thermo Fisher Scientific, Inc.

     69,700        20,469,496  

Waters Corp.*

     12,400        2,668,976  
     

 

 

 
        46,483,332  
     

 

 

 

Machinery — 1.5%

     

Caterpillar, Inc.

     99,700        13,588,113  

Cummins, Inc.

     25,500        4,369,170  

Deere & Co.

     54,950        9,105,765  

Dover Corp.

     25,600        2,565,120  

Flowserve Corp.

     22,500        1,185,525  

Fortive Corp.

     50,600        4,124,912  

Illinois Tool Works, Inc.(a)

     52,475        7,913,755  

Ingersoll-Rand PLC

     42,200        5,345,474  

PACCAR, Inc.

     60,128        4,308,772  

Parker-Hannifin Corp.

     22,787        3,874,018  

Pentair PLC

     28,707        1,067,900  

Snap-on, Inc.(a)

     9,900        1,639,836  

Stanley Black & Decker, Inc.

     25,935        3,750,460  

Wabtec Corp.(a)

     25,912        1,859,445  

Xylem, Inc.

     31,200        2,609,568  
     

 

 

 
        67,307,833  
     

 

 

 

Media — 1.4%

     

CBS Corp. (Class B Stock)

     58,968        2,942,503  

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

     30,280        11,966,050  

Comcast Corp. (Class A Stock)

     782,992        33,104,902  
COMMON STOCKS
(continued)
   Shares      Value  

Media (continued)

     

Discovery, Inc. (Class A Stock)*(a)

     26,300      $ 807,410  

Discovery, Inc. (Class C Stock)*

     61,400        1,746,830  

DISH Network Corp. (Class A Stock)*

     40,200        1,544,082  

Fox Corp. (Class A Stock)

     60,466        2,215,474  

Fox Corp. (Class B Stock)

     28,066        1,025,251  

Interpublic Group of Cos., Inc. (The)

     66,762        1,508,154  

News Corp. (Class A Stock)

     63,625        858,301  

News Corp. (Class B Stock)

     19,300        269,428  

Omnicom Group, Inc.(a)

     38,800        3,179,660  
     

 

 

 
        61,168,045  
     

 

 

 

Metals & Mining — 0.2%

     

Freeport-McMoRan, Inc.

     248,512        2,885,224  

Newmont Goldcorp Corp.

     140,503        5,405,151  

Nucor Corp.

     52,800        2,909,280  
     

 

 

 
        11,199,655  
     

 

 

 

Multiline Retail — 0.5%

     

Dollar General Corp.

     45,400        6,136,264  

Dollar Tree, Inc.*

     40,647        4,365,081  

Kohl’s Corp.(a)

     28,500        1,355,175  

Macy’s, Inc.

     53,620        1,150,685  

Nordstrom, Inc.(a)

     20,000        637,200  

Target Corp.

     90,068        7,800,790  
     

 

 

 
        21,445,195  
     

 

 

 

Multi-Utilities — 1.1%

     

Ameren Corp.

     42,300        3,177,153  

CenterPoint Energy, Inc.

     85,510        2,448,151  

CMS Energy Corp.

     48,800        2,826,008  

Consolidated Edison, Inc.

     54,600        4,787,328  

Dominion Energy, Inc.

     138,540        10,711,913  

DTE Energy Co.

     31,600        4,041,008  

NiSource, Inc.

     62,000        1,785,600  

Public Service Enterprise Group, Inc.

     86,800        5,105,576  

Sempra Energy

     47,154        6,480,846  

WEC Energy Group, Inc.

     54,576        4,550,001  
     

 

 

 
        45,913,584  
     

 

 

 

Oil, Gas & Consumable Fuels — 4.5%

 

Anadarko Petroleum Corp.

     86,326        6,091,163  

Apache Corp.(a)

     64,550        1,870,013  

Cabot Oil & Gas Corp.

     75,300        1,728,888  

Chevron Corp.

     329,162        40,960,919  

Cimarex Energy Co.

     16,600        984,878  

Concho Resources, Inc.

     34,200        3,528,756  

ConocoPhillips

     197,529        12,049,269  

Devon Energy Corp.

     72,800        2,076,256  

Diamondback Energy, Inc.

     26,900        2,931,293  

EOG Resources, Inc.

     99,200        9,241,472  

Exxon Mobil Corp.

     732,604        56,139,444  

Hess Corp.

     44,075        2,801,848  

HollyFrontier Corp.

     28,300        1,309,724  

Kinder Morgan, Inc.

     337,343        7,043,722  

Marathon Oil Corp.

     142,994        2,031,945  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A133


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Oil, Gas & Consumable Fuels (continued)

 

Marathon Petroleum Corp.

     116,587      $ 6,514,882  

Noble Energy, Inc.

     82,700        1,852,480  

Occidental Petroleum Corp.

     130,000        6,536,400  

ONEOK, Inc.

     70,740        4,867,619  

Phillips 66

     72,964        6,825,053  

Pioneer Natural Resources Co.

     29,400        4,523,484  

Valero Energy Corp.

     72,200        6,181,042  

Williams Cos., Inc. (The)

     208,300        5,840,732  
     

 

 

 
        193,931,282  
     

 

 

 

Personal Products — 0.2%

     

Coty, Inc. (Class A Stock)

     56,000        750,400  

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

     38,100        6,976,491  
     

 

 

 
        7,726,891  
     

 

 

 

Pharmaceuticals — 4.5%

     

Allergan PLC

     54,356        9,100,825  

Bristol-Myers Squibb Co.

     281,940        12,785,979  

Eli Lilly & Co.

     149,600        16,574,184  

Johnson & Johnson

     460,696        64,165,739  

Merck & Co., Inc.

     446,703        37,456,047  

Mylan NV*

     89,200        1,698,368  

Nektar Therapeutics*(a)

     28,500        1,014,030  

Perrigo Co. PLC

     21,800        1,038,116  

Pfizer, Inc.

     960,123        41,592,528  

Zoetis, Inc.

     82,400        9,351,576  
     

 

 

 
        194,777,392  
     

 

 

 

Professional Services — 0.3%

 

  

Equifax, Inc.

     21,000        2,840,040  

IHS Markit Ltd.*

     61,500        3,918,780  

Nielsen Holdings PLC

     60,500        1,367,300  

Robert Half International, Inc.

     21,600        1,231,416  

Verisk Analytics, Inc.

     28,100        4,115,526  
     

 

 

 
        13,473,062  
     

 

 

 

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc. (Class A Stock)*

     54,100        2,775,330  
     

 

 

 

Road & Rail — 1.0%

     

CSX Corp.(a)

     134,072        10,373,151  

J.B. Hunt Transport Services, Inc.

     15,100        1,380,291  

Kansas City Southern

     17,500        2,131,850  

Norfolk Southern Corp.

     46,300        9,228,979  

Union Pacific Corp.

     123,800        20,935,818  
     

 

 

 
        44,050,089  
     

 

 

 

Semiconductors & Semiconductor Equipment — 3.7%

 

Advanced Micro Devices, Inc.*(a)

     148,500        4,509,945  

Analog Devices, Inc.

     63,823        7,203,702  

Applied Materials, Inc.

     165,400        7,428,114  

Broadcom, Inc.(a)

     68,560        19,735,682  

Intel Corp.

     778,100        37,247,647  

KLA-Tencor Corp.

     28,400        3,356,880  

Lam Research Corp.

     26,600        4,996,544  

Maxim Integrated Products, Inc.

     46,300        2,769,666  
COMMON STOCKS
(continued)
   Shares      Value  

Semiconductors & Semiconductor Equipment (continued)

 

Microchip Technology, Inc.(a)

     40,600      $ 3,520,020  

Micron Technology, Inc.*

     192,700        7,436,293  

NVIDIA Corp.

     104,650        17,186,669  

Qorvo, Inc.*

     21,886        1,457,826  

QUALCOMM, Inc.

     209,750        15,955,683  

Skyworks Solutions, Inc.

     30,400        2,349,008  

Texas Instruments, Inc.(a)

     162,600        18,659,976  

Xilinx, Inc.(a)

     43,600        5,141,312  
     

 

 

 
        158,954,967  
     

 

 

 

Software — 6.6%

     

Adobe, Inc.*

     84,575        24,920,024  

ANSYS, Inc.*

     14,500        2,969,890  

Autodesk, Inc.*

     37,770        6,152,733  

Cadence Design Systems, Inc.*

     49,000        3,469,690  

Citrix Systems, Inc.

     22,100        2,168,894  

Fortinet, Inc.*

     25,400        1,951,482  

Intuit, Inc.

     44,600        11,655,318  

Microsoft Corp.

     1,329,300        178,073,028  

Oracle Corp.

     429,995        24,496,815  

Red Hat, Inc.*

     30,300        5,689,128  

salesforce.com, Inc.*

     133,500        20,255,955  

Symantec Corp.

     108,911        2,369,903  

Synopsys, Inc.*

     25,600        3,294,464  
     

 

 

 
        287,467,324  
     

 

 

 

Specialty Retail — 2.3%

     

Advance Auto Parts, Inc.

     12,560        1,935,999  

AutoZone, Inc.*

     4,410        4,848,663  

Best Buy Co., Inc.

     41,425        2,888,565  

CarMax, Inc.*(a)

     30,100        2,613,583  

Foot Locker, Inc.

     20,900        876,128  

Gap, Inc. (The)(a)

     37,187        668,250  

Home Depot, Inc. (The)(a)

     192,869        40,110,966  

L Brands, Inc.(a)

     39,696        1,036,066  

Lowe’s Cos., Inc.

     137,875        13,912,966  

O’Reilly Automotive, Inc.*

     13,560        5,007,979  

Ross Stores, Inc.

     64,600        6,403,152  

Tiffany & Co.(a)

     18,500        1,732,340  

TJX Cos., Inc. (The)

     213,300        11,279,304  

Tractor Supply Co.

     21,200        2,306,560  

Ulta Beauty, Inc.*

     9,700        3,364,833  
     

 

 

 
        98,985,354  
     

 

 

 

Technology Hardware, Storage & Peripherals — 3.9%

 

Apple, Inc.

     760,215        150,461,753  

Hewlett Packard Enterprise Co.

     244,266        3,651,777  

HP, Inc.

     269,366        5,600,119  

NetApp, Inc.(a)

     43,600        2,690,120  

Seagate Technology PLC(a)

     45,600        2,148,672  

Western Digital Corp.

     50,868        2,418,773  

Xerox Corp.

     36,002        1,274,831  
     

 

 

 
        168,246,045  
     

 

 

 

Textiles, Apparel & Luxury Goods — 0.7%

 

  

Capri Holdings Ltd.*

     26,500        919,020  

Hanesbrands, Inc.(a)

     62,100        1,069,362  

NIKE, Inc. (Class B Stock)

     217,800        18,284,310  

PVH Corp.

     13,300        1,258,712  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A134


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

COMMON STOCKS
(continued)
   Shares      Value  

Textiles, Apparel & Luxury Goods (continued)

 

  

Ralph Lauren Corp.

     9,500      $ 1,079,105  

Tapestry, Inc.

     50,300        1,596,019  

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

     31,200        790,920  

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

     33,303        739,327  

VF Corp.

     55,744        4,869,238  
     

 

 

 
        30,606,013  
     

 

 

 

Tobacco — 0.8%

     

Altria Group, Inc.

     324,900        15,384,015  

Philip Morris International, Inc.

     269,500        21,163,835  
     

 

 

 
        36,547,850  
     

 

 

 

Trading Companies & Distributors — 0.2%

 

  

Fastenal Co.

     98,500        3,210,115  

United Rentals, Inc.*

     14,500        1,923,135  

W.W. Grainger, Inc.

     8,020        2,151,205  
     

 

 

 
        7,284,455  
     

 

 

 

Water Utilities — 0.1%

     

American Water Works Co., Inc.(a)

     31,400        3,642,400  
     

 

 

 

TOTAL COMMON STOCKS
(cost $1,276,896,320)

 

     4,236,485,988  
     

 

 

 
EXCHANGE-TRADED FUNDS — 0.3%

 

iShares Core S&P 500 ETF

     34,400        10,139,400  

SPDR S&P 500 ETF Trust

     14,000        4,102,000  
     

 

 

 

TOTAL EXCHANGE-TRADED FUNDS
(cost $12,797,258)

 

     14,241,400  
     

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $1,289,693,578)

 

     4,250,727,388  
     

 

 

 
SHORT-TERM INVESTMENTS — 8.7%

 

AFFILIATED MUTUAL FUNDS — 8.6%

 

PGIM Core Ultra Short Bond Fund(w)

     79,681,981        79,681,981  

PGIM Institutional Money Market Fund
(cost $292,026,161; includes $291,442,764 of cash collateral for securities on loan)(b)(w)

     291,995,428        292,083,027  
     

 

 

 

TOTAL AFFILIATED MUTUAL FUNDS
(cost $371,708,142)

 

     371,765,008  
     

 

 

 

Interest
Rate

   Maturity
Date
     Principal
Amount
(000)#
     Value  
U.S. TREASURY OBLIGATION(k)(n) — 0.1%

 

U.S. Treasury Bills

        

2.167%

     09/19/19        

(cost $4,478,450)

        4,500      $ 4,479,223  
        

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $376,186,592)

 

     376,244,231  
        

 

 

 

TOTAL INVESTMENTS — 106.6%
(cost $1,665,880,170)

 

     4,626,971,619  

LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (6.6)%

 

     (287,897,503
        

 

 

 

NET ASSETS — 100.0%

 

   $ 4,339,074,116  
        

 

 

 

See the Glossary for a list of the abbreviation(s) 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 $287,589,056; cash collateral of $291,442,764 (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 purchased date.

 

(w)

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

 

(z)

Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A135


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Futures contracts outstanding at June 30, 2019:

 

Number of
Contracts
  Type     Expiration
Date
    Current
Notional
Amount
    Value /
Unrealized
Appreciation
(Depreciation)
 
Long Positions:        
247     S&P 500 E-Mini Index       Sep. 2019     $ 36,360,870     $ 360,988  
68     S&P 500 Stock Index       Sep. 2019       50,051,400       826,303  
       

 

 

 
        $ 1,187,291  
       

 

 

 

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

 

Broker

  

Cash and/or Foreign Currency

    

Securities Market Value

 

UBS Securities LLC

   $   —      $ 4,479,223  
  

 

 

    

 

 

 

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, 2019 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

        

Common Stocks

        

Aerospace & Defense

   $ 110,600,715      $   —      $   —  

Air Freight & Logistics

     23,545,493                

Airlines

     17,480,830                

Auto Components

     5,159,972                

Automobiles

     16,540,025                

Banks

     234,629,711                

Beverages

     79,319,749                

Biotechnology

     92,984,323                

Building Products

     12,487,232                

Capital Markets

     113,203,983                

Chemicals

     85,595,692                

Commercial Services & Supplies

     18,023,639                

Communications Equipment

     51,367,453                

Construction & Engineering

     2,764,329                

Construction Materials

     5,602,125                

Consumer Finance

     30,731,384                

Containers & Packaging

     16,311,270                

Distributors

     4,089,375                

Diversified Consumer Services

     1,051,870                

Diversified Financial Services

     72,674,899                

Diversified Telecommunication Services

     85,022,000                

Electric Utilities

     83,972,618                

Electrical Equipment

     20,311,205                

Electronic Equipment, Instruments & Components

     20,405,549                

Energy Equipment & Services

     19,363,118                

Entertainment

     85,375,087                

Equity Real Estate Investment Trusts (REITs)

     125,165,907                

Food & Staples Retailing

     63,543,583                

Food Products

     48,330,557                

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A136


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

     Level 1      Level 2      Level 3  

Investments in Securities (continued)

        

Common Stocks (continued)

        

Gas Utilities

   $ 2,058,420      $      $  

Health Care Equipment & Supplies

     149,539,731                

Health Care Providers & Services

     114,360,164                

Health Care Technology

     4,185,430                

Hotels, Restaurants & Leisure

     82,369,852                

Household Durables

     13,198,133                

Household Products

     72,587,742                

Independent Power & Renewable Electricity Producers

     3,681,168                

Industrial Conglomerates

     61,713,880                

Insurance

     99,209,398                

Interactive Media & Services

     199,115,556                

Internet & Direct Marketing Retail

     158,922,692                

IT Services

     225,785,147                

Leisure Products

     2,118,884                

Life Sciences Tools & Services

     46,483,332                

Machinery

     67,307,833                

Media

     61,168,045                

Metals & Mining

     11,199,655                

Multiline Retail

     21,445,195                

Multi-Utilities

     45,913,584                

Oil, Gas & Consumable Fuels

     193,931,282                

Personal Products

     7,726,891                

Pharmaceuticals

     194,777,392                

Professional Services

     13,473,062                

Real Estate Management & Development

     2,775,330                

Road & Rail

     44,050,089                

Semiconductors & Semiconductor Equipment

     158,954,967                

Software

     287,467,324                

Specialty Retail

     98,985,354                

Technology Hardware, Storage & Peripherals

     168,246,045                

Textiles, Apparel & Luxury Goods

     30,606,013                

Tobacco

     36,547,850                

Trading Companies & Distributors

     7,284,455                

Water Utilities

     3,642,400                

Exchange-Traded Funds

     14,241,400                

Affiliated Mutual Funds

     371,765,008                

U.S. Treasury Obligation

            4,479,223         

Other Financial Instruments*

        

Futures Contracts

     1,187,291                
  

 

 

    

 

 

    

 

 

 

Total

   $ 4,623,679,687      $ 4,479,223      $   —  
  

 

 

    

 

 

    

 

 

 

 

*

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.

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, 2019 were as follows:

 

Affiliated Mutual Funds (6.7% represents investments purchased with collateral from securities on loan)

     8.6

Software

     6.6  

Banks

     5.4  

IT Services

     5.2  

Interactive Media & Services

     4.6  

Pharmaceuticals

     4.5  

Oil, Gas & Consumable Fuels

     4.5  

Technology Hardware, Storage & Peripherals

     3.9

Semiconductors & Semiconductor Equipment

     3.7  

Internet & Direct Marketing Retail

     3.7  

Health Care Equipment & Supplies

     3.4  

Equity Real Estate Investment Trusts (REITs)

     2.9  

Health Care Providers & Services

     2.6  

Capital Markets

     2.6  

Aerospace & Defense

     2.5  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A137


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

Industry Classification (con’t)

      

Insurance

     2.3

Specialty Retail

     2.3  

Biotechnology

     2.1  

Chemicals

     2.0  

Entertainment

     2.0  

Diversified Telecommunication Services

     2.0  

Electric Utilities

     1.9  

Hotels, Restaurants & Leisure

     1.9  

Beverages

     1.8  

Diversified Financial Services

     1.7  

Household Products

     1.7  

Machinery

     1.5  

Food & Staples Retailing

     1.5  

Industrial Conglomerates

     1.4  

Media

     1.4  

Communications Equipment

     1.2  

Food Products

     1.1  

Life Sciences Tools & Services

     1.1  

Multi-Utilities

     1.1  

Road & Rail

     1.0  

Tobacco

     0.8  

Consumer Finance

     0.7  

Textiles, Apparel & Luxury Goods

     0.7  

Air Freight & Logistics

     0.5  

Multiline Retail

     0.5  

Electronic Equipment, Instruments & Components

     0.5  

Electrical Equipment

     0.5  

Energy Equipment & Services

     0.4  

Commercial Services & Supplies

     0.4

Airlines

     0.4  

Automobiles

     0.4  

Containers & Packaging

     0.4  

Exchange-Traded Funds

     0.3  

Professional Services

     0.3  

Household Durables

     0.3  

Building Products

     0.3  

Metals & Mining

     0.2  

Personal Products

     0.2  

Trading Companies & Distributors

     0.2  

Construction Materials

     0.1  

Auto Components

     0.1  

U.S. Treasury Obligation

     0.1  

Health Care Technology

     0.1  

Distributors

     0.1  

Independent Power & Renewable Electricity Producers

     0.1  

Water Utilities

     0.1  

Real Estate Management & Development

     0.1  

Construction & Engineering

     0.1  

Leisure Products

     0.0

Gas Utilities

     0.0

Diversified Consumer Services

     0.0
  

 

 

 
     106.6  

Liabilities in excess of other assets

     (6.6
  

 

 

 
     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. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. 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, 2019 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging
instruments, carried at fair value

  

Asset Derivatives

   

Liability Derivatives

 
  

Statement of Assets and
Liabilities Location

   Fair Value    

Statement of Assets and
Liabilities Location

   Fair Value  

Equity contracts

   Due from/to broker — variation margin futures    $ 1,187,291      $   —  
     

 

 

      

 

 

 

 

*

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, 2019 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

     $ 11,854,744  
    

 

 

 

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

 

Derivatives not accounted for as hedging
instruments, carried at fair value

     Futures  

Equity contracts

     $ 4,062,070  
    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A138


 
   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2019 (unaudited)

 

For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:

 

Futures Contracts—
Long Positions(1)

$95,587,213

 

(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

     $ 287,589,056        $ (287,589,056    $   —  
    

 

 

         

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A139


 
   STOCK INDEX PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2019

 

ASSETS   

Investments at value, including securities on loan of $287,589,056:

  

Unaffiliated investments (cost $1,294,172,028)

   $ 4,255,206,611  

Affiliated investments (cost $371,708,142)

     371,765,008  

Dividends receivable

     3,557,813  

Receivable for investments sold

     1,282,157  

Receivable for Portfolio shares sold

     609,959  

Due from broker-variation margin futures

     390,355  

Prepaid expenses

     4,425  
  

 

 

 

Total Assets

     4,632,816,328  
  

 

 

 
LIABILITIES   

Payable to broker for collateral for securities on loan

     291,442,764  

Management fee payable.

     1,037,728  

Accrued expenses and other liabilities

     798,034  

Payable for investments purchased

     241,497  

Payable for Portfolio shares repurchased

     221,209  

Affiliated transfer agent fee payable

     980  
  

 

 

 

Total Liabilities

     293,742,212  
  

 

 

 
NET ASSETS    $ 4,339,074,116  
  

 

 

 

Net assets were comprised of:

  

Partners Equity

   $ 4,339,074,116  
  

 

 

 

Net asset value and redemption price per share, $4,339,074,116 / 64,750,806 outstanding shares of beneficial interest

   $ 67.01  
  

 

 

 

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2019

 

NET INVESTMENT INCOME (LOSS)

  

INCOME

  

Unaffiliated dividend income

   $ 40,250,684  

Affiliated dividend income

     1,204,349  

Income from securities lending, net (including affiliated income of $141,842)

     162,687  

Interest income (net of $11 foreign withholding tax)

     60,551  
  

 

 

 

Total income

     41,678,271  
  

 

 

 
EXPENSES   

Management fee.

     6,124,028  

Custodian and accounting fees

     123,428  

Shareholders’ reports

     82,492  

Trustees’ fees

     26,917  

Audit fee.

     12,227  

Legal fees and expenses.

     11,909  

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

     5,297  

Miscellaneous

     38,271  
  

 

 

 

Total expenses

     6,424,569  
  

 

 

 
NET INVESTMENT INCOME (LOSS)      35,253,702  
  

 

 

 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS   

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $(13,169))

     14,716,897  

Futures transactions.

     11,854,744  
  

 

 

 
     26,571,641  
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $58,323)

     610,229,150  

Futures

     4,062,070  
  

 

 

 
     614,291,220  
  

 

 

 
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      640,862,861  
  

 

 

 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 676,116,563  
  

 

 

 
 

STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2019
    Year Ended
December 31, 2018
 
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
    

Net investment income (loss)

   $ 35,253,702     $ 66,061,210  

Net realized gain (loss) on investment transactions

     26,571,641       100,320,190  

Net change in unrealized appreciation (depreciation) on investments

     614,291,220       (339,473,709
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     676,116,563       (173,092,309
  

 

 

   

 

 

 
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [1,997,690 and 3,148,487 shares, respectively]

     124,204,105       190,000,727  

Portfolio shares repurchased [2,087,659 and 4,457,788 shares, respectively]

     (133,568,718     (272,872,840
  

 

 

   

 

 

 

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

     (9,364,613     (82,872,113
  

 

 

   

 

 

 
TOTAL INCREASE (DECREASE)      666,751,950       (255,964,422
NET ASSETS:     

Beginning of period

     3,672,322,166       3,928,286,588  
  

 

 

   

 

 

 

End of period

   $ 4,339,074,116     $ 3,672,322,166  
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A140


NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(unaudited)

The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 13 Portfolios listed below together with their investment objectives. Each Portfolio is a diversified portfolio except Natural Resources Portfolio which is a non-diversified portfolio for purposes of the 1940 Act.

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.

 

        1.   Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) 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 Series Fund’s 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, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Portfolios 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 the 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 and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

 

B1


Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

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 up to the time each Portfolio is valued. 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 and centrally cleared 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 includes 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 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 derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing

 

B2


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.

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.

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund 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.

Subject to guidelines adopted by the Board, the Government Money Market Portfolio may invest up to 5% of its net assets in illiquid securities.

Restricted Securities:    Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP 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. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted 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

 

B3


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 forward currency 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) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

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 entered into forward currency contracts, as defined in the prospectus, 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 (depreciation) on forward and cross currency contracts. 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. The 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. The Portfolios may also use options to gain additional market exposure. The Portfolios’ 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

 

B4


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 Portfolios are 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 Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. 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:    Certain Portfolios invested 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. The Portfolios 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, the Portfolios 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 Portfolios generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, Portfolios 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 Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.

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 entered into certain types of swap agreements detailed in the disclosures below. 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

 

B5


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 an agreement 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 or 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.

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 where the Portfolio is the seller of protection 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. 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.

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 defined 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

 

B6


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

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, 2019, 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.

 

B7


Rights:    Certain Portfolios held rights acquired either through a direct purchase or pursuant to corporate actions. 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 rights are held as long positions by the Portfolios until exercised, sold or expired. Rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Delayed-Delivery Transactions:    Certain Portfolios purchased or sold 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 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:    Certain Portfolios 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 entered 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 equity REITs):    Certain Portfolios invested 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, or for certain foreign securities, when the Portfolio becomes aware of such dividends. 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

 

B8


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 taking into account any agreements in place with Prudential as referenced in Note 3. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

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.

 

        2.   Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”) (a wholly-owned subsidiary of PGIM, Inc.), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), 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. The Manager pays for the services of the subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.

 

Portfolio

   Management Fee    Effective
Management Fee,
Net of Waiver,
if Applicable
 

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      0.72

Government Income Portfolio

   0.40      0.40  

Government Money Market Portfolio

   0.30      0.30  

Stock Index Portfolio

   0.30% up to $4 billion

0.25% over $4 billion

     0.30  

 

  *

The Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.032% of the average daily net assets of the Portfolio.

 

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At June 30, 2019, 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 the Manager, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to the Manager 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 reporting period ended June 30, 2019, brokerage commission recaptured under these agreements was as follows:

 

Portfolio

   Amount  

Equity Portfolio

   $ 60,670  

Global Portfolio

     15,532  

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

 

        3.   Other Transactions with Affiliates

a.)    Related Parties

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.

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 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. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

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, subject to certain

 

B10


conditions, 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. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transaction were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2019, no 17a-7 transactions were entered into by the Portfolios.

b.)    Securities Lending and Foreign Withholding Tax Reclaim Matters

In February 2016, Prudential, the parent company of the Manager, 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 each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Series Fund’s independent trustees, 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”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Series Fund’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was 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 was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Series Fund’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating to the opportunity loss upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are disclosed in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018 and for the six months ended June 30, 2019.

In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.

During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax on the first business day following 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.

 

B11


In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax 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” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.

The following amounts have been accrued or paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnership for tax purposes.

 

Portfolio

   2019 Withholding Tax  

Conservative Balanced Portfolio

   $ 6,877  

Equity Portfolio

     13,151  

Flexible Managed Portfolio

     11,436  

Global Portfolio

       88,638  

The following amounts have been paid 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.

 

Portfolio

   2019 Payments  

Conservative Balanced Portfolio

   $ 30,155  

Equity Portfolio

     187,890  

Flexible Managed Portfolio

     32,384  

Global Portfolio

       141,863  

The following amounts have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.

 

Portfolio

   Opportunity Loss  

Conservative Balanced Portfolio

   $ 13,184  

Equity Portfolio

     3  

Flexible Managed Portfolio

     14,632  

Global Portfolio

       85,664  

 

        4.   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 reporting period ended June 30, 2019, were as follows:

 

Portfolio

   Cost of Purchases      Proceeds from Sales  

Conservative Balanced Portfolio

   $ 823,851,966      $ 843,248,186  

Diversified Bond Portfolio

     161,394,421        132,319,201  

Equity Portfolio

     925,736,563        1,089,156,347  

Flexible Managed Portfolio

     2,361,082,236        2,406,411,065  

Global Portfolio

     146,556,939        158,628,666  

Government Income Portfolio

     278,182,442        276,827,982  

Stock Index Portfolio

     87,626,599        46,631,956  

 

B12


A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:

 

  Conservative Balanced Portfolio        
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
     Income  
  PGIM Core Short-Term Bond Fund*          
$ 60,098,231      $ 986,294      $   —      $ 130,688      $   —     $ 61,215,213        6,632,201      $ 986,102  
  PGIM Core Ultra Short Bond Fund*          
  321,028,979        222,541,677        282,538,169                     261,032,487        261,032,487        3,720,045  
  PGIM Institutional Money Market Fund*          
  35,065,786        183,324,641        148,081,776        17,985        (1,048     70,325,588        70,304,496        51,639 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 416,192,996      $ 406,852,612      $ 430,619,945      $ 148,673      $ (1,048   $ 392,573,288         $ 4,757,786  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
  Diversified Bond Portfolio        
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
     Income  
  PGIM Core Short-Term Bond Fund*          
$ 36,166,743      $ 593,546      $      $ 78,647      $     $ 36,838,936        3,991,217      $ 590,570  
  PGIM Core Ultra Short Bond Fund*          
  3,312,505        157,060,462        157,703,386                     2,669,581        2,669,581        237,481  
  PGIM Institutional Money Market Fund*          
  5,294,940        46,348,377        39,590,214        2,663        1,423       12,057,189        12,053,573        13,466 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 44,774,188      $ 204,002,385      $ 197,293,600      $ 81,310      $ 1,423     $ 51,565,706         $ 841,517  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
  Equity Portfolio        
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
     Income  
  PGIM Core Ultra Short Bond Fund*          
$ 122,077,957      $ 506,978,328      $ 486,705,116      $      $     $ 142,351,169        142,351,169      $ 1,591,793  
  PGIM Institutional Money Market Fund*          
  233,962,135        1,615,209,453        1,354,908,124        112,886        3,295       494,379,645        494,231,375        339,943 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 356,040,092      $ 2,122,187,781      $ 1,841,613,240      $ 112,886      $ 3,295     $ 636,730,814         $ 1,931,736  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
  Flexible Managed Portfolio        
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
     Income  
 

PGIM Core Short-Term Bond Fund*

               
$ 76,993,820      $ 1,263,574      $      $ 167,428      $     $ 78,424,822        8,496,730      $ 1,263,574  
 

PGIM Core Ultra Short Bond Fund*

               
  219,948,136        444,707,070        499,342,803                     165,312,403        165,312,403        2,414,046  
 

PGIM Institutional Money Market Fund*

               
  42,949,501        420,723,536        371,915,979        23,164        1,265       91,781,487        91,753,960        78,530 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 339,891,457      $ 866,694,180      $ 871,258,782      $ 190,592      $ 1,265     $ 335,518,712         $ 3,756,150  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 

 

B13


  Global Portfolio        
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
     Income  
 

PGIM Core Ultra Short Bond Fund*

               
$ 29,089,153      $ 157,931,234      $ 152,741,738      $      $     $ 34,278,649        34,278,649      $ 409,907  
 

PGIM Institutional Money Market Fund*

               
  42,891,241        188,823,505        186,429,077        11,649        136       45,297,454        45,283,869        72,140 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 71,980,394      $ 346,754,739      $ 339,170,815      $ 11,649      $ 136     $ 79,576,103         $ 482,047  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
  Government Income Portfolio        
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
     Income  
 

PGIM Core Short-Term Bond Fund*

               
$ 22,597,532      $ 363,936      $ 1,000,000      $ 180,837      $ (74,756   $ 22,067,549        2,390,850      $ 367,802  
 

PGIM Core Ultra Short Bond Fund*

               
  2,506        53,168,528        50,265,839                     2,905,195        2,905,195        34,024  
 

PGIM Institutional Money Market Fund*

               
         2,593,793        2,593,793                                   592 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 22,600,038      $ 56,126,257      $ 53,859,632      $ 180,837      $ (74,756   $ 24,972,744         $ 402,418  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
  Stock Index Portfolio  
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
     Income  
 

PGIM Core Ultra Short Bond Fund*

               
$ 78,324,947      $ 150,065,767      $ 148,708,733      $      $     $ 79,681,981        79,681,981      $ 1,204,349  
 

PGIM Institutional Money Market Fund*

               
  95,420,772        734,807,991        538,190,890        58,323        (13,169     292,083,027        291,995,428        141,842 ** 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 
$ 173,745,719      $ 884,873,758      $ 686,899,623      $ 58,323      $ (13,169   $ 371,765,008         $ 1,346,191  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

       

 

 

 

 

  *

The Fund 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.

 

        5.   Tax Information

All Portfolios are treated as partnerships for federal income 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.

The Manager 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.

 

        6.   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

 

B14


(“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 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The 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 SCA 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.

Certain 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 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, 2019. 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, 2019
 

Diversified Bond Portfolio

  $ 245,000       3.67     1     $ 245,000     $   —  

Global Portfolio

    190,000       3.66       1       190,000        

Government Income Portfolio

    473,417       3.73       12       2,535,000        

 

        7.   Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life 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. As of June 30, 2019, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios 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, 2019, all of Class I shares of record of each Portfolio were owned by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”), Pruco Life Insurance Company (“PRULIFE”) and Prudential Insurance Company of America (“PICA”) on behalf of owners of the variable insurance products issued by each of these entities; and by other Portfolios as part of their investments.

The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares:

 

Portfolio

   Number of
Shareholders
     % of Outstanding
Shares
     % held by an
Affiliate of
Prudential
 

Conservative Balanced Portfolio

     4        96        96  

Diversified Bond Portfolio

     5        94        94  

Equity Portfolio

     4        92        92  

Flexible Managed Portfolio

     4        97        97  

Global Portfolio

     3        90        90  

Government Income Portfolio

     3        92        92  

Government Money Market Portfolio

     3        86        86  

Stock Index Portfolio

     5        93        93  

 

B15


Transactions in shares of beneficial interest of the Equity were as follows:

Equity Portfolio

 

Class I:

   Shares     Amount  

Six months ended June 30, 2019:

    

Portfolio shares sold

     60,113     $ 3,364,916  

Portfolio shares repurchased

     (2,824,556     (156,323,573

Capital contributions

           3  
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (2,764,443   $ (152,958,654
  

 

 

   

 

 

 

Year ended December 31, 2018:

    

Portfolio shares sold

     288,901     $ 15,724,745  

Portfolio shares repurchased

     (6,033,417     (328,510,611

Capital contributions

           3,503,826  
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (5,744,516   $ (309,282,040
  

 

 

   

 

 

 

Class II:

            

Six months ended June 30, 2019:

    

Portfolio shares sold

     1     $ 37  

Portfolio shares repurchased

     (1,523     (81,798
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (1,522   $ (81,761
  

 

 

   

 

 

 

Year ended December 31, 2018:

    

Portfolio shares sold

     9,548     $ 526,666  

Portfolio shares repurchased

     (12,293     (673,039

Capital contributions

           1,333  
  

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (2,745   $ (145,040
  

 

 

   

 

 

 

 

        8.   Risks of Investing in the Portfolios

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 successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the subadviser’s ability to analyze and manage derivative transactions. 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. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, 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.

Equity and Equity-Related Securities Risks:    The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market

 

B16


indexes and the performance of the Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

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 the Portfolios’ 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.

Geographic Concentration Risk:    The Portfolios’ 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 may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. 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 exists when particular investments made by the Portfolios are difficult to purchase or sell. 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. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. 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.

Non-diversification Risk:    A non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry 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 Investing in equity 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 equity 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 equity REITs, while mortgage REITs may be affected by the quality of any

 

B17


credit extended. Equity 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 equity 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. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, 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 the Portfolios purchase TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, they may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period the Portfolio hold TIPS, the Portfolios may earn less on the security than on a conventional bond.

U.S. Government and Agency Securities Risk:    U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. 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 U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.

 

        9.   Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolios’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

 

B18


Financial Highlights

(unaudited)

 

    Conservative Balanced Portfolio  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018      2017     2016     2015      2014  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

  $ 26.50     $ 27.17      $ 24.18     $ 22.54     $ 22.45      $ 20.63  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

             

Net investment income (loss)

    0.30       0.53        0.45       0.42       0.39        0.36  

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

    2.70       (1.20      2.54       1.20       (0.30      1.46  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Total from investment operations

    3.00       (0.67      2.99       1.62       0.09        1.82  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Capital Contributions

    (b)(c)      (b)(c)             0.02 (d)              
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 29.50     $ 26.50      $ 27.17     $ 24.18     $ 22.54      $ 22.45  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Total Return(e)

    11.32 %(f)      (2.47 )%(f)       12.37     7.28 %(g)      0.40      8.82

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

  $ 2,517     $ 2,370      $ 2,595     $ 2,473     $ 2,554      $ 2,574  

Average net assets (in millions)

  $ 2,476     $ 2,535      $ 2,535     $ 2,487     $ 2,522      $ 2,530  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

    0.59 %(i)      0.59      0.58     0.58     0.58      0.58

Expenses before waivers and/or expense reimbursement

    0.59 %(i)      0.59      0.58     0.58     0.58      0.58

Net investment income (loss)

    2.11 %(i)      1.94      1.75     1.79     1.70      1.66

Portfolio turnover rate(j)

    41     101      136     185     208      134
    Diversified Bond Portfolio  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018      2017     2016     2015      2014  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

  $ 13.12     $ 13.14      $ 12.28     $ 11.64     $ 11.66      $ 11.01  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

             

Net investment income (loss)

    0.24       0.45        0.42       0.43       0.41        0.43  

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

    0.77       (0.48      0.44       0.21       (0.43      0.34  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Total from investment operations

    1.01       (0.03      0.86       0.64       (0.02      0.77  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Less Dividends and Distributions:

                                    (0.12

Capital Contributions

          0.01 (b)             (c)(d)              
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 14.13     $ 13.12      $ 13.14     $ 12.28     $ 11.64      $ 11.66  
 

 

 

   

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Total Return(e)

    7.70     (0.15 )%(k)       7.00     5.50 %(f)      (0.17 )%       7.09

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

  $ 1,168     $ 1,123      $ 1,145     $ 1,105     $ 1,085      $ 1,068  

Average net assets (in millions)

  $ 1,146     $ 1,132      $ 1,123     $ 1,121     $ 1,074      $ 1,089  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

    0.44 %(i)      0.44      0.44     0.44     0.46      0.44

Expenses before waivers and/or expense reimbursement

    0.44 %(i)      0.44      0.44     0.44     0.46      0.44

Net investment income (loss)

    3.60 %(i)      3.44      3.28     3.52     3.48      3.73

Portfolio turnover rate(j)

    20     51      71     49     81      50

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential, 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, 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 portfolio 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)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1


Financial Highlights

(unaudited)

 

    Equity Portfolio  
    Class I  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018     2017      2016     2015      2014  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

  $ 49.02     $ 51.52     $ 40.96      $ 39.47     $ 38.56      $ 35.81  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

             

Net investment income (loss)

    0.36       0.53       0.41        0.38       0.34        0.19  

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

    8.67       (3.07     10.15        1.07       0.57        2.56  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total from investment operations

    9.03       (2.54     10.56        1.45       0.91        2.75  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Capital Contributions

    (b)(c)      0.04 (b)             0.04 (d)              
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 58.05     $ 49.02     $ 51.52      $ 40.96     $ 39.47      $ 38.56  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

    18.42 %(f)      (4.85 )%(g)      25.78      3.78 %(h)      2.36      7.68

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

  $ 4,481     $ 3,920     $ 4,416      $ 3,742     $ 3,846      $ 4,018  

Average net assets (in millions)

  $ 4,347     $ 4,497     $ 4,099      $ 3,615     $ 3,959      $ 3,977  

Ratios to average net assets(i):

             

Expenses after waivers and/or expense reimbursement

    0.47 %(j)      0.47     0.47      0.47     0.47      0.47

Expenses before waivers and/or expense reimbursement

    0.47 %(j)      0.47     0.47      0.47     0.47      0.47

Net investment income (loss)

    1.30 %(j)      0.98     0.89      1.01     0.86      0.52

Portfolio turnover rate(k)

    22     37     55      39     37      51
    Equity Portfolio  
    Class II  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018     2017      2016     2015      2014  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

  $ 48.37     $ 51.04     $ 40.74      $ 39.42     $ 38.66      $ 36.05  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

             

Net investment income (loss)

    0.24       0.32       0.23        0.23       0.18        0.04  

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

    8.55       (3.03     10.07        1.05       0.58        2.57  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total from investment operations

    8.79       (2.71     10.30        1.28       0.76        2.61  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Capital Contributions

    (b)(c)      0.04 (b)             0.04 (d)              
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 57.16     $ 48.37     $ 51.04      $ 40.74     $ 39.42      $ 38.66  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

    18.19 %(f)      (5.23 )%(g)      25.28      3.35 %(h)      1.97      7.24

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

  $ 2     $ 2     $ 2      $ 2     $ 2      $ 2  

Average net assets (in millions)

  $ 2     $ 2     $ 2      $ 2     $ 2      $ 2  

Ratios to average net assets(i):

             

Expenses after waivers and/or expense reimbursement

    0.87 %(j)      0.87     0.87      0.87     0.87      0.87

Expenses before waivers and/or expense reimbursement

    0.87 %(j)      0.87     0.87      0.87     0.87      0.87

Net investment income (loss)

    0.90 %(j)      0.59     0.50      0.61     0.46      0.11

Portfolio turnover rate(k)

    22     37     55      39     37      51

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential, 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, 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 (4.93)% and (5.31)% for Class I and Class II, respectively.

 

(h)

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.

 

(i)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(j)

Annualized.

 

(k)

The Portfolio’s portfolio 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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2


Financial Highlights

(unaudited)

 

    Flexible Managed Portfolio  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018     2017      2016     2015      2014  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

  $ 28.63     $ 29.88     $ 25.99      $ 23.95     $ 23.71      $ 21.35  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

             

Net investment income (loss)

    0.32       0.53       0.45        0.44       0.42        0.37  

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

    3.18       (1.78     3.44        1.58       (0.18      1.99  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total from investment operations

    3.50       (1.25     3.89        2.02       0.24        2.36  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Capital Contributions

    (b)(c)      (b)(c)             0.02 (d)              
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 32.13     $ 28.63     $ 29.88      $ 25.99     $ 23.95      $ 23.71  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

    12.19 %(f)      (4.18 )%(f)      14.97      8.52 %(g)      1.01      11.05

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

  $ 4,168     $ 3,834     $ 4,230      $ 3,890     $ 3,769      $ 3,944  

Average net assets (in millions)

  $ 4,065     $ 4,157     $ 4,043      $ 3,799     $ 3,878      $ 3,834  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

    0.63 %(i)      0.63     0.62      0.63     0.63      0.63

Expenses before waivers and/or expense reimbursement

    0.63 %(i)      0.63     0.62      0.63     0.63      0.63

Net investment income (loss)

    2.07 %(i)      1.75     1.62      1.78     1.74      1.66

Portfolio turnover rate(j)(k)

    64     139     175      203     213      161
    Global Portfolio  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018     2017      2016     2015      2014  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

  $ 31.83     $ 34.33     $ 27.50      $ 26.33     $ 25.72      $ 24.91  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

             

Net investment income (loss)

    0.32       0.47       0.42        0.34       0.34        0.37  

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

    5.64       (2.99     6.41        0.81       0.27        0.44  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total from investment operations

    5.96       (2.52     6.83        1.15       0.61        0.81  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Capital Contributions

    (b)(c)      0.02 (b)             0.02 (d)              
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 37.79     $ 31.83     $ 34.33      $ 27.50     $ 26.33      $ 25.72  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

    18.79 %(f)      (7.28 )%(l)      24.84      4.44 %(m)      2.37      3.25

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

  $ 1,177     $ 1,007     $ 1,133      $ 955     $ 965      $ 719  

Average net assets (in millions)

  $ 1,122     $ 1,140     $ 1,052      $ 942     $ 813      $ 744  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

    0.77 %(i)      0.77     0.79      0.80     0.81      0.81

Expenses before waivers and/or expense reimbursement

    0.80 %(i)      0.80     0.81      0.81     0.82      0.82

Net investment income (loss)

    1.83 %(i)      1.33     1.34      1.29     1.28      1.45

Portfolio turnover rate(j)

    14     28     33      40     33      37

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential, 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, 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 portfolio 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)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%.

 

(m)

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
June 30, 2019(a)
    Year Ended December 31,  
    2018(a)     2017(a)     2016(a)     2015(a)     2014  

Per Share Operating Performance:

           

Net Asset Value, beginning of period

  $ 12.70     $ 12.62     $ 12.26     $ 12.00     $ 11.92     $ 11.30  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income (Loss) From Investment Operations:

           

Net investment income (loss)

    0.16       0.28       0.23       0.20       0.18       0.21  

Net realized and unrealized gain (loss) on investment transactions

    0.47       (0.20     0.13       0.06       (0.10     0.45  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

    0.63       0.08       0.36       0.26       0.08       0.66  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Dividends and Distributions:

                                  (0.04

Capital Contributions

          (b)(c)            (c)(d)             
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, end of period

  $ 13.33     $ 12.70     $ 12.62     $ 12.26     $ 12.00     $ 11.92  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

    4.96     0.63 %(f)      2.94     2.17 %(f)      0.67     5.86

Ratios/Supplemental Data:

           

Net assets, end of period (in millions)

  $ 244     $ 221     $ 244     $ 226     $ 232     $ 339  

Average net assets (in millions)

  $ 227     $ 231     $ 252     $ 236     $ 325     $ 341  

Ratios to average net assets(g):

           

Expenses after waivers and/or expense reimbursement

    0.52 %(h)      0.51     0.53     0.51     0.48     0.47

Expenses before waivers and/or expense reimbursement

    0.52 %(h)      0.51     0.53     0.51     0.48     0.47

Net investment income (loss)

    2.46 %(h)      2.28     1.84     1.60     1.48     1.73

Portfolio turnover rate(i)(j)

    147     284     495     705     746     830
    Government Money Market Portfolio  
    Six Months Ended
June 30, 2019(a)
    Year Ended December 31,  
    2018(a)     2017(a)     2016(a)     2015(a)     2014  

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)

    0.10       0.15       0.06       0.01       (c)      (c) 

Less Dividends and Distributions:

    (0.10     (0.15     (0.06     (0.01     (c)      (c) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, end of period

  $ 10.00     $ 10.00     $ 10.00     $ 10.00     $ 10.00     $ 10.00  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

    1.04     1.53     0.56     0.10     %(k)      %(k) 

Ratios/Supplemental Data:

           

Net assets, end of period (in millions)

  $ 555     $ 536     $ 560     $ 724     $ 651     $ 824  

Average net assets (in millions)

  $ 543     $ 560     $ 665     $ 717     $ 725     $ 846  

Ratios to average net assets(g):

           

Expenses after waivers and/or expense reimbursement

    0.35 %(h)      0.35     0.35     0.35     0.19     0.16

Expenses before waivers and/or expense reimbursement

    0.35 %(h)      0.35     0.35     0.35     0.44     0.44

Net investment income (loss)

    2.11 %(h)      1.52     0.55     0.09     %(k)      %(k) 

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Represents payment received by the Portfolio, from Prudential, 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, 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)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(h)

Annualized.

 

(i)

The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(j)

The Portfolio’s portfolio 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)

Less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C4


Financial Highlights

(unaudited)

 

    Stock Index Portfolio  
    Six Months Ended
June 30, 2019
    Year Ended December 31,  
    2018        2017      2016     2015      2014  

Per Share Operating Performance(a):

                

Net Asset Value, beginning of period

  $ 56.64     $ 59.38        $ 50.70      $ 48.59     $ 49.33      $ 47.02  
 

 

 

   

 

 

      

 

 

    

 

 

   

 

 

    

 

 

 

Income (Loss) From Investment Operations:

                

Net investment income (loss)

    0.54       1.00          0.92        0.89       0.86        0.79  

Net realized and unrealized gain (loss) on investment transactions

    9.83       (3.74        9.75        4.52       (0.26      5.20  
 

 

 

   

 

 

      

 

 

    

 

 

   

 

 

    

 

 

 

Total from investment operations

    10.37       (2.74        10.67        5.41       0.60        5.99  
 

 

 

   

 

 

      

 

 

    

 

 

   

 

 

    

 

 

 

Less Dividends and Distributions:

                   (1.99      (3.37     (1.34      (3.68

Capital Contributions

                          0.07 (d)              
 

 

 

   

 

 

      

 

 

    

 

 

   

 

 

    

 

 

 

Net Asset Value, end of period

  $ 67.01     $ 56.64        $ 59.38      $ 50.70     $ 48.59      $ 49.33  
 

 

 

   

 

 

      

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

    18.31     (4.61 )%         21.46      11.83 %(k)      1.18      13.31

Ratios/Supplemental Data:

                

Net assets, end of period (in millions)

  $ 4,339     $ 3,672        $ 3,928      $ 3,305     $ 3,010      $ 3,313  

Average net assets (in millions)

  $ 4,140     $ 4,051        $ 3,630      $ 3,122     $ 3,299      $ 3,076  

Ratios to average net assets(h):

                

Expenses after waivers and/or expense reimbursement

    0.31 %(i)      0.31        0.32      0.32     0.32      0.32

Expenses before waivers and/or expense reimbursement

    0.31 %(i)      0.31        0.32      0.34     0.37      0.37

Net investment income (loss)

    1.72 %(i)      1.63        1.69      1.84     1.74      1.67

Portfolio turnover rate(j)

    1     4        4      5     9      5

 

(a)

Calculated based on average shares outstanding during the period.

 

(d)

Represents payment received by the Portfolio, from Prudential, 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.

 

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(i)

Annualized.

 

(j)

The Portfolio’s portfolio 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)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

 

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 six individuals, none of whom are “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 May 30, 2019 and on June 11-13, 2019 and approved the renewal of the agreements through July 31, 2020, 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 May 30, 2019 and on June 11-13, 2019

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 noted that Jennison is affiliated with PGIM Investments. 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, and PGIM Investments’ role as administrator of VCA-10’s liquidity risk management program. 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 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 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, 2018. 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, 2018. 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 provided supplemental Peer Universe of Peer Group information for reasons addressed with the Committee. The comparisons placed VCA-10 in various quartiles over various periods, 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 net performance comparisons (which 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.

 

Net Performance

  

1 Year

   3 Years    5 Years    10 Years
   4th Quartile    4th Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 4th Quartile

 

 

The Committee noted that VCA-10 underperformed its benchmark index over all periods.

 

 

The Board considered PGIM Investments’ assertion that VCA-10’s underperformance was primarily attributable to underperformance during the second half of 2018, when investors moved into defensive stocks not held by VCA-10. The Board also considered that, as of March 31, 2019, VCA-10 outperformed its Peer Universe over the trailing three-month and three-year periods.

 

 

The Board also considered that, when it evaluated performance in the prior year, as of December 31, 2017, when VCA-10’s investment style was more favored in the market, VCA-10 outperformed its benchmark index and ranked in the first quartile of its Peer Universe for the one-year period.

 

 

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 of its peer group 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

Renewal of Management and Subadvisory 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 and their operations, and performs the various duties imposed on directors or trustees 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 18-19, 2019 (the Meeting) and approved the renewal of the agreements through July 31, 2020, 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 Board 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 Board’s 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 noted that the PGIM Fixed Income unit of PGIM, Inc., Jennison Associates LLC (Jennison) and QMA LLC (formerly, Quantitative Management Associates LLC) (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolios’ liquidity risk management program. 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 personnel 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 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 of direct and indirect costs, 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 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, 2018, 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 2018. 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 over various periods, 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 deemed 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 certain 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
   1st Quartile    1st Quartile    1st Quartile    2nd 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, after considering a variety of information, including the factors set forth 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    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board concluded that, after considering a variety of information, including the factors set forth 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

Net Performance

  

1 Year

   3 Years    5 Years    10 Years
   2nd Quartile    3rd Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Gross 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 noted that the Portfolio outperformed its Peer Universe and benchmark index in each of the last two calendar years.

 

 

The Board concluded that, after considering a variety of information, including the factors set forth 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
   1st 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 the three-, five- and ten-year periods, though it underperformed its benchmark index over the one-year period.

 

 

The Board concluded that, after considering a variety of information, including the factors set forth 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
   1st 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 the Manager had contractually agreed to waive 0.032% of its management fee through June 30, 2020.

 

 

The Board concluded that, after considering a variety of information, including the factors set forth 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
   3rd Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

 

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

 

The Board concluded that, after considering a variety of information, including the factors set forth 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: 2nd 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, after considering a variety of information, including the factors set forth 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
   1st 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, after considering a variety of information, including the factors set forth 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.

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 will file with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-PORT. Form N-PORT will be available on the Commission’s website at www.sec.gov or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-PORT filings by calling (800) 458-6333.


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The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

 

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©2019 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 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 –  

Controls and Procedures - Disclosure of Securities Lending Activities for Closed-End

 

Management Investment Companies – Not applicable.

Item 13 –   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/ Andrew R. French
  Andrew R. French
  Secretary
Date:   August 28, 2019

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 28, 2019
By:   /s/ Christian J. Kelly
  Christian J. Kelly
  Treasurer and Principal Financial and Accounting Officer
Date:   August 28, 2019